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
ProShares Trust
(Exact name of registrant as specified in charter)
7272 Wisconsin Avenue, 21st Floor
Bethesda, MD 20814
(Address of principal executive offices) (Zip code)
ProShare Advisors LLC
7272 Wisconsin Avenue, 21st Floor
Bethesda, MD 20814
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (240) 497-6400
Date of fiscal year end: May 31
Date of reporting period: May 31, 2022
Item 1. Reports to Stockholders.
| (a) | The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). |
ANNUAL REPORT
MAY 31, 2022
Big Data Refiners ETF DAT
Bitcoin Strategy ETF* BITO
Decline of the Retail Store ETF EMTY
DJ Brookfield Global Infrastructure ETF TOLZ
Equities for Rising Rates ETF EQRR
Global Listed Private Equity ETF PEX
Hedge Replication ETF HDG
High Yield–Interest Rate Hedged HYHG
Inflation Expectations ETF RINF
Investment Grade–Interest Rate Hedged IGHG
K-1 Free Crude Oil Strategy ETF* OILK
Large Cap Core Plus CSM
Long Online/Short Stores ETF CLIX
Merger ETF MRGR
Metaverse ETF VERS
MSCI EAFE Dividend Growers ETF EFAD
MSCI Emerging Markets Dividend Growers ETF EMDV
MSCI Europe Dividend Growers ETF EUDV
MSCI Transformational Changes ETF ANEW
Nanotechnology ETF TINY
Nasdaq-100 Dorsey Wright Momentum ETF QQQA
On-Demand ETF OND
Online Retail ETF ONLN
Pet Care ETF PAWZ
Russell 2000 Dividend Growers ETF SMDV
Russell U.S. Dividend Growers ETF TMDV
S&P 500® Bond ETF SPXB
S&P 500® Dividend Aristocrats ETF NOBL
S&P 500® Ex-Energy ETF SPXE
S&P 500® Ex-Financials ETF SPXN
S&P 500® Ex-Health Care ETF SPXV
S&P 500® Ex-Technology ETF SPXT
S&P Kensho Cleantech ETF CTEX
S&P Kensho Smart Factories ETF MAKX
S&P MidCap 400® Dividend Aristocrats ETF REGL
S&P Technology Dividend Aristocrats ETF TDV
Smart Materials ETF TINT
Supply Chain Logistics ETF SUPL
* The Bitcoin Strategy ETF and K-1 Free Crude Oil Strategy ETF funds are consolidated with Cayman Bitcoin Strategy Portfolio and Cayman Crude Oil Strategy Portfolio, respectively. A claim of exemption pursuant to the Commodity Futures Trading Commission ("CFTC") Rule 4.7 has been made by the Investment Adviser with respect to these funds. The exemption relieves these funds of certain disclosure and reporting obligations under the commodity pool rules of the CFTC.
PROSHARES TRUST Distributor: SEI Investments Distribution Co.
TABLE OF CONTENTS
| | I | | | Shareholder Letter | |
| II | | | Management Discussion of Fund Performance | |
| XLIII | | | Expense Examples | |
| 1 | | | Schedule of Portfolio Investments | |
| 99 | | | Statements of Assets and Liabilities | |
| 107 | | | Statements of Operations | |
| 115 | | | Statements of Changes in Net Assets | |
| | 129 | | | Statement of Cash Flow | |
| 131 | | | Financial Highlights | |
| 149 | | | Notes to Financial Statements | |
| 176 | | | Report of Independent Registered Public Accounting Firm | |
| 178 | | | Board Approval of Investment Advisory Agreements | |
| 182 | | | Miscellaneous Information | |
| 183 | | | Trustees and Executive Officers of ProShares Trust | |
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DEAR SHAREHOLDER:
During these times of geopolitical and economic uncertainty, I want to reaffirm our commitment to providing you, our investors, with products and services to help you meet your investment objectives. ProShares remains focused on ensuring the effective management of our funds. The following is the ProShares Trust Annual Report for the 12 months ended May 31, 2022.
U.S. Stocks Decline Sharply After a Strong Year
U.S. stock performance during the reporting period could effectively be split into two parts. Buoyed by the federal stimulus packages, near-zero interest rates, the robust rollout of COVID-19 vaccines, and strong corporate earnings, U.S. stocks ended 2021 on a winning streak. The S&P 500® rose 28.7% for the year, clocking in its third-best yearly performance of the century. The Dow® and Nasdaq-100 Index® gained 20.95% and 27.51%, respectively. The first months of 2022, however, saw a sharp reversal of this trend as volatility returned amid mounting inflationary pressures, rising interest rates, tightening monetary policy, and Russia's invasion of Ukraine. The S&P 500 hit correction territory for the first time since the official declaration of a global pandemic by the World Health Organization in March 2020, declining by more than 10% at its lowest points in February relative to its January peak. With the notable exception of commodities like oil and gas, whose prices have surged amid sanctions against Russia, nearly all asset classes experienced selloffs in the past five months. The technology sector, in particular, has seen a sharp turnaround after its strong performance during the first half of the period.
The large-cap S&P 500 declined 0.3% over the reporting period, and the Dow lost 2.7%. The Nasdaq-100 declined 7.0%. The S&P MidCap 400® dropped 6.5%, and the small-cap Russell 2000® Index declined 17.0%. Of the 11 Dow Jones U.S. Industry Index sectors, four sectors rose. The best performers were oil & gas (72.8%), utilities (17.3%), and health care (4.6%). The biggest laggards were consumer services (-19.8%) and industrials (-12.8%), with technology, financials, and telecom also declining by over 3%.
Boom in International Equities Comes to an End
Equities in developed markets outside the United States followed a similar pattern, rising in the second half of 2021 before dropping as Russia's invasion of Ukraine sent shockwaves throughout the world economy. Emerging markets, however, largely declined throughout the 12 months, driven by a selloff in China amid a regulatory crackdown. Most major international indexes posted negative returns over the reporting period: The MSCI EAFE Index®, which tracks developed markets outside North America, fell 10.7%. The MSCI Europe Index® dropped 9.9%, while the MSCI Japan Index® lost 13.5%. The MSCI Emerging Markets Index® fell 18.9%, and the FTSE China 50 Index® declined 28.1%.
U.S. Fixed-Income Markets Decline Sharply
Bonds struggled in the latter half of 2021 as the market acknowledged the beginning of the Fed's tapering program and interest rates began to rise. In response to the fastest inflation in 40 years, the Fed raised interest rates by 25 basis points in March and 50 basis points in May. This spurred a selloff in
the bond markets, overriding investors' typical flight-to-quality in times of geopolitical distress. Over the 12 months, the Barclays U.S. Aggregate Bond Index® declined 8.2%. The Ryan Labs Treasury 30-Year and 10-Year Indexes lost 18.7% and 10.8%, respectively. Investment-grade corporate bonds, as measured by the Markit iBoxx $ Liquid Investment Grade Index®, declined 11.5%, while their high-yield peers lost 4.9%, based on the Markit iBoxx $ Liquid High Yield Index®.
Economy Slows
Geopolitical headwinds jolted the world economy, adding to the mounting inflationary pressures and supply chain disruptions from the pandemic. After increasing at a steady clip in the second half of 2021, U.S. GDP contracted at an estimated annual rate of 1.5% in the first quarter of 2022. The labor market, however, remains strong, with a national unemployment rate of 3.6% for May. The U.S. dollar rose 9.7%, based on the Bloomberg Dollar Spot Index.
Investors Find Opportunities Amid Complex Markets
ProShares equity investors were presented with significant opportunities for growth in the first half of the period, both broadly across asset classes and specifically in the technology sector. As interest rates rose in 2022 and the global economy reckoned with the invasion of Ukraine, investors had opportunities for gain by focusing on funds designed to outperform in environments marked by volatility and rising rates.
ProShares significantly expanded its ETF offerings to investors during the period, launching nine new funds, including Metaverse ETF (VERS) in March and Bitcoin Strategy ETF (BITO) in October. In particular, both of these ETFs build on our legacy of innovation. As the first U.S. bitcoin-linked ETF, BITO provides investors with a way to gain bitcoin futures exposure through their existing brokerage accounts. It offers convenient, liquid access to this important asset class — while providing the additional benefits of the ETF structure. Likewise, VERS gives investors access to the companies shaping the next frontier of digital interactions. Overall, net flows into ProShares increased by $15.2 billion over the reporting period.
During these uncertain times, many investors turn to ProShares ETFs for their breadth of investment choices across diverse market segments. Our strong lineup of funds enables investors to choose the investments that most effectively align with their market views. We thank you for the trust and confidence you have placed in us by choosing ProShares and appreciate the opportunity to continue serving your investment needs.
Sincerely,
Michael L. Sapir
Chairman of the Board of Trustees
PROSHARES.COM :: I
MANAGEMENT DISCUSSION
OF FUND PERFORMANCE
II :: MAY 31, 2022 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
Investment Strategies and Techniques — Strategic Funds:
Twenty nine (29) ProShares Strategic exchange-traded funds ("ETFs") were in existence for the entire period covered by this annual report, and nine ProShares Strategic ETFs were launched during this period (each ProShares Strategic ETF, a "Fund" and, collectively, the "Funds").
Certain Funds are designed to match, before fees and expenses, the performance of an underlying index1 both on a single day and over time (each a "Matching Fund" and, collectively, the "Matching Funds").2
ProShares Decline of the Retail Store ETF (EMTY) seeks capital appreciation from the decline of bricks and mortar retailers through short exposure (-1x) to the index. The Fund seeks daily investment results, before fees and expenses, that correspond to the performance of a daily benchmark that is the inverse (-1x) of its underlying index for a single day, not for any other period. This means that the Fund seeks investment results for a single day only, as measured from the time the Fund calculates its net asset value ("NAV") to the time of the Fund's next NAV calculation, not for longer periods. The return of the Fund for a period longer than a single day will be the result of each day's returns compounded over the period, which will very likely differ from the inverse (-1x) of the return of the Fund's index for that period. During periods of higher market volatility, the volatility of the Fund's index may affect the Fund's return as much as or more than the return of the index.
ProShare Advisors LLC ("PSA"), the Funds' investment adviser, uses a passive approach in seeking to achieve the investment objective of each Matching Fund and ProShares Decline of the Retail Store ETF (EMTY). Using this approach, PSA determines the type, quantity and mix of investment positions that a Matching Fund and ProShares Decline of the Retail Store ETF (EMTY) should hold to approximate the daily performance of its index.
When managing the Matching Funds and ProShares Decline of the Retail Store ETF (EMTY), PSA does not invest the assets of the Funds in securities or financial instruments based on its view of the investment merit of a particular security, instrument, or company. In addition, PSA does not conduct conventional investment research or analysis; forecast market movements, trends or market conditions; or take defensive positions in managing assets of the Matching Funds and ProShares Decline of the Retail Store ETF (EMTY).
ProShares Long Online/Short Stores ETF (CLIX), ProShares Large Cap Core Plus (CSM), ProShares Decline of the Retail Store ETF (EMTY), ProShares Hedge Replication ETF (HDG), ProShares High Yield-Interest Rate Hedged (HYHG), ProShares Investment Grade-Interest
Rate Hedged (IGHG), ProShares Merger ETF (MRGR), ProShares Bitcoin Strategy ETF, and ProShares Inflation Expectations ETF (RINF) make significant use of investment techniques that may be considered aggressive, including the use of swap agreements, credit default swaps, futures contracts, forward contracts, and similar instruments (collectively, "derivatives"). Funds using derivatives are exposed to risks different from, or possibly greater than, the risks associated with investing directly in securities, including one or more of the following: counterparty risk (i.e., the risk that a counterparty is unable or unwilling to make timely payments to meet its contractual obligations) on the amount a Fund expects to receive from a derivatives counterparty, liquidity risk (i.e., the risk that a Fund might not be able to acquire or dispose of certain holdings quickly or at prices that represent true market value in the judgment of PSA), and with respect to the Matching Funds and ProShares Decline of the Retail Store ETF (EMTY) increased correlation risk (i.e., the risk that a Fund may not be able to achieve a high degree of correlation with its index or the inverse thereof). If a counterparty becomes bankrupt, or fails to perform its obligations, the value of an investment in a Fund may decline. With respect to swaps and forward contracts, the Funds seek to mitigate counterparty risk by generally requiring derivatives counterparties to post collateral for the benefit of each Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owes the Fund, subject to certain minimum thresholds. The Funds primarily enter into derivatives with counterparties that are major global financial institutions. Any costs associated with using derivatives will have the effect of lowering a Fund's return.
Factors that Materially Affected the Performance of Each Fund during the Year Ended May 31, 20223:
Primary factors affecting Fund performance, before fees and expenses, include the following: the total return of the securities and derivatives (if any) held by a Fund, including the performance of the reference assets to which any derivatives are linked, financing rates paid or earned by a Fund associated with cash and, in certain cases, derivative positions; stock dividends, premiums and bond yields paid or earned by a Fund (including those included in the total return of derivatives contracts); the types of derivative contracts (if any) used by a Fund and their correlation to the relevant index or asset fees, expenses, and transaction costs; the volatility of a Fund's index (and its impact on compounding); and other miscellaneous factors.
• Index Performance: The performance of each Matching Fund's index and ProShares Decline of the Retail Store ETF's index and, in turn,
1 The term "index" as used herein includes the Merrill Lynch Factor Model-Exchange Series benchmark.
2 As of May 31, 2022, the Matching Funds are:; ProShares DJ Brookfield Global Infrastructure ETF (TOLZ); ProShares Global Listed Private Equity ETF (PEX); ProShares Large Cap Core Plus (CSM); ProShares S&P 500 Dividend Aristocrats ETF (NOBL); ProShares S&P MidCap 400 Dividend Aristocrats ETF (REGL); ProShares Russell 2000 Dividend Growers ETF (SMDV); ProShares MSCI EAFE Dividend Growers ETF (EFAD); ProShares High Yield-Interest Rate Hedged (HYHG); ProShares Investment Grade-Interest Rate Hedged (IGHG);; ProShares Hedge Replication ETF (HDG); ProShares Merger ETF (MRGR); ProShares S&P 500 Ex-Energy ETF (SPXE); ProShares S&P 500 Ex-Financials ETF (SPXN); ProShares S&P 500 Ex-Technology ETF (SPXT); ProShares S&P 500 Ex-Health Care ETF (SPXV); ProShares MSCI Emerging Markets Dividend Growers ETF (EMDV); ProShares MSCI Europe Dividend Growers ETF (EUDV); ProShares Inflation Expectations ETF (RINF); ProShares Equities for Rising Rates ETF (EQRR); ProShares Long Online/Short Stores ETF (CLIX); ProShares S&P 500 Bond ETF (SPXB); ProShares Online Retail ETF (ONLN); ProShares Russell U.S. Dividend Growers ETF (TMDV), ProShares S&P 500 Technology Dividend Aristocrats ETF (TDV), ProShares K-1 Free Crude Oil Strategy ETF (OILK), ProShares MSCI Transformational Changes ETF (ANEW), ProShares Bitcoin Strategy ETF (BITO), ProShares S&P Kensho Cleantech ETF (CTEX), ProShares Big Data Refiners ETF (DAT), ProShares S&P Kensho Smart Factories ETF (MAKX), ProShares On-Demand ETF (OND), ProShares Smart Materials ETF (TINT), ProShares Nanotechnology ETF (TINY), ProShares Metaverse ETF (VERS), ProShares Supply Chain Logistics ETF (SUPL) and ProShares Nasdaq-100 Dorsey Wright Momentum ETF (QQQA).
3 Past performance is not a guarantee of future results.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: MAY 31, 2022 :: III
the factors and market conditions affecting that index are principal factors driving Fund performance.4
• Compounding of Daily Returns and Volatility: ProShares Decline of the Retail Store ETF (EMTY) seeks daily investment results, before fees and expenses, that correspond to the performance of a daily benchmark that is the inverse (-1x) of its underlying index for a single day only, not for any other period. For longer periods, performance may be greater than or less than the inverse of the Fund's index performance over the period, before fees and expenses. This is due to the effects of compounding, which exists in all investments, but has a more significant impact on a geared fund. In general, during periods of higher index volatility, compounding will cause the Fund's performance for periods longer than a single day to be more or less than the inverse (-1x) of the return of the index. This effect becomes more pronounced as volatility increases. Conversely, in periods of lower index volatility (particularly when combined with higher index returns), the Fund's returns over longer periods can be higher than the inverse (-1x) of the return of the index. Actual results for a particular period, before fees and expenses, are also dependent on the following factors: a) period of time; b) financing rates associated with derivatives; c) other Fund expenses; d) dividends paid with respect to the securities in the index, e) the index's volatility; and f) the index's performance. Longer holding periods, higher index volatility and inverse exposure each exacerbates the impact of compounding on the Fund's performance. During periods of higher index volatility, the volatility of the Fund's index may affect the Fund's return as much as or more than the return of its index. Daily volatility for the U.S. equity markets increased from a year ago. The volatility for the S&P 500 for the year ended May 31, 2022, was 18.10%, which was slightly higher than the prior year's volatility of 17.28%. The volatility of the Fund's index was 26.44%.
Financing Rates Associated with Derivatives: The performance of Funds that use derivatives was impacted by the related financing costs. Financial instruments such as futures contracts carry implied financing costs. Forward and swap financing rates are negotiated between the Funds and their counterparties, and are set at the Fed Funds rate ("FEDL01") plus or minus a negotiated spread. This rate was changed from the one week/one month London Interbank Offered Rate ("LIBOR") in the third and fourth quarters of 2021. The Fed Funds rate appreciated from 0.05% to 0.83% during the fiscal year. Each Fund with long exposure via derivatives was generally negatively affected by financing rates. Conversely, most Funds with short/inverse derivative exposure generally benefited from financing rates.
• Stock Dividends and Bond Yields: The performance of Funds that provide long exposure was positively impacted by capturing the dividend, premium or income yield of the underlying assets to which they have exposure. The performance of Funds that provide inverse exposure was negatively impacted by virtue of effectively having to pay out the dividend, premium or income yield (or a multiple thereof, as applicable) associated with the assets to which they have short exposure.
• Fees, Expenses, and Transaction Costs: Fees and expenses are listed in the financial statements of each Fund and, with the exception of certain of the Matching and Active Funds, may generally be higher and thus have a more negative impact on Fund performance compared to many traditional index-based funds. Transaction costs are not reflected in the Funds' expense ratio. Transaction costs are generally higher for Funds whose indexes are more volatile, that seek to return the inverse of its index's return, that invest in foreign securities, and for Funds that hold or have exposure to assets that are comparatively less liquid than assets held by other Funds. Daily repositioning of the portfolio of ProShares Decline of the Retail Store ETF (EMTY) to maintain exposure consistent with its investment objective and high levels of shareholder creation and redemption activity may lead to commensurate increases in portfolio transactions and transaction costs, which negatively impact the Fund's daily NAV.
• Miscellaneous factors: Each Fund holds a mix of securities and/or derivatives that is designed to provide returns that seek to achieve its investment objective. Certain Matching Funds and ProShares Decline of the Retail Store ETF (EMTY) may obtain exposure to only a representative sample of the securities of their index and may not have investment exposure to all securities of the index or may have weightings that are different from that of its index. Certain Matching Funds and ProShares Decline of the Retail Store ETF (EMTY) may also obtain exposure to securities not contained in their respective index or in financial instruments. ProShares Decline of the Retail Store ETF (EMTY) may obtain exposure to securities not contained in its index or in financial instruments with the intent of obtaining exposure with aggregate characteristics similar to those of the inverse of its index.
In addition, certain Matching Funds invested in swap agreements that were based on ETFs that are designed to track the performance of the Fund's index rather than swap agreements that were based on the Fund's index. Because the closing price of an ETF may not perfectly track the performance of its index, there are deviations between the return of a swap whose reference asset is an ETF and the return of a swap based directly on the Fund's index. Thus, the performance of a Fund investing significantly in swap agreements based on an ETF may correlate less with its index than a Fund investing in swap agreements based directly on the Fund's index.
4 Indexes do not actually hold a portfolio of securities and/or financial instruments. Indexes do not incur fees, expenses and transaction costs. Fees, expenses and transaction costs incurred by the Matching Funds and ProShares Decline of the Retail Store ETF (EMTY) negatively impact the performance of those Funds relative to their respective indexes. Performance of each Matching Fund and ProShares Decline of the Retail Store ETF (EMTY) will generally differ from the performance of the Fund's index.
IV :: MAY 31, 2022 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Big Data Refiners ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the FactSet Big Data Refiners Index (the "Index"). From inception on September 29, 2021 to May 31, 2022, the Fund had a total return of –39.57%1. For the same period, the Index had a total return of –39.42%2 and a volatility of 15.23%. For the period, the Fund had an average daily volume of 1,892 shares.
The Fund invests in securities that ProShare Advisors LLC (the "Advisor") believes, in combination, should track the performance of the Index. The Index is owned and administered by FactSet Research Systems, Inc. (the "Index Provider"). The Index consists of companies that provide analytics and infrastructure for managing and extracting information from large data sets. The Index includes companies whose principal business is the provision of analytics, software, hardware and other computing infrastructure for managing and extracting information from large structured and unstructured data sets, as determined by the Index methodology. In order to be included in the Index, a company must be included in at least one of nine FactSet® Revere Business Industry Classification System Sub-Industries ("RBICS Sub-Industries") that the Index Provider has identified as big data related. The nine eligible RBICS Sub-Industries are: Business Intelligence Software, Business Intelligence/Data Warehousing Consulting, Customer Service Software, Data Storage Infrastructure Software, Enterprise Middleware Software, Government and Public Service Industry Software, Information Storage Systems, Network Administration Software and Peripheral and Other Commerce Equipment Makers. The Index is reconstituted and rebalanced semiannually in June and December.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Big Data Refiners ETF from September 29, 2021 to May 31, 2022, assuming the reinvestment of distributions.
Cumulative Total Return as of 05/31/22
| | | Since Inception (9/29/21) | |
| ProShares Big Data Refiners ETF | | | -39.57 | % | |
| FactSet Big Data Refiners Index | | | -39.42 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Big Data Refiners ETF | | | 0.58 | % | | | 0.58 | % | |
**Reflects the expense ratio as reported in the Prospectus dated September 27, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Zendesk, Inc. | | | 6.6 | % | |
| Splunk, Inc. | | | 6.2 | % | |
| Teradata Corp. | | | 6.2 | % | |
| Five9, Inc. | | | 5.2 | % | |
| Alteryx, Inc., Class A | | | 5.0 | % | |
FactSet Big Data Refiners
Index – Composition
| | | % of Index | |
| Information Technology | | | 98.3 | % | |
| Consumer Discretionary | | | 1.1 | % | |
| Industrials | | | 0.6 | % | |
FactSet Big Data Refiners
Index – Country
| | | % of Index | |
| United States | | | 93.7 | % | |
| Israel | | | 4.5 | % | |
| Australia | | | 0.8 | % | |
| Japan | | | 0.6 | % | |
| Canada | | | 0.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: BIG DATA REFINERS ETF DAT :: V
ProShares Bitcoin Strategy ETF (the "Fund") seeks capital appreciation. There can be no assurance that the Fund will achieve its investment objective. From inception on October 18, 2021 to May 31, 2022, the Fund had a total return of –50.85%1. For the same period, the Bloomberg Galaxy Bitcoin Index had a total return of –48.45%2 and a volatility of 65.08%. For the period, the Fund had an average daily volume of 7,649,132 shares.
The Fund does not invest directly in bitcoin. The Fund seeks to provide capital appreciation primarily through managed exposure to bitcoin futures contracts. The Fund expects to gain exposure to these investments by investing a portion of its assets in the ProShares Cayman Bitcoin Strategy Portfolio, a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the "Subsidiary"). Unlike the Fund, the Subsidiary is not an investment company registered under the Investment Company Act of 1940. The Fund's investment in the Subsidiary is intended to provide the Fund with exposure to commodity markets in accordance with applicable rules and regulations. The Fund will generally limit investments in the Subsidiary to 25% but it may exceed that amount if the Advisor believes doing so is in the best interest of the Fund, such as to help achieve the Fund's investment objective or increase the tax efficiency of the Fund.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Bitcoin Strategy ETF from October 18, 2021 to May 31, 2022, assuming the reinvestment of distributions.
Cumulative Total Return as of 05/31/22
| | | Since Inception (10/18/21) | |
| ProShares Bitcoin Strategy ETF | | | -50.85 | % | |
| Bloomberg Galaxy Bitcoin Index | | | -48.45 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Bitcoin Strategy ETF | | | 0.95 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 18, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Futures Contracts | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
CF Bitcoin-dollar Us Settlement Price Index – Composition
| | | % of Index | |
| Bitcoin Futures | | | 100 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
VI :: BITO BITCOIN STRATEGY ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Decline of the Retail Store ETF (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the return of the SolactiveProShares Bricks and Mortar Retail Store Index (the "Index") for a single day, not for any other period. For the year ended May 31, 2022, the Fund had a total return of –2.25%1. For the same period, the Index had a total return of –5.85%2 and a volatility of 26.44%. For the period, the Fund had an average daily volume of 12,189 shares.
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Funds' investment objective. The Index is constructed and maintained by Solactive AG. The Index seeks to measure the performance of publicly traded "bricks and mortar" retail companies whose retail revenue is derived principally from in-store sales. Short exposure may be attractive to investors who believe bricks and mortar stores face threats from ongoing trends, such as the growth of online shopping and markets oversaturated with stores. Companies must derive more than 50% of their global revenues from retail operations and more than 75% of their retail revenues from in-store sales to be included in the Index. In addition a company must be domiciled in the US; its securities must be listed on a U.S. stock exchange and must meet certain liquidity and market capitalization requirements. The Index includes only U.S. companies. The Index is rebalanced monthly to equal weight and reconstituted in June each year.
During the year ended May 31, 2022, the Fund invested in swap agreements as a substitute for investing directly in or taking short positions in the securities of the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Decline of the Retail Store ETF from November 14, 2017 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Since Inception (11/14/17) | |
ProShares Decline of the Retail
Store ETF | | | -2.25 | % | | | -17.85 | % | |
Solactive-ProShares Bricks and
Mortar Retail Store Index | | | -5.85 | % | | | 12.47 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares Decline of the Retail
Store ETF | | | 0.65 | % | | | 0.65 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (100 | %) | |
| Total Exposure | | | (100 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Solactive-ProShares Bricks and Mortar Retail Store
Composite Index – Composition
| | | % of Index | |
| Consumer Discretionary | | | 67.9 | % | |
| Consumer Staples | | | 29.3 | % | |
| Materials | | | 2.8 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: DECLINE OF THE RETAIL STORE ETF EMTY :: VII
ProShares DJ Brookfield Global Infrastructure ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Dow Jones Brookfield Global Infrastructure Composite Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of 11.32%1. For the same period, the Index had a total return of 11.20%2 and a volatility of 11.92%. For the period, the Fund had an average daily volume of 22,515 shares.
The Fund invests in financial instruments that the Advisor believes, in combination, should track the performance of the Index. The Index, constructed and maintained by S&P Dow Jones Indices LLC, consists of companies domiciled globally that qualify as "pure-play" infrastructure companies — companies whose primary business is the ownership and operation of infrastructure assets, activities that generally generate long-term stable cash flows.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares DJ Brookfield Global Infrastructure ETF from March 25, 2014 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Since Inception (3/25/14) | |
ProShares DJ Brookfield
Global Infrastructure ETF | | | 11.32 | %** | | | 6.54 | % | | | 6.16 | % | |
Dow Jones Brookfield
Global Infrastructure
Composite Index | | | 11.20 | % | | | 6.17 | % | | | 5.81 | % | |
Expense Ratios***
| Fund | | Gross | | Net | |
ProShares DJ Brookfield Global
Infrastructure ETF | | | 0.46 | % | | | 0.46 | % | |
**The Fund's Average Annual Total Returns are based on net asset values calculated for shareholder transactions which are not reflective of adjustments required pursuant to Generally Accepted Accounting Principles (GAAP). Accordingly, differences may exist between this data and similar information reported in the financial statements.
***Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 90 | % | |
| Closed End Funds | | | 1 | % | |
| Master Limited Partnership | | | 8 | % | |
| Total Exposure | | | 99 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| American Tower Corp. | | | 7.3 | % | |
| Enbridge, Inc. | | | 7.0 | % | |
Crown Castle International
Corp. | | | 5.1 | % | |
| National Grid plc | | | 4.3 | % | |
| TC Energy Corp. | | | 4.3 | % | |
Dow Jones Brookfield Global Infrastructure Composite Index – Composition
| | | % of Index | |
| Utilities | | | 36.3 | % | |
| Energy | | | 32.1 | % | |
| Real Estate | | | 14.8 | % | |
| Transportation | | | 8.3 | % | |
| Capital Goods | | | 4.7 | % | |
| Telecommunication Services | | | 2.9 | % | |
| Others | | | 0.5 | % | |
| Media & Entertainment | | | 0.4 | % | |
Dow Jones Brookfield Global Infrastructure Composite Index – Country
| | | % of Index | |
| United States | | | 51.1 | % | |
| Canada | | | 17.1 | % | |
| United Kingdom | | | 6.5 | % | |
| Spain | | | 5.6 | % | |
| France | | | 4.8 | % | |
| Australia | | | 3.5 | % | |
| Italy | | | 3.4 | % | |
| Others | | | 3.1 | % | |
| China | | | 2.1 | % | |
| Hong Kong | | | 1.8 | % | |
| Japan | | | 1.0 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
VIII :: TOLZ DJ BROOKFIELD GLOBAL INFRASTRUCTURE ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Equities for Rising Rates ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Nasdaq U.S. Large Cap Equities for Rising Rates Index (the "Index"). The goal of the Index is to provide relative outperformance, as compared to traditional large-cap indexes, during periods of rising U.S. Treasury rates. For the year ended May 31, 2022, the Fund had a total return of 10.65%1. For the same period, the Index had a total return of 11.11%2 and a volatility of 23.80%. For the period, the Fund had an average daily volume of 13,329 shares.
The Fund invests in securities that the Advisor believes, in combination, should track the performance of the Index. The goal of the Index is to provide relative outperformance, as compared to traditional large-cap indexes, during periods of rising U.S. Treasury rates. The Index is constructed and maintained by Nasdaq Inc. (the "Index Provider). The component securities of the Index are selected by the Index Provider from a universe of the 500 largest companies (based on market capitalization) listed on U.S. stock exchanges. The Index consists of 50 companies whose stock prices historically have tended to outperform the Universe during periods of rising interest rates.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Equities for Rising Rates ETF from July 24, 2017 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Since Inception (7/24/17) | |
ProShares Equities for Rising
Rates ETF | | | 10.65 | % | | | 8.69 | % | |
Nasdaq U.S. Large Cap Equities for
Rising Rates Index | | | 11.11 | % | | | 9.13 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares Equities for Rising
Rates ETF | | | 0.35 | % | | | 0.35 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Valero Energy Corp. | | | 3.4 | % | |
| Marathon Petroleum Corp. | | | 3.2 | % | |
| Marathon Oil Corp. | | | 3.1 | % | |
| Phillips 66 | | | 3.1 | % | |
| Devon Energy Corp. | | | 3.1 | % | |
Nasdaq U.S. Large Cap Equities for Rising Rates Index – Composition
| | | % of Index | |
| Energy | | | 29.5 | % | |
| Financials | | | 26.6 | % | |
| Basic Materials | | | 20.4 | % | |
| Industrials | | | 14.2 | % | |
| Consumer Discretionary | | | 9.3 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: EQUITIES FOR RISING RATES ETF EQRR :: IX
ProShares Global Listed Private Equity ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the LPX Direct Listed Private Equity Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of –12.80%1. For the same period, the Index had a total return of –12.42%2 and a volatility of 18.18%. For the period, the Fund had an average daily volume of 4,822 shares.
The Fund invests in financial instruments that the Advisor believes, in combination, should track the performance of the Index. The Index, published by LPX AG ("LPX"), consists of up to 30 qualifying listed private equity companies. A listed private equity company is an eligible candidate for the Index if its direct private equity investments, as well as cash and cash equivalent positions and post-Initial Public Offering listed investments, represent more than 80% of the total assets of the company.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Global Listed Private Equity ETF from February 26, 2013 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Since Inception (2/26/13) | |
ProShares Global Listed
Private Equity ETF | | | -12.80 | % | | | 3.23 | % | | | 6.21 | % | |
LPX Direct Listed Private
Equity Index | | | -12.42 | % | | | 3.62 | % | | | 6.66 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares Global Listed Private
Equity ETF | | | 3.47 | % | | | 2.67 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 87 | % | |
| Closed End Funds | | | 12 | % | |
| Total Exposure | | | 99 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| 3i Group plc | | | 10.1 | % | |
| Ares Capital Corp. | | | 9.9 | % | |
| FS KKR Capital Corp. | | | 9.0 | % | |
| Kinnevik AB, Class B | | | 7.6 | % | |
| Onex Corp. | | | 6.7 | % | |
LPX Direct Listed Private Equity
Index – Country
| | | % of Index | |
| United States | | | 47.5 | % | |
| United Kingdom | | | 20.6 | % | |
| Sweden | | | 9.9 | % | |
| France | | | 8.9 | % | |
| Canada | | | 6.8 | % | |
| Switzerland | | | 3.9 | % | |
| Germany | | | 1.3 | % | |
| Belgium | | | 1.1 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
X :: PEX GLOBAL LISTED PRIVATE EQUITY ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Hedge Replication ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Merrill Lynch Factor Model® — Exchange Series (the "Benchmark"). For the year ended May 31, 2022, the Fund had a total return of –8.10%1. For the same period, the Benchmark had a total return of –6.88%2 and a volatility of 7.59%. For the period, the Fund had an average daily volume of 5,663 shares.
The Fund invests in financial instruments that the Advisor believes, in combination, should track the performance of the Benchmark. The Benchmark, sponsored by Merrill Lynch International, seeks to provide the risk and return characteristics of the hedge fund asset class by targeting a high correlation to the HFRI Fund Weighted Composite Index (the "HFRI"). The HFRI is designed to reflect hedge fund industry performance through an equally weighted composite of over 2000 constituent funds. In seeking to maintain a high correlation with the HFRI, the Benchmark utilizes a synthetic model to establish, each month, weighted long or short (or, in certain cases, long or flat) positions in six underlying factors ("Factors"). The Factors that comprise the Benchmark are (1) the S&P 500 Total Return Index, (2) the MSCI EAFE US Dollar Net Total Return Index, (3) the MSCI Emerging Markets US Dollar Net Total Return Index, (4) the Russell 2000 Total Return Index, (5) three-month U.S. Treasury Bills, and (6) the ProShares UltraShort Euro ETF.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts as a substitute for investing directly in or taking short positions in the Factors of the Benchmark. These derivatives generally tracked the performance of the underlying benchmark and the Fund was generally positively affected from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Hedge Replication ETF from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Hedge Replication ETF | | | -8.10 | % | | | 2.06 | % | | | 2.51 | % | |
Merrill Lynch Factor Model —
Exchange Series Benchmark | | | -6.88 | % | | | 3.12 | % | | | 3.55 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Hedge Replication ETF | | | 1.88 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 20 | % | |
| Swap Agreements (Long) | | | 14 | % | |
| Long Euro Futures Contracts | | | 17 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Ovintiv, Inc. | | | 0.1 | % | |
| Antero Resources Corp. | | | 0.1 | % | |
| Chesapeake Energy Corp. | | | 0.1 | % | |
| Southwestern Energy Co. | | | 0.1 | % | |
| Range Resources Corp. | | | 0.1 | % | |
Merrill Lynch Factor Model – Exchange Series – Composition
| | | % of Benchmark | |
Three-month U.S.
Treasury Bills | | | 74.0 | % | |
Russell 2000® Total
Return Index | | | 21.2 | % | |
MSCI Emerging Markets
Free USD Net Total Return | | | 6.6 | % | |
MSCI EAFE USD Net Total
Return Index | | | 5.0 | % | |
| S&P 500® Total Return Index | | | 1.7 | % | |
Proshares UltraShort
Euro ETF | | | (8.5 | %) | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Benchmark. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Benchmark calculation. It is not possible to invest directly in the Benchmark.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: HEDGE REPLICATION ETF HDG :: XI
ProShares High Yield-Interest Rate Hedged (the "Fund") seeks investment results, before fees and expenses, that track the performance of the FTSE High Yield (Treasury Rate-Hedged) Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of 1.56%1. For the same period, the Index had a total return of 1.672 and a volatility of 6.08%. For the period, the Fund had an average daily volume of 20,312 shares.
The Fund invests in a combination of financial instruments that the Advisor believes should track the performance of the Index. The Index is comprised of (a) long positions in U.S. dollar denominated high yield corporate bonds ("high yield bonds") and (b) short positions in U.S. Treasury notes or bonds, in aggregate, of the approximate equivalent duration to the high yield bonds. Currently, the bonds eligible for inclusion in the Index include high yield bonds that are issued by companies domiciled in the U.S. and Canada, and that: are fixed rate (including callable bonds); have a maximum rating of Ba1/BB+ by both Moody's Investors Service, Inc and Standard and Poor's Financial Services, LLC; and are subject to minimum issue outstanding, minimum time-to-maturity and maximum-time from issuance criteria. The Index is constructed and maintained by FTSE International Limited.
During the year ended May 31, 2022, the Fund invested in futures contracts as a substitute for taking short positions in Treasury Securities. These derivatives generally tracked the performance of their underlying index.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares High Yield-Interest Rate Hedged from May 21, 2013 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Since Inception (5/21/13) | |
ProShares High
Yield-Interest Rate
Hedged | | | 1.56 | % | | | 3.09 | % | | | 2.39 | % | |
Citi High Yield
(Treasury Rate-Hedged)
Index | | | 1.67 | % | | | 3.59 | % | | | 3.16 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares High Yield-Interest
Rate Hedged | | | 0.50 | % | | | 0.50 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| High Yield Bonds | | | 96 | % | |
U.S. Treasury Notes
Futures Contracts | | | (95 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
| | | % of Net Assets | |
BlackRock Liquidity
FedFund, Institutional
Class, 0.72%, due | | | 2.2 | % | |
DISH DBS Corp.,
5.25%, due 12/01/26 | | | 1.3 | % | |
DT Midstream, Inc.,
4.38%, due 06/15/31 | | | 1.3 | % | |
American Airlines, Inc.,
5.50%, due 04/20/26 | | | 1.2 | % | |
DaVita, Inc.,
4.63%, due 06/01/30 | | | 1.1 | % | |
FTSE High Yield (Treasury Rate-Hedged)
Index – Composition
| | | % of High Yield Bonds | |
| Industrials | | | 82.7 | % | |
| Utilities | | | 9.7 | % | |
| Financials | | | 7.6 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XII :: HYHG HIGH YIELD—INTEREST RATE HEDGED :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Inflation Expectations ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the FTSE 30-Year TIPS (Treasury Rate-Hedged) Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of 12.65%1. For the same period, the Index had a total return of 13.56%2 and a volatility of 16.78%. For the period, the Fund had an average daily volume of 23,103 shares.
The Fund invests in financial instruments that the Advisor believes, in combination, should track the performance of the Index. The Index tracks the performance of (i) long positions in the most recently issued 30-year Treasury Inflation-Protected Securities ("TIPS") and (ii) duration-adjusted short positions in U.S. Treasury bonds of, in aggregate, approximate equivalent duration dollars to the TIPS. The Index serves a third position, which is a cash equivalent security that represents the repo rate earned on the short position. The Index is designed to measure the performance of the Break Even Rate of Inflation (BEI). The Index is constructed and maintained by FTSE International Limited.
During the year ended May 31, 2022, the Fund invested in swap agreements as a substitute for investing directly in or taking short positions in the fixed income securities underlying the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's Advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Inflation Expectations ETF from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through April 17, 2016 reflects the performance of the Credit Suisse 30-Year Inflation Breakeven Index. Index performance beginning on April 18, 2016 reflects the performance of the FTSE 30-Year TIPS (Treasury Rate-Hedged) Index.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Inflation Expectations ETF | | | 12.65 | % | | | 5.69 | % | | | 0.23 | % | |
Citi 30-Year TIPS (Treasury
Rate-Hedged) Index | | | 13.56 | % | | | 5.11 | % | | | 0.44 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Inflation Expectations ETF | | | 1.70 | % | | | 0.30 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements (Long) | | | 100 | % | |
| Swap Agreements (Long exposure to inverse index) | | | 161 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE 30-Year TIPS (Treasury Rate-Hedged)
Index – Composition
| | | % of Index | |
30-Year Treasury Inflation-Protected
Securities (TIPS) Bond | | | 100 | % | |
| 30-Year U.S. Treasury Bond | | | (161.4 | %) | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: INFLATION EXPECTATIONS ETF RINF :: XIII
ProShares Investment Grade-Interest Rate Hedged (the "Fund") seeks investment results, before fees and expenses, that track the performance of the FTSE Corporate Investment Grade (Treasury Rate-Hedged) Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of –4.21%1. For the same period, the Index had a total return of –3.61%2 and a volatility of 6.80%. For the period, the Fund had an average daily volume of 113,475 shares.
The Fund invests in a combination of financial instruments that the Advisor believes should track the performance of the Index. The Index is comprised of (a) long positions in USD-denominated investment grade corporate bonds issued by both U.S. and foreign domiciled companies; and (b) short positions in U.S. Treasury notes or bonds, in aggregate, of the approximate equivalent duration to the investment grade bonds. Currently, the bonds eligible for inclusion in the Index include all investment grade bonds that are issued by U.S. and internationally domiciled companies that: are fixed rate; have a minimum rating of Baa3/BBB- by both Moody's Investors Service, Inc. and Standard and Poor's Financial Services, LLC; have a minimum face amount outstanding of $1 billion; and have at least five and a half (5.5) years until maturity. The Index is constructed and maintained by FTSE International Limited.
During the year ended May 31, 2022, the Fund invested in futures contracts as a substitute for taking short positions in Treasury Securities. These derivatives generally tracked the performance of their underlying index.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Investment Grade-Interest Rate Hedged from November 5, 2013 to May 31, 2021, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Since Inception (11/5/13) | |
ProShares Investment
Grade-Interest Rate
Hedged | | | -4.21 | % | | | 2.00 | % | | | 1.96 | % | |
FTSE Corporate
Investment Grade
(Treasury Rate-Hedged)
Index | | | -3.61 | % | | | 2.18 | % | | | 2.24 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares Investment
Grade-Interest Rate Hedged | | | 0.30 | % | | | 0.30 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Corporate Bonds | | | 95 | % | |
U.S. Treasury Notes/Bonds
Futures Contracts | | | (97 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
| | | % of Net Assets | |
Goldman Sachs Group, Inc.
(The), 6.75%, due 10/01/37 | | | 1.9 | % | |
GE Capital International
Funding Co. Unlimited Co.,
4.42%, due 11/15/35 | | | 1.8 | % | |
HSBC Holdings plc,
4.95%, due 03/31/30 | | | 1.3 | % | |
Pfizer, Inc.,
7.20%, due 03/15/39 | | | 1.3 | % | |
International Business
Machines Corp.,
3.50%, due 05/15/29 | | | 1.2 | % | |
FTSE Corporate Investment Grade (Treasury Rate-Hedged)
Index – Composition
| | | % of High Yield Bond | |
| Industrials | | | 48.0 | % | |
| Financials | | | 41.1 | % | |
| Utilities | | | 10.9 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XIV :: IGHG INVESTMENT GRADE—INTEREST RATE HEDGED :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares K-1 Free Crude Oil Strategy ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Bloomberg Commodity Balanced WTI Crude Oil IndexSM (the "Index"). For the year ended May 31, 2022, the Fund had a total return of 81.99%1. For the same period, the Index had a total return of 84.45%2 and a volatility of 37.05%. For the period, the Fund had an average daily volume of 48,995 shares.
The Fund generally will not invest directly in WTI crude oil futures. The Fund expects to gain exposure to these investments by investing a portion of its assets in the ProShares Cayman Crude Oil Strategy Portfolio, a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the "Subsidiary"). The Subsidiary is advised by the Fund's Advisor and invests directly in WTI crude oil futures. Unlike the Fund, the Subsidiary is not an investment company registered under the Investment Company Act of 1940. The Fund's investment in the Subsidiary is intended to provide the Fund with exposure to commodity markets in accordance with applicable rules and regulations. The Fund will generally limit investments in the Subsidiary to 25% but it may exceed that amount if the Advisor believes doing so is in the best interest of the Fund, such as to help achieve the Fund's investment objective or increase the tax efficiency of the Fund.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares K-1 Free Crude Oil Strategy ETF from September 26, 2016 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through May 17, 2021 reflects the performance of the West Texas Intermediate crude oil futures market. Index performance beginning on May 18, 2021 reflects the performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Since Inception (9/26/16) | |
ProShares K-1 Free
Crude Oil Strategy ETF | | | 81.99 | % | | | 4.16 | % | | | 2.66 | % | |
Bloomberg Commodity
Balanced WTI Crude Oil
Index | | | 84.45 | % | | | 20.98 | % | | | 17.71 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares K-1 Free Crude Oil
Strategy ETF | | | 0.67 | % | | | 0.67 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Commodity Futures Contracts (Long) | | | 97 | % | |
| Total Exposure | | | 97 | % | |
Bloomberg Commodity Balanced WTI Crude Oil
Index – Composition
| | | % of Index | |
| WTI Crude Oil | | | 100 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The total return and any graph or table reflect the returns and interest earned on hypothetical fully collateralized contract positions on the commodities included in the Benchmark (WTI). The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Benchmark calculation. It is not possible to invest directly in the Benchmark.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: K-1 Free Crude Oil Strategy ETF OILK :: XV
ProShares Large Cap Core Plus (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Credit Suisse 130/30 Large Cap Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of 3.79%1. For the same period, the Index had a total return of 4.50%2 and a volatility of 17.78%. For the period, the Fund had an average daily volume of 18,660 shares.
The Fund invests in financial instruments that the Advisor believes, in combination, should track the performance of the Index. The Index is designed to replicate an investment strategy that establishes either long or short positions in the stocks of 500 leading large-cap U.S. companies by applying a rules-based ranking and weighting methodology. The Index intends to provide a representation of a quantitatively constructed 130/30 U.S. large cap equity strategy. This results in the Index having total long exposure of 130% and total short exposure of 30% at each monthly reconstitution date.
During the year ended May 31, 2022, the Fund invested in swap agreements as a substitute for investing directly in or taking short positions in the securities of the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Large Cap Core Plus from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Large Cap Core Plus | | | 3.79 | % | | | 12.32 | % | | | 14.39 | % | |
| Credit Suisse 130/30 Large Cap Index | | | 4.50 | % | | | 13.05 | % | | | 15.11 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Large Cap Core Plus | | | 0.45 | % | | | 0.45 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 94 | % | |
| Swap Agreements (Long) | | | 36 | % | |
| Swap Agreements (Short) | | | (30 | %) | |
| Net Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Apple, Inc. | | | 4.7 | % | |
| Microsoft Corp. | | | 4.0 | % | |
| Amazon.com, Inc. | | | 2.0 | % | |
| Tesla, Inc. | | | 1.2 | % | |
| Alphabet, Inc., Class A | | | 1.1 | % | |
Credit Suisse 130/30 Large Cap
Index – Composition
| | | % of Index | |
| Information Technology | | | 25.3 | % | |
| Health Care | | | 15.2 | % | |
| Consumer Discretionary | | | 10.4 | % | |
| Financials | | | 10.0 | % | |
| Communication Services | | | 9.9 | % | |
| Industrials | | | 7.3 | % | |
| Real Estate | | | 7.0 | % | |
| Consumer Staples | | | 5.9 | % | |
| Energy | | | 5.5 | % | |
| Materials | | | 2.1 | % | |
| Utilities | | | 1.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XVI :: CSM LARGE CAP CORE PLUS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Long Online/Short Stores ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the ProShares Long Online/Short Stores Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of-52.75%1. For the same period, the Index had a total return of –52.30%2 and a volatility of 33.56%. For the period, the Fund had an average daily volume of 6,039 shares.
The Fund invests in financial instruments that the Advisor believes, in combination, should track the performance of the Index. The Index is constructed and maintained by SolactiveAG. The Index consists of long positions in the online retailers included in the ProShares Online Retail Index and short positions in the "bricks and mortar" retailers included in the Solactive-ProShares Bricks and Mortar Retail Store Index.
During the year ended May 31, 2022, the Fund invested in swap agreements as a substitute for investing directly in or taking short positions in the securities of the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Long Online/Short Stores ETF from November 14, 2017 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Since Inception (11/14/17) | |
ProShares Long Online/Short
Stores ETF | | | -52.75 | % | | | -1.27 | % | |
ProShares Long Online/Short
Stores Index | | | -52.30 | % | | | -0.83 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares Long Online/Short
Stores ETF | | | 0.65 | % | | | 0.65 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 88 | % | |
| Swap Agreements (Long) | | | 12 | % | |
| Swap Agreements (Short) | | | (50 | %) | |
| Total Exposure | | | 50 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Amazon.com, Inc. | | | 21.6 | % | |
Alibaba Group Holding Ltd.
(ADR) | | | 11.5 | % | |
| eBay, Inc. | | | 4.5 | % | |
| JD.com, Inc. (ADR) | | | 3.3 | % | |
| DoorDash, Inc., Class A | | | 2.6 | % | |
ProShares Long Online/Short Stores
Index – Composition
| | | % of Index | |
| Consumer Discretionary | | | 62.2 | % | |
| Health Care | | | 1.2 | % | |
| Consumer Staples | | | 0.2 | % | |
| Materials | | | (1.4 | %) | |
| Communication Services | | | (12.2 | %) | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: LONG ONLINE/SHORT STORES ETF CLIX :: XVII
ProShares Merger ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the S&P® Merger Arbitrage Index (the "Index"). For the year ended May 31, 2021, the Fund had a total return of –1.07%1. For the same period, the Index had a total return of 0.33%2 and a volatility of 3.62%. For the period, the Fund had an average daily volume of 9,617 shares.
The Fund invests in financial instruments that the Advisor believes, in combination, should track the performance of the Index. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index seeks to produce consistent, positive returns in virtually all market environments, although there are no assurances it will achieve this result. The Index, created by Standard & Poor's®, is comprised of a maximum of 80 companies, including up to 40 companies that are currently targets in merger deals, which are represented by long positions in the Index, and up to 40 companies that are acquirers for the same stock merger deals, which are represented by short positions in the Index. The Index includes a cash component, which earns the three-month U.S. Treasury Bill rate. The Index also includes a Treasury bill component which constitutes the remainder of the Index when net exposure from included Deals is less than 100%.
During the year ended May 31, 2022, the Fund invested in swap agreements and forward currency contracts as a substitute for investing directly in or taking short positions in the securities of the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's Advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Merger ETF from December 11, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Since Inception (12/11/12) | |
| ProShares Merger ETF | | | -1.07 | % | | | 3.09 | % | | | 0.84 | % | |
S&P Merger Arbitrage
Index | | | 0.33 | % | | | 4.01 | % | | | 1.89 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Merger ETF | | | 1.68 | % | | | 0.75 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 85 | % | |
| Swap Agreements (Long) | | | 21 | % | |
| Swap Agreements (Short) | | | (7 | %) | |
| Forward Currency Contracts | | | (8 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| South Jersey Industries, Inc. | | | 2.6 | % | |
| Cerner Corp. | | | 2.6 | % | |
| Healthcare Realty Trust, Inc. | | | 2.5 | % | |
| Datto Holding Corp. | | | 2.5 | % | |
| Sanderson Farms, Inc. | | | 2.5 | % | |
S&P Merger Arbitrage
Index – Composition
| | | % of Index | |
| Information Technology | | | 36.1 | % | |
| Industrials | | | 20.1 | % | |
| Health Care | | | 12.5 | % | |
| communication Services | | | 10.5 | % | |
| Real Estate | | | 5.6 | % | |
| Financials | | | 5.5 | % | |
| Utilities | | | 3.3 | % | |
| Consumer Staples | | | 3.2 | % | |
| Energy | | | 3.2 | % | |
Regional Exposure
| | | % of Index | |
| United States | | | 86.7 | % | |
| United Kingdom | | | 4.5 | % | |
| Canada | | | 3.1 | % | |
| Australia | | | 2.9 | % | |
| France | | | 2.8 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XVIII :: MRGR MERGER ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Metaverse ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Solactive Metaverse Theme Index (the "Index"). From inception on March 15, 2022 to May 31, 2022, the Fund had a total return of –11.12%1. For the same period, the Index had a total return of –10.92%2 and a volatility of 36.17%. For the period, the Fund had an average daily volume of 8,420 shares.
The Fund invests in securities that the Advisor believes, in combination, should track the performance of the Index. The Index is constructed and maintained by Solactive AG. The Index consists of companies that provide or use innovative technologies to offer products and services around the Metaverse. "Metaverse" is a term used to refer to a "digital world" or a future iteration of the internet. The Metaverse is characterized by virtual worlds that create a simulated environment — as well as augmented reality where the real-world environment is enhanced by computer generated sensory information. The Metaverse is expected to allow people to engage in new ways, such as through internet-based interactions, on-line gaming, and transactions. The Metaverse is enabled by several connected technologies such as virtual and augmented reality, digital environments, artificial intelligence and advanced computing. The Index is reconstituted and rebalanced semiannually in June and December. Security weights are allowed to fluctuate between rebalance dates.
As the ProShares Metaverse Theme ETF does not have more than six months of operating results, a line graph of a $10,000 investment and total return table are not presented
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Metaverse ETF | | | 0.58 | % | | | 0.58 | % | |
**Reflects the expense ratio as reported in the Prospectus dated March 14, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
Himax Technologies,
Inc. (ADR) | | | 4.9 | % | |
| Vuzix Corp. | | | 4.8 | % | |
| PTC, Inc. | | | 4.7 | % | |
| Microsoft Corp. | | | 4.4 | % | |
| Alphabet, Inc., Class A | | | 4.4 | % | |
Solactive Metaverse Theme
Index – Composition
| Strategy | | % of Index | |
| Information Technology | | | 53.9 | % | |
| Communication Services | | | 29.8 | % | |
| Consumer Discretionary | | | 11.3 | % | |
| Health Care | | | 2.8 | % | |
| Real Estate | | | 2.2 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: METAVERSE ETF VERS :: XIX
ProShares MSCI EAFE Dividend Growers ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the MSCI EAFE Dividend Masters Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of –16.64%1. For the same period, the Index had a total return of –16.11%2 and a volatility of 13.29%. For the period, the Fund had an average daily volume of 8,617 shares.
The Fund invests in financial instruments that the Advisor believes, in combination, should track the performance of the Index. The Index, constructed and maintained by MSCI, targets companies that are currently members of the MSCI EAFE Index and have increased dividend payments each year for at least 10 years. The Index contains a minimum of 40 stocks, which are equally weighted. Generally, no single sector is allowed to comprise more than 30% of the Index's weight, and no single country is allowed to comprise more than 50% of the Index's weight.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares MSCI EAFE Dividend Growers ETF from August 19, 2014 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Since Inception (8/19/14) | |
ProShares MSCI EAFE
Dividend Growers ETF | | | -16.64 | % | | | 2.38 | % | | | 1.25 | % | |
MSCI EAFE Dividend
Masters Index | | | -16.11 | % | | | 2.86 | % | | | 1.75 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares MSCI EAFE Dividend
Growers ETF | | | 0.50 | % | | | 0.50 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 99 | % | |
| Total Exposure | | | 99 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
Nihon M&A Center
Holdings, Inc. | | | 1.7 | % | |
| Tokio Marine Holdings, Inc. | | | 1.7 | % | |
| Ashtead Group plc | | | 1.7 | % | |
| Halma plc | | | 1.6 | % | |
| Otsuka Corp. | | | 1.6 | % | |
MSCI EAFE Dividend Masters
Index – Composition
| | | % of Index | |
| Industrials | | | 18.7 | % | |
| Health Care | | | 17.1 | % | |
| Information Technology | | | 14.9 | % | |
| Consumer Staples | | | 11.6 | % | |
| Utilities | | | 9.8 | % | |
| Consumer Discretionary | | | 7.9 | % | |
| Financials | | | 7.8 | % | |
| Materials | | | 5.7 | % | |
| Real Estate | | | 3.4 | % | |
| Energy | | | 1.6 | % | |
| Communication Services | | | 1.5 | % | |
MSCI EAFE Dividend Masters
Index – Country
| | | % of Index | |
| Japan | | | 30.0 | % | |
| United kingdom | | | 18.1 | % | |
| Switzerland | | | 10.5 | % | |
| Germany | | | 9.7 | % | |
| Hong Kong | | | 7.4 | % | |
| Australia | | | 6.3 | % | |
| Others | | | 6.1 | % | |
| Denmark | | | 4.5 | % | |
| Netherlands | | | 3.1 | % | |
| Belgium | | | 2.5 | % | |
| Spain | | | 1.8 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XX :: EFAD MSCI EAFE DIVIDEND GROWERS ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares MSCI Emerging Markets Dividend Growers ETF (the "Fund) seeks investment results, before fees and expenses, that track the performance of the MSCI Emerging Markets Dividend Masters Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of –16.82%1. For the same period, the Index had a total return of –16.49%2 and a volatility of 17.62%. For the period, the Fund had an average daily volume of 1,424 shares.
The Fund invests in financial instruments that the Advisor believes, in combination, should track the performance of the Index. The Index, constructed and maintained by MSCI, targets companies that are currently members of the MSCI Emerging Markets Index and have increased dividend payments each year for at least 7 years. The Index contains a minimum of 40 stocks, which are equally weighted. Generally, no single sector is allowed to comprise more than 30% of the Index's weight, and no single country is allowed to comprise more than 50% of the Index's weight.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares MSCI Emerging Markets Dividend Growers ETF from January 25, 2016 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Since Inception (1/25/16) | |
ProShares MSCI
Emerging Markets
Dividend Growers ETF | | | -16.82 | %** | | | 1.71 | % | | | 6.17 | % | |
MSCI Emerging Markets
Dividend Masters Index | | | -16.49 | % | | | 2.88 | % | | | 7.32 | % | |
Expense Ratios***
| Fund | | Gross | | Net | |
ProShares MSCI Emerging Markets
Dividend Growers ETF | | | 0.61 | % | | | 0.61 | % | |
**The Fund's Average Annual Total Returns are based on net asset values calculated for shareholder transactions which are not reflective of adjustments required pursuant to Generally Accepted Accounting Principles (GAAP). Accordingly, differences may exist between this data and similar information reported in the financial statements.
***Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
Interconexion Electrica
SA ESP | | | 2.8 | % | |
| Grupo Bimbo SAB de CV | | | 2.3 | % | |
| Chailease Holding Co. Ltd. | | | 2.2 | % | |
Luxshare Precision Industry
Co. Ltd., Class A | | | 2.2 | % | |
| China Gas Holdings Ltd. | | | 2.2 | % | |
MSCI Emerging Markets Dividend Masters Index – Composition
| | | % of Index | |
| Health Care | | | 15.9 | % | |
| Consumer Staples | | | 14.2 | % | |
| Financials | | | 13.9 | % | |
| Utilities | | | 13.4 | % | |
| Materials | | | 9.4 | % | |
| Real Estate | | | 8.4 | % | |
| Communication Services | | | 8.4 | % | |
| Consumer Discretionary | | | 8.0 | % | |
| Industrials | | | 4.9 | % | |
| Information Technology | | | 3.5 | % | |
MSCI Emerging Markets Dividend Masters Index – Country
| | | % of Index | |
| China | | | 48.9 | % | |
| India | | | 19.5 | % | |
| Mexico | | | 7.5 | % | |
| Greece | | | 4.5 | % | |
| Korea | | | 4.3 | % | |
| Malaysia | | | 4.1 | % | |
| Taiwan | | | 4.1 | % | |
| Colombia | | | 2.5 | % | |
| Brazil | | | 2.4 | % | |
| Turkey | | | 2.2 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: MSCI EMERGING MARKETS DIVIDEND GROWERS ETF EMDV :: XXI
ProShares MSCI Europe Dividend Growers ETF (the "Fund) seeks investment results, before fees and expenses, that track the performance of the MSCI Europe Dividend Masters Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of –13.59%%1. For the same period, the Index had a total return of –13.15%2 and a volatility of 17.06%. For the period, the Fund had an average daily volume of 1,136 shares.
The Fund invests in financial instruments that the Advisor believes, in combination, should track the performance of the Index. The Index, constructed and maintained by MSCI, targets companies that are currently members of the MSCI Europe Index and have increased dividend payments each year for at least 10 years. The Index contains a minimum of 25 stocks, which are equally weighted. Generally, no single sector is allowed to comprise more than 30% of the Index's weight, and no single country is allowed to comprise more than 50% of the Index's weight.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares MSCI Europe Dividend Growers ETF from September 9, 2015 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Since Inception (9/9/15) | |
ProShares MSCI Europe
Dividend Growers ETF | | | -13.59 | % | | | 3.34 | % | | | 3.32 | % | |
MSCI Europe Dividend
Masters Index | | | -13.15 | % | | | 3.96 | % | | | 3.94 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares MSCI Europe Dividend
Growers ETF | | | 0.55 | % | | | 0.55 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 99 | % | |
| Total Exposure | | | 99 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Ashtead Group plc | | | 2.9 | % | |
| Halma plc | | | 2.8 | % | |
| ASML Holding NV | | | 2.8 | % | |
| AVEVA Group plc | | | 2.8 | % | |
Chocoladefabriken Lindt &
Spruengli AG, Class PC | | | 2.8 | % | |
MSCI Europe Dividend Masters
Index – Composition
| | | % of Index | |
| Health Care | | | 24.7 | % | |
| Industrials | | | 24.1 | % | |
| Information Technology | | | 12.3 | % | |
| Consumer Staples | | | 10.7 | % | |
| Materials | | | 10.1 | % | |
| Utilities | | | 8.9 | % | |
| Financials | | | 6.6 | % | |
| Communication Services | | | 2.6 | % | |
MSCI Europe Dividend Masters
Index – Country
| | | % of Index | |
| United Kingdom | | | 32.2 | % | |
| Switzerland | | | 18.6 | % | |
| Germany | | | 17.2 | % | |
| Denmark | | | 8.1 | % | |
| Netherlands | | | 5.5 | % | |
| Belgium | | | 4.4 | % | |
| Spain | | | 3.2 | % | |
| France | | | 2.9 | % | |
| Italy | | | 2.8 | % | |
| Norway | | | 2.6 | % | |
| Ireland | | | 2.5 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXII :: EUDV MSCI EUROPE DIVIDEND GROWERS ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares MSCI Transformational Changes ETF (the "Fund) seeks investment results, before fees and expenses, that track the performance of the MSCI Global Transformational Changes Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of –20.03%1. For the same period, the Index had a total return of –20.14%2 and a volatility of 20.01%. For the period, the Fund had an average daily volume of 3,004 shares.
The Fund invests in financial instruments that the Advisor believes, in combination, should track the performance of the Index. The Index, constructed and maintained by MSCI, selects companies which may benefit from transformational changes in how people work, take care of their health, and consume and connect — changes accelerated by COVID-19. The Index includes U.S., non-U.S. developed, and emerging market companies providing products or services associated with one or more of four Transformational Changes, as determined by the MSCI, Inc.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares MSCI Transformational Changes ETF from October 14, 2020 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Since Inception (10/14/20) | |
ProShares MSCI Transformational
Changes ETF | | | -20.03 | % | | | -7.85 | % | |
MSCI Global Transformational
Changes Index | | | -20.14 | % | | | -7.61 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares MSCI Transformational
Changes ETF | | | 0.45 | % | | | 0.45 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Alibaba Group Holding Ltd. | | | 2.3 | % | |
| Amazon.com, Inc. | | | 2.2 | % | |
| NVIDIA Corp. | | | 2.1 | % | |
| Tencent Holdings Ltd. | | | 2.1 | % | |
| Alphabet, Inc., Class A | | | 2.1 | % | |
MSCI Global Transformational Changes
Index – Composition
| | | % of Index | |
| Health Care | | | 29.1 | % | |
| Information Technology | | | 26.4 | % | |
| Materials | | | 12.6 | % | |
| Consumer Discretionary | | | 12.1 | % | |
| Communication Services | | | 9.9 | % | |
| Consumer Staples | | | 5.5 | % | |
| Industrials | | | 4.1 | % | |
| Real Estate | | | 0.3 | % | |
MSCI Global Transformational Changes
Index – Country
| | | % of Index | |
| United States | | | 80.9 | % | |
| China | | | 7.4 | % | |
| Switzerland | | | 4.5 | % | |
| Germany | | | 2.6 | % | |
| Ireland | | | 2.1 | % | |
| Others | | | 0.6 | % | |
| Netherlands | | | 0.5 | % | |
| Sweden | | | 0.4 | % | |
| Singapore | | | 0.4 | % | |
| Taiwan | | | 0.3 | % | |
| Brazil | | | 0.3 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: MSCI TRANSFORMATIONAL CHANGES ETF ANEW :: XXIII
ProShares Nanotechnology ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Solactive Nanotechnology Index (the "Index"). From inception on October 26, 2021 to May 31, 2022, the Fund had a total return of –15.05%1. For the same period, the Index had a total return of –14.54%2 and a volatility of 28.45%. For the period, the Fund had an average daily volume of 2,175 shares.
The Fund invests in securities that the Advisor believes, in combination, should track the performance of the Index. The Index is constructed and maintained by Solactive AG. The Index consists of companies that are listed on a stock exchange and meet certain market capitalization and liquidity requirements. The Index consists of companies focused on making or applying nanotechnology innovations that allow for improved products, processes, or techniques through control or measurement of material at nanoscale. The Index includes companies exposed to nanotechnology through involvement in one or more of the following product or service areas; (i) Production of nanotechnology, which can be defined as the use of matter on an atomic and molecular level; (ii)Active in the fields of nanomedicine, nanomaterials, nanoelectronics, nanometrology or molecular nanotechnology; and (iii)Technologies that promote advances in or research related to nanotechnologies.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Nanotechnology ETF from October 26, 2021 to May 31, 2022, assuming the reinvestment of distributions.
Cumulative Total Return as of 05/31/22
| | | Since Inception (10/26/21) | |
| ProShares Nanotechnology ETF | | | -15.05 | % | |
| Solactive Nanotechnology Index | | | -14.54 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Nanotechnology ETF | | | 0.58 | % | | | 0.58 | % | |
**Reflects the expense ratio as reported in the Prospectus dated September 27, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Novavax, Inc. | | | 5.1 | % | |
Advanced Micro Devices,
Inc. | | | 4.9 | % | |
| Cabot Corp. | | | 4.7 | % | |
| KLA Corp. | | | 4.7 | % | |
| Onto Innovation, Inc. | | | 4.7 | % | |
Solactive Nanotechnology
Index – Composition
| | | % of Index | |
| Information Technology | | | 69.5 | % | |
| Health Care | | | 18.8 | % | |
| Materials | | | 9.1 | % | |
| Industrials | | | 2.6 | % | |
Solactive Nanotechnology
Index – Country
| | | % of Index | |
| United States | | | 72.1 | % | |
| Japan | | | 11.6 | % | |
| Netherlands | | | 4.2 | % | |
| Taiwan | | | 4.1 | % | |
| South Korea | | | 3.0 | % | |
| Singapore | | | 2.6 | % | |
| Israel | | | 1.6 | % | |
| Germany | | | 0.8 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXIV :: TINY NANOTECHNOLOGY ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Nasdaq-100 Dorsey Wright Momentum ETF (the "Fund) seeks investment results, before fees and expenses, that track the performance of the Nasdaq-100 Dorsey Wright Momentum Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of –18.60%1. For the same period, the Index had a total return of –18.07%2 and a volatility of 27.48%. For the period, the Fund had an average daily volume of 7,230 shares.
The Fund invests in financial instruments that the Advisor believes, in combination, should track the performance of the Index. The Index, which is constructed and maintained by Dorsey, Wright & Associates, LLC ("Dorsey Wright"), consists of 21 securities from the Nasdaq- 100 Index with the highest price momentum as determined by Dorsey Wright. The Nasdaq-100 includes 100 of the largest domestic and international non-financial companies listed on The Nasdaq Stock Market based on market capitalization. Dorsey Wright ranks each stock in the Nasdaq-100 based on relative performance using its proprietary "Relative Strength" momentum measure. The 21 stocks ranked the highest at each reconstitution (January, April, July and October) are included in the Index and assigned equal weights. The weightings of each security in the Index may fluctuate between reconstitution dates.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Nasdaq-100 Dorsey Wright Momentum ETF from May 18, 2021 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 05/31/22
| | | One Year | | Since Inception (5/18/21) | |
ProShares Nasdaq-100 Dorsey
Wright Momentum ETF | | | -18.60 | % | | | -13.91 | % | |
Nasdaq-100 Dorsey Wright
Momentum Index | | | -18.07 | % | | | -13.34 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares Nasdaq-100 Dorsey
Wright Momentum ETF | | | 0.58 | % | | | 0.58 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
Marriott International, Inc.,
Class A | | | 5.8 | % | |
| Synopsys, Inc. | | | 5.5 | % | |
American Electric Power
Co., Inc. | | | 5.4 | % | |
| Broadcom, Inc. | | | 5.4 | % | |
| Dollar Tree, Inc. | | | 5.4 | % | |
Nasdaq-100 Dorsey Wright Momentum Index – Composition
| | | % of Index | |
| Information Technology | | | 38.1 | % | |
| Consumer Discretionary | | | 23.8 | % | |
| Health Care | | | 13.4 | % | |
| Utilities | | | 10.9 | % | |
| Industrials | | | 5.0 | % | |
| Communication Services | | | 4.6 | % | |
| Consumer Staples | | | 4.2 | % | |
Nasdaq-100 Dorsey Wright Momentum Index – Country
| United States | | | 91.1 | % | |
| United Kingdom | | | 5.1 | % | |
| Argentina | | | 3.8 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: Nasdaq-100 Dorsey Wright Momentum ETF QQQA :: XXV
ProShares On-Demand ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the FactSet On≠-Demand Index (the "Index"). From inception on October 26, 2021 to May 31, 2022, the Fund had a total return of –45.66%1. For the same period, the Index had a total return of –45.52%2 and a volatility of 33.55%. For the period, the Fund had an average daily volume of 1,371 shares.
The Fund invests in securities that the Advisor believes, in combination, should track the performance of the Index. The Index is owned and administered by FactSet Research Systems, Inc. (the "Index Provider"). The Index consists of companies which provide on-demand platforms and services to consumers. The Index includes companies whose principal business is the provision of platforms and services for on-demand access to lifestyle needs including digital media, egaming, fitness, food delivery, ridesharing, or virtual reality experiences, as determined by the Index methodology. In order to be included in the Index, a company must be included in at least one of 15 FactSet® Revere Business Industry Classification System Sub-Industries ("RBICS Sub-Industries") that the Index Provider has identified as on-demand related. The 15 eligible RBICS Sub-Industries are Console Games Software, Fitness and Exercise Equipment, Food Delivery Services, General Entertainment Content Providers and Sites, Handheld and Smart Phone Games Software, Home and Office Virtual Reality Software, Media Download and Streaming Digital Content Sites, Mobile Platform Applications Software, Multi-Type Passenger Transportation (e.g., ride-sharing platforms), Online Game Websites and Software, Other Games Software, Other Media Equipment Manufacturing, Video Multimedia Semiconductors, Virtual Reality Design and Engineering Software and Virtual Reality Equipment.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares On-Demand ETF from October 26, 2021 to May 31, 2022, assuming the reinvestment of distributions.
Cumulative Total Return as of 05/31/22
| | | Since Inception (10/26/21) | |
| ProShares On-Demand ETF | | | -45.66 | % | |
| FactSet On-Demand Index | | | -45.52 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares On-Demand ETF | | | 0.58 | % | | | 0.58 | % | |
**Reflects the expense ratio as reported in the Prospectus dated September 27, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Activision Blizzard, Inc. | | | 9.7 | % | |
Take-Two Interactive
Software, Inc. | | | 8.4 | % | |
| Electronic Arts, Inc. | | | 7.9 | % | |
| Nexon Co. Ltd. | | | 6.5 | % | |
| Meituan | | | 5.5 | % | |
FactSet On-Demand
Index – Composition
| | | % of Index | |
| Communication Services | | | 71.2 | % | |
| Consumer Discretionary | | | 19.5 | % | |
| Industrials | | | 7.6 | % | |
| Information Technology | | | 1.7 | % | |
FactSet On-Demand
Index – Country
| United States | | | 49.1 | % | |
| Japan | | | 13.4 | % | |
| China | | | 11.3 | % | |
| South Korea | | | 8.6 | % | |
| Luxembourg | | | 3.5 | % | |
| Sweden | | | 3.1 | % | |
| France | | | 3.0 | % | |
| Netherlands | | | 2.5 | % | |
| Germany | | | 2.4 | % | |
| Others | | | 1.6 | % | |
| Singapore | | | 1.5 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXVI :: OND On-Demand ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Online Retail ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the ProShares Online Retail Index (the "Index"). For the year ended May 31 2022, the Fund had a total return of –53.95%1. For the same period, the Index had a total return of –53.75%2 and a volatility of 40.78%. For the period, the Fund had an average daily volume of 82,873 shares.
The Fund invests in securities that the Advisor believes, in combination, should track the performance of the Index. The Index is constructed and maintained by Solactive AG. The Index is designed to measure the performance of publicly traded companies that principally sell online or through other non-store sales channels, such as through mobile or app purchases, rather than through "brick and mortar" store locations ("Online Retailers"). The Index may include U.S. and non-U.S. companies. To be included in the Index, an online retailer's securities must be listed on a U.S. stock exchange, must have a minimum market capitalization of $500 million and must meet certain liquidity requirements. Non-U.S. companies may not make up more than 25% of the Index. Companies are weighted in the Index using a modified market capitalization approach.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Online Retail ETF from July 13, 2018 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Since Inception (7/13/18) | |
| ProShares Online Retail ETF | | | -53.95 | % | | | -3.15 | % | |
| ProShares Online Retail Index | | | -53.75 | % | | | -2.64 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Online Retail ETF | | | 0.58 | % | | | 0.58 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/21
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Amazon.com, Inc. | | | 24.4 | % | |
Alibaba Group Holding Ltd.
(ADR) | | | 13.0 | % | |
| eBay, Inc. | | | 5.1 | % | |
| JD.com, Inc. (ADR) | | | 3.7 | % | |
| DoorDash, Inc., Class A | | | 3.0 | % | |
ProShares Online Retail
Index – Composition
| | | % of Index | |
| Consumer Discretionary | | | 96.1 | % | |
| Communication Services | | | 2.5 | % | |
| Health Care | | | 1.2 | % | |
| Consumer Staples | | | 0.2 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ONLINE RETAIL ETF ONLN :: XXVII
ProShares Pet Care ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the FactSet Pet Care Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of –26.74%1. For the same period, the Index had a total return of –26.44%2 and a volatility of 21.80%. For the period, the Fund had an average daily volume of 29,357 shares.
The Fund invests in securities that the Advisor believes, in combination, should track the performance of the Index. The Index consists of U.S. and international companies that potentially stand to benefit from interest in, and resources spent on, pet ownership. The Fund intends to hold each security in approximately the same proportion as its weighting in the Index. The Index consists primarily of companies whose principal business is pet-care related (i.e., they derive significant revenue from pet care-related products or services), as determined in accordance with the Index methodology. The Index is owned and administered by FactSet Research Systems, Inc.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Pet Care ETF from November 5, 2018 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Since Inception (11/5/18) | |
| ProShares Pet Care ETF | | | -26.74 | % | | | 10.62 | % | |
| FactSet Pet Care IndexTM | | | -26.44 | % | | | 11.23 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Pet Care ETF | | | 0.50 | % | | | 0.50 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/21
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| IDEXX Laboratories, Inc. | | | 10.2 | % | |
| Elanco Animal Health, Inc. | | | 10.0 | % | |
| Zoetis, Inc. | | | 9.8 | % | |
| Dechra Pharmaceuticals plc | | | 8.2 | % | |
| Freshpet, Inc. | | | 5.6 | % | |
FactSet Pet Care Index – Composition
| | | % of Index | |
| Health Care | | | 59.7 | % | |
| Consumer Staples | | | 19.3 | % | |
| Consumer Discretionary | | | 16.6 | % | |
| Financials | | | 4.4 | % | |
FactSet Pet Care Index – Country
| | | % of Index | |
| United States | | | 70.2 | % | |
| United Kingdom | | | 14.6 | % | |
| Switzerland | | | 4.2 | % | |
| Sweden | | | 3.4 | % | |
| France | | | 2.9 | % | |
| Canada | | | 1.6 | % | |
| Brazil | | | 1.4 | % | |
| Finland | | | 1.0 | % | |
| Japan | | | 0.7 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXVIII :: PAWZ PET CARE ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCEPROSHARES TRUST
ProShares Russell 2000 Dividend Growers ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Russell 2000® Dividend Growth Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of –4.80%1. For the same period, the Index had a total return of –4.41%2 and a volatility of 17.18%. For the period, the Fund had an average daily volume of 50,532 shares.
The Fund invests in financial instruments that the Advisor believes, in combination, should track the performance of the Index. The Index, constructed and maintained by FTSE International Limited, targets companies that are currently members of the Russell 2000 Index, have increased dividend payments each year for at least 10 consecutive years and meet certain market capitalization and liquidity requirements. The Index contains a minimum of 40 stocks, which are equally weighted. No single sector is allowed to comprise more than 30% of the Index's weight.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Russell 2000 Dividend Growers ETF from February 3, 2015 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Since Inception (2/3/15) | |
ProShares Russell 2000
Dividend Growers ETF | | | -4.80 | % | | | 5.42 | % | | | 8.36 | % | |
Russell 2000 Dividend
Growth Index | | | -4.41 | % | | | 5.90 | % | | | 8.84 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares Russell 2000 Dividend
Growers ETF | | | 0.40 | % | | | 0.40 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Griffon Corp. | | | 1.6 | % | |
Southwest Gas Holdings,
Inc. | | | 1.5 | % | |
| BancFirst Corp. | | | 1.4 | % | |
| Neenah, Inc. | | | 1.3 | % | |
| Insperity, Inc. | | | 1.3 | % | |
Russell 2000 Dividend Growth
Index – Composition
| | | % of Index | |
| Financials | | | 29.4 | % | |
| Industrials | | | 19.8 | % | |
| Utilities | | | 18.6 | % | |
| Materials | | | 11.8 | % | |
| Consumer Staples | | | 9.5 | % | |
| Health Care | | | 3.3 | % | |
| Real Estate | | | 3.2 | % | |
| Communication Services | | | 2.4 | % | |
| Consumer Discretionary | | | 1.0 | % | |
| Information Technology | | | 1.0 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: RUSSELL 2000 DIVIDEND GROWERS ETF SMDV :: XXIX
ProShares Russell U.S. Dividend Growers ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Russell 3000® Dividend Elite Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of –0.79%1. For the same period, the Index had a total return of –0.43%2 and a volatility of 14.46%. For the period, the Fund had an average daily volume of 1,666 shares.
The Fund invests in securities that the Advisor believes, in combination, should track the performance of the Index. The Index, constructed and maintained by FTSE International Limited, targets companies that are currently members of the Russell 3000 Index, which represents approximately 98% of the investable U.S. equity market, have increased dividend payments each year for at least 35 years and meet certain liquidity requirements. The Index contains a minimum of 40 stocks, which are equally weighted. No single sector is allowed to comprise more than 30% of the Index's weight.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Russell U.S. Dividend Growers ETF from November 5, 2019 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Since Inception (11/5/19) | |
ProShares Russell U.S. Dividend
Growers ETF | | | -0.79 | % | | | 9.05 | % | |
| Russell 3000® Dividend Elite Index | | | -0.43 | % | | | 9.56 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares Russell U.S. Dividend
Growers ETF | | | 0.35 | % | | | 0.35 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| RLI Corp. | | | 1.8 | % | |
| National Fuel Gas Co. | | | 1.8 | % | |
| Genuine Parts Co. | | | 1.7 | % | |
| Universal Corp. | | | 1.7 | % | |
| Consolidated Edison, Inc. | | | 1.7 | % | |
Russell 3000 Dividend Elite
Index – Composition
| | | % of Index | |
| Consumer Staples | | | 22.8 | % | |
| Industrials | | | 17.9 | % | |
| Utilities | | | 13.8 | % | |
| Materials | | | 13.2 | % | |
| Financials | | | 12.5 | % | |
| Consumer Discretionary | | | 7.6 | % | |
| Health Care | | | 6.1 | % | |
| Communication Services | | | 2.9 | % | |
| Information Technology | | | 1.7 | % | |
| Real Estate | | | 1.5 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXX :: TMDV RUSSELL U.S. DIVIDEND GROWERS ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCEPROSHARES TRUST
ProShares S&P 500® Bond ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the S&P 500®/MarketAxess® Investment Grade Corporate Bond Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of –10.65%1. For the same period, the Index had a total return of –10.23%2 and a volatility of 7.44%. For the period, the Fund had an average daily volume of 2,724 shares.
The Fund invests in financial instruments that the Advisor believes, in combination, should track the performance of the Index. The Fund seeks to invest substantially all of its assets in the bonds included in the Index. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index consists exclusively of investment grade bonds issued by companies in the S&P500, the most widely used U.S. equity benchmark.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares S&P 500® Bond ETF from May 1, 2018 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Since Inception (5/1/18) | |
| ProShares S&P 500® Bond ETF | | | -10.65 | % | | | 2.53 | % | |
S&P 500®/MarketAxess®
Investment Grade Corporate
Bond Index | | | -10.23 | % | | | 2.67 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares S&P 500® Bond ETF | | | 0.15 | % | | | 0.15 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/21
Market Exposure
| Investment Type | | % of Net Assets | |
| Corporate Bonds | | | 98 | % | |
| Total Exposure | | | 98 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
| | | % of Net Assets | |
Goldman Sachs Group, Inc.
(The), 3.85%, due 01/26/27 | | | 1.8 | % | |
General Motors Co.,
6.80%, due 10/01/27 | | | 1.4 | % | |
Johnson & Johnson,
2.95%, due 03/03/27 | | | 1.3 | % | |
Chevron Corp.,
2.24%, due 05/11/30 | | | 1.3 | % | |
Comcast Corp.,
3.15%, due 03/01/26 | | | 1.3 | % | |
S&P 500®/MarketAxess® Investment
Grade Corporate Bond
Index – Composition
| | | % of Index | |
| Industrials | | | 66.7 | % | |
| Financials | | | 22.1 | % | |
| Utilities | | | 11.1 | % | |
| Others | | | 0.1 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: S&P 500® BOND ETF SPXB :: XXXI
ProShares S&P 500® Dividend Aristocrats ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the S&P 500® Dividend Aristocrats® Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of 1.72%1. For the same period, the Index had a total return of 2.09%2 and a volatility of 14.88%. For the period, the Fund had an average daily volume of 550,787 shares.
The Fund invests in financial instruments that the Advisor believes, in combination, should track the performance of the Index. The Index, constructed and maintained by S&P Dow Jones Indices LLC, targets companies that are currently members of the S&P 500®, have increased dividend payments each year for at least 25 years, and meet certain market capitalization and liquidity requirements. The Index contains a minimum of 40 stocks, which are equally weighted, and no single sector is allowed to comprise more than 30% of the Index's weight.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares S&P 500 Aristocrats ETF from October 9, 2013 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Since Inception (10/9/13) | |
ProShares S&P 500®
Dividend Aristocrats ETF | | | 1.72 | % | | | 12.25 | % | | | 12.33 | % | |
S&P 500 Dividend
Aristocrats Index | | | 2.09 | % | | | 12.69 | % | | | 12.77 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares S&P 500® Dividend
Aristocrats ETF | | | 0.35 | % | | | 0.35 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Albemarle Corp. | | | 2.1 | % | |
| Amcor plc | | | 1.8 | % | |
| Exxon Mobil Corp. | | | 1.8 | % | |
| Sherwin-Williams Co. (The) | | | 1.8 | % | |
Expeditors International of
Washington, Inc. | | | 1.8 | % | |
S&P 500 Dividend Aristocrats
Index – Composition
| | | % of Index | |
| Consumer Staples | | | 21.2 | % | |
| Industrials | | | 18.8 | % | |
| Materials | | | 13.4 | % | |
| Financials | | | 10.8 | % | |
| Health Care | | | 10.7 | % | |
| Consumer Discretionary | | | 7.5 | % | |
| Utilities | | | 4.9 | % | |
| Information Technology | | | 4.8 | % | |
| Real Estate | | | 4.3 | % | |
| Energy | | | 3.6 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXXII :: NOBL S&P 500® DIVIDEND ARISTOCRATS ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCEPROSHARES TRUST
ProShares S&P 500® Ex-Energy ETF (the "Fund) seeks investment results, before fees and expenses, that track the performance of the S&P 500® Ex-Energy Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of –2.61%1. For the same period, the Index had a total return of –2.44%2 and a volatility of 18.40%. For the period, the Fund had an average daily volume of 755 shares.
The Fund invests in financial instruments that the Advisor believes, in combination, should track the performance of the Index. The Index seeks to provide exposure to the companies of the S&P 500® Index (the "S&P 500®") with the exception of those companies included in the Energy Sector. The S&P 500® is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability. The Index is constructed and maintained by S&P Dow Jones LLC.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares S&P 500® Ex-Energy ETF from September 22, 2015 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Since Inception (9/22/15) | |
ProShares S&P 500®
Ex-Energy ETF | | | -2.61 | % | | | 13.28 | % | | | 14.09 | % | |
S&P 500® Ex-Energy
Index | | | -2.44 | % | | | 13.59 | % | | | 14.42 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares S&P 500® Ex-Energy ETF | | | 0.13 | % | | | 0.09 | % | |
**Reflects the expense ratio as reported in the Prospectus dated February 1, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Apple, Inc. | | | 6.9 | % | |
| Microsoft Corp. | | | 6.1 | % | |
| Amazon.com, Inc. | | | 3.2 | % | |
| Alphabet, Inc., Class A | | | 2.1 | % | |
| Tesla, Inc. | | | 1.9 | % | |
S&P 500 Ex-Energy Index – Composition
| | | % of Index | |
| Information Technology | | | 28.5 | % | |
| Health Care | | | 15.1 | % | |
| Financials | | | 11.8 | % | |
| Consumer Discretionary | | | 11.4 | % | |
| Communication Services | | | 9.3 | % | |
| Industrials | | | 8.2 | % | |
| Consumer Staples | | | 6.8 | % | |
| Utilities | | | 3.1 | % | |
| Materials | | | 2.9 | % | |
| Real Estate | | | 2.9 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: S&P 500® EX-ENERGY ETF SPXE :: XXXIII
ProShares S&P 500® Ex-Financials ETF (the "Fund) seeks investment results, before fees and expenses, that track the performance of the S&P 500® Ex-Financials and Real Estate Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of –0.03%1. For the same period, the Index had a total return of 0.19%2 and a volatility of 18.51%. For the period, the Fund had an average daily volume of 394 shares.
The Fund invests in financial instruments that the Advisor believes, in combination, should track the performance of the Index. The Index seeks to provide exposure to the companies of the S&P 500® Index (the "S&P 500®") with the exception of those companies included in the Financials and Real Estate Sectors. The S&P 500® is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability. The Index is constructed and maintained by S&P Dow Jones LLC.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares S&P 500® Ex-Financials ETF from September 22, 2015 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Since Inception (9/22/15) | |
ProShares S&P 500®
Ex-Financials ETF | | | -0.03 | % | | | 13.55 | % | | | 14.15 | % | |
S&P 500® Ex-Financials
and Real Estate Index | | | 0.19 | % | | | 13.83 | % | | | 14.46 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares S&P 500®
Ex-Financials ETF | | | 0.13 | % | | | 0.09 | % | |
**Reflects the expense ratio as reported in the Prospectus dated February 1, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Apple, Inc. | | | 7.7 | % | |
| Microsoft Corp. | | | 6.8 | % | |
| Amazon.com, Inc. | | | 3.5 | % | |
| Alphabet, Inc., Class A | | | 2.3 | % | |
| Tesla, Inc. | | | 2.1 | % | |
S&P 500 Ex-Financials and Real Estate
Index – Composition
| | | % of Index | |
| Information Technology | | | 31.5 | % | |
| Health Care | | | 16.7 | % | |
| Consumer Discretionary | | | 12.7 | % | |
| Communication Services | | | 10.2 | % | |
| Industrials | | | 9.0 | % | |
| Consumer Staples | | | 7.6 | % | |
| Energy | | | 5.6 | % | |
| Utilities | | | 3.5 | % | |
| Materials | | | 3.2 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXXIV :: SPXN S&P 500® EX-FINANCIALS ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCEPROSHARES TRUST
ProShares S&P 500® Ex-Health Care ETF (the "Fund) seeks investment results, before fees and expenses, that track the performance of the S&P 500® Ex-Health Care Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of –1.83%1. For the same period, the Index had a total return of –1.66%2 and a volatility of 19.22%. For the period, the Fund had an average daily volume of 171 shares.
The Fund invests in financial instruments that the Advisor believes, in combination, should track the performance of the Index. The Index seeks to provide exposure to the companies of the S&P 500® Index (the "S&P 500®") with the exception of those companies included in the Health Care Sector. The S&P 500® is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability. The Index is constructed and maintained by S&P Dow Jones LLC.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares S&P 500® Ex-Health Care ETF from September 22, 2015 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Since Inception (9/22/15) | |
ProShares S&P 500®
Ex-Health Care ETF | | | -1.83 | % | | | 13.01 | % | | | 14.07 | % | |
S&P 500® Ex-Health
Care Index | | | -1.66 | % | | | 13.31 | % | | | 14.41 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares S&P 500® Ex-Health
Care ETF | | | 0.13 | % | | | 0.09 | % | |
**Reflects the expense ratio as reported in the Prospectus dated February 1, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Apple, Inc. | | | 7.7 | % | |
| Microsoft Corp. | | | 6.8 | % | |
| Amazon.com, Inc. | | | 3.5 | % | |
| Alphabet, Inc., Class A | | | 2.3 | % | |
| Alphabet, Inc., Class C | | | 2.1 | % | |
S&P 500 Ex-Health Care
Index – Composition
| | | % of Index | |
| Information Technology | | | 31.6 | % | |
| Financials | | | 13.1 | % | |
| Consumer Discretionary | | | 12.7 | % | |
| Communication Services | | | 10.3 | % | |
| Industrials | | | 9.1 | % | |
| Consumer Staples | | | 7.6 | % | |
| Energy | | | 5.6 | % | |
| Utilities | | | 3.5 | % | |
| Materials | | | 3.3 | % | |
| Real Estate | | | 3.2 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: S&P 500® EX-HEALTH CARE ETF SPXV :: XXXV
ProShares S&P 500® Ex-Technology ETF (the "Fund) seeks investment results, before fees and expenses, that track the performance of the S&P 500® Ex-Information Technology Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of –1.25%1. For the same period, the Index had a total return of 2.47%2 and a volatility of 15.62%. For the period, the Fund had an average daily volume of 1,031 shares.
The Fund invests in financial instruments that the Advisor believes, in combination, should track the performance of the Index. The Index seeks to provide exposure to the companies of the S&P 500® Index (the "S&P 500®") with the exception of those companies included in the Information Technology Sector. The S&P 500® is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability. The Index is constructed and maintained by S&P Dow Jones LLC.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares S&P 500® Ex-Technology ETF from September 22, 2015 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through September 21, 2018 reflects the performance of the S&P 500 Ex-Information Technology & Telecommunication Services Index. Index performance beginning on September 22, 2018 reflects the performance of the S&P 500 Ex-Information Technology Index.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Since Inception (9/22/15) | |
ProShares S&P 500®
Ex-Technology ETF | | | -1.25 | % | | | 10.50 | % | | | 11.15 | % | |
S&P 500 Ex-Information
Technology Index | | | 2.47 | % | | | 11.01 | % | | | 11.62 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares S&P 500®
Ex-Technology ETF | | | 0.13 | % | | | 0.09 | % | |
**Reflects the expense ratio as reported in the Prospectus dated February 1, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Amazon.com, Inc. | | | 4.1 | % | |
| Alphabet, Inc., Class A | | | 2.7 | % | |
| Alphabet, Inc., Class C | | | 2.5 | % | |
| Tesla, Inc. | | | 2.5 | % | |
Berkshire Hathaway, Inc.,
Class B | | | 2.3 | % | |
S&P 500 Ex-Information Technology
Index – Composition
| | | % of Index | |
| Health Care | | | 19.7 | % | |
| Financials | | | 15.4 | % | |
| Consumer Discretionary | | | 14.9 | % | |
| Communication Services | | | 12.1 | % | |
| Industrials | | | 10.7 | % | |
| Consumer Staples | | | 8.9 | % | |
| Energy | | | 6.6 | % | |
| Utilities | | | 4.1 | % | |
| Materials | | | 3.8 | % | |
| Real Estate | | | 3.8 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXXVI :: SPXT S&P 500® EX-TECHNOLOGY ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCEPROSHARES TRUST
ProShares S&P Kensho Cleantech ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the S&P Kensho Cleantech Index (the "Index"). From inception on September 29, 2021 to May 31, 2022, the Fund had a total return of –23.73%1. For the same period, the Index had a total return of –23.50%2 and a volatility of 45.697%. For the period, the Fund had an average daily volume of 1,677 shares.
The Fund invests in securities that the Advisor believes, in combination, should track the performance of the Index. The Index selects companies focused on building the technologies or products that enable the generation of clean energy, such as solar, wind, geothermal, hydrogen, and hydroelectric. The Index is constructed and maintained by S&P Dow Jones Indices LLC.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares S&P Kensho Cleantech ETF from September 29, 2021 to May 31, 2022, assuming the reinvestment of distributions.
Cumulative Total Return as of 05/31/22
| | | Since Inception (9/29/21) | |
| ProShares S&P Kensho Cleantech ETF | | | -23.73 | %** | |
| S&P Kensho Cleantech Index | | | -23.50 | % | |
Expense Ratios***
| Fund | | Gross | | Net | |
ProShares S&P Kensho
Cleantech ETF | | | 0.58 | % | | | 0.58 | % | |
**The Fund's Average Annual Total Returns are based on net asset values calculated for shareholder transactions which are not reflective of adjustments required pursuant to Generally Accepted Accounting Principles (GAAP). Accordingly, differences may exist between this data and similar information reported in the financial statements.
***Reflects the expense ratio as reported in the Prospectus dated September 27, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Array Technologies, Inc. | | | 4.0 | % | |
Sunnova Energy
International, Inc. | | | 3.7 | % | |
| Bloom Energy Corp., Class A | | | 3.7 | % | |
| Enphase Energy, Inc. | | | 3.7 | % | |
| Sunrun, Inc. | | | 3.6 | % | |
S&P Kensho Cleantech
Index – Composition
| | | % of Index | |
| Industrials | | | 46.2 | % | |
| Information Technology | | | 34.7 | % | |
| Utilities | | | 11.1 | % | |
| Materials | | | 4.4 | % | |
| Consumer Discretionary | | | 3.6 | % | |
S&P Kensho Cleantech
Index – Country
| | | % of Index | |
| United States | | | 74.5 | % | |
| China | | | 12.4 | % | |
| Canada | | | 6.7 | % | |
| Singapore | | | 3.6 | % | |
| India | | | 2.8 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: S&P KENSHO CLEANTECH ETF CTEX :: XXXVII
ProShares S&P Kensho Smart Factories ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the S&P Kensho Smart Factories Index (the "Index"). From inception on September 29, 2021 to May 31, 2022, the Fund had a total return of –19.24%1. For the same period, the Index had a total return of –18.90%2 and a volatility of 26.70%. For the period, the Fund had an average daily volume of 963 shares.
The Fund invests in securities that the Advisor believes, in combination, should track the performance of the Index. The Index selects companies focused on building the technology empowering the digitalization of manufacturing activities. The Index is constructed and maintained by S&P Dow Jones Indices LLC.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares S&P Kensho Smart Factories ETF from September 29, 2021 to May 31, 2022, assuming the reinvestment of distributions.
Cumulative Total Return as of 05/31/22
| | | Since Inception (9/29/21) | |
| ProShares S&P Kensho Smart Factories ETF | | | -19.24 | % | |
| S&P Kensho Smart Factories Index | | | -18.90 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares S&P Kensho Smart
Factories ETF | | | 0.58 | % | | | 0.58 | % | |
**Reflects the expense ratio as reported in the Prospectus dated September 27, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Autodesk, Inc. | | | 5.3 | % | |
| ABB Ltd. (ADR) | | | 5.3 | % | |
| PTC, Inc. | | | 5.2 | % | |
| Emerson Electric Co. | | | 5.0 | % | |
| Rockwell Automation, Inc. | | | 5.0 | % | |
S&P Kensho Smart Factories
Index – Composition
| | | % of Index | |
| Information Technology | | | 72.1 | % | |
| Industrials | | | 21.4 | % | |
| Communication Services | | | 6.5 | % | |
S&P Kensho Smart Factories
Index – Country
| | | % of Index | |
| United States | | | 78.9 | % | |
| Switzerland | | | 5.3 | % | |
| South Korea | | | 5.0 | % | |
| China | | | 3.1 | % | |
| Germany | | | 3.1 | % | |
| Israel | | | 3.1 | % | |
| Turkey | | | 1.5 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXXVIII :: MAKX S&P KENSHO SMART FACTORIES ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCEPROSHARES TRUST
ProShares S&P MidCap 400® Dividend Aristocrats ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the S&P MidCap 400® Dividend Aristocrats Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of 0.71%1. For the same period, the Index had a total return of 1.14%2 and a volatility of 15.98%. For the period, the Fund had an average daily volume of 43,015 shares.
The Fund invests in financial instruments that the Advisor believes, in combination, should track the performance of the Index. The Index, constructed and maintained by S&P Dow Jones Indices LLC, targets companies that are currently members of the S&P MidCap 400® Index, and have increased dividend payments each year for at least 15 years. The Index contains a minimum of 40 stocks which are equally weighted. No single sector is allowed to comprise more than 30% of the Index weight.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares S&P MidCap 400 Dividend Aristocrats ETF from February 3, 2015 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Since Inception (2/3/15) | |
ProShares S&P MidCap 400®
Dividend Aristocrats ETF | | | 0.71 | % | | | 9.45 | % | | | 10.56 | % | |
S&P MidCap 400 Dividend
Aristocrats Index | | | 1.14 | % | | | 9.89 | % | | | 10.97 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares S&P MidCap 400®
Dividend Aristocrats ETF | | | 0.40 | % | | | 0.40 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Ryder System, Inc. | | | 2.5 | % | |
| Perrigo Co. plc | | | 2.5 | % | |
| UGI Corp. | | | 2.4 | % | |
| United Bankshares, Inc. | | | 2.3 | % | |
| Prosperity Bancshares, Inc. | | | 2.3 | % | |
S&P MidCap 400 Dividend Aristocrats
Index – Composition
| | | % of Index | |
| Financials | | | 27.2 | % | |
| Utilities | | | 21.1 | % | |
| Industrials | | | 19.0 | % | |
| Materials | | | 11.9 | % | |
| Consumer Staples | | | 7.9 | % | |
| Consumer Discretionary | | | 6.4 | % | |
| Health Care | | | 2.4 | % | |
| Communication Services | | | 2.1 | % | |
| Real Estate | | | 2.0 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: S&P MIDCAP 400® DIVIDEND ARISTOCRATS ETF REGL :: XXXIX
ProShares S&P Technology Dividend Aristocrats ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the S&P® Technology Dividend Aristocrats® Index (the "Index"). For the year ended May 31, 2022, the Fund had a total return of 2.48%1. For the same period, the Index had a total return of 2.97%2 and a volatility of 20.61%. For the period, the Fund had an average daily volume of 9,509 shares.
The Fund invests in securities that the Advisor believes, in combination, should track the performance of the Index. The Index, constructed and maintained by S&P Dow Jones Indices LLC, targets companies from the U.S. technology sector and select U.S. technology-related companies from the communication services and consumer discretionary sectors. To be included in the Index, a company must have increased dividend payments each year for at least 7 years, its shares must be listed on a U.S. national securities exchange, and it must meet certain minimum liquidity requirements.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares S&P Technology Dividend Aristocrats Index from November 5, 2019 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Since Inception (11/5/19) | |
ProShares S&P Technology
Dividend Aristocrats ETF | | | 2.48 | % | | | 17.63 | % | |
S&P Technology Dividend
Aristocrats Index | | | 2.97 | % | | | 18.16 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares S&P Technology
Dividend Aristocrats ETF | | | 0.45 | % | | | 0.45 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Avnet, Inc. | | | 3.2 | % | |
| Littelfuse, Inc. | | | 3.0 | % | |
| Lam Research Corp. | | | 2.8 | % | |
| KLA Corp. | | | 2.7 | % | |
| Microchip Technology, Inc. | | | 2.7 | % | |
S&P Technology Dividend Aristocrats
Index – Composition
| | | % of Index | |
| Information Technology | | | 95.2 | % | |
| Communication Services | | | 2.6 | % | |
| Consumer Discretionary | | | 2.2 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XL :: TDV S&P TECHNOLOGY DIVIDEND ARISTOCRATS ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Smart Materials ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Solactive Smart Materials Index (the "Index"). From inception on October 26, 2021 to May 31, 2022, the Fund had a total return of –11.20%1. For the same period, the Index had a total return of –11.10%2 and a volatility of 20.21%. For the period, the Fund had an average daily volume of 2,377 shares.
The Fund invests in securities that the Advisor believes, in combination, should track the performance of the Index. The Index selects companies focused on making or applying industrial innovations which allow for improved products, processes, or techniques through advanced, responsive, or intelligent materials. The Index is constructed and maintained by Solactive AG.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Smart Materials ETF from October 26, 2021 to May 31, 2022, assuming the reinvestment of distributions.
Cumulative Total Return as of 5/31/22
| | | Since Inception (10/26/21) | |
| ProShares Smart Materials ETF | | | -11.20 | % | |
| Solactive Smart Materials Index | | | -11.10 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Smart Materials ETF | | | 0.58 | % | | | 0.58 | % | |
**Reflects the expense ratio as reported in the Prospectus dated September 27, 2021. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Chemours Co. (The) | | | 5.6 | % | |
| Cabot Corp. | | | 4.9 | % | |
| Axalta Coating Systems Ltd. | | | 4.6 | % | |
| Huntsman Corp. | | | 4.6 | % | |
| RPM International, Inc. | | | 4.6 | % | |
Smart Materials
Index – Composition
| | | % of Index | |
| Materials | | | 65.0 | % | |
| Information Technology | | | 25.7 | % | |
| Industrials | | | 9.3 | % | |
Smart Materials
Index – Country
| | | % of Index | |
| United States | | | 58.1 | % | |
| South Korea | | | 17.0 | % | |
| France | | | 7.5 | % | |
| Japan | | | 4.4 | % | |
| Belgium | | | 4.4 | % | |
| Netherlands | | | 4.3 | % | |
| Switzerland | | | 3.8 | % | |
| Canada | | | 0.5 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SMART MATERIALS ETF TINT :: XLI
ProShares Supply Chain Logistics ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the FactSet Supply Chain Logistics Index (the "Index"). From inception on April 6, 2022 to May 31, 2022, the Fund had a total return of 0.29%1. For the same period, the Index had a total return of 0.30%2 and a volatility of 17.35%. For the period, the Fund had an average daily volume of 3,065 shares.
The Fund invests in securities that the Advisor believes, in combination, should track the performance of the Index. The Index consists of companies involved in the supply chain logistics required to move raw materials, intermediate goods, and finished products around the globe. Supply chain logistics includes activities such as the provision of logistics support, logistics software, rail and air freight, trucking, and sea shipping. The Index is owned and administered by FactSet Research Systems, Inc.
As the ProShares Supply Chain Logistics ETF does not have more than six months of operating results, a line graph of a $10,000 investment and total return table are not presented.
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares Supply Chain
Logistics ETF | | | 0.58 | % | | | 0.58 | % | |
**Reflects the expense ratio as reported in the Prospectus dated April 1, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 100 | % | |
| Total Exposure | | | 100 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
Canadian Pacific
Railway Ltd. | | | 5.2 | % | |
Evergreen Marine Corp.
Taiwan Ltd. | | | 4.9 | % | |
| Amadeus IT Group SA | | | 4.8 | % | |
| FedEx Corp. | | | 4.7 | % | |
| Union Pacific Corp. | | | 4.6 | % | |
FactSet Supply Chain Logistics
Index – Composition
| | | % of Index | |
| Industrials | | | 94.8 | % | |
| Information Technology | | | 4.8 | % | |
| Health Care | | | 0.4 | % | |
FactSet Supply Chain Logistics
Index – Country
| | | % of Index | |
| United States | | | 42.2 | % | |
| Taiwan | | | 9.7 | % | |
| Others | | | 8.4 | % | |
| Canada | | | 7.1 | % | |
| China | | | 7.0 | % | |
| Spain | | | 4.8 | % | |
| Australia | | | 4.7 | % | |
| Japan | | | 4.7 | % | |
| Denmark | | | 4.0 | % | |
| Switzerland | | | 3.9 | % | |
| Germany | | | 3.5 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XLII :: SUPL SUPPLY CHAIN LOGISTICS ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
EXPENSE EXAMPLES
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: XLIII
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 other funds.
Actual Expenses
The actual expense examples are based on an investment of $1,000 invested at the beginning of a six-month period and held through the period ended, May 31, 2022.
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 a six month period and held through the period ended, May 31, 2022.
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 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 transaction costs were included, your costs would have been higher.
| | | Beginning
Account
Value
12/1/2021 | | Ending
Account
Value
05/31/22 | | Expenses Paid
During the
Period* | | Annualized
Expense Ratio
During Period | |
| Big Data Refiners ETF | |
| Actual | | $ | 1,000.00 | | | $ | 603.00 | | | $ | 2.32 | | | | 0.58 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,022.04 | | | $ | 2.92 | | | | 0.58 | % | |
| Bitcoin Strategy ETF | |
| Actual | | $ | 1,000.00 | | | $ | 536.60 | | | $ | 3.68 | | | | 0.96 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.14 | | | $ | 4.84 | | | | 0.96 | % | |
| Decline of the Retail Store ETF | |
| Actual | | $ | 1,000.00 | | | $ | 1,096.70 | | | $ | 3.40 | | | | 0.65 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,021.69 | | | $ | 3.28 | | | | 0.65 | % | |
| DJ Brookfield Global Infrastructure ETF | |
| Actual | | $ | 1,000.00 | | | $ | 1,123.70 | | | $ | 2.38 | | | | 0.45 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,022.69 | | | $ | 2.27 | | | | 0.45 | % | |
| Equities for Rising Rates ETF | |
| Actual | | $ | 1,000.00 | | | $ | 1,118.70 | | | $ | 1.85 | | | | 0.35 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,023.19 | | | $ | 1.77 | | | | 0.35 | % | |
| Global Listed Private Equity ETF | |
| Actual | | $ | 1,000.00 | | | $ | 863.00 | | | $ | 2.79 | | | | 0.60 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,021.94 | | | $ | 3.02 | | | | 0.60 | % | |
| Hedge Replication ETF | |
| Actual | | $ | 1,000.00 | | | $ | 938.70 | | | $ | 4.59 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| High Yield-Interest Rate Hedged | |
| Actual | | $ | 1,000.00 | | | $ | 1,009.10 | | | $ | 2.50 | | | | 0.50 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,022.44 | | | $ | 2.52 | | | | 0.50 | % | |
XLIV :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
| | | Beginning
Account
Value
12/1/2021 | | Ending
Account
Value
05/31/22 | | Expenses Paid
During the
Period* | | Annualized
Expense Ratio
During Period | |
| Inflation Expectations ETF | |
| Actual | | $ | 1,000.00 | | | $ | 1,098.70 | | | $ | 1.67 | | | | 0.32 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,023.34 | | | $ | 1.61 | | | | 0.32 | % | |
| Investment Grade-Interest Rate Hedged | |
| Actual | | $ | 1,000.00 | | | $ | 972.10 | | | $ | 1.48 | | | | 0.30 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,023.44 | | | $ | 1.51 | | | | 0.30 | % | |
| K-1 Free Crude Oil Strategy ETF | |
| Actual | | $ | 1,000.00 | | | $ | 1,739.30 | | | $ | 5.05 | | | | 0.74 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,021.24 | | | $ | 3.73 | | | | 0.74 | % | |
| Large Cap Core Plus | |
| Actual | | $ | 1,000.00 | | | $ | 946.40 | | | $ | 2.18 | | | | 0.45 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,022.69 | | | $ | 2.27 | | | | 0.45 | % | |
| Long Online/Short Stores ETF | |
| Actual | | $ | 1,000.00 | | | $ | 592.10 | | | $ | 2.58 | | | | 0.65 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,021.69 | | | $ | 3.28 | | | | 0.65 | % | |
| Merger ETF | |
| Actual | | $ | 1,000.00 | | | $ | 978.50 | | | $ | 3.70 | | | | 0.75 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,021.19 | | | $ | 3.78 | | | | 0.75 | % | |
| Metaverse ETF (a) | |
| Actual | | $ | 1,000.00 | | | $ | 888.80 | | | $ | 1.16 | | | | 0.58 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,022.04 | | | $ | 2.92 | | | | 0.58 | % | |
| MSCI EAFE Dividend Growers ETF | |
| Actual | | $ | 1,000.00 | | | $ | 838.40 | | | $ | 2.29 | | | | 0.50 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,022.44 | | | $ | 2.52 | | | | 0.50 | % | |
| MSCI Emerging Markets Dividend Growers ETF | |
| Actual | | $ | 1,000.00 | | | $ | 916.70 | | | $ | 2.87 | | | | 0.60 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,021.94 | | | $ | 3.02 | | | | 0.60 | % | |
| MSCI Europe Dividend Growers ETF | |
| Actual | | $ | 1,000.00 | | | $ | 845.50 | | | $ | 2.53 | | | | 0.55 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,022.19 | | | $ | 2.77 | | | | 0.55 | % | |
| MSCI Transformational Changes ETF | |
| Actual | | $ | 1,000.00 | | | $ | 772.40 | | | $ | 1.99 | | | | 0.45 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,022.69 | | | $ | 2.27 | | | | 0.45 | % | |
| Nanotechnology ETF | |
| Actual | | $ | 1,000.00 | | | $ | 785.50 | | | $ | 2.58 | | | | 0.58 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,022.04 | | | $ | 2.92 | | | | 0.58 | % | |
| Nasdaq-100 Dorsey Wright Momentum ETF | |
| Actual | | $ | 1,000.00 | | | $ | 776.20 | | | $ | 2.57 | | | | 0.58 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,022.04 | | | $ | 2.92 | | | | 0.58 | % | |
| On-Demand ETF | |
| Actual | | $ | 1,000.00 | | | $ | 606.00 | | | $ | 2.32 | | | | 0.58 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,022.04 | | | $ | 2.92 | | | | 0.58 | % | |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: XLV
| | | Beginning
Account
Value
12/1/2021 | | Ending
Account
Value
05/31/22 | | Expenses Paid
During the
Period* | | Annualized
Expense Ratio
During Period | |
| Online Retail ETF | |
| Actual | | $ | 1,000.00 | | | $ | 550.30 | | | $ | 2.24 | | | | 0.58 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,022.04 | | | $ | 2.92 | | | | 0.58 | % | |
| Pet Care ETF | |
| Actual | | $ | 1,000.00 | | | $ | 747.30 | | | $ | 2.18 | | | | 0.50 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,022.44 | | | $ | 2.52 | | | | 0.50 | % | |
| Russell 2000 Dividend Growers ETF | |
| Actual | | $ | 1,000.00 | | | $ | 1,005.10 | | | $ | 2.00 | | | | 0.40 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,022.94 | | | $ | 2.02 | | | | 0.40 | % | |
| Russell U.S. Dividend Growers ETF | |
| Actual | | $ | 1,000.00 | | | $ | 1,012.50 | | | $ | 1.76 | | | | 0.35 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,023.19 | | | $ | 1.77 | | | | 0.35 | % | |
| S&P 500® Bond ETF | |
| Actual | | $ | 1,000.00 | | | $ | 872.70 | | | $ | 0.70 | | | | 0.15 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,024.18 | | | $ | 0.76 | | | | 0.15 | % | |
| S&P 500® Dividend Aristocrats ETF | |
| Actual | | $ | 1,000.00 | | | $ | 1,008.50 | | | $ | 1.75 | | | | 0.35 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,023.19 | | | $ | 1.77 | | | | 0.35 | % | |
| S&P 500® Ex-Energy ETF | |
| Actual | | $ | 1,000.00 | | | $ | 891.30 | | | $ | 0.75 | | | | 0.16 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,024.13 | | | $ | 0.81 | | | | 0.16 | % | |
| S&P 500® Ex-Financials ETF | |
| Actual | | $ | 1,000.00 | | | $ | 906.00 | | | $ | 0.76 | | | | 0.16 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,024.13 | | | $ | 0.81 | | | | 0.16 | % | |
| S&P 500® Ex-Health Care ETF | |
| Actual | | $ | 1,000.00 | | | $ | 894.50 | | | $ | 0.76 | | | | 0.16 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,024.13 | | | $ | 0.81 | | | | 0.16 | % | |
| S&P 500® Ex-Technology ETF | |
| Actual | | $ | 1,000.00 | | | $ | 943.90 | | | $ | 0.73 | | | | 0.15 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,024.18 | | | $ | 0.76 | | | | 0.15 | % | |
| S&P Kensho Cleantech ETF | |
| Actual | | $ | 1,000.00 | | | $ | 685.50 | | | $ | 2.44 | | | | 0.58 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,022.04 | | | $ | 2.92 | | | | 0.58 | % | |
| S&P Kensho Smart Factories ETF | |
| Actual | | $ | 1,000.00 | | | $ | 806.30 | | | $ | 2.61 | | | | 0.58 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,022.04 | | | $ | 2.92 | | | | 0.58 | % | |
| S&P MidCap 400® Dividend Aristocrats ETF | |
| Actual | | $ | 1,000.00 | | | $ | 1,046.30 | | | $ | 2.04 | | | | 0.40 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,022.94 | | | $ | 2.02 | | | | 0.40 | % | |
| S&P Technology Dividend Aristocrats ETF | |
| Actual | | $ | 1,000.00 | | | $ | 937.90 | | | $ | 2.17 | | | | 0.45 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,022.69 | | | $ | 2.27 | | | | 0.45 | % | |
XLVI :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
| | | Beginning
Account
Value
12/1/2021 | | Ending
Account
Value
05/31/22 | | Expenses Paid
During the
Period* | | Annualized
Expense Ratio
During Period | |
| Smart Materials ETF | |
| Actual | | $ | 1,000.00 | | | $ | 905.70 | | | $ | 2.76 | | | | 0.58 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,022.04 | | | $ | 2.92 | | | | 0.58 | % | |
| Supply Chain Logistics ETF (b) | |
| Actual | | $ | 1,000.00 | | | $ | 1,002.90 | | | $ | 0.88 | | | | 0.58 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,022.04 | | | $ | 2.92 | | | | 0.58 | % | |
* Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 182/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).
(a) The Fund commenced operations on March 15, 2022. 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 77 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 182 divided by 365 (to reflect the one-half year period).
(b) The Fund commenced operations on April 06, 2022. 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 55 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 182 divided by 365 (to reflect the one-half year period).
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: XLVII
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SCHEDULE OF PORTFOLIO INVESTMENTS
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: 1
| Investments | | Shares | | Value | |
| Common Stocks — 99.8% | |
| Commercial Services & Supplies — 0.6% | |
| Sato Holdings Corp. | | | 953 | | | $ | 14,073 | | |
| Communications Equipment — 3.7% | |
| NetScout Systems, Inc.* | | | 2,638 | | | | 90,563 | | |
| Diversified Consumer Services — 1.0% | |
| 2U, Inc.* | | | 2,709 | | | | 25,248 | | |
| Electronic Equipment, Instruments & Components — 4.0% | |
| Zebra Technologies Corp., Class A* | | | 286 | | | | 96,722 | | |
| IT Services — 7.7% | |
| Appen Ltd. | | | 4,015 | | | | 18,585 | | |
| MongoDB, Inc.* | | | 374 | | | | 88,694 | | |
| Snowflake, Inc., Class A* | | | 487 | | | | 62,165 | | |
| SolarWinds Corp. | | | 1,342 | | | | 15,621 | | |
| | | 185,065 | | |
| Software — 82.8% | |
| Alteryx, Inc., Class A* | | | 2,171 | | | | 120,816 | | |
| CommVault Systems, Inc.* | | | 1,636 | | | | 99,812 | | |
| Confluent, Inc., Class A* | | | 2,221 | | | | 46,930 | | |
| Copperleaf Technologies, Inc.* | | | 1,667 | | | | 10,807 | | |
| Couchbase, Inc.*(a) | | | 860 | | | | 12,195 | | |
| Datadog, Inc., Class A* | | | 1,024 | | | | 97,679 | | |
| Datto Holding Corp.* | | | 1,008 | | | | 35,391 | | |
| Domo, Inc., Class B* | | | 1,050 | | | | 33,474 | | |
| Dynatrace, Inc.* | | | 2,841 | | | | 107,020 | | |
| Elastic NV* | | | 1,493 | | | | 92,043 | | |
| Five9, Inc.* | | | 1,308 | | | | 126,497 | | |
| Informatica, Inc., Class A*(a) | | | 3,827 | | | | 78,071 | | |
| InterDigital, Inc. | | | 1,116 | | | | 72,864 | | |
| LivePerson, Inc.* | | | 2,448 | | | | 41,077 | | |
| MicroStrategy, Inc., Class A*(a) | | | 267 | | | | 70,672 | | |
| New Relic, Inc.* | | | 1,629 | | | | 76,335 | | |
| Nice Ltd.* | | | 572 | | | | 115,507 | | |
| Nutanix, Inc., Class A* | | | 5,215 | | | | 84,483 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Palantir Technologies, Inc., Class A* | | | 8,863 | | | $ | 76,931 | | |
| Splunk, Inc.* | | | 1,473 | | | | 151,071 | | |
| Sumo Logic, Inc.* | | | 2,894 | | | | 23,470 | | |
| Teradata Corp.* | | | 3,925 | | | | 150,838 | | |
| Tyler Technologies, Inc.* | | | 335 | | | | 119,200 | | |
| Zendesk, Inc.* | | | 1,736 | | | | 158,757 | | |
| | | 2,001,940 | | |
Total Common Stocks
(Cost $3,944,222) | | | | | 2,413,611 | | |
| Securities Lending Reinvestments (b) — 6.4% | |
| Investment Companies — 6.4% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $153,820) | | | 153,820 | | | | 153,820 | | |
Total Investments — 106.2%
(Cost $4,098,042) | | | | | 2,567,431 | | |
| Liabilities in excess of other assets — (6.2%) | | | | | (150,015 | ) | |
| Net Assets — 100.0% | | | | $ | 2,417,416 | | |
* Non-income producing security.
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $160,639, collateralized in the form of cash with a value of $153,820 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments.
(b) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $153,820.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 26,232 | | |
| Aggregate gross unrealized depreciation | | | (1,556,843 | ) | |
| Net unrealized depreciation | | $ | (1,530,611 | ) | |
| Federal income tax cost | | $ | 4,098,042 | | |
Big Data Refiners ETF invested, as a percentage of net assets, in the following countries as of May 31, 2022:
| United States | | | 93.2 | % | |
| Israel | | | 4.8 | % | |
| Australia | | | 0.8 | % | |
| Japan | | | 0.6 | % | |
| Canada | | | 0.4 | % | |
| Othera | | | 0.2 | % | |
| | | 100.0 | % | |
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
2 :: DAT BIG DATA REFINERS ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 36.3% | |
| U.S. Treasury Obligations — 36.3% | |
U.S. Treasury Bills
1.01%, 8/18/2022 (a)
(Cost $299,346,100) | | $ | 300,000,000 | | | $ | 299,321,562 | | |
Total Investments — 36.3%
(Cost $299,346,100) | | | | | 299,321,562 | | |
| Other assets less liabilities — 63.7% | | | | | 524,601,514 | | |
| Net Assets — 100.0% | | | | $ | 823,923,076 | | |
(a) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 14,096,016 | | |
| Aggregate gross unrealized depreciation | | | (16,026,326 | ) | |
| Net unrealized depreciation | | $ | (1,930,310 | ) | |
| Federal income tax cost | | $ | 299,346,100 | | |
Futures Contracts Purchased
Bitcoin Strategy ETF had the following open long futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation/
(Depreciation) | |
| CME Bitcoin Futures | | | 3,813 | | | 6/24/2022 | | USD | | | | $ | 603,407,250 | | | $ | (16,001,788 | ) | |
| CME Bitcoin Futures | | | 1,389 | | | 7/29/2022 | | USD | | | | | 220,399,575 | | | | 14,096,016 | | |
| | $ | (1,905,772 | ) | |
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
PROSHARES TRUST CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: BITCOIN STRATEGY ETF BITO :: 3
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 80.5% | |
| Repurchase Agreements (a) — 80.5% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $8,114,880
(Cost $8,114,718) | | $ | 8,114,718 | | | $ | 8,114,718 | | |
Total Investments — 80.5%
(Cost $8,114,718) | | | | | 8,114,718 | | |
| Other assets less liabilities — 19.5% | | | | | 1,964,705 | | |
| Net Assets — 100.0% | | | | $ | 10,079,423 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 817,692 | | |
| Aggregate gross unrealized depreciation | | | (163,064 | ) | |
| Net unrealized appreciation | | $ | 654,628 | | |
| Federal income tax cost | | $ | 8,114,718 | | |
Swap Agreementsa
Decline of the Retail Store ETF had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (4,578,326 | ) | | 11/6/2023 | |
BNP Paribas SA | | | (0.78 | )% | | Solactive-
ProShares
Bricks and
Mortar Retail
Store Index | | | (163,064 | ) | | | — | | | | 163,064 | | | | — | | |
| (995,677 | ) | | 3/7/2023 | |
Goldman Sachs
International | | | 0.17 | % | | Solactive-
ProShares
Bricks and
Mortar Retail
Store Index | | | 159,440 | | | | (159,440 | ) | | | — | | | | — | | |
| (4,118,552 | ) | | 3/7/2023 | |
Societe Generale | | | (0.08 | )% | | Solactive-
ProShares
Bricks and
Mortar Retail
Store Index | | | 614,903 | | | | (614,903 | ) | | | — | | | | — | | |
| | | | | | | | | | Solactive-
ProShares
Bricks and
Mortar Retail | | | | | | | | | | | | | | | | | |
| (385,135 | ) | | 11/7/2022 | | UBS AG | | | (0.58 | )% | | Store Index | | | 43,349 | | | | — | | | | — | | | | 43,349 | | |
| (10,077,690 | ) | | | | | | | | | | | | | | | | | | | 654,628 | | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized
Appreciation | | | 817,692 | | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized
Depreciation | | | (163,064 | ) | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
4 :: EMTY DECLINE OF THE RETAIL STORE ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: DECLINE OF THE RETAIL STORE ETF EMTY :: 5
| Investments | | Shares | | Value | |
| Common Stocks — 90.9% | |
| Construction & Engineering — 4.7% | |
| Ferrovial SA | | | 56,894 | | | $ | 1,466,496 | | |
| Vinci SA | | | 59,263 | | | | 5,705,603 | | |
| | | 7,172,099 | | |
| Diversified Telecommunication Services — 2.9% | |
| Cellnex Telecom SA (a) | | | 65,563 | | | | 2,958,288 | | |
| China Tower Corp. Ltd., Class H (a) | | | 4,910,062 | | | | 575,652 | | |
| Helios Towers plc* | | | 44,733 | | | | 64,147 | | |
Infrastrutture Wireless Italiane
SpA (a)(b) | | | 40,752 | | | | 453,462 | | |
| RAI Way SpA (a) | | | 10,118 | | | | 58,167 | | |
| Vantage Towers AG | | | 10,761 | | | | 336,177 | | |
| | | 4,445,893 | | |
| Electric Utilities — 9.2% | |
| Edison International | | | 36,429 | | | | 2,546,751 | | |
| Elia Group SA/NV (b) | | | 3,865 | | | | 636,083 | | |
| Elmera Group ASA (c) | | | 10,425 | | | | 26,584 | | |
| Eversource Energy | | | 32,973 | | | | 3,044,067 | | |
| Fortis, Inc. (b) | | | 54,468 | | | | 2,746,977 | | |
| Hydro One Ltd. (a) | | | 34,998 | | | | 976,187 | | |
| PG&E Corp.* | | | 144,925 | | | | 1,768,085 | | |
| Red Electrica Corp. SA | | | 49,653 | | | | 1,028,253 | | |
| Terna — Rete Elettrica Nazionale | | | 161,656 | | | | 1,369,276 | | |
| | | 14,142,263 | | |
| Equity Real Estate Investment Trusts (REITs) — 14.8% | |
| American Tower Corp. | | | 43,742 | | | | 11,203,638 | | |
| Crown Castle International Corp. | | | 41,512 | | | | 7,872,751 | | |
| SBA Communications Corp. | | | 10,448 | | | | 3,516,901 | | |
| | | 22,593,290 | | |
| Gas Utilities — 9.1% | |
| APA Group | | | 135,348 | | | | 1,105,368 | | |
| Atmos Energy Corp. | | | 12,990 | | | | 1,510,867 | | |
| Beijing Enterprises Holdings Ltd. | | | 51,209 | | | | 179,459 | | |
Brookfield Infrastructure Corp.,
Class A | | | 4,029 | | | | 284,246 | | |
| Chesapeake Utilities Corp. | | | 1,679 | | | | 224,264 | | |
| China Gas Holdings Ltd. | | | 268,326 | | | | 400,068 | | |
| China Resources Gas Group Ltd. | | | 99,022 | | | | 414,527 | | |
| Enagas SA | | | 28,160 | | | | 644,226 | | |
| ENN Energy Holdings Ltd. | | | 86,017 | | | | 1,318,667 | | |
| Hong Kong & China Gas Co. Ltd. | | | 1,241,488 | | | | 1,404,885 | | |
| Italgas SpA | | | 55,159 | | | | 355,888 | | |
| Kunlun Energy Co. Ltd. | | | 446,041 | | | | 384,244 | | |
| Naturgy Energy Group SA | | | 37,819 | | | | 1,142,501 | | |
| New Jersey Resources Corp. | | | 9,451 | | | | 433,990 | | |
| Northwest Natural Holding Co. | | | 3,029 | | | | 164,444 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| ONE Gas, Inc. | | | 5,218 | | | $ | 454,070 | | |
| Snam SpA | | | 235,548 | | | | 1,368,040 | | |
| Southwest Gas Holdings, Inc. | | | 6,302 | | | | 586,905 | | |
| Spire, Inc. | | | 5,062 | | | | 396,355 | | |
| Toho Gas Co. Ltd. | | | 10,691 | | | | 230,537 | | |
| Tokyo Gas Co. Ltd. | | | 47,049 | | | | 917,699 | | |
| Towngas Smart Energy Co. Ltd.* | | | 100,617 | | | | 50,262 | | |
| | | 13,971,512 | | |
| Media — 0.4% | |
| Eutelsat Communications SA | | | 19,072 | | | | 226,246 | | |
| SES SA, ADR | | | 43,575 | | | | 415,874 | | |
| | | 642,120 | | |
| Multi-Utilities — 12.1% | |
| ACEA SpA | | | 4,503 | | | | 81,795 | | |
| CenterPoint Energy, Inc. | | | 60,401 | | | | 1,935,852 | | |
| Consolidated Edison, Inc. | | | 33,977 | | | | 3,372,557 | | |
| National Grid plc | | | 445,364 | | | | 6,571,689 | | |
| NiSource, Inc. | | | 37,436 | | | | 1,177,362 | | |
| NorthWestern Corp. | | | 5,194 | | | | 318,236 | | |
| Sempra Energy | | | 30,672 | | | | 5,025,914 | | |
| Unitil Corp. | | | 1,560 | | | | 90,184 | | |
| | | 18,573,589 | | |
| Oil, Gas & Consumable Fuels — 24.6% | |
| Antero Midstream Corp. | | | 31,767 | | | | 344,990 | | |
| Cheniere Energy, Inc. | | | 22,652 | | | | 3,098,114 | | |
| Enbridge, Inc. | | | 232,797 | | | | 10,754,104 | | |
| EnLink Midstream LLC* | | | 24,840 | | | | 283,176 | | |
| Gibson Energy, Inc. | | | 16,847 | | | | 356,826 | | |
| Hess Midstream LP, Class A | | | 3,908 | | | | 127,362 | | |
| Keyera Corp. | | | 25,394 | | | | 676,785 | | |
| Kinder Morgan, Inc. | | | 187,297 | | | | 3,687,878 | | |
| Koninklijke Vopak NV | | | 7,512 | | | | 215,322 | | |
| ONEOK, Inc. | | | 42,766 | | | | 2,816,141 | | |
| Pembina Pipeline Corp. (b) | | | 63,092 | | | | 2,543,932 | | |
| Plains GP Holdings LP, Class A* | | | 18,962 | | | | 226,785 | | |
| Targa Resources Corp. | | | 21,953 | | | | 1,581,055 | | |
| TC Energy Corp. | | | 112,691 | | | | 6,522,598 | | |
| Williams Cos., Inc. (The) | | | 116,701 | | | | 4,324,939 | | |
| | | 37,560,007 | | |
| Transportation Infrastructure — 8.2% | |
| Aena SME SA*(a) | | | 8,445 | | | | 1,288,750 | | |
| Aeroports de Paris* | | | 2,908 | | | | 434,410 | | |
| Atlantia SpA | | | 57,786 | | | | 1,400,156 | | |
| Atlas Arteria Ltd. | | | 108,501 | | | | 559,855 | | |
Auckland International
Airport Ltd.* | | | 136,631 | | | | 665,935 | | |
See accompanying notes to the financial statements.
6 :: TOLZ DJ BROOKFIELD GLOBAL INFRASTRUCTURE ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
Beijing Capital International
Airport Co. Ltd., Class H* | | | 188,699 | | | $ | 110,615 | | |
China Merchants Port
Holdings Co. Ltd. | | | 150,854 | | | | 286,052 | | |
| COSCO SHIPPING Ports Ltd. | | | 170,953 | | | | 128,751 | | |
Flughafen Zurich AG
(Registered)* | | | 2,185 | | | | 369,026 | | |
Fraport AG Frankfurt Airport
Services Worldwide* | | | 4,183 | | | | 236,658 | | |
| Getlink SE | | | 49,846 | | | | 959,206 | | |
Grupo Aeroportuario del Centro
Norte SAB de CV, ADR | | | 3,725 | | | | 215,156 | | |
Grupo Aeroportuario del Pacifico
SAB de CV, ADR | | | 3,985 | | | | 599,264 | | |
Grupo Aeroportuario del Sureste
SAB de CV, ADR | | | 2,229 | | | | 484,339 | | |
Hainan Meilan International
Airport Co. Ltd.*(b) | | | 13,491 | | | | 27,370 | | |
| Hamburger Hafen und Logistik AG | | | 2,204 | | | | 38,615 | | |
| Hutchison Port Holdings Trust | | | 536,243 | | | | 128,698 | | |
| Japan Airport Terminal Co. Ltd.* | | | 10,582 | | | | 435,659 | | |
Jiangsu Expressway Co. Ltd.,
Class H | | | 138,851 | | | | 143,501 | | |
Shenzhen Expressway Corp. Ltd.,
Class H* | | | 70,295 | | | | 74,351 | | |
| Transurban Group | | | 350,090 | | | | 3,610,349 | | |
Westshore Terminals
Investment Corp. | | | 4,316 | | | | 123,524 | | |
| Yuexiu Transport Infrastructure Ltd. | | | 94,771 | | | | 58,695 | | |
Zhejiang Expressway Co. Ltd.,
Class H* | | | 162,926 | | | | 143,883 | | |
| | | 12,522,818 | | |
| Water Utilities — 4.9% | |
| American States Water Co. | | | 3,626 | | | | 287,361 | | |
| American Water Works Co., Inc. | | | 17,406 | | | | 2,632,658 | | |
| Beijing Enterprises Water Group Ltd. | | | 514,121 | | | | 170,343 | | |
| California Water Service Group | | | 5,135 | | | | 275,595 | | |
| China Water Affairs Group Ltd. | | | 85,100 | | | | 84,697 | | |
Cia de Saneamento Basico do
Estado de Sao Paulo, ADR* | | | 39,096 | | | | 376,494 | | |
| Essential Utilities, Inc. | | | 22,276 | | | | 1,030,488 | | |
| Pennon Group plc | | | 31,570 | | | | 398,211 | | |
| Severn Trent plc | | | 29,106 | | | | 1,069,119 | | |
| SJW Group | | | 2,720 | | | | 168,232 | | |
| United Utilities Group plc | | | 78,345 | | | | 1,044,484 | | |
| | | 7,537,682 | | |
Total Common Stocks
(Cost $126,038,742) | | | | | 139,161,273 | | |
| Investments | | Shares | | Value | |
| Master Limited Partnerships — 8.0% | |
| Multi-Utilities — 0.7% | |
| Brookfield Infrastructure Partners LP | | | 17,158 | | | $ | 1,023,646 | | |
| Oil, Gas & Consumable Fuels — 7.3% | |
| Cheniere Energy Partners LP | | | 4,729 | | | | 254,279 | | |
| Crestwood Equity Partners LP | | | 6,754 | | | | 196,812 | | |
| DCP Midstream LP | | | 8,989 | | | | 322,795 | | |
| Energy Transfer LP | | | 230,479 | | | | 2,687,385 | | |
| Enterprise Products Partners LP | | | 142,521 | | | | 3,907,926 | | |
| Genesis Energy LP | | | 11,122 | | | | 136,133 | | |
| Holly Energy Partners LP | | | 4,696 | | | | 89,224 | | |
| Magellan Midstream Partners LP | | | 20,464 | | | | 1,057,989 | | |
| MPLX LP | | | 35,974 | | | | 1,185,343 | | |
| NuStar Energy LP | | | 9,366 | | | | 150,324 | | |
| Plains All American Pipeline LP | | | 44,690 | | | | 509,019 | | |
| Shell Midstream Partners LP | | | 12,028 | | | | 170,076 | | |
| Western Midstream Partners LP | | | 18,652 | | | | 515,728 | | |
| | | 11,183,033 | | |
Total Master Limited Partnerships
(Cost $12,858,321) | | | | | 12,206,679 | | |
| Closed End Funds — 0.5% | |
| Capital Markets — 0.5% | |
| 3i Infrastructure plc | | | 69,886 | | | | 306,901 | | |
| Hicl Infrastructure plc | | | 220,076 | | | | 490,852 | | |
Total Closed End Funds
(Cost $767,597) | | | | | 797,753 | | |
| Securities Lending Reinvestments (d) — 2.1% | |
| Investment Companies — 2.1% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $3,153,905) | | | 3,153,905 | | | | 3,153,905 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 0.2% | |
| Repurchase Agreements (e) — 0.2% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $274,056
(Cost $274,050) | | $ | 274,050 | | | | 274,050 | | |
Total Investments — 101.7%
(Cost $143,092,615) | | | | | 155,593,660 | | |
| Liabilities in excess of other assets — (1.7%) | | | | | (2,611,769 | ) | |
| Net Assets — 100.0% | | | | $ | 152,981,891 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: DJ BROOKFIELD GLOBAL INFRASTRUCTURE ETF TOLZ :: 7
* Non-income producing security.
(a) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $3,446,739, collateralized in the form of cash with a value of $3,153,905 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $470,309 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 3.00%, and maturity dates ranging from August 11, 2022 - May 15, 2049. The total value of collateral is $3,624,214.
(c) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration.
(d) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $3,153,905.
(e) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
Abbreviations
ADR American Depositary Receipt
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 23,035,865 | | |
| Aggregate gross unrealized depreciation | | | (6,588,594 | ) | |
| Net unrealized appreciation | | $ | 16,447,271 | | |
| Federal income tax cost | | $ | 139,146,389 | | |
DJ Brookfield Global Infrastructure ETF invested, as a percentage of net assets, in the following countries as of May 31, 2022:
| United States | | | 50.8 | % | |
| Canada | | | 17.0 | % | |
| United Kingdom | | | 6.5 | % | |
| Spain | | | 5.6 | % | |
| France | | | 4.8 | % | |
| Australia | | | 3.5 | % | |
| Italy | | | 3.3 | % | |
| China | | | 2.1 | % | |
| Hong Kong | | | 1.8 | % | |
| Japan | | | 1.0 | % | |
| Mexico | | | 0.9 | % | |
| New Zealand | | | 0.4 | % | |
| Belgium | | | 0.4 | % | |
| Germany | | | 0.4 | % | |
| Luxembourg | | | 0.3 | % | |
| Brazil | | | 0.2 | % | |
| Switzerland | | | 0.2 | % | |
| Netherlands | | | 0.1 | % | |
| Singapore | | | 0.1 | % | |
| Norway | | | 0.0 | %* | |
| Othera | | | 0.6 | % | |
| | | 100.0 | % | |
* Amount represents less than 0.05%.
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
8 :: TOLZ DJ BROOKFIELD GLOBAL INFRASTRUCTURE ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks — 99.7% | |
| Aerospace & Defense — 1.3% | |
| Textron, Inc. | | | 21,345 | | | $ | 1,393,615 | | |
| Airlines — 2.2% | |
| Southwest Airlines Co.* | | | 24,124 | | | | 1,106,327 | | |
| United Airlines Holdings, Inc.* | | | 24,793 | | | | 1,180,890 | | |
| | | 2,287,217 | | |
| Auto Components — 0.9% | |
| Aptiv plc* | | | 9,054 | | | | 961,897 | | |
| Automobiles — 0.9% | |
| General Motors Co.* | | | 24,526 | | | | 948,666 | | |
| Banks — 19.1% | |
| Bank of America Corp. | | | 73,427 | | | | 2,731,485 | | |
| Citizens Financial Group, Inc. | | | 65,947 | | | | 2,728,886 | | |
| Huntington Bancshares, Inc. | | | 209,223 | | | | 2,904,015 | | |
| JPMorgan Chase & Co. | | | 22,630 | | | | 2,992,365 | | |
| M&T Bank Corp. | | | 17,494 | | | | 3,148,395 | | |
PNC Financial Services
Group, Inc. (The) | | | 16,346 | | | | 2,867,252 | | |
| SVB Financial Group* | | | 5,476 | | | | 2,675,409 | | |
| | | 20,047,807 | | |
| Capital Markets — 7.6% | |
| Charles Schwab Corp. (The) | | | 35,178 | | | | 2,465,978 | | |
| Raymond James Financial, Inc. | | | 29,386 | | | | 2,894,227 | | |
| State Street Corp. | | | 35,477 | | | | 2,571,728 | | |
| | | 7,931,933 | | |
| Chemicals — 14.3% | |
| Albemarle Corp. | | | 9,836 | | | | 2,561,491 | | |
| Celanese Corp. | | | 14,851 | | | | 2,324,479 | | |
| Dow, Inc. | | | 33,093 | | | | 2,249,662 | | |
| Eastman Chemical Co. | | | 19,344 | | | | 2,130,935 | | |
LyondellBasell Industries NV,
Class A | | | 19,886 | | | | 2,271,976 | | |
| Mosaic Co. (The) | | | 30,013 | | | | 1,880,314 | | |
| PPG Industries, Inc. | | | 12,403 | | | | 1,568,855 | | |
| | | 14,987,712 | | |
| Consumer Finance — 4.3% | |
| American Express Co. | | | 8,439 | | | | 1,424,672 | | |
| Capital One Financial Corp. | | | 11,815 | | | | 1,510,666 | | |
| Synchrony Financial | | | 43,795 | | | | 1,622,167 | | |
| | | 4,557,505 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Containers & Packaging — 4.2% | |
| Avery Dennison Corp. | | | 12,366 | | | $ | 2,133,877 | | |
| International Paper Co. | | | 46,225 | | | | 2,239,601 | | |
| | | 4,373,478 | | |
| Energy Equipment & Services — 2.7% | |
| Schlumberger NV | | | 61,272 | | | | 2,816,061 | | |
| Hotels, Restaurants & Leisure — 3.6% | |
| Carnival Corp.*(a) | | | 58,209 | | | | 807,941 | | |
| Las Vegas Sands Corp.* | | | 27,310 | | | | 968,413 | | |
| Marriott International, Inc., Class A | | | 6,242 | | | | 1,071,002 | | |
| MGM Resorts International | | | 25,370 | | | | 887,189 | | |
| | | 3,734,545 | | |
| Industrial Conglomerates — 1.3% | |
| General Electric Co. | | | 17,079 | | | | 1,337,115 | | |
| IT Services — 1.5% | |
| FleetCor Technologies, Inc.* | | | 6,523 | | | | 1,622,988 | | |
| Machinery — 2.9% | |
| Parker-Hannifin Corp. | | | 5,530 | | | | 1,505,100 | | |
Westinghouse Air Brake
Technologies Corp. | | | 16,533 | | | | 1,561,707 | | |
| | | 3,066,807 | | |
| Media — 0.9% | |
| Interpublic Group of Cos., Inc. (The) | | | 29,371 | | | | 946,627 | | |
| Metals & Mining — 3.2% | |
| Freeport-McMoRan, Inc. | | | 41,217 | | | | 1,610,760 | | |
| Nucor Corp. | | | 13,584 | | | | 1,799,337 | | |
| | | 3,410,097 | | |
| Oil, Gas & Consumable Fuels — 26.6% | |
| Devon Energy Corp. (a) | | | 42,832 | | | | 3,208,117 | | |
| Exxon Mobil Corp. | | | 31,417 | | | | 3,016,032 | | |
| Hess Corp. | | | 24,537 | | | | 3,019,769 | | |
| Marathon Oil Corp. | | | 102,775 | | | | 3,230,218 | | |
| Marathon Petroleum Corp. | | | 32,551 | | | | 3,313,366 | | |
| ONEOK, Inc. | | | 37,033 | | | | 2,438,623 | | |
| Phillips 66 | | | 31,918 | | | | 3,217,653 | | |
| Pioneer Natural Resources Co. | | | 10,420 | | | | 2,896,135 | | |
| Valero Energy Corp. | | | 27,520 | | | | 3,566,592 | | |
| | | 27,906,505 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: EQUITIES FOR RISING RATES ETF EQRR :: 9
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Textiles, Apparel & Luxury Goods — 0.9% | |
| VF Corp. | | | 18,661 | | | $ | 941,634 | | |
| Trading Companies & Distributors — 1.3% | |
| United Rentals, Inc.* | | | 4,412 | | | | 1,315,570 | | |
Total Common Stocks
(Cost $104,365,519) | | | | | 104,587,779 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 0.1% | |
| Repurchase Agreements (b) — 0.1% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $80,596
(Cost $80,595) | | $ | 80,595 | | | | 80,595 | | |
Total Investments — 99.8%
(Cost $104,446,114) | | | | | 104,668,374 | | |
| Other assets less liabilities — 0.2% | | | | | 262,191 | | |
| Net Assets — 100.0% | | | | $ | 104,930,565 | | |
* Non-income producing security.
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $3,485,972, collateralized in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 30, 2022 - August 15, 2050. The total value of collateral is $3,665,539.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 7,186,814 | | |
| Aggregate gross unrealized depreciation | | | (6,990,145 | ) | |
| Net unrealized appreciation | | $ | 196,669 | | |
| Federal income tax cost | | $ | 104,471,705 | | |
See accompanying notes to the financial statements.
10 :: EQRR EQUITIES FOR RISING RATES ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks — 86.9% | |
| Capital Markets — 68.4% | |
| 3i Group plc | | | 89,271 | | | $ | 1,428,065 | | |
| Apollo Investment Corp. | | | 14,141 | | | | 175,348 | | |
| Ares Capital Corp. | | | 72,468 | | | | 1,404,430 | | |
AURELIUS Equity Opportunities
SE & Co. KGaA* | | | 6,406 | | | | 188,709 | | |
| FS KKR Capital Corp. | | | 59,187 | | | | 1,279,623 | | |
| Gimv NV | | | 2,726 | | | | 159,494 | | |
| Goldman Sachs BDC, Inc. | | | 21,385 | | | | 386,855 | | |
| Golub Capital BDC, Inc. | | | 35,863 | | | | 507,103 | | |
| Hercules Capital, Inc. | | | 25,997 | | | | 366,038 | | |
| IP Group plc | | | 225,846 | | | | 248,019 | | |
| Main Street Capital Corp. | | | 15,322 | | | | 584,228 | | |
| Molten Ventures plc* | | | 28,925 | | | | 195,546 | | |
| New Mountain Finance Corp. | | | 19,723 | | | | 255,018 | | |
| Oaktree Specialty Lending Corp. | | | 35,544 | | | | 246,675 | | |
| Onex Corp. | | | 15,936 | | | | 950,856 | | |
| Prospect Capital Corp. | | | 63,529 | | | | 488,538 | | |
| Ratos AB, Class B | | | 43,810 | | | | 240,001 | | |
| Sixth Street Specialty Lending, Inc. | | | 16,917 | | | | 350,013 | | |
| SLR Investment Corp. | | | 10,299 | | | | 163,754 | | |
| VNV Global AB* | | | 26,016 | | | | 88,656 | | |
| | | 9,706,969 | | |
| Diversified Financial Services — 18.5% | |
| Compass Diversified Holdings | | | 13,228 | | | | 300,011 | | |
| Eurazeo SE | | | 8,501 | | | | 656,177 | | |
| Kinnevik AB, Class B*(a) | | | 53,864 | | | | 1,074,693 | | |
| Wendel SE | | | 5,792 | | | | 595,374 | | |
| | | 2,626,255 | | |
Total Common Stocks
(Cost $14,212,277) | | | | | 12,333,224 | | |
| Closed End Funds — 12.6% | |
| Capital Markets — 12.6% | |
| Apax Global Alpha Ltd. (b) | | | 92,847 | | | | 214,572 | | |
HBM Healthcare Investments AG
Class A*(a) | | | 1,305 | | | | 371,419 | | |
| HgCapital Trust plc | | | 93,253 | | | | 447,706 | | |
| Oakley Capital Investments Ltd. | | | 37,798 | | | | 183,611 | | |
| Princess Private Equity Holding Ltd. | | | 14,578 | | | | 181,151 | | |
| Syncona Ltd.* | | | 145,541 | | | | 385,132 | | |
Total Closed End Funds
(Cost $1,572,057) | | | | | 1,783,591 | | |
| Securities Lending Reinvestments (c) — 0.3% | |
| Investment Companies — 0.3% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $38,824) | | | 38,824 | | | | 38,824 | | |
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 0.4% | |
| Repurchase Agreements (d) — 0.4% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $63,474
(Cost $63,472) | | $ | 63,472 | | | $ | 63,472 | | |
Total Investments — 100.2%
(Cost $15,886,630) | | | | | 14,219,111 | | |
| Liabilities in excess of other assets — (0.2%) | | | | | (25,555 | ) | |
| Net Assets — 100.0% | | | | $ | 14,193,556 | | |
* Non-income producing security.
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $264,142, collateralized in the form of cash with a value of $38,824 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $243,461 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 2.88%, and maturity dates ranging from December 31, 2022 - May 15, 2043. The total value of collateral is $282,285.
(b) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $38,824.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 897,152 | | |
| Aggregate gross unrealized depreciation | | | (3,684,151 | ) | |
| Net unrealized depreciation | | $ | (2,786,999 | ) | |
| Federal income tax cost | | $ | 17,006,110 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: GLOBAL LISTED PRIVATE EQUITY ETF PEX :: 11
Global Listed Private Equity ETF invested, as a percentage of net assets, in the following countries as of May 31, 2022:
| United States | | | 45.9 | % | |
| United Kingdom | | | 23.2 | % | |
| Sweden | | | 9.9 | % | |
| France | | | 8.8 | % | |
| Canada | | | 6.7 | % | |
| Switzerland | | | 2.6 | % | |
| Germany | | | 1.3 | % | |
| Belgium | | | 1.1 | % | |
| Othera | | | 0.5 | % | |
| | | 100.0 | % | |
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
12 :: PEX GLOBAL LISTED PRIVATE EQUITY ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks — 20.5% | |
AMC Entertainment
Holdings, Inc.,
Class A* (Entertainment) | | | 0.1 | % | | | 1,901 | | | $ | 27,260 | | |
Antero Resources Corp.*
(Oil, Gas & Consumable
Fuels) | | | 0.1 | % | | | 1,053 | | | | 45,153 | | |
Avis Budget Group, Inc.*
(Road & Rail) | | | 0.1 | % | | | 151 | | | | 28,732 | | |
Biohaven Pharmaceutical
Holding Co. Ltd.*
(Biotechnology) | | | 0.1 | % | | | 205 | | | | 29,465 | | |
BJ's Wholesale Club
Holdings, Inc.* (Food &
Staples Retailing) | | | 0.1 | % | | | 504 | | | | 29,167 | | |
Chart Industries, Inc.*
(Machinery) | | | 0.1 | % | | | 134 | | | | 23,568 | | |
Chesapeake Energy Corp.
(Oil, Gas & Consumable
Fuels) | | | 0.1 | % | | | 387 | | | | 37,686 | | |
CMC Materials, Inc.
(Semiconductors &
Semiconductor
Equipment) | | | 0.0 | % | | | 104 | | | | 18,402 | | |
EastGroup Properties, Inc.
(Equity Real Estate
Investment Trusts (REITs)) | | | 0.1 | % | | | 148 | | | | 23,909 | | |
EMCOR Group, Inc.
(Construction & Engineering) | | | 0.0 | % | | | 197 | | | | 20,809 | | |
First Financial Bankshares,
Inc. (Banks) | | | 0.0 | % | | | 480 | | | | 19,795 | | |
| Glacier Bancorp, Inc. (Banks) | | | 0.0 | % | | | 405 | | | | 19,606 | | |
Halozyme Therapeutics,
Inc.* (Biotechnology) | | | 0.1 | % | | | 509 | | | | 23,404 | | |
HealthEquity, Inc.* (Health
Care Providers & Services) | | | 0.0 | % | | | 302 | | | | 18,899 | | |
Helmerich & Payne, Inc.
(Energy Equipment &
Services) | | | 0.0 | % | | | 380 | | | | 19,133 | | |
II-VI, Inc.* (Electronic
Equipment, Instruments &
Components) | | | 0.1 | % | | | 391 | | | | 24,437 | | |
Independence Realty Trust,
Inc. (Equity Real Estate
Investment Trusts (REITs)) | | | 0.0 | % | | | 814 | | | | 19,137 | | |
KBR, Inc. (Professional
Services) | | | 0.1 | % | | | 519 | | | | 25,825 | | |
Lattice Semiconductor
Corp.* (Semiconductors &
Semiconductor Equipment) | | | 0.1 | % | | | 500 | | | | 26,010 | | |
LHC Group, Inc.* (Health
Care Providers & Services) | | | 0.0 | % | | | 113 | | | | 18,833 | | |
Light & Wonder, Inc.* (Hotels,
Restaurants & Leisure) | | | 0.0 | % | | | 355 | | | | 18,744 | | |
| Livent Corp.* (Chemicals) | | | 0.0 | % | | | 597 | | | | 18,979 | | |
| Macy's, Inc. (Multiline Retail) | | | 0.1 | % | | | 1,110 | | | | 26,252 | | |
Matador Resources Co.
(Oil, Gas & Consumable
Fuels) | | | 0.1 | % | | | 407 | | | | 24,786 | | |
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (continued) | |
Murphy Oil Corp. (Oil, Gas &
Consumable Fuels) | | | 0.1 | % | | | 539 | | | $ | 22,864 | | |
Murphy USA, Inc.
(Specialty Retail) | | | 0.1 | % | | | 86 | | | | 21,424 | | |
Ovintiv, Inc. (Oil, Gas &
Consumable Fuels) | | | 0.1 | % | | | 966 | | | | 54,086 | | |
PDC Energy, Inc. (Oil, Gas &
Consumable Fuels) | | | 0.1 | % | | | 359 | | | | 28,411 | | |
Performance Food Group Co.*
(Food & Staples Retailing) | | | 0.1 | % | | | 559 | | | | 24,227 | | |
Power Integrations, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.0 | % | | | 218 | | | | 18,395 | | |
Range Resources Corp.*
(Oil, Gas & Consumable
Fuels) | | | 0.1 | % | | | 880 | | | | 29,876 | | |
RBC Bearings, Inc.*
(Machinery) | | | 0.0 | % | | | 103 | | | | 19,198 | | |
Rogers Corp.* (Electronic
Equipment, Instruments &
Components) | | | 0.0 | % | | | 69 | | | | 18,311 | | |
| Saia, Inc.* (Road & Rail) | | | 0.0 | % | | | 98 | | | | 19,364 | | |
Sailpoint Technologies
Holdings, Inc.* (Software) | | | 0.0 | % | | | 336 | | | | 21,316 | | |
Shockwave Medical, Inc.*
(Health Care Equipment &
Supplies) | | | 0.0 | % | | | 125 | | | | 20,526 | | |
Silicon Laboratories, Inc.*
(Semiconductors &
Semiconductor Equipment) | | | 0.0 | % | | | 139 | | | | 20,733 | | |
SM Energy Co. (Oil, Gas &
Consumable Fuels) | | | 0.0 | % | | | 441 | | | | 21,287 | | |
| SouthState Corp. (Banks) | | | 0.1 | % | | | 284 | | | | 22,953 | | |
Southwest Gas Holdings, Inc.
(Gas Utilities) | | | 0.1 | % | | | 242 | | | | 22,537 | | |
Southwestern Energy Co.*
(Oil, Gas & Consumable
Fuels) | | | 0.1 | % | | | 3,743 | | | | 34,136 | | |
STAG Industrial, Inc. (Equity
Real Estate Investment
Trusts (REITs)) | | | 0.1 | % | | | 660 | | | | 21,978 | | |
Synaptics, Inc.*
(Semiconductors &
Semiconductor Equipment) | | | 0.1 | % | | | 145 | | | | 21,477 | | |
Tenet Healthcare Corp.*
(Health Care Providers &
Services) | | | 0.1 | % | | | 392 | | | | 25,366 | | |
Tetra Tech, Inc. (Commercial
Services & Supplies) | | | 0.1 | % | | | 199 | | | | 26,859 | | |
Texas Roadhouse, Inc. (Hotels,
Restaurants & Leisure) | | | 0.0 | % | | | 258 | | | | 20,116 | | |
United Bankshares, Inc.
(Banks) | | | 0.0 | % | | | 487 | | | | 18,292 | | |
Valley National Bancorp
(Banks) | | | 0.0 | % | | | 1,475 | | | | 18,747 | | |
WESCO International, Inc.*
(Trading Companies &
Distributors) | | | 0.0 | % | | | 164 | | | | 20,595 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: HEDGE REPLICATION ETF HDG :: 13
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (continued) | |
WillScot Mobile Mini Holdings
Corp.* (Construction &
Engineering) | | | 0.1 | % | | | 768 | | | $ | 27,441 | | |
| Other Common Stocks (a) | | | 17.7 | % | | | 390,579 | | | | 7,763,677 | | |
Total Common Stocks
(Cost $9,812,543) | | | | | | | 8,972,183 | | |
| | | | No. of
Rights | | | |
| Rights — 0.0% (b) | |
Contra Aduro
Biotech I, CVR*(a)(c)(d) | | | 0.0 | % | | | 39 | | | | — | | |
Tobira Therapeutics,
Inc., CVR*(c)(d) | | | 0.0 | % | | | 10 | | | | — | | |
| Zogenix, Inc., CVR*(c)(d) | | | 0.0 | % | | | 231 | | | | 157 | | |
| Total Rights (Cost $117) | | | | | | | 157 | | |
| | | | Shares | | | |
| Securities Lending Reinvestments (e) — 0.0% (b) | |
| Investment Companies — 0.0% (b) | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $9) | | | 0.0 | % | | | 9 | | | | 9 | | |
| | | | Principal
Amount | | | |
| Short-Term Investments — 78.7% | |
| Repurchase Agreements (f) — 4.7% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $2,063,177
(Cost $2,063,136) | | | | $ | 2,063,136 | | | | 2,063,136 | | |
| U.S. Treasury Obligations — 74.0% | |
U.S. Treasury Bills
0.90%, 8/4/2022 (g)
(Cost $32,468,327) | | | | | 32,520,000 | | | | 32,467,844 | | |
Total Short-Term Investments
(Cost $34,531,463) | | | | | | | 34,530,980 | | |
Total Investments — 99.2%
(Cost $44,344,132) | | | | | | | 43,503,329 | | |
| Other assets less liabilities — 0.8% | | | | | | | 358,528 | | |
| Net Assets — 100.0% | | | | | | $ | 43,861,857 | | |
* Non-income producing security.
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $4,995, collateralized in the form of cash with a value of $9 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $5,334 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.75%, and maturity dates ranging from June 30, 2022 - November 15, 2051. The total value of collateral is $5,343.
(b) Represents less than 0.05% of net assets.
(c) Illiquid security.
(d) Security fair valued as of May 31, 2022 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at May 31, 2022 amounted to $157, which represents approximately 0.00% of net assets of the Fund.
(e) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $9.
(f) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(g) The rate shown was the current yield as of May 31, 2022.
Abbreviations
CVR Contingent Value Rights — No defined expiration
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 1,205,149 | | |
| Aggregate gross unrealized depreciation | | | (3,746,677 | ) | |
| Net unrealized depreciation | | $ | (2,541,528 | ) | |
| Federal income tax cost | | $ | 44,594,896 | | |
Futures Contracts Purchased
Hedge Replication ETF had the following open long futures contracts as of May 31, 2022:
| | |
Number of
Contracts | |
Expiration Date | |
Trading
Currency | |
Notional Amount | | Value and
Unrealized
Appreciation | |
| E-Mini Euro | | | 111 | | | 6/13/2022 | | USD | $ | | | | 7,451,569 | | | $ | 121,549 | | |
See accompanying notes to the financial statements.
14 :: HDG HEDGE REPLICATION ETF :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
Hedge Replication ETF had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 57,785 | | |
4/10/2023 | | Credit Suisse
International | | | 1.28 | % | | Russell 2000®
Total Return Index | | | (17,778 | ) | | | | | | | | | | | | | |
| 830,757 | | |
4/10/2023 | |
Credit Suisse
International | | | 1.13 | % | | iShares®
MSCI Emerging
Markets ETFf | | | (158,779 | ) | | | | | | | | | | | | | |
| 888,542 | | | | | | | | | | | | | | | | | | | | (176,557 | ) | | | — | | | | 176,557 | | | | — | | |
| 255,455 | | |
4/10/2023 | | Morgan
Stanley & Co.
International plc | | | 1.28 | % | | iShares®
MSCI Emerging
Markets ETFf | | | (46,952 | ) | | | — | | | | 46,952 | | | | — | | |
| 214,365 | | |
3/7/2023 | | Societe
Generale | | | 1.18 | % | | Russell 2000®
Total Return Index | | | (117,335 | ) | | | | | | | | | | | | | |
| 739,655 | | |
3/7/2023 | | Societe
Generale | | | 1.33 | % | | S&P 500®
Total Return Index | | | 1,060 | | | | | | | | | | | | | | |
| 1,243,727 | | |
3/7/2023 | | Societe
Generale | | | 1.33 | % | | iShares®
MSCI EAFE ETFf | | | (145,078 | ) | | | | | | | | | | | | | |
| 1,484,174 | | |
3/7/2023 | |
Societe
Generale | | | 0.58 | % | | iShares®
MSCI Emerging
Markets ETFf | | | (298,086 | ) | | | | | | | | | | | | | |
| 3,681,921 | | | | | | | | | | | | | | | | | | | | (559,439 | ) | | | — | | | | 559,439 | | | | — | | |
| 54,057 | | |
3/7/2023 | |
UBS AG | | | 0.83 | % | | Russell 2000®
Total Return Index | | | (119,846 | ) | | | | | | | | | | | | | |
| 326,180 | | |
11/6/2023 | |
UBS AG | | | 0.63 | % | | iShares®
MSCI Emerging
Markets ETFf | | | (435,703 | ) | | | | | | | | | | | | | |
| 939,008 | | |
1/8/2024 | |
UBS AG | | | 1.03 | % | | iShares®
MSCI EAFE ETFf | | | (233,013 | ) | | | | | | | | | | | | | |
| 1,319,245 | | | | | | | | | | | | | | | | | | | | (788,562 | ) | | | — | | | | 788,562 | | | | — | | |
| 6,145,163 | | | | | | | | | | | | | | | | | | | | (1,571,510 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 1,060 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (1,572,570 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: HEDGE REPLICATION ETF HDG :: 15
Hedge Replication ETF invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
| Aerospace & Defense | | | 0.2 | % | |
| Air Freight & Logistics | | | 0.1 | % | |
| Airlines | | | 0.1 | % | |
| Auto Components | | | 0.3 | % | |
| Automobiles | | | 0.0 | %* | |
| Banks | | | 1.9 | % | |
| Beverages | | | 0.1 | % | |
| Biotechnology | | | 1.2 | % | |
| Building Products | | | 0.3 | % | |
| Capital Markets | | | 0.3 | % | |
| Chemicals | | | 0.4 | % | |
| Commercial Services & Supplies | | | 0.4 | % | |
| Communications Equipment | | | 0.1 | % | |
| Construction & Engineering | | | 0.3 | % | |
| Construction Materials | | | 0.0 | %* | |
| Consumer Finance | | | 0.2 | % | |
| Containers & Packaging | | | 0.1 | % | |
| Distributors | | | 0.0 | %* | |
| Diversified Consumer Services | | | 0.1 | % | |
| Diversified Financial Services | | | 0.0 | %* | |
| Diversified Telecommunication Services | | | 0.1 | % | |
| Electric Utilities | | | 0.1 | % | |
| Electrical Equipment | | | 0.2 | % | |
| Electronic Equipment, Instruments & Components | | | 0.5 | % | |
| Energy Equipment & Services | | | 0.3 | % | |
| Entertainment | | | 0.1 | % | |
| Equity Real Estate Investment Trusts (REITs) | | | 1.5 | % | |
| Food & Staples Retailing | | | 0.2 | % | |
| Food Products | | | 0.2 | % | |
| Gas Utilities | | | 0.3 | % | |
| Health Care Equipment & Supplies | | | 0.7 | % | |
| Health Care Providers & Services | | | 0.6 | % | |
| Health Care Technology | | | 0.1 | % | |
| Hotels, Restaurants & Leisure | | | 0.5 | % | |
| Household Durables | | | 0.4 | % | |
| Household Products | | | 0.1 | % | |
| Independent Power and Renewable Electricity Producers | | | 0.1 | % | |
| Insurance | | | 0.4 | % | |
| Interactive Media & Services | | | 0.1 | % | |
| Internet & Direct Marketing Retail | | | 0.1 | % | |
| IT Services | | | 0.3 | % | |
| Leisure Products | | | 0.1 | % | |
| Life Sciences Tools & Services | | | 0.1 | % | |
| Machinery | | | 0.7 | % | |
| Marine | | | 0.0 | %* | |
| Media | | | 0.2 | % | |
| Metals & Mining | | | 0.3 | % | |
| Mortgage Real Estate Investment Trusts (REITs) | | | 0.3 | % | |
| Multiline Retail | | | 0.1 | % | |
| Multi-Utilities | | | 0.1 | % | |
| Oil, Gas & Consumable Fuels | | | 1.4 | % | |
See accompanying notes to the financial statements.
16 :: HDG HEDGE REPLICATION ETF :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Paper & Forest Products | | | 0.0 | %* | |
| Personal Products | | | 0.1 | % | |
| Pharmaceuticals | | | 0.3 | % | |
| Professional Services | | | 0.4 | % | |
| Real Estate Management & Development | | | 0.1 | % | |
| Road & Rail | | | 0.2 | % | |
| Semiconductors & Semiconductor Equipment | | | 0.7 | % | |
| Software | | | 1.0 | % | |
| Specialty Retail | | | 0.5 | % | |
| Technology Hardware, Storage & Peripherals | | | 0.0 | %* | |
| Textiles, Apparel & Luxury Goods | | | 0.1 | % | |
| Thrifts & Mortgage Finance | | | 0.3 | % | |
| Tobacco | | | 0.0 | %* | |
| Trading Companies & Distributors | | | 0.4 | % | |
| Water Utilities | | | 0.1 | % | |
| Wireless Telecommunication Services | | | 0.0 | %* | |
| Othera | | | 79.5 | % | |
| | | 100.0 | % | |
* Amount represents less than 0.05%.
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: HEDGE REPLICATION ETF HDG :: 17
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds — 95.6% | |
| Aerospace & Defense — 3.1% | |
| Bombardier, Inc. | |
| 7.88%, 4/15/2027 (a)(b) | | $ | 1,330,000 | | | $ | 1,217,781 | | |
| Rolls-Royce plc | |
| 5.75%, 10/15/2027 (b) | | | 486,000 | | | | 483,585 | | |
| Spirit AeroSystems, Inc. | |
| 7.50%, 4/15/2025 (b) | | | 480,000 | | | | 481,200 | | |
| TransDigm, Inc. | |
| 6.25%, 3/15/2026 (b) | | | 1,281,000 | | | | 1,309,925 | | |
| 5.50%, 11/15/2027 | | | 1,074,000 | | | | 1,028,237 | | |
| | | 4,520,728 | | |
| Airlines — 3.7% | |
| Air Canada | |
| 3.88%, 8/15/2026 (b) | | | 494,000 | | | | 460,433 | | |
| American Airlines, Inc. | |
| 5.50%, 4/20/2026 (b) | | | 1,784,000 | | | | 1,763,484 | | |
| 5.75%, 4/20/2029 (b) | | | 993,000 | | | | 961,323 | | |
| Hawaiian Brand Intellectual Property Ltd. | |
| 5.75%, 1/20/2026 (b) | | | 522,000 | | | | 514,812 | | |
| United Airlines, Inc. | |
| 4.38%, 4/15/2026 (b) | | | 421,000 | | | | 407,465 | | |
| 4.63%, 4/15/2029 (b) | | | 1,305,000 | | | | 1,226,700 | | |
| | | 5,334,217 | | |
| Auto Components — 1.7% | |
| Allison Transmission, Inc. | |
| 3.75%, 1/30/2031 (b) | | | 621,000 | | | | 531,789 | | |
| Clarios Global LP | |
| 8.50%, 5/15/2027 (b) | | | 837,000 | | | | 834,907 | | |
| Icahn Enterprises LP | |
| 6.25%, 5/15/2026 | | | 921,000 | | | | 926,942 | | |
| 5.25%, 5/15/2027 | | | 169,000 | | | | 163,384 | | |
| | | 2,457,022 | | |
| Automobiles — 0.9% | |
| Aston Martin Capital Holdings Ltd. | |
| 10.50%, 11/30/2025 (b) | | | 463,000 | | | | 455,405 | | |
| Ford Motor Co. | |
| 3.25%, 2/12/2032 | | | 957,000 | | | | 803,097 | | |
| | | 1,258,502 | | |
| Building Products — 1.2% | |
| Builders FirstSource, Inc. | |
| 4.25%, 2/1/2032 (b) | | | 541,000 | | | | 481,328 | | |
| SRM Escrow Issuer LLC | |
| 6.00%, 11/1/2028 (b) | | | 425,000 | | | | 396,797 | | |
| Standard Industries, Inc. | |
| 4.38%, 7/15/2030 (b) | | | 381,000 | | | | 340,995 | | |
| 3.38%, 1/15/2031 (b) | | | 554,000 | | | | 467,188 | | |
| | | 1,686,308 | | |
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| Capital Markets — 2.1% | |
| Coinbase Global, Inc. | |
| 3.63%, 10/1/2031 (b) | | $ | 1,052,000 | | | $ | 712,730 | | |
| Compass Group Diversified Holdings LLC | |
| 5.25%, 4/15/2029 (b) | | | 363,000 | | | | 327,510 | | |
| Deutsche Bank AG | |
| (SOFR + 2.76%), 3.73%, 1/14/2032 (c) | | | 765,000 | | | | 635,262 | | |
| MSCI, Inc. | |
| 4.00%, 11/15/2029 (b) | | | 850,000 | | | | 807,134 | | |
| 3.88%, 2/15/2031 (b) | | | 648,000 | | | | 604,325 | | |
| | | 3,086,961 | | |
| Chemicals — 1.6% | |
| NOVA Chemicals Corp. | |
| 4.88%, 6/1/2024 (b) | | | 891,000 | | | | 877,492 | | |
| 5.25%, 6/1/2027 (b) | | | 24,000 | | | | 23,344 | | |
| SCIH Salt Holdings, Inc. | |
| 4.88%, 5/1/2028 (b) | | | 377,000 | | | | 350,610 | | |
| Tronox, Inc. | |
| 4.63%, 3/15/2029 (b) | | | 532,000 | | | | 488,142 | | |
| WR Grace Holdings LLC | |
| 5.63%, 8/15/2029 (b) | | | 651,000 | | | | 533,820 | | |
| | | 2,273,408 | | |
| Commercial Services & Supplies — 3.7% | |
| Allied Universal Holdco LLC | |
| 6.63%, 7/15/2026 (b) | | | 1,230,000 | | | | 1,219,001 | | |
| Aramark Services, Inc. | |
| 6.38%, 5/1/2025 (b) | | | 11,000 | | | | 11,192 | | |
| 5.00%, 2/1/2028 (a)(b) | | | 1,392,000 | | | | 1,355,808 | | |
| Madison IAQ LLC | |
| 5.88%, 6/30/2029 (b) | | | 494,000 | | | | 386,555 | | |
| Nielsen Finance LLC | |
| 5.63%, 10/1/2028 (b) | | | 498,000 | | | | 494,265 | | |
| Prime Security Services Borrower LLC | |
| 5.75%, 4/15/2026 (b) | | | 1,203,000 | | | | 1,189,791 | | |
| 6.25%, 1/15/2028 (a)(b) | | | 200,000 | | | | 184,160 | | |
| Vericast Corp. | |
| 11.00%, 9/15/2026 (b) | | | 491,000 | | | | 488,545 | | |
| | | 5,329,317 | | |
| Communications Equipment — 1.0% | |
| Avaya, Inc. | |
| 6.13%, 9/15/2028 (b) | | | 488,000 | | | | 340,275 | | |
| CommScope, Inc. | |
| 6.00%, 3/1/2026 (b) | | | 924,000 | | | | 903,210 | | |
| 4.75%, 9/1/2029 (b) | | | 173,000 | | | | 152,146 | | |
| | | 1,395,631 | | |
See accompanying notes to the financial statements.
18 :: HYHG HIGH YIELD—INTEREST RATE HEDGED :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| Construction & Engineering — 0.2% | |
| Brand Industrial Services, Inc. | |
| 8.50%, 7/15/2025 (b) | | $ | 387,000 | | | $ | 317,340 | | |
| Consumer Finance — 1.8% | |
| Curo Group Holdings Corp. | |
| 7.50%, 8/1/2028 (b) | | | 208,000 | | | | 150,800 | | |
| Ford Motor Credit Co. LLC | |
| 3.38%, 11/13/2025 | | | 985,000 | | | | 944,201 | | |
| OneMain Finance Corp. | |
| 6.13%, 3/15/2024 | | | 582,000 | | | | 596,003 | | |
| 7.13%, 3/15/2026 | | | 726,000 | | | | 743,424 | | |
| VistaJet Malta Finance plc | |
| 6.38%, 2/1/2030 (b) | | | 257,000 | | | | 218,450 | | |
| | | 2,652,878 | | |
| Containers & Packaging — 1.9% | |
Ardagh Metal Packaging Finance
USA LLC | |
| 4.00%, 9/1/2029 (b) | | | 460,000 | | | | 396,704 | | |
| Ardagh Packaging Finance plc | |
| 4.13%, 8/15/2026 (b) | | | 579,000 | | | | 540,190 | | |
| Ball Corp. | |
| 2.88%, 8/15/2030 | | | 840,000 | | | | 726,118 | | |
| Clydesdale Acquisition Holdings, Inc. | |
| 8.75%, 4/15/2030 (a)(b) | | | 246,000 | | | | 219,014 | | |
| Pactiv Evergreen Group Issuer, Inc. | |
| 4.00%, 10/15/2027 (b) | | | 390,000 | | | | 352,950 | | |
| Trivium Packaging Finance BV | |
| 5.50%, 8/15/2026 (b)(d) | | | 467,000 | | | | 464,088 | | |
| | | 2,699,064 | | |
| Diversified Financial Services — 1.5% | |
| Jefferies Finance LLC | |
| 5.00%, 8/15/2028 (b) | | | 416,000 | | | | 375,174 | | |
| Midcap Financial Issuer Trust | |
| 6.50%, 5/1/2028 (b) | | | 494,000 | | | | 420,998 | | |
| MPH Acquisition Holdings LLC | |
| 5.75%, 11/1/2028 (a)(b) | | | 981,000 | | | | 873,319 | | |
| Verscend Escrow Corp. | |
| 9.75%, 8/15/2026 (b) | | | 518,000 | | | | 533,022 | | |
| | | 2,202,513 | | |
| Diversified Telecommunication Services — 6.8% | |
| Altice France SA | |
| 5.13%, 7/15/2029 (b) | | | 1,507,000 | | | | 1,315,423 | | |
| 5.50%, 10/15/2029 (b) | | | 600,000 | | | | 520,500 | | |
| CCO Holdings LLC | |
| 4.75%, 3/1/2030 (b) | | | 916,000 | | | | 848,106 | | |
| 4.25%, 2/1/2031 (b) | | | 1,640,000 | | | | 1,446,808 | | |
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| Frontier Communications Holdings LLC | |
| 5.00%, 5/1/2028 (a)(b) | | $ | 1,076,000 | | | $ | 1,000,943 | | |
| Iliad Holding SASU | |
| 6.50%, 10/15/2026 (b) | | | 671,000 | | | | 648,582 | | |
| Intelsat Jackson Holdings SA | |
| 6.50%, 3/15/2030 (b) | | | 1,000,000 | | | | 935,000 | | |
| Level 3 Financing, Inc. | |
| 4.25%, 7/1/2028 (b) | | | 92,000 | | | | 80,960 | | |
| Lumen Technologies, Inc. | |
| 5.13%, 12/15/2026 (a)(b) | | | 937,000 | | | | 866,725 | | |
| Virgin Media Secured Finance plc | |
| 5.50%, 5/15/2029 (b) | | | 535,000 | | | | 526,060 | | |
| Windstream Escrow LLC | |
| 7.75%, 8/15/2028 (b) | | | 497,000 | | | | 456,368 | | |
| Zayo Group Holdings, Inc. | |
| 4.00%, 3/1/2027 (b) | | | 1,395,000 | | | | 1,216,928 | | |
| 6.13%, 3/1/2028 (b) | | | 38,000 | | | | 30,400 | | |
| | | 9,892,803 | | |
| Electric Utilities — 2.1% | |
| FirstEnergy Corp. | |
| Series C, 5.35%, 7/15/2047 (d) | | | 262,000 | | | | 243,154 | | |
| NRG Energy, Inc. | |
| 3.63%, 2/15/2031 (b) | | | 27,000 | | | | 23,693 | | |
| 3.88%, 2/15/2032 (b) | | | 927,000 | | | | 814,416 | | |
| PG&E Corp. | |
| 5.00%, 7/1/2028 (a) | | | 164,000 | | | | 154,973 | | |
| 5.25%, 7/1/2030 | | | 777,000 | | | | 716,775 | | |
| Vistra Operations Co. LLC | |
| 5.63%, 2/15/2027 (b) | | | 725,000 | | | | 725,362 | | |
| 5.00%, 7/31/2027 (b) | | | 406,000 | | | | 397,192 | | |
| | | 3,075,565 | | |
| Electrical Equipment — 0.4% | |
| Sensata Technologies BV | |
| 4.00%, 4/15/2029 (b) | | | 601,000 | | | | 578,282 | | |
| Energy Equipment & Services — 0.5% | |
| Weatherford International Ltd. | |
| 8.63%, 4/30/2030 (b) | | | 791,000 | | | | 745,623 | | |
| Entertainment — 1.2% | |
| Lions Gate Capital Holdings LLC | |
| 5.50%, 4/15/2029 (b) | | | 498,000 | | | | 433,260 | | |
| Live Nation Entertainment, Inc. | |
| 6.50%, 5/15/2027 (b) | | | 864,000 | | | | 894,810 | | |
| ROBLOX Corp. | |
| 3.88%, 5/1/2030 (a)(b) | | | 449,000 | | | | 398,443 | | |
| | | 1,726,513 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: HIGH YIELD—INTEREST RATE HEDGED HYHG :: 19
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| Equity Real Estate Investment Trusts (REITs) — 3.0% | |
| Diversified Healthcare Trust | |
| 9.75%, 6/15/2025 | | $ | 367,000 | | | $ | 385,130 | | |
| HAT Holdings I LLC | |
| 3.38%, 6/15/2026 (b) | | | 427,000 | | | | 394,516 | | |
| Iron Mountain, Inc. | |
| 5.25%, 7/15/2030 (b) | | | 215,000 | | | | 206,155 | | |
| 4.50%, 2/15/2031 (b) | | | 948,000 | | | | 850,453 | | |
| SBA Communications Corp. | |
| 3.88%, 2/15/2027 | | | 126,000 | | | | 123,354 | | |
| 3.13%, 2/1/2029 | | | 1,297,000 | | | | 1,160,815 | | |
| Uniti Group LP | |
| 7.88%, 2/15/2025 (b) | | | 772,000 | | | | 792,535 | | |
| 6.50%, 2/15/2029 (b) | | | 600,000 | | | | 507,000 | | |
| | | 4,419,958 | | |
| Food & Staples Retailing — 1.6% | |
| Albertsons Cos., Inc. | |
| 4.63%, 1/15/2027 (b) | | | 645,000 | | | | 624,212 | | |
| 3.50%, 3/15/2029 (b) | | | 488,000 | | | | 424,711 | | |
| Performance Food Group, Inc. | |
| 5.50%, 10/15/2027 (b) | | | 777,000 | | | | 764,211 | | |
| 4.25%, 8/1/2029 (b) | | | 100,000 | | | | 88,846 | | |
| US Foods, Inc. | |
| 6.25%, 4/15/2025 (b) | | | 488,000 | | | | 502,030 | | |
| | | 2,404,010 | | |
| Food Products — 1.5% | |
| NBM US Holdings, Inc. | |
| 7.00%, 5/14/2026 (b) | | | 397,000 | | | | 410,101 | | |
| Pilgrim's Pride Corp. | |
| 4.25%, 4/15/2031 (b) | | | 520,000 | | | | 484,242 | | |
| Post Holdings, Inc. | |
| 4.63%, 4/15/2030 (b) | | | 548,000 | | | | 492,926 | | |
| 4.50%, 9/15/2031 (b) | | | 984,000 | | | | 863,322 | | |
| | | 2,250,591 | | |
| Health Care Equipment & Supplies — 2.0% | |
| Avantor Funding, Inc. | |
| 4.63%, 7/15/2028 (b) | | | 613,000 | | | | 596,774 | | |
| Mozart Debt Merger Sub, Inc. | |
| 3.88%, 4/1/2029 (b) | | | 1,142,000 | | | | 1,032,083 | | |
| 5.25%, 10/1/2029 (a)(b) | | | 1,402,000 | | | | 1,239,017 | | |
| | | 2,867,874 | | |
| Health Care Providers & Services — 4.6% | |
| Community Health Systems, Inc. | |
| 8.00%, 3/15/2026 (b) | | | 921,000 | | | | 921,405 | | |
| 5.63%, 3/15/2027 (b) | | | 794,000 | | | | 740,445 | | |
| DaVita, Inc. | |
| 4.63%, 6/1/2030 (b) | | | 1,814,000 | | | | 1,576,152 | | |
| 3.75%, 2/15/2031 (b) | | | 206,000 | | | | 168,061 | | |
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| Envision Healthcare Corp. | |
| 8.75%, 10/15/2026 (b) | | $ | 480,000 | | | $ | 144,000 | | |
| RegionalCare Hospital Partners Holdings, Inc. | |
| 9.75%, 12/1/2026 (b) | | | 548,000 | | | | 557,524 | | |
| Select Medical Corp. | |
| 6.25%, 8/15/2026 (b) | | | 469,000 | | | | 467,860 | | |
| Tenet Healthcare Corp. | |
| 4.88%, 1/1/2026 (b) | | | 1,448,000 | | | | 1,447,276 | | |
| 6.13%, 10/1/2028 (b) | | | 698,000 | | | | 677,297 | | |
| | | 6,700,020 | | |
| Health Care Technology — 0.3% | |
| IQVIA, Inc. | |
| 5.00%, 5/15/2027 (b) | | | 490,000 | | | | 488,775 | | |
| Hotels, Restaurants & Leisure — 8.5% | |
| 1011778 BC ULC | |
| 3.88%, 1/15/2028 (b) | | | 1,156,000 | | | | 1,094,848 | | |
| 4.00%, 10/15/2030 (b) | | | 1,251,000 | | | | 1,097,752 | | |
| Caesars Entertainment, Inc. | |
| 6.25%, 7/1/2025 (b) | | | 767,000 | | | | 776,189 | | |
| 8.13%, 7/1/2027 (b) | | | 1,172,000 | | | | 1,192,158 | | |
| Carnival Corp. | |
| 5.75%, 3/1/2027 (b) | | | 1,367,000 | | | | 1,209,795 | | |
| 4.00%, 8/1/2028 (b) | | | 1,283,000 | | | | 1,163,168 | | |
| CDI Escrow Issuer, Inc. | |
| 5.75%, 4/1/2030 (b) | | | 500,000 | | | | 489,995 | | |
| Cedar Fair LP | |
| 5.50%, 5/1/2025 (b) | | | 455,000 | | | | 461,920 | | |
| Fertitta Entertainment LLC | |
| 4.63%, 1/15/2029 (b) | | | 177,000 | | | | 161,070 | | |
| 6.75%, 1/15/2030 (b) | | | 739,000 | | | | 638,984 | | |
| Hilton Domestic Operating Co., Inc. | |
| 4.00%, 5/1/2031 (b) | | | 293,000 | | | | 269,194 | | |
| 3.63%, 2/15/2032 (b) | | | 1,366,000 | | | | 1,196,206 | | |
| Mohegan Gaming & Entertainment | |
| 8.00%, 2/1/2026 (b) | | | 463,000 | | | | 428,048 | | |
| NCL Corp. Ltd. | |
| 5.88%, 3/15/2026 (b) | | | 941,000 | | | | 842,214 | | |
| Royal Caribbean Cruises Ltd. | |
| 11.50%, 6/1/2025 (b) | | | 480,000 | | | | 520,306 | | |
| 5.50%, 4/1/2028 (b) | | | 730,000 | | | | 616,054 | | |
| Yum! Brands, Inc. | |
| 3.63%, 3/15/2031 | | | 310,000 | | | | 274,177 | | |
| | | 12,432,078 | | |
| Independent Power and Renewable Electricity Producers — 0.8% | |
| Calpine Corp. | |
| 4.50%, 2/15/2028 (b) | | | 796,000 | | | | 760,936 | | |
| 5.13%, 3/15/2028 (b) | | | 405,000 | | | | 377,966 | | |
| | | 1,138,902 | | |
See accompanying notes to the financial statements.
20 :: HYHG HIGH YIELD—INTEREST RATE HEDGED :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| Insurance — 1.3% | |
| Alliant Holdings Intermediate LLC | |
| 6.75%, 10/15/2027 (b) | | $ | 553,000 | | | $ | 533,756 | | |
| HUB International Ltd. | |
| 7.00%, 5/1/2026 (b) | | | 552,000 | | | | 550,747 | | |
| NFP Corp. | |
| 6.88%, 8/15/2028 (b) | | | 871,000 | | | | 756,899 | | |
| | | 1,841,402 | | |
| Interactive Media & Services — 0.2% | |
| Twitter, Inc. | |
| 5.00%, 3/1/2030 (b) | | | 340,000 | | | | 337,450 | | |
| Internet & Direct Marketing Retail — 0.0% (e) | |
| Rakuten Group, Inc. | |
(US Treasury Yield Curve
Rate T Note Constant
Maturity 5 Year + 4.96%),
6.25%, 4/22/2031 (b)(c)(f) | | | 33,000 | | | | 28,298 | | |
| IT Services — 0.8% | |
| Black Knight InfoServ LLC | |
| 3.63%, 9/1/2028 (b) | | | 407,000 | | | | 381,563 | | |
| Block, Inc. | |
| 2.75%, 6/1/2026 (a)(b) | | | 893,000 | | | | 823,636 | | |
| | | 1,205,199 | | |
| Machinery — 0.4% | |
| TK Elevator US Newco, Inc. | |
| 5.25%, 7/15/2027 (b) | | | 549,000 | | | | 537,439 | | |
| Media — 10.0% | |
| AMC Networks, Inc. | |
| 4.25%, 2/15/2029 | | | 440,000 | | | | 400,137 | | |
| Clear Channel Outdoor Holdings, Inc. | |
| 5.13%, 8/15/2027 (b) | | | 775,000 | | | | 713,387 | | |
| 7.50%, 6/1/2029 (b) | | | 300,000 | | | | 243,810 | | |
| CSC Holdings LLC | |
| 5.75%, 1/15/2030 (b) | | | 1,025,000 | | | | 848,188 | | |
| 4.63%, 12/1/2030 (b) | | | 923,000 | | | | 724,924 | | |
| Diamond Sports Group LLC | |
| 5.38%, 8/15/2026 (b) | | | 500,000 | | | | 165,000 | | |
| 6.63%, 8/15/2027 (b) | | | 2,488,000 | | | | 472,720 | | |
| Directv Financing LLC | |
| 5.88%, 8/15/2027 (b) | | | 1,496,000 | | | | 1,410,728 | | |
| DISH DBS Corp. | |
| 5.25%, 12/1/2026 (b) | | | 2,234,000 | | | | 1,888,965 | | |
| Gray Escrow II, Inc. | |
| 5.38%, 11/15/2031 (b) | | | 458,000 | | | | 415,488 | | |
| iHeartCommunications, Inc. | |
| 8.38%, 5/1/2027 (a) | | | 648,000 | | | | 605,232 | | |
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| News Corp. | |
| 3.88%, 5/15/2029 (b) | | $ | 463,000 | | | $ | 426,548 | | |
| Nexstar Media, Inc. | |
| 5.63%, 7/15/2027 (b) | | | 762,000 | | | | 762,674 | | |
| 4.75%, 11/1/2028 (b) | | | 552,000 | | | | 520,260 | | |
| Radiate Holdco LLC | |
| 6.50%, 9/15/2028 (b) | | | 449,000 | | | | 373,159 | | |
| Sirius XM Radio, Inc. | |
| 4.00%, 7/15/2028 (b) | | | 816,000 | | | | 756,718 | | |
| Stagwell Global LLC | |
| 5.63%, 8/15/2029 (b) | | | 533,000 | | | | 479,354 | | |
| TEGNA, Inc. | |
| 4.63%, 3/15/2028 | | | 717,000 | | | | 700,739 | | |
| 5.00%, 9/15/2029 (a) | | | 347,000 | | | | 339,798 | | |
| Terrier Media Buyer, Inc. | |
| 8.88%, 12/15/2027 (b) | | | 446,000 | | | | 404,295 | | |
| Univision Communications, Inc. | |
| 6.63%, 6/1/2027 (b) | | | 226,000 | | | | 226,647 | | |
| 4.50%, 5/1/2029 (b) | | | 924,000 | | | | 843,150 | | |
| UPC Broadband Finco BV | |
| 4.88%, 7/15/2031 (b) | | | 497,000 | | | | 455,815 | | |
| VZ Secured Financing BV | |
| 5.00%, 1/15/2032 (b) | | | 400,000 | | | | 361,875 | | |
| | | 14,539,611 | | |
| Metals & Mining — 1.3% | |
| First Quantum Minerals Ltd. | |
| 6.88%, 10/15/2027 (b) | | | 1,221,000 | | | | 1,218,071 | | |
| FMG Resources August 2006 Pty. Ltd. | |
| 4.38%, 4/1/2031 (b) | | | 120,000 | | | | 107,044 | | |
| Novelis Corp. | |
| 4.75%, 1/30/2030 (b) | | | 674,000 | | | | 638,652 | | |
| | | 1,963,767 | | |
| Multiline Retail — 0.2% | |
| NMG Holding Co., Inc. | |
| 7.13%, 4/1/2026 (b) | | | 304,000 | | | | 301,443 | | |
| Oil, Gas & Consumable Fuels — 9.0% | |
| Cheniere Energy Partners LP | |
| 4.50%, 10/1/2029 | | | 1,279,000 | | | | 1,251,924 | | |
| CITGO Petroleum Corp. | |
| 7.00%, 6/15/2025 (b) | | | 428,000 | | | | 429,284 | | |
| Comstock Resources, Inc. | |
| 6.75%, 3/1/2029 (b) | | | 646,000 | | | | 645,092 | | |
| CQP Holdco LP | |
| 5.50%, 6/15/2031 (b) | | | 587,000 | | | | 556,002 | | |
| CrownRock LP | |
| 5.63%, 10/15/2025 (b) | | | 525,000 | | | | 529,064 | | |
| DT Midstream, Inc. | |
| 4.38%, 6/15/2031 (b) | | | 2,003,000 | | | | 1,871,758 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: HIGH YIELD—INTEREST RATE HEDGED HYHG :: 21
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| Endeavor Energy Resources LP | |
| 5.75%, 1/30/2028 (b) | | $ | 202,000 | | | $ | 206,006 | | |
| EQM Midstream Partners LP | |
| 4.75%, 1/15/2031 (b) | | | 407,000 | | | | 353,072 | | |
| Genesis Energy LP | |
| 8.00%, 1/15/2027 | | | 430,000 | | | | 424,148 | | |
| ITT Holdings LLC | |
| 6.50%, 8/1/2029 (b) | | | 509,000 | | | | 436,162 | | |
| Matador Resources Co. | |
| 5.88%, 9/15/2026 | | | 381,000 | | | | 384,810 | | |
| MEG Energy Corp. | |
| 7.13%, 2/1/2027 (b) | | | 328,000 | | | | 343,285 | | |
| New Fortress Energy, Inc. | |
| 6.75%, 9/15/2025 (b) | | | 523,000 | | | | 514,867 | | |
| 6.50%, 9/30/2026 (b) | | | 697,000 | | | | 677,345 | | |
| NGL Energy Operating LLC | |
| 7.50%, 2/1/2026 (b) | | | 819,000 | | | | 767,812 | | |
| Occidental Petroleum Corp. | |
| 6.45%, 9/15/2036 | | | 1,033,000 | | | | 1,155,586 | | |
| PBF Holding Co. LLC | |
| 9.25%, 5/15/2025 (b) | | | 413,000 | | | | 430,573 | | |
| Southwestern Energy Co. | |
| 5.38%, 3/15/2030 | | | 251,000 | | | | 255,047 | | |
| 4.75%, 2/1/2032 | | | 804,000 | | | | 783,062 | | |
| Tullow Oil plc | |
| 10.25%, 5/15/2026 (b) | | | 660,000 | | | | 641,395 | | |
| Venture Global Calcasieu Pass LLC | |
| 4.13%, 8/15/2031 (b) | | | 455,000 | | | | 427,141 | | |
| 3.88%, 11/1/2033 (b) | | | 126,000 | | | | 114,874 | | |
| | | 13,198,309 | | |
| Pharmaceuticals — 2.8% | |
| Bausch Health Americas, Inc. | |
| 8.50%, 1/31/2027 (a)(b) | | | 858,000 | | | | 681,595 | | |
| Bausch Health Cos., Inc. | |
| 5.50%, 11/1/2025 (b) | | | 577,000 | | | | 544,671 | | |
| Organon & Co. | |
| 4.13%, 4/30/2028 (b) | | | 1,588,000 | | | | 1,524,548 | | |
| 5.13%, 4/30/2031 (b) | | | 671,000 | | | | 643,086 | | |
| Par Pharmaceutical, Inc. | |
| 7.50%, 4/1/2027 (b) | | | 843,000 | | | | 659,647 | | |
| | | 4,053,547 | | |
| Real Estate Management & Development — 0.3% | |
| Realogy Group LLC | |
| 5.25%, 4/15/2030 (b) | | | 524,000 | | | | 455,705 | | |
| Road & Rail — 1.2% | |
| Hertz Corp. (The) | |
| 5.00%, 12/1/2029 (b) | | | 468,000 | | | | 409,486 | | |
| Uber Technologies, Inc. | |
| 8.00%, 11/1/2026 (b) | | | 1,354,000 | | | | 1,399,366 | | |
| | | 1,808,852 | | |
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| Software — 1.8% | |
| Condor Merger Sub, Inc. | |
| 7.38%, 2/15/2030 (b) | | $ | 879,000 | | | $ | 766,084 | | |
| NCR Corp. | |
| 5.13%, 4/15/2029 (b) | | | 476,000 | | | | 452,014 | | |
| SS&C Technologies, Inc. | |
| 5.50%, 9/30/2027 (b) | | | 632,000 | | | | 636,930 | | |
| Veritas US, Inc. | |
| 7.50%, 9/1/2025 (b) | | | 934,000 | | | | 817,997 | | |
| | | 2,673,025 | | |
| Specialty Retail — 2.6% | |
| Bath & Body Works, Inc. | |
| 6.63%, 10/1/2030 (b) | | | 464,000 | | | | 463,172 | | |
| Carvana Co. | |
| 10.25%, 5/1/2030 (b) | | | 500,000 | | | | 446,200 | | |
| LCM Investments Holdings II LLC | |
| 4.88%, 5/1/2029 (b) | | | 415,000 | | | | 353,787 | | |
| Michaels Cos., Inc. (The) | |
| 7.88%, 5/1/2029 (a)(b) | | | 401,000 | | | | 287,353 | | |
| PetSmart, Inc. | |
| 4.75%, 2/15/2028 (b) | | | 628,000 | | | | 577,760 | | |
| 7.75%, 2/15/2029 (b) | | | 457,000 | | | | 422,515 | | |
| Staples, Inc. | |
| 7.50%, 4/15/2026 (b) | | | 1,165,000 | | | | 1,078,382 | | |
| 10.75%, 4/15/2027 (a)(b) | | | 221,000 | | | | 181,220 | | |
| | | 3,810,389 | | |
| Thrifts & Mortgage Finance — 0.7% | |
| Rocket Mortgage LLC | |
| 3.88%, 3/1/2031 (b) | | | 1,192,000 | | | | 1,002,770 | | |
| Trading Companies & Distributors — 3.4% | |
Fortress Transportation and
Infrastructure Investors LLC | |
| 5.50%, 5/1/2028 (b) | | | 699,000 | | | | 600,930 | | |
| H&E Equipment Services, Inc. | |
| 3.88%, 12/15/2028 (b) | | | 510,000 | | | | 444,924 | | |
| Herc Holdings, Inc. | |
| 5.50%, 7/15/2027 (b) | | | 712,000 | | | | 713,780 | | |
| Imola Merger Corp. | |
| 4.75%, 5/15/2029 (b) | | | 703,000 | | | | 662,050 | | |
| United Rentals North America, Inc. | |
| 4.88%, 1/15/2028 | | | 1,277,000 | | | | 1,270,615 | | |
| WESCO Distribution, Inc. | |
| 7.13%, 6/15/2025 (b) | | | 962,000 | | | | 1,001,057 | | |
| 7.25%, 6/15/2028 (b) | | | 228,000 | | | | 239,414 | | |
| | | 4,932,770 | | |
See accompanying notes to the financial statements.
22 :: HYHG HIGH YIELD—INTEREST RATE HEDGED :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| Wireless Telecommunication Services — 1.9% | |
| Sprint Corp. | |
| 7.63%, 3/1/2026 | | $ | 159,000 | | | $ | 176,455 | | |
| T-Mobile USA, Inc. | |
| 4.75%, 2/1/2028 | | | 570,000 | | | | 572,250 | | |
| 3.50%, 4/15/2031 | | | 897,000 | | | | 824,971 | | |
| Vmed O2 UK Financing I plc | |
| 4.25%, 1/31/2031 (b) | | | 1,112,000 | | | | 978,560 | | |
| 4.75%, 7/15/2031 (b) | | | 188,000 | | | | 170,845 | | |
| | | 2,723,081 | | |
Total Corporate Bonds
(Cost $150,950,686) | | | | | 139,347,940 | | |
| | Shares | | | |
| Securities Lending Reinvestments (g) — 2.2% | |
| Investment Companies — 2.2% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $3,173,875) | | | 3,173,875 | | | | 3,173,875 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 0.5% | |
| Repurchase Agreements (h) — 0.5% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $773,951
(Cost $773,935) | | $ | 773,935 | | | | 773,935 | | |
Total Investments — 98.3%
(Cost $154,898,496) | | | | | 143,295,750 | | |
| Other assets less liabilities — 1.7% | | | | | 2,540,237 | | |
| Net Assets — 100.0% | | | | $ | 145,835,987 | | |
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was
$3,987,037, collateralized in the form of cash with a value of $3,173,875 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $1,051,926 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 15, 2022 - February 15, 2051. The total value of collateral is $4,225,801.
(b) Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration.
(c) Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the rate in effect as of May 31, 2022.
(d) Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future at a contingent upon predetermined trigger. The interest rate shown was the current rate as of May 31, 2022.
(e) Represents less than 0.05% of net assets.
(f) Perpetual security. The rate reflected was the rate in effect on May 31, 2022. The maturity date reflects the next call date.
(g) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $3,173,875.
(h) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 1,172,960 | | |
| Aggregate gross unrealized depreciation | | | (12,184,014 | ) | |
| Net unrealized depreciation | | $ | (11,011,054 | ) | |
| Federal income tax cost | | $ | 154,983,272 | | |
Futures Contracts Sold
High Yield-Interest Rate Hedged had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| U.S. Treasury 10 Year Note | | | 533 | | | 9/21/2022 | | USD | | | | $ | 63,668,516 | | | $ | 415,718 | | |
| U.S. Treasury 2 Year Note | | | 48 | | | 9/30/2022 | | USD | | | | | 10,132,875 | | | | 8,423 | | |
| U.S. Treasury 5 Year Note | | | 577 | | | 9/30/2022 | | USD | | | | | 65,173,953 | | | | 252,327 | | |
| | $ | 676,468 | | |
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: HIGH YIELD—INTEREST RATE HEDGED HYHG :: 23
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 91.6% | |
| Repurchase Agreements (a) — 91.6% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $57,972,297
(Cost $57,971,129) | | $ | 57,971,129 | | | $ | 57,971,129 | | |
Total Investments — 91.6%
(Cost $57,971,129) | | | | | 57,971,129 | | |
| Other assets less liabilities — 8.4% | | | | | 5,314,950 | | |
| Net Assets — 100.0% | | | | $ | 63,286,079 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | — | | |
| Aggregate gross unrealized depreciation | | | (2,165,666 | ) | |
| Net unrealized depreciation | | $ | (2,165,666 | ) | |
| Federal income tax cost | | $ | 57,971,129 | | |
Swap Agreementsa
Inflation Expectations ETF had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 11,361,847 | | | 2/8/2023 | |
Citibank NA | | | 0.57 | % | | FTSE 30-Year
TIPS (Treasury
Rate-Hedged)
Index (long
exposure to
30-year Treasury
Inflation-
Protected
Securities
(TIPS) bond)f | | | (126,815 | ) | | | | | | | | | | | | | |
| 54,396,082 | | | 2/8/2023 | |
Citibank NA | | | 0.48 | % | | FTSE 30-Year
TIPS (Treasury
Rate-Hedged)
Index (long
exposure to
30-year Treasury
Bond inverse
index)f | | | (1,043,099 | ) | | | | | | | | | | | | | |
| 65,757,929 | | | | | | | | | | | | (1,169,914 | ) | | | — | | | | 1,169,914 | | | | — | | |
| 47,626,489 | | | 2/8/2023 | |
Societe Generale | | | 0.37 | % | | FTSE 30-Year
TIPS (Treasury
Rate-Hedged)
Index (long
exposure to
30-year Treasury
Bond inverse
index)f | | | (504,235 | ) | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
24 :: RINF INFLATION EXPECTATIONS ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 51,868,164 | | | 2/8/2023 | | Societe Generale | | | 0.92 | % | | FTSE 30-Year
TIPS (Treasury
Rate-Hedged)
Index (long
exposure to
30-year Treasury
Inflation-
Protected
Securities
(TIPS) bond)f | | | (491,517 | ) | | | | | | | | | | | | | |
| 99,494,653 | | | | | | | | | | | | (995,752 | ) | | | — | | | | 995,752 | | | | — | | |
| 165,252,582 | | | | | | | | | | | | (2,165,666 | ) | | | | | | | | | | | | | |
| | | | | | | | | | Total Unrealized
Depreciation | | | (2,165,666 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f Certain underlying component disclosures related to this index may be found on the website at www.proshares.com/media/FTSE30-Year_TIPS_May.pdf
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: INFLATION EXPECTATIONS ETF RINF :: 25
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds — 94.8% | |
| Aerospace & Defense — 1.3% | |
| Lockheed Martin Corp. | |
| 4.07%, 12/15/2042 | | $ | 2,226,000 | | | $ | 2,177,649 | | |
| Raytheon Technologies Corp. | |
| 4.50%, 6/1/2042 | | | 6,318,000 | | | | 6,304,144 | | |
| | | 8,481,793 | | |
| Air Freight & Logistics — 0.5% | |
United Parcel Service, Inc.
6.20%, 1/15/2038 | | | 2,656,000 | | | | 3,174,276 | | |
| Automobiles — 1.2% | |
| Daimler Finance North America LLC | |
| 8.50%, 1/18/2031 | | | 2,632,000 | | | | 3,391,454 | | |
| General Motors Co. | |
| 6.25%, 10/2/2043 | | | 2,321,000 | | | | 2,373,034 | | |
| 5.20%, 4/1/2045 | | | 2,558,000 | | | | 2,312,250 | | |
| | | 8,076,738 | | |
| Banks — 25.6% | |
| Banco Santander SA | |
| 3.80%, 2/23/2028 | | | 598,000 | | | | 571,511 | | |
| 4.38%, 4/12/2028 | | | 2,402,000 | | | | 2,349,692 | | |
| 3.31%, 6/27/2029 | | | 1,944,000 | | | | 1,804,673 | | |
| 3.49%, 5/28/2030 | | | 1,690,000 | | | | 1,550,203 | | |
| Bank of America Corp. | |
| 6.11%, 1/29/2037 | | | 669,000 | | | | 761,984 | | |
| 7.75%, 5/14/2038 | | | 2,459,000 | | | | 3,209,731 | | |
| 5.88%, 2/7/2042 | | | 6,234,000 | | | | 7,087,553 | | |
| 5.00%, 1/21/2044 | | | 1,912,000 | | | | 1,969,723 | | |
| Bank of America NA | |
| 6.00%, 10/15/2036 | | | 3,213,000 | | | | 3,695,667 | | |
| Barclays plc | |
| 5.25%, 8/17/2045 | | | 1,071,000 | | | | 1,082,731 | | |
| 4.95%, 1/10/2047 | | | 4,337,000 | | | | 4,308,671 | | |
| Citigroup, Inc. | |
| 4.13%, 7/25/2028 | | | 6,797,000 | | | | 6,688,248 | | |
| 6.63%, 6/15/2032 | | | 1,929,000 | | | | 2,194,621 | | |
| 8.13%, 7/15/2039 | | | 1,190,000 | | | | 1,652,190 | | |
| 6.68%, 9/13/2043 | | | 2,820,000 | | | | 3,369,391 | | |
| 4.65%, 7/30/2045 | | | 3,210,000 | | | | 3,141,037 | | |
| 4.75%, 5/18/2046 | | | 135,000 | | | | 129,185 | | |
| Cooperatieve Rabobank UA | |
| 5.25%, 5/24/2041 | | | 2,548,000 | | | | 2,866,432 | | |
| 5.75%, 12/1/2043 | | | 762,000 | | | | 830,456 | | |
| 5.25%, 8/4/2045 | | | 2,922,000 | | | | 2,992,911 | | |
| Fifth Third Bancorp | |
| 8.25%, 3/1/2038 | | | 1,701,000 | | | | 2,285,032 | | |
| HSBC Holdings plc | |
| 4.95%, 3/31/2030 | | | 8,452,000 | | | | 8,558,867 | | |
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| 6.50%, 5/2/2036 | | $ | 4,901,000 | | | $ | 5,455,487 | | |
| 6.50%, 9/15/2037 | | | 954,000 | | | | 1,063,746 | | |
| 5.25%, 3/14/2044 | | | 3,772,000 | | | | 3,716,023 | | |
| ING Groep NV | |
| 4.55%, 10/2/2028 | | | 1,851,000 | | | | 1,849,270 | | |
| 4.05%, 4/9/2029 | | | 2,150,000 | | | | 2,073,928 | | |
| JPMorgan Chase & Co. | |
| 6.40%, 5/15/2038 | | | 3,766,000 | | | | 4,469,793 | | |
| 5.50%, 10/15/2040 | | | 75,000 | | | | 82,318 | | |
| 5.60%, 7/15/2041 | | | 3,417,000 | | | | 3,793,007 | | |
| 5.40%, 1/6/2042 | | | 2,752,000 | | | | 2,963,557 | | |
| 5.63%, 8/16/2043 | | | 4,023,000 | | | | 4,416,326 | | |
| 4.85%, 2/1/2044 | | | 149,000 | | | | 151,765 | | |
| 4.95%, 6/1/2045 | | | 2,409,000 | | | | 2,457,992 | | |
| Lloyds Banking Group plc | |
| 4.38%, 3/22/2028 | | | 1,944,000 | | | | 1,937,042 | | |
| 4.55%, 8/16/2028 | | | 1,820,000 | | | | 1,829,109 | | |
| 4.34%, 1/9/2048 | | | 4,020,000 | | | | 3,467,711 | | |
Mitsubishi UFJ Financial
Group, Inc. | |
| 3.96%, 3/2/2028 | | | 1,039,000 | | | | 1,023,609 | | |
| 4.05%, 9/11/2028 | | | 4,856,000 | | | | 4,775,483 | | |
| 3.74%, 3/7/2029 | | | 3,015,000 | | | | 2,896,215 | | |
| 3.20%, 7/18/2029 | | | 1,396,000 | | | | 1,288,767 | | |
| 2.56%, 2/25/2030 | | | 5,496,000 | | | | 4,815,270 | | |
| 3.75%, 7/18/2039 | | | 526,000 | | | | 473,100 | | |
| Mizuho Financial Group, Inc. | |
| 4.02%, 3/5/2028 | | | 2,368,000 | | | | 2,334,562 | | |
| 2.56%, 9/13/2031 | | | 1,751,000 | | | | 1,435,114 | | |
| PNC Bank NA | |
| 4.05%, 7/26/2028 | | | 2,097,000 | | | | 2,085,480 | | |
| Royal Bank of Canada | |
| 2.30%, 11/3/2031 | | | 4,445,000 | | | | 3,780,544 | | |
Sumitomo Mitsui Financial
Group, Inc. | |
| 1.90%, 9/17/2028 | | | 2,000 | | | | 1,732 | | |
| 3.04%, 7/16/2029 | | | 5,226,000 | | | | 4,778,339 | | |
| 2.75%, 1/15/2030 | | | 4,510,000 | | | | 4,009,143 | | |
| 2.13%, 7/8/2030 | | | 4,046,000 | | | | 3,416,564 | | |
| Toronto-Dominion Bank (The) | |
| 3.20%, 3/10/2032 | | | 2,000,000 | | | | 1,834,013 | | |
| Wells Fargo & Co. | |
| 5.38%, 11/2/2043 | | | 3,973,000 | | | | 4,151,795 | | |
| 5.61%, 1/15/2044 | | | 1,878,000 | | | | 2,006,858 | | |
| 4.65%, 11/4/2044 | | | 2,255,000 | | | | 2,141,683 | | |
| 3.90%, 5/1/2045 | | | 4,254,000 | | | | 3,905,252 | | |
| 4.90%, 11/17/2045 | | | 953,000 | | | | 935,388 | | |
| 4.40%, 6/14/2046 | | | 1,687,000 | | | | 1,582,505 | | |
| 4.75%, 12/7/2046 | | | 2,480,000 | | | | 2,414,369 | | |
| Wells Fargo Bank NA | |
| 6.60%, 1/15/2038 | | | 1,800,000 | | | | 2,176,334 | | |
See accompanying notes to the financial statements.
26 :: IGHG INVESTMENT GRADE—INTEREST RATE HEDGED :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| Westpac Banking Corp. | |
| 3.40%, 1/25/2028 | | $ | 1,693,000 | | | $ | 1,651,246 | | |
| 1.95%, 11/20/2028 | | | 1,885,000 | | | | 1,672,622 | | |
| 2.15%, 6/3/2031 (a) | | | 2,207,000 | | | | 1,892,113 | | |
| 4.42%, 7/24/2039 | | | 2,110,000 | | | | 1,953,856 | | |
| 2.96%, 11/16/2040 | | | 2,818,000 | | | | 2,109,901 | | |
| | | 170,369,440 | | |
| Beverages — 3.9% | |
Anheuser-Busch InBev
Worldwide, Inc. | |
| 4.95%, 1/15/2042 | | | 2,422,000 | | | | 2,431,740 | | |
| 3.75%, 7/15/2042 | | | 1,912,000 | | | | 1,638,754 | | |
| Coca-Cola Co. (The) | |
| 1.00%, 3/15/2028 | | | 4,366,000 | | | | 3,834,169 | | |
| 2.13%, 9/6/2029 | | | 711,000 | | | | 646,711 | | |
| 3.45%, 3/25/2030 | | | 2,470,000 | | | | 2,449,177 | | |
| 1.65%, 6/1/2030 | | | 1,164,000 | | | | 1,007,752 | | |
| 1.38%, 3/15/2031 | | | 48,000 | | | | 40,049 | | |
| 2.50%, 6/1/2040 | | | 5,309,000 | | | | 4,297,935 | | |
| 2.60%, 6/1/2050 | | | 3,685,000 | | | | 2,831,835 | | |
| 3.00%, 3/5/2051 | | | 4,167,000 | | | | 3,463,711 | | |
| 2.50%, 3/15/2051 | | | 1,930,000 | | | | 1,460,979 | | |
| Molson Coors Beverage Co. | |
| 5.00%, 5/1/2042 | | | 1,951,000 | | | | 1,887,074 | | |
| | | 25,989,886 | | |
| Biotechnology — 0.8% | |
AbbVie, Inc.
4.40%, 11/6/2042 | | | 5,568,000 | | | | 5,328,054 | | |
| Capital Markets — 6.3% | |
| Credit Suisse Group AG | |
| 4.88%, 5/15/2045 | | | 3,322,000 | | | | 3,082,503 | | |
| Goldman Sachs Group, Inc. (The) | |
| 6.75%, 10/1/2037 | | | 10,884,000 | | | | 12,839,934 | | |
| 6.25%, 2/1/2041 | | | 2,122,000 | | | | 2,503,677 | | |
| 5.15%, 5/22/2045 | | | 2,931,000 | | | | 3,017,974 | | |
| Jefferies Group LLC | |
| 4.15%, 1/23/2030 | | | 1,406,000 | | | | 1,321,976 | | |
| Morgan Stanley | |
| 6.38%, 7/24/2042 | | | 2,491,000 | | | | 3,016,204 | | |
| 4.30%, 1/27/2045 | | | 5,019,000 | | | | 4,779,117 | | |
| 4.38%, 1/22/2047 | | | 4,307,000 | | | | 4,146,816 | | |
| Nomura Holdings, Inc. | |
| 2.17%, 7/14/2028 | | | 896,000 | | | | 782,854 | | |
| 3.10%, 1/16/2030 | | | 3,273,000 | | | | 2,921,684 | | |
| 2.68%, 7/16/2030 | | | 2,053,000 | | | | 1,757,738 | | |
| 2.61%, 7/14/2031 | | | 1,883,000 | | | | 1,571,475 | | |
| | | 41,741,952 | | |
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| Communications Equipment — 1.3% | |
| Cisco Systems, Inc. | |
| 5.90%, 2/15/2039 | | $ | 5,489,000 | | | $ | 6,443,398 | | |
| 5.50%, 1/15/2040 | | | 2,175,000 | | | | 2,467,353 | | |
| | | 8,910,751 | | |
| Consumer Finance — 1.1% | |
| Ally Financial, Inc. | |
| 8.00%, 11/1/2031 | | | 3,556,000 | | | | 4,195,013 | | |
| American Express Co. | |
| 4.05%, 12/3/2042 | | | 1,824,000 | | | | 1,689,140 | | |
| Toyota Motor Credit Corp. | |
| 3.38%, 4/1/2030 | | | 1,793,000 | | | | 1,727,171 | | |
| | | 7,611,324 | | |
| Diversified Financial Services — 3.1% | |
| Berkshire Hathaway, Inc. | |
| 4.50%, 2/11/2043 | | | 1,556,000 | | | | 1,541,537 | | |
| Shell International Finance BV | |
| 4.13%, 5/11/2035 | | | 1,427,000 | | | | 1,420,864 | | |
| 6.38%, 12/15/2038 | | | 2,857,000 | | | | 3,499,480 | | |
| 5.50%, 3/25/2040 | | | 3,292,000 | | | | 3,679,172 | | |
| 4.55%, 8/12/2043 | | | 3,000 | | | | 3,008 | | |
| 4.38%, 5/11/2045 | | | 4,304,000 | | | | 4,231,242 | | |
| 4.00%, 5/10/2046 | | | 2,667,000 | | | | 2,494,427 | | |
| 3.75%, 9/12/2046 | | | 4,018,000 | | | | 3,612,461 | | |
| | | 20,482,191 | | |
| Diversified Telecommunication Services — 4.6% | |
| AT&T, Inc. | |
| 5.35%, 9/1/2040 | | | 1,676,000 | | | | 1,766,081 | | |
| Telefonica Emisiones SA | |
| 7.05%, 6/20/2036 | | | 2,440,000 | | | | 2,870,250 | | |
| 5.21%, 3/8/2047 | | | 4,914,000 | | | | 4,637,446 | | |
| 4.90%, 3/6/2048 | | | 1,582,000 | | | | 1,425,400 | | |
| Verizon Communications, Inc. | |
| 4.33%, 9/21/2028 | | | 2,810,000 | | | | 2,853,813 | | |
| 4.50%, 8/10/2033 | | | 2,994,000 | | | | 3,033,509 | | |
| 4.27%, 1/15/2036 | | | 3,189,000 | | | | 3,156,206 | | |
| 5.25%, 3/16/2037 | | | 2,033,000 | | | | 2,205,565 | | |
| 4.81%, 3/15/2039 | | | 3,218,000 | | | | 3,343,291 | | |
| 4.86%, 8/21/2046 | | | 4,937,000 | | | | 5,133,089 | | |
| | | 30,424,650 | | |
| Electric Utilities — 0.3% | |
| Duke Energy Florida LLC | |
| 6.40%, 6/15/2038 | | | 1,134,000 | | | | 1,369,335 | | |
| Georgia Power Co. | |
| 4.30%, 3/15/2042 | | | 425,000 | | | | 385,573 | | |
| | | 1,754,908 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: INVESTMENT GRADE—INTEREST RATE HEDGED IGHG :: 27
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| Electrical Equipment — 0.2% | |
Eaton Corp.
4.15%, 11/2/2042 | | $ | 1,365,000 | | | $ | 1,279,848 | | |
| Energy Equipment & Services — 0.7% | |
| Baker Hughes Holdings LLC | |
| 5.13%, 9/15/2040 | | | 1,921,000 | | | | 1,977,929 | | |
| Halliburton Co. | |
| 7.45%, 9/15/2039 | | | 2,008,000 | | | | 2,456,739 | | |
| | | 4,434,668 | | |
| Entertainment — 2.6% | |
| Netflix, Inc. | |
| 4.88%, 4/15/2028 | | | 3,665,000 | | | | 3,634,374 | | |
| 5.88%, 11/15/2028 | | | 2,549,000 | | | | 2,650,960 | | |
| TWDC Enterprises 18 Corp. | |
| 4.13%, 6/1/2044 | | | 4,663,000 | | | | 4,419,908 | | |
| Walt Disney Co. (The) | |
| 2.20%, 1/13/2028 | | | 278,000 | | | | 259,611 | | |
| 3.80%, 3/22/2030 | | | 4,159,000 | | | | 4,120,637 | | |
| 2.65%, 1/13/2031 | | | 742,000 | | | | 672,239 | | |
| 6.65%, 11/15/2037 | | | 1,469,000 | | | | 1,829,640 | | |
| | | 17,587,369 | | |
| Food & Staples Retailing — 0.6% | |
| Walmart, Inc. | |
| 5.25%, 9/1/2035 | | | 2,980,000 | | | | 3,423,971 | | |
| 6.50%, 8/15/2037 | | | 434,000 | | | | 563,292 | | |
| | | 3,987,263 | | |
| Food Products — 0.6% | |
| Kraft Heinz Foods Co. | |
| 5.00%, 6/4/2042 | | | 2,041,000 | | | | 1,956,484 | | |
| Unilever Capital Corp. | |
| 5.90%, 11/15/2032 | | | 1,876,000 | | | | 2,186,131 | | |
| | | 4,142,615 | | |
| Health Care Equipment & Supplies — 1.1% | |
| Medtronic, Inc. | |
| 4.38%, 3/15/2035 | | | 5,065,000 | | | | 5,300,906 | | |
| 4.63%, 3/15/2045 | | | 2,167,000 | | | | 2,285,802 | | |
| | | 7,586,708 | | |
| Health Care Providers & Services — 2.7% | |
| Anthem, Inc. | |
| 4.65%, 1/15/2043 | | | 2,056,000 | | | | 2,073,314 | | |
| Ascension Health | |
| 3.95%, 11/15/2046 | | | 1,493,000 | | | | 1,410,105 | | |
| UnitedHealth Group, Inc. | |
| 3.85%, 6/15/2028 | | | 3,773,000 | | | | 3,833,145 | | |
| 2.88%, 8/15/2029 | | | 1,353,000 | | | | 1,284,593 | | |
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| 2.00%, 5/15/2030 | | $ | 3,010,000 | | | $ | 2,651,437 | | |
| 4.63%, 7/15/2035 | | | 2,897,000 | | | | 3,035,876 | | |
| 6.88%, 2/15/2038 | | | 642,000 | | | | 816,363 | | |
| 4.75%, 7/15/2045 | | | 2,740,000 | | | | 2,857,137 | | |
| | | 17,961,970 | | |
| Household Products — 0.3% | |
| Procter & Gamble Co. (The) | |
| 3.00%, 3/25/2030 | | | 2,138,000 | | | | 2,055,627 | | |
| 1.20%, 10/29/2030 (a) | | | 61,000 | | | | 50,796 | | |
| 1.95%, 4/23/2031 | | | 40,000 | | | | 35,291 | | |
| | | 2,141,714 | | |
| Industrial Conglomerates — 2.5% | |
| GE Capital International Funding Co. Unlimited Co. | |
| 4.42%, 11/15/2035 | | | 12,231,000 | | | | 12,077,868 | | |
| General Electric Co. | |
| 6.75%, 3/15/2032 | | | 3,788,000 | | | | 4,399,573 | | |
| | | 16,477,441 | | |
| Insurance — 1.4% | |
| AXA SA | |
| 8.60%, 12/15/2030 | | | 2,240,000 | | | | 2,760,598 | | |
| MetLife, Inc. | |
| 5.70%, 6/15/2035 | | | 2,508,000 | | | | 2,835,342 | | |
| 4.88%, 11/13/2043 | | | 447,000 | | | | 460,314 | | |
| 4.05%, 3/1/2045 | | | 1,879,000 | | | | 1,743,695 | | |
| Prudential plc | |
| 3.13%, 4/14/2030 | | | 1,713,000 | | | | 1,593,753 | | |
| | | 9,393,702 | | |
| IT Services — 2.2% | |
| International Business Machines Corp. | |
| 3.50%, 5/15/2029 | | | 7,995,000 | | | | 7,722,103 | | |
| 4.15%, 5/15/2039 | | | 4,861,000 | | | | 4,544,837 | | |
| 4.00%, 6/20/2042 | | | 3,028,000 | | | | 2,742,390 | | |
| 4.25%, 5/15/2049 | | | 11,000 | | | | 10,307 | | |
| | | 15,019,637 | | |
| Machinery — 0.4% | |
Caterpillar, Inc.
3.80%, 8/15/2042 | | | 2,858,000 | | | | 2,707,895 | | |
| Media — 2.7% | |
| Comcast Corp. | |
| 4.25%, 1/15/2033 | | | 3,103,000 | | | | 3,153,624 | | |
| Paramount Global | |
| 6.88%, 4/30/2036 | | | 1,637,000 | | | | 1,837,860 | | |
| 4.38%, 3/15/2043 | | | 2,941,000 | | | | 2,445,668 | | |
| Time Warner Cable LLC | |
| 6.55%, 5/1/2037 | | | 5,870,000 | | | | 6,188,042 | | |
| 7.30%, 7/1/2038 | | | 334,000 | | | | 368,723 | | |
See accompanying notes to the financial statements.
28 :: IGHG INVESTMENT GRADE—INTEREST RATE HEDGED :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| 6.75%, 6/15/2039 | | $ | 2,803,000 | | | $ | 2,988,403 | | |
| Time Warner Entertainment Co. LP | |
| 8.38%, 7/15/2033 | | | 1,043,000 | | | | 1,260,381 | | |
| | | 18,242,701 | | |
| Metals & Mining — 3.4% | |
| BHP Billiton Finance USA Ltd. | |
| 4.13%, 2/24/2042 | | | 2,061,000 | | | | 1,976,140 | | |
| 5.00%, 9/30/2043 | | | 4,252,000 | | | | 4,548,639 | | |
| Rio Tinto Finance USA Ltd. | |
| 5.20%, 11/2/2040 | | | 1,930,000 | | | | 2,094,921 | | |
| Southern Copper Corp. | |
| 6.75%, 4/16/2040 | | | 1,465,000 | | | | 1,744,053 | | |
| 5.25%, 11/8/2042 | | | 3,790,000 | | | | 3,917,344 | | |
| 5.88%, 4/23/2045 (a) | | | 1,958,000 | | | | 2,157,540 | | |
| Vale Overseas Ltd. | |
| 6.88%, 11/21/2036 | | | 3,723,000 | | | | 4,188,040 | | |
| 6.88%, 11/10/2039 | | | 1,608,000 | | | | 1,819,468 | | |
| | | 22,446,145 | | |
| Multiline Retail — 0.3% | |
Target Corp.
4.00%, 7/1/2042 (a) | | | 1,902,000 | | | | 1,840,518 | | |
| Multi-Utilities — 0.7% | |
Berkshire Hathaway Energy Co.
6.13%, 4/1/2036 | | | 3,823,000 | | | | 4,398,812 | | |
| Oil, Gas & Consumable Fuels — 6.1% | |
| Canadian Natural Resources Ltd. | |
| 6.25%, 3/15/2038 | | | 1,926,000 | | | | 2,120,958 | | |
| Cenovus Energy, Inc. | |
| 6.75%, 11/15/2039 | | | 2,432,000 | | | | 2,740,810 | | |
| CNOOC Finance 2015 USA LLC | |
| 4.38%, 5/2/2028 | | | 2,372,000 | | | | 2,434,760 | | |
| CNOOC Petroleum North America ULC | |
| 6.40%, 5/15/2037 | | | 1,811,000 | | | | 2,007,950 | | |
| ConocoPhillips | |
| 6.50%, 2/1/2039 | | | 3,170,000 | | | | 3,911,476 | | |
| ConocoPhillips Co. | |
| 6.95%, 4/15/2029 | | | 1,681,000 | | | | 1,988,656 | | |
| Ecopetrol SA | |
| 5.88%, 5/28/2045 | | | 3,530,000 | | | | 2,877,268 | | |
| Hess Corp. | |
| 5.60%, 2/15/2041 | | | 2,320,000 | | | | 2,362,891 | | |
| Kinder Morgan Energy Partners LP | |
| 6.95%, 1/15/2038 | | | 2,033,000 | | | | 2,319,253 | | |
| Kinder Morgan, Inc. | |
| 7.75%, 1/15/2032 | | | 1,223,000 | | | | 1,465,502 | | |
| Phillips 66 | |
| 5.88%, 5/1/2042 | | | 2,593,000 | | | | 2,892,387 | | |
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| Suncor Energy, Inc. | |
| 6.50%, 6/15/2038 | | $ | 1,954,000 | | | $ | 2,236,276 | | |
| TotalEnergies Capital SA | |
| 3.88%, 10/11/2028 | | | 1,946,000 | | | | 1,961,922 | | |
| TransCanada PipeLines Ltd. | |
| 6.20%, 10/15/2037 | | | 1,534,000 | | | | 1,749,340 | | |
| 7.63%, 1/15/2039 | | | 2,370,000 | | | | 3,075,591 | | |
| Valero Energy Corp. | |
| 6.63%, 6/15/2037 | | | 2,586,000 | | | | 2,965,467 | | |
| Williams Cos., Inc. (The) | |
| 6.30%, 4/15/2040 | | | 1,352,000 | | | | 1,491,965 | | |
| | | 40,602,472 | | |
| Pharmaceuticals — 6.1% | |
| AstraZeneca plc | |
| 6.45%, 9/15/2037 | | | 5,757,000 | | | | 7,216,384 | | |
| 4.00%, 9/18/2042 | | | 1,216,000 | | | | 1,170,851 | | |
| 4.38%, 11/16/2045 | | | 24,000 | | | | 24,234 | | |
| GlaxoSmithKline Capital, Inc. | |
| 3.88%, 5/15/2028 | | | 1,962,000 | | | | 2,004,226 | | |
| 6.38%, 5/15/2038 | | | 5,859,000 | | | | 7,243,337 | | |
| Johnson & Johnson | |
| 5.95%, 8/15/2037 | | | 2,215,000 | | | | 2,733,026 | | |
| Merck & Co., Inc. | |
| 4.15%, 5/18/2043 | | | 2,387,000 | | | | 2,346,592 | | |
| Novartis Capital Corp. | |
| 4.40%, 5/6/2044 | | | 3,502,000 | | | | 3,600,213 | | |
| Pfizer, Inc. | |
| 4.00%, 12/15/2036 | | | 956,000 | | | | 957,211 | | |
| 7.20%, 3/15/2039 | | | 6,219,000 | | | | 8,400,093 | | |
| 4.40%, 5/15/2044 | | | 1,874,000 | | | | 1,897,981 | | |
| 4.13%, 12/15/2046 | | | 5,000 | | | | 4,925 | | |
| Wyeth LLC | |
| 5.95%, 4/1/2037 | | | 2,713,000 | | | | 3,245,130 | | |
| | | 40,844,203 | | |
| Software — 1.3% | |
| Oracle Corp. | |
| 6.50%, 4/15/2038 | | | 4,429,000 | | | | 4,779,230 | | |
| 6.13%, 7/8/2039 | | | 1,808,000 | | | | 1,878,092 | | |
| 5.38%, 7/15/2040 | | | 1,824,000 | | | | 1,741,641 | | |
| | | 8,398,963 | | |
| Specialty Retail — 0.9% | |
Home Depot, Inc. (The)
5.88%, 12/16/2036 | | | 4,802,000 | | | | 5,755,785 | | |
| Technology Hardware, Storage & Peripherals — 2.5% | |
| Apple, Inc. | |
| 3.85%, 5/4/2043 | | | 3,844,000 | | | | 3,708,200 | | |
| 4.45%, 5/6/2044 | | | 1,846,000 | | | | 1,922,029 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: INVESTMENT GRADE—INTEREST RATE HEDGED IGHG :: 29
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| 3.45%, 2/9/2045 | | $ | 1,293,000 | | | $ | 1,168,342 | | |
| 4.38%, 5/13/2045 | | | 6,898,000 | | | | 7,114,730 | | |
| HP, Inc. | |
| 6.00%, 9/15/2041 | | | 2,335,000 | | | | 2,455,912 | | |
| | | 16,369,213 | | |
| Tobacco — 1.3% | |
| Altria Group, Inc. | |
| 5.38%, 1/31/2044 | | | 3,402,000 | | | | 3,219,503 | | |
| Philip Morris International, Inc. | |
| 6.38%, 5/16/2038 | | | 3,018,000 | | | | 3,341,232 | | |
| 4.25%, 11/10/2044 | | | 2,228,000 | | | | 1,912,134 | | |
| | | 8,472,869 | | |
| Wireless Telecommunication Services — 4.2% | |
| America Movil SAB de CV | |
| 6.13%, 3/30/2040 | | | 3,536,000 | | | | 4,036,913 | | |
| 4.38%, 7/16/2042 | | | 2,043,000 | | | | 1,928,051 | | |
| Telefonica Europe BV | |
| 8.25%, 9/15/2030 | | | 2,773,000 | | | | 3,442,765 | | |
| Vodafone Group plc | |
| 4.38%, 5/30/2028 | | | 3,911,000 | | | | 3,985,100 | | |
| 6.15%, 2/27/2037 | | | 2,404,000 | | | | 2,695,505 | | |
| 5.00%, 5/30/2038 | | | 1,749,000 | | | | 1,751,652 | | |
| 5.25%, 5/30/2048 | | | 5,382,000 | | | | 5,399,902 | | |
| 4.88%, 6/19/2049 | | | 3,116,000 | | | | 2,987,496 | | |
| 4.25%, 9/17/2050 | | | 2,126,000 | | | | 1,879,694 | | |
| | | 28,107,078 | | |
Total Corporate Bonds
(Cost $749,443,293) | | | | | 630,545,552 | | |
| | Shares | | | |
| Securities Lending Reinvestments (b) — 0.0% (c) | |
| Investment Companies — 0.0% (c) | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $40,700) | | | 40,700 | | | | 40,700 | | |
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 0.7% | |
| Repurchase Agreements (d) — 0.7% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $4,554,872
(Cost $4,554,779) | | $ | 4,554,779 | | | $ | 4,554,779 | | |
Total Investments — 95.5%
(Cost $754,038,772) | | | | | 635,141,031 | | |
| Other assets less liabilities — 4.5% | | | | | 29,983,434 | | |
| Net Assets — 100.0% | | | | $ | 665,124,465 | | |
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $1,657,207, collateralized in the form of cash with a value of $40,700 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $1,664,083 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 30, 2022 - August 15, 2050. The total value of collateral is $1,704,783.
(b) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $40,700.
(c) Represents less than 0.05% of net assets.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 6,588,567 | | |
| Aggregate gross unrealized depreciation | | | (121,541,805 | ) | |
| Net unrealized depreciation | | $ | (114,953,238 | ) | |
| Federal income tax cost | | $ | 756,511,602 | | |
Futures Contracts Sold
Investment Grade-Interest Rate Hedged had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| U.S. Treasury 10 Year Note | | | 1,560 | | | 9/21/2022 | | USD | | | | $ | 186,346,875 | | | $ | 1,209,143 | | |
| U.S. Treasury Long Bond | | | 2,983 | | | 9/21/2022 | | USD | | | | | 415,942,063 | | | | 4,371,431 | | |
| U.S. Treasury Ultra Bond | | | 262 | | | 9/21/2022 | | USD | | | | | 40,806,500 | | | | 836,759 | | |
| | $ | 6,417,333 | | |
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
30 :: IGHG INVESTMENT GRADE—INTEREST RATE HEDGED :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 17,552,949 | | |
| Aggregate gross unrealized depreciation | | | — | | |
| Net unrealized appreciation | | $ | 17,552,949 | | |
| Federal income tax cost | | $ | — | | |
Futures Contracts Purchased
K-1 Free Crude Oil Strategy ETF had the following open long futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| WTI Crude Oil | | | 290 | | | 7/20/2022 | | USD | | | | $ | 32,453,900 | | | $ | 2,963,341 | | |
| WTI Crude Oil | | | 334 | | | 11/21/2022 | | USD | | | | | 33,874,280 | | | | 11,278,601 | | |
| WTI Crude Oil | | | 354 | | | 5/22/2023 | | USD | | | | | 32,649,420 | | | | 3,311,007 | | |
| | $ | 17,552,949 | | |
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
PROSHARES TRUST CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: K-1 FREE CRUDE OIL STRATEGY ETF OILK :: 31
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) — 94.1% | |
3M Co. (Industrial
Conglomerates) | | | 0.5 | % | | | 14,551 | | | $ | 2,172,319 | | |
Abbott Laboratories (Health
Care Equipment & Supplies) | | | 0.7 | % | | | 28,224 | | | | 3,315,191 | | |
| AbbVie, Inc. (Biotechnology) | | | 0.4 | % | | | 14,460 | | | | 2,130,970 | | |
| Adobe, Inc.* (Software) | | | 0.5 | % | | | 5,866 | | | | 2,443,072 | | |
Advanced Micro
Devices, Inc.*
(Semiconductors &
Semiconductor Equipment) | | | 0.4 | % | | | 19,535 | | | | 1,989,835 | | |
Air Products and
Chemicals, Inc. (Chemicals) | | | 0.4 | % | | | 7,608 | | | | 1,872,785 | | |
Alphabet, Inc., Class A*
(Interactive Media &
Services) | | | 1.1 | % | | | 2,395 | | | | 5,449,200 | | |
Alphabet, Inc., Class C*
(Interactive Media &
Services) | | | 1.1 | % | | | 2,183 | | | | 4,978,943 | | |
Amazon.com, Inc.*
(Internet & Direct
Marketing Retail) | | | 2.0 | % | | | 3,931 | | | | 9,450,871 | | |
Apple, Inc. (Technology
Hardware, Storage &
Peripherals) | | | 4.7 | % | | | 148,984 | | | | 22,174,779 | | |
Archer-Daniels-Midland Co.
(Food Products) | | | 0.4 | % | | | 20,966 | | | | 1,904,132 | | |
Berkshire Hathaway, Inc.,
Class B* (Diversified
Financial Services) | | | 0.9 | % | | | 13,545 | | | | 4,279,949 | | |
Booking Holdings, Inc.*
(Hotels, Restaurants &
Leisure) | | | 0.5 | % | | | 1,021 | | | | 2,290,675 | | |
Cadence Design
Systems, Inc.* (Software) | | | 0.4 | % | | | 12,425 | | | | 1,910,095 | | |
Charter Communications, Inc.,
Class A* (Media) | | | 0.4 | % | | | 3,745 | | | | 1,898,453 | | |
Chevron Corp. (Oil, Gas &
Consumable Fuels) | | | 0.4 | % | | | 10,593 | | | | 1,850,173 | | |
| Citigroup, Inc. (Banks) | | | 0.5 | % | | | 42,450 | | | | 2,267,254 | | |
| Corteva, Inc. (Chemicals) | | | 0.4 | % | | | 31,205 | | | | 1,954,057 | | |
CVS Health Corp. (Health
Care Providers & Services) | | | 0.5 | % | | | 26,059 | | | | 2,521,208 | | |
Danaher Corp. (Life Sciences
Tools & Services) | | | 0.5 | % | | | 9,738 | | | | 2,569,079 | | |
Devon Energy Corp. (Oil,
Gas & Consumable Fuels) | | | 0.4 | % | | | 26,232 | | | | 1,964,777 | | |
Emerson Electric Co.
(Electrical Equipment) | | | 0.4 | % | | | 20,917 | | | | 1,854,501 | | |
Exxon Mobil Corp. (Oil,
Gas & Consumable Fuels) | | | 1.1 | % | | | 54,184 | | | | 5,201,664 | | |
Gilead Sciences, Inc.
(Biotechnology) | | | 0.5 | % | | | 33,069 | | | | 2,144,525 | | |
Home Depot, Inc.
(The) (Specialty Retail) | | | 0.4 | % | | | 6,839 | | | | 2,070,507 | | |
Intel Corp. (Semiconductors &
Semiconductor Equipment) | | | 0.5 | % | | | 49,046 | | | | 2,178,623 | | |
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) (continued) | |
Johnson & Johnson
(Pharmaceuticals) | | | 0.8 | % | | | 22,218 | | | $ | 3,988,797 | | |
JPMorgan Chase & Co.
(Banks) | | | 0.5 | % | | | 18,926 | | | | 2,502,585 | | |
Lockheed Martin Corp.
(Aerospace & Defense) | | | 0.5 | % | | | 5,308 | | | | 2,336,104 | | |
Mastercard, Inc., Class A
(IT Services) | | | 0.4 | % | | | 5,354 | | | | 1,916,036 | | |
Merck & Co., Inc.
(Pharmaceuticals) | | | 0.6 | % | | | 31,398 | | | | 2,889,558 | | |
Meta Platforms, Inc.,
Class A* (Interactive
Media & Services) | | | 0.8 | % | | | 20,698 | | | | 4,007,960 | | |
Micron Technology, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.5 | % | | | 29,481 | | | | 2,176,877 | | |
| Microsoft Corp. (Software) | | | 4.0 | % | | | 70,715 | | | | 19,225,287 | | |
Morgan Stanley
(Capital Markets) | | | 0.5 | % | | | 25,579 | | | | 2,203,375 | | |
NVIDIA Corp.
(Semiconductors &
Semiconductor Equipment) | | | 0.8 | % | | | 20,190 | | | | 3,769,877 | | |
| Pfizer, Inc. (Pharmaceuticals) | | | 0.9 | % | | | 78,444 | | | | 4,160,670 | | |
Philip Morris
International, Inc. (Tobacco) | | | 0.4 | % | | | 19,908 | | | | 2,115,225 | | |
Phillips 66 (b) (Oil,
Gas & Consumable Fuels) | | | 0.4 | % | | | 18,794 | | | | 1,894,623 | | |
Pioneer Natural
Resources Co. (Oil,
Gas & Consumable Fuels) | | | 0.4 | % | | | 6,808 | | | | 1,892,216 | | |
Procter & Gamble Co.
(The) (Household Products) | | | 0.5 | % | | | 17,459 | | | | 2,581,837 | | |
Prologis, Inc. (Equity Real
Estate Investment Trusts
(REITs)) | | | 0.5 | % | | | 17,828 | | | | 2,272,713 | | |
Public Storage (Equity Real
Estate Investment Trusts
(REITs)) | | | 0.4 | % | | | 5,660 | | | | 1,871,422 | | |
QUALCOMM, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.4 | % | | | 14,023 | | | | 2,008,374 | | |
Regeneron
Pharmaceuticals, Inc.*
(Biotechnology) | | | 0.4 | % | | | 3,176 | | | | 2,111,214 | | |
| Tesla, Inc.* (Automobiles) | | | 1.2 | % | | | 7,452 | | | | 5,650,553 | | |
TJX Cos., Inc.
(The) (Specialty Retail) | | | 0.4 | % | | | 31,953 | | | | 2,031,252 | | |
UnitedHealth Group, Inc.
(Health Care Providers &
Services) | | | 0.7 | % | | | 6,443 | | | | 3,200,754 | | |
Verizon Communications, Inc.
(Diversified
Telecommunication Services) | | | 0.6 | % | | | 55,597 | | | | 2,851,570 | | |
| Visa, Inc., Class A (IT Services) | | | 0.4 | % | | | 9,702 | | | | 2,058,473 | | |
| Other Common Stocks (b) | | | 57.1 | % | | | 4,294,036 | | | | 271,097,605 | | |
Total Common Stocks
(Cost $376,174,859) | | | | | | | 447,652,594 | | |
See accompanying notes to the financial statements.
32 :: CSM LARGE CAP CORE PLUS :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| | | Percentage of
Net Assets | | Shares | | Value | |
| Securities Lending Reinvestments (c) — 0.6% | |
| Investment Companies — 0.6% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $2,630,055) | | | 0.6 | % | | | 2,630,055 | | | $ | 2,630,055 | | |
| | | | Principal
Amount | | | |
| Short-Term Investments — 5.4% | |
| Repurchase Agreements (d) — 5.4% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $25,669,877
(Cost $25,669,361) | | | | $ | 25,669,361 | | | | 25,669,361 | | |
Total Investments — 100.1%
(Cost $404,474,275) | | | | | | | 475,952,010 | | |
| Liabilities in excess of other assets — (0.1%) | | | | | | | (578,789 | ) | |
| Net assets — 100.0% | | | | | | $ | 475,373,221 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $61,564,730.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $7,632,482, collateralized in the form of cash with a value of $2,630,055 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $5,250,343 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 15, 2022 - February 15, 2051. The total value of collateral is $7,880,398.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $2,630,055.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 101,231,769 | | |
| Aggregate gross unrealized depreciation | | | (33,705,666 | ) | |
| Net unrealized appreciation | | $ | 67,526,103 | | |
| Federal income tax cost | | $ | 405,511,386 | | |
Swap Agreementsa
Large Cap Core Plus had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (57,204,560 | ) | | 3/7/2023 | |
Goldman Sachs
International | | | (0.93 | )% | | Credit Suisse
130/30 Large
Cap Index
(short portion)f | | | 5,510,361 | | | | (5,073,824 | ) | | | (7,738 | ) | | | 428,799 | | |
| (26,079,846 | ) | | 3/7/2023 | |
Societe Generale | | | (0.68 | )% | | Credit Suisse
130/30 Large
Cap Index
(short portion)f | | | 2,717,435 | | | | | | | | | | | | | | |
| 111,249,207 | | | 3/7/2023 | |
Societe Generale | | | 1.58 | % | | Credit Suisse
130/30 Large
Cap Index
(long portion)g | | | (10,263,868 | ) | | | | | | | | | | | | | |
| 85,169,361 | | | | | | | | | | | | | | | | | | | | (7,546,433 | ) | | | 6,297,996 | | | | 1,248,437 | | | | — | | |
| (60,761,374 | ) | | 11/6/2023 | |
UBS AG | | | (0.93 | )% | | Credit Suisse
130/30 Large
Cap Index
(short portion)f | | | 4,173,575 | | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: LARGE CAP CORE PLUS CSM :: 33
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 60,516,350 | | | 3/7/2023 | | UBS AG | | | 1.38 | % | | Credit Suisse
130/30 Large
Cap Index
(long portion)g | | | (5,052,024 | ) | | | | | | | | | | | | | |
| (245,024 | ) | | | | | | | | | | | | | | | | | | | (878,449 | ) | | | 610,101 | | | | 268,348 | | | | — | | |
| 27,719,777 | | | | | | | | | | | | | | | | | | | | (2,914,521 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized
Appreciation | | | 12,401,371 | | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized
Depreciation | | | (15,315,892 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f Certain underlying short component disclosures related to this index may be found on the website at www.proshares.com/media/Large_Cap_Short_May.pdf.
g See the Common Stocks section of the preceding Summary Schedule of Portfolio Investments for the representative long components of the underlying reference instrument and their relative weightings.
Large Cap Core Plus invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
| Aerospace & Defense | | | 1.3 | % | |
| Air Freight & Logistics | | | 0.6 | % | |
| Airlines | | | 1.3 | % | |
| Auto Components | | | 0.3 | % | |
| Automobiles | | | 1.6 | % | |
| Banks | | | 2.7 | % | |
| Beverages | | | 0.6 | % | |
| Biotechnology | | | 1.9 | % | |
| Building Products | | | 0.1 | % | |
| Capital Markets | | | 2.3 | % | |
| Chemicals | | | 2.2 | % | |
| Commercial Services & Supplies | | | 0.6 | % | |
| Communications Equipment | | | 0.5 | % | |
| Consumer Finance | | | 0.5 | % | |
| Containers & Packaging | | | 0.6 | % | |
| Distributors | | | 0.6 | % | |
| Diversified Financial Services | | | 0.9 | % | |
| Diversified Telecommunication Services | | | 1.2 | % | |
| Electric Utilities | | | 1.9 | % | |
| Electrical Equipment | | | 0.8 | % | |
| Electronic Equipment, Instruments & Components | | | 1.2 | % | |
| Energy Equipment & Services | | | 0.3 | % | |
See accompanying notes to the financial statements.
34 :: CSM LARGE CAP CORE PLUS :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Entertainment | | | 1.2 | % | |
| Equity Real Estate Investment Trusts (REITs) | | | 6.1 | % | |
| Food & Staples Retailing | | | 1.0 | % | |
| Food Products | | | 2.2 | % | |
| Health Care Equipment & Supplies | | | 2.6 | % | |
| Health Care Providers & Services | | | 2.6 | % | |
| Health Care Technology | | | 0.3 | % | |
| Hotels, Restaurants & Leisure | | | 2.8 | % | |
| Household Durables | | | 0.2 | % | |
| Household Products | | | 1.1 | % | |
| Independent Power and Renewable Electricity Producers | | | 0.3 | % | |
| Industrial Conglomerates | | | 0.6 | % | |
| Insurance | | | 4.3 | % | |
| Interactive Media & Services | | | 3.0 | % | |
| Internet & Direct Marketing Retail | | | 2.2 | % | |
| IT Services | | | 2.2 | % | |
| Life Sciences Tools & Services | | | 2.2 | % | |
| Machinery | | | 1.6 | % | |
| Media | | | 1.8 | % | |
| Metals & Mining | | | 0.4 | % | |
| Multiline Retail | | | 0.2 | % | |
| Multi-Utilities | | | 0.8 | % | |
| Oil, Gas & Consumable Fuels | | | 4.6 | % | |
| Pharmaceuticals | | | 3.4 | % | |
| Professional Services | | | 0.4 | % | |
| Real Estate Management & Development | | | 0.0 | %* | |
| Road & Rail | | | 1.1 | % | |
| Semiconductors & Semiconductor Equipment | | | 3.9 | % | |
| Software | | | 7.3 | % | |
| Specialty Retail | | | 1.6 | % | |
| Technology Hardware, Storage & Peripherals | | | 5.6 | % | |
| Textiles, Apparel & Luxury Goods | | | 1.5 | % | |
| Tobacco | | | 0.4 | % | |
| Trading Companies & Distributors | | | 0.1 | % | |
| Water Utilities | | | 0.3 | % | |
| Wireless Telecommunication Services | | | 0.2 | % | |
| Othera | | | 5.9 | % | |
| | | 100.0 | % | |
* Amount represents less than 0.05%.
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: LARGE CAP CORE PLUS CSM :: 35
| Investments | | Shares | | Value | |
| Common Stocks — 88.2% | |
| Entertainment — 1.7% | |
| Sea Ltd., ADR*(a) | | | 4,600 | | | $ | 380,236 | | |
| Health Care Equipment & Supplies — 1.6% | |
| Figs, Inc., Class A* | | | 40,151 | | | | 357,344 | | |
| Internet & Direct Marketing Retail — 84.7% | |
| 1-800-Flowers.com, Inc., Class A* | | | 36,311 | | | | 354,395 | | |
| Alibaba Group Holding Ltd., ADR* | | | 25,977 | | | | 2,495,091 | | |
| Amazon.com, Inc.* | | | 1,958 | | | | 4,707,403 | | |
| BARK, Inc.*(a) | | | 148,153 | | | | 370,383 | | |
| Betterware de Mexico SAB de CV (a) | | | 24,865 | | | | 347,861 | | |
| Cango, Inc., ADR*(a) | | | 12,225 | | | | 38,264 | | |
| CarParts.com, Inc.* | | | 47,809 | | | | 361,914 | | |
| Chewy, Inc., Class A*(a) | | | 17,318 | | | | 429,486 | | |
| ContextLogic, Inc., Class A* | | | 216,681 | | | | 381,359 | | |
| Coupang, Inc.* | | | 15,298 | | | | 206,676 | | |
| Dada Nexus Ltd., ADR* | | | 5,859 | | | | 44,235 | | |
| DoorDash, Inc., Class A* | | | 7,489 | | | | 575,979 | | |
| eBay, Inc. | | | 20,234 | | | | 984,789 | | |
| Etsy, Inc.* | | | 5,737 | | | | 465,385 | | |
| Farfetch Ltd., Class A* | | | 6,199 | | | | 55,605 | | |
| Fiverr International Ltd.*(a) | | | 937 | | | | 39,645 | | |
| Global-e Online Ltd.* | | | 2,472 | | | | 47,635 | | |
| Groupon, Inc.*(a) | | | 24,692 | | | | 381,491 | | |
| JD.com, Inc., ADR | | | 12,636 | | | | 709,132 | | |
| Lands' End, Inc.* | | | 30,265 | | | | 351,074 | | |
| Liquidity Services, Inc.* | | | 25,299 | | | | 343,054 | | |
| MercadoLibre, Inc.* | | | 420 | | | | 330,070 | | |
| Overstock.com, Inc.* | | | 11,911 | | | | 369,122 | | |
| Ozon Holdings plc, ADR*‡(b) | | | 3,471 | | | | — | | |
| PetMed Express, Inc. (a) | | | 15,931 | | | | 350,960 | | |
| Pinduoduo, Inc., ADR* | | | 10,331 | | | | 520,166 | | |
| Poshmark, Inc., Class A* | | | 33,072 | | | | 361,477 | | |
| Quotient Technology, Inc.* | | | 81,256 | | | | 339,650 | | |
| Qurate Retail, Inc., Series A | | | 101,121 | | | | 365,047 | | |
| RealReal, Inc. (The)* | | | 123,250 | | | | 404,260 | | |
| Revolve Group, Inc.* | | | 13,181 | | | | 387,258 | | |
| Shutterstock, Inc. (a) | | | 6,288 | | | | 378,538 | | |
| Stitch Fix, Inc., Class A* | | | 45,890 | | | | 388,688 | | |
| Uxin Ltd., ADR* | | | 89,325 | | | | 37,517 | | |
| Vipshop Holdings Ltd., ADR* | | | 7,816 | | | | 72,689 | | |
| Wayfair, Inc., Class A*(a) | | | 7,582 | | | | 450,295 | | |
| | | 18,446,593 | | |
| Personal Products — 0.2% | |
| Yatsen Holding Ltd., ADR*(a) | | | 88,225 | | | | 43,522 | | |
Total Common Stocks
(Cost $37,649,626) | | | | | 19,227,695 | | |
| Investments | | Shares | | Value | |
| Securities Lending Reinvestments (c) — 6.8% | |
| Investment Companies — 6.8% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $1,474,600) | | | 1,474,600 | | | $ | 1,474,600 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 7.9% | |
| Repurchase Agreements (d) — 7.9% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $1,716,873
(Cost $1,716,841) | | $ | 1,716,841 | | | | 1,716,841 | | |
Total Investments — 102.9%
(Cost $40,841,067) | | | | | 22,419,136 | | |
| Liabilities in excess of other assets — (2.9%) | | | | | (638,541 | ) | |
| Net Assets — 100.0% | | | | $ | 21,780,595 | | |
* Non-income producing security.
‡ Value determined using significant unobservable inputs.
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $1,860,935, collateralized in the form of cash with a value of $1,474,600 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $612,112 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 4.63%, and maturity dates ranging from June 15, 2022 - February 15, 2051. The total value of collateral is $2,086,712.
(b) Security fair valued as of May 31, 2022 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at May 31, 2022 amounted to $0, which represents approximately 0.00% of net assets of the Fund.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $1,474,600.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
Abbreviations
ADR American Depositary Receipt
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 2,276,424 | | |
| Aggregate gross unrealized depreciation | | | (23,988,808 | ) | |
| Net unrealized depreciation | | $ | (21,712,384 | ) | |
| Federal income tax cost | | $ | 42,913,727 | | |
See accompanying notes to the financial statements.
36 :: CLIX LONG ONLINE/SHORT STORES ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
Long Online/Short Stores ETF had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (414,990 | ) | | 11/6/2023 | |
BNP Paribas SA | | | (0.78 | )% | | Solactive-
ProShares
Bricks and
Mortar Retail
Store Index | | | 36,099 | | | | | | | | | | | | | | |
| 170,488 | | | 11/6/2023 | |
BNP Paribas SA | | | 1.18 | % | | ProShares
Online
Retail Index | | | (131,027 | ) | | | | | | | | | | | | | |
| (244,502 | ) | | | | | | | | | | | | | | | | | | | (94,928 | ) | | | — | | | | 50,001 | | | | (44,927 | ) | |
| (380,656 | ) | | 3/7/2023 | |
Goldman Sachs
International | | | (0.17 | )% | | Solactive-
ProShares
Bricks and
Mortar Retail
Store Index | | | 118,269 | | | | | | | | | | | | | | |
| 777,591 | | | 3/7/2023 | |
Goldman Sachs
International | | | 1.43 | % | | ProShares
Online
Retail Index | | | (1,125,094 | ) | | | | | | | | | | | | | |
| 396,935 | | | | | | | | | | | | | | | | | | | | (1,006,825 | ) | | | — | | | | 1,006,825 | | | | — | | |
| (10,107,546 | ) | | 4/10/2023 | |
Societe Generale | | | (0.08 | )% | | Solactive-
ProShares
Bricks and
Mortar Retail
Store Index | | | 1,912,130 | | | | | | | | | | | | | | |
| 1,521,916 | | | 3/7/2023 | |
Societe Generale | | | 0.03 | % | | ProShares
Online
Retail Index | | | (1,973,949 | ) | | | | | | | | | | | | | |
| (8,585,630 | ) | | | | | | | | | | | | | | | | | | | (61,819 | ) | | | — | | | | 61,819 | | | | — | | |
| 44,354 | | | 11/7/2022 | |
UBS AG | | | 1.18 | % | | Solactive-
ProShares
Bricks and
Mortar Retail
Store Index | | | (54,221 | ) | | | — | | | | 54,221 | | | | — | | |
| (8,388,843 | ) | | | | | | | | | | | | | | | | | | | (1,217,793 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized
Appreciation | | | 2,066,498 | | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized
Depreciation | | | (3,284,291 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: LONG ONLINE/SHORT STORES ETF CLIX :: 37
| Investments | | Shares | | Value | |
| Common Stocks — 85.5% | |
| Aerospace & Defense — 2.3% | |
| Meggitt plc* | | | 166,259 | | | $ | 1,623,648 | | |
| Airlines — 2.0% | |
| Spirit Airlines, Inc.* | | | 67,544 | | | | 1,415,047 | | |
| Banks — 2.4% | |
| First Horizon Corp. | | | 72,986 | | | | 1,666,270 | | |
| Biotechnology — 4.6% | |
Biohaven Pharmaceutical
Holding Co. Ltd.* | | | 10,770 | | | | 1,547,972 | | |
| Sierra Oncology, Inc.* | | | 31,500 | | | | 1,725,570 | | |
| | | | | 3,273,542 | | |
| Building Products — 2.5% | |
| Cornerstone Building Brands, Inc.* | | | 70,500 | | | | 1,730,775 | | |
| Commercial Services & Supplies — 1.3% | |
| HomeServe plc | | | 63,500 | | | | 930,590 | | |
| Communications Equipment — 2.4% | |
| Plantronics, Inc.* | | | 42,926 | | | | 1,694,718 | | |
| Diversified Telecommunication Services — 2.4% | |
| Uniti Group Ltd.* | | | 468,500 | | | | 1,664,284 | | |
| Electronic Equipment, Instruments & Components — 2.4% | |
| Rogers Corp.* | | | 6,457 | | | | 1,713,559 | | |
| Entertainment — 2.3% | |
| Activision Blizzard, Inc. | | | 20,989 | | | | 1,634,623 | | |
| Equity Real Estate Investment Trusts (REITs) — 6.9% | |
American Campus Communities,
Inc. | | | 6,250 | | | | 406,250 | | |
| Healthcare Realty Trust, Inc. | | | 61,567 | | | | 1,789,753 | | |
Preferred Apartment Communities,
Inc. | | | 66,268 | | | | 1,652,724 | | |
| PS Business Parks, Inc. | | | 5,550 | | | | 1,041,346 | | |
| | | | | 4,890,073 | | |
| Food Products — 2.5% | |
| Sanderson Farms, Inc. | | | 8,703 | | | | 1,736,249 | | |
| Gas Utilities — 2.6% | |
| South Jersey Industries, Inc. | | | 51,926 | | | | 1,809,622 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Health Care Providers & Services — 4.9% | |
| Covetrus, Inc.* | | | 81,700 | | | $ | 1,700,994 | | |
| LHC Group, Inc.* | | | 10,319 | | | | 1,719,765 | | |
| | | | | 3,420,759 | | |
| Health Care Technology — 2.5% | |
| Cerner Corp. | | | 18,941 | | | | 1,796,554 | | |
| Insurance — 2.4% | |
| Alleghany Corp.* | | | 2,023 | | | | 1,686,737 | | |
| Interactive Media & Services — 1.1% | |
| Twitter, Inc.* | | | 19,200 | | | | 760,320 | | |
| IT Services — 4.7% | |
| MoneyGram International, Inc.* | | | 159,043 | | | | 1,603,153 | | |
| Switch, Inc., Class A | | | 50,000 | | | | 1,687,500 | | |
| | | | | 3,290,653 | | |
| Machinery — 2.5% | |
| Meritor, Inc.* | | | 47,900 | | | | 1,732,543 | | |
| Media — 2.4% | |
| TEGNA, Inc. | | | 76,726 | | | | 1,680,299 | | |
| Oil, Gas & Consumable Fuels — 2.5% | |
| Renewable Energy Group, Inc.* | | | 28,208 | | | | 1,729,433 | | |
| Professional Services — 4.7% | |
ManTech International Corp.,
Class A | | | 17,800 | | | | 1,702,570 | | |
| Nielsen Holdings plc | | | 63,518 | | | | 1,623,520 | | |
| | | | | 3,326,090 | | |
| Road & Rail — 2.2% | |
| Europcar Mobility Group*(a) | | | 2,884,241 | | | | 1,569,244 | | |
| Semiconductors & Semiconductor Equipment — 2.2% | |
| CMC Materials, Inc. | | | 8,799 | | | | 1,556,895 | | |
| Software — 16.8% | |
| Anaplan, Inc.* | | | 26,456 | | | | 1,735,513 | | |
| Black Knight, Inc.* | | | 23,700 | | | | 1,609,467 | | |
| CDK Global, Inc. | | | 31,706 | | | | 1,726,709 | | |
| Datto Holding Corp.* | | | 49,824 | | | | 1,749,321 | | |
| Mandiant Corp.* | | | 77,089 | | | | 1,699,812 | | |
See accompanying notes to the financial statements.
38 :: MRGR MERGER ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Sailpoint Technologies Holdings, Inc.* | | | 26,970 | | | $ | 1,710,977 | | |
| Vonage Holdings Corp.* | | | 84,183 | | | | 1,630,625 | | |
| | | | | 11,862,424 | | |
Total Common Stocks
(Cost $61,405,254) | | | | | 60,194,951 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 9.8% | |
| Repurchase Agreements (b) — 9.8% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $6,876,354
(Cost $6,876,217) | | $ | 6,876,217 | | | | 6,876,217 | | |
Total Investments — 95.3%
(Cost $68,281,471) | | | | | 67,071,168 | | |
| Other assets less liabilities — 4.7% | | | | | 3,344,396 | | |
| Net Assets — 100.0% | | | | $ | 70,415,564 | | |
* Non-income producing security.
(a) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 5,708,650 | | |
| Aggregate gross unrealized depreciation | | | (2,601,623 | ) | |
| Net unrealized appreciation | | $ | 3,107,027 | | |
| Federal income tax cost | | $ | 68,284,090 | | |
Forward Currency Contracts
Merger ETF had the following open forward currency contracts as of May 31, 2022:
Currency | |
Counterparty | |
Delivery Date | |
Foreign
Currency to
Receive (Pay) | |
U.S. Dollars to
Receive (Pay) | |
Market Value | | Net
Unrealized
Appreciation/
(Depreciation)a | |
| U.S. Dollar vs. Australian Dollar | | Goldman Sachs International | | 07/19/22 | | | 2,212,000 | | | $ | (1,569,329 | ) | | $ | 1,588,567 | | | $ | 19,238 | | |
| U.S. Dollar vs. Euro | | Goldman Sachs International | | 07/19/22 | | | 1,507,000 | | | | (1,571,833 | ) | | | 1,621,993 | | | | 50,160 | | |
| U.S. Dollar vs. Australian Dollar | | Goldman Sachs International | | 07/19/22 | | | (4,517,000 | ) | | | 3,378,936 | | | | (3,243,924 | ) | | | 135,012 | | |
| U.S. Dollar vs. Euro | | Goldman Sachs International | | 07/19/22 | | | (2,959,000 | ) | | | 3,230,072 | | | | (3,184,789 | ) | | | 45,283 | | |
| U.S. Dollar vs. British Pound | | Goldman Sachs International | | 07/19/22 | | | (1,278,000 | ) | | | 1,665,509 | | | | (1,610,923 | ) | | | 54,586 | | |
| Total Unrealized Appreciation | | | | | | | | | | | | $ | 304,279 | | |
| U.S. Dollar vs. Euro | | Goldman Sachs International | | 07/19/22 | | | (6,000 | ) | | $ | 6,419 | | | $ | (6,457 | ) | | $ | (38 | ) | |
| U.S. Dollar vs. British Pound | | Goldman Sachs International | | 07/19/22 | | | (750,000 | ) | | | 943,023 | | | | (945,378 | ) | | | (2,355 | ) | |
| Total Unrealized Depreciation | | | | | | | | | | | | $ | (2,393 | ) | |
| Total Net Unrealized Appreciation | | | | | | | | | | | | $ | 301,886 | b | |
a The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on forward currency contracts) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on forward currency contracts) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
b The Net Amount of the Fund's uncollateralized exposure to the counterparty under these contracts is equal to the net unrealized appreciation of $301,886. Neither the Fund nor the counterparty has posted Financial Instruments or cash as collateral pursuant to these contracts.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: MERGER ETF MRGR :: 39
Swap Agreementsa
Merger ETF had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (65,829 | ) | |
4/10/2023 | |
Citibank NA | | | 0.07 | % | | S&P Merger Arbitrage
Index (short exposure
to Acquirers)f | | | 159,529 | | | | | | | | | | | | | | |
| 7,774 | | |
4/10/2023 | |
Citibank NA | | | 1.28 | % | | S&P Merger Arbitrage
Index (long exposure
to Targets)g | | | (784 | ) | | | | | | | | | | | | | |
| (58,055 | ) | | | | | | | | | | | | | | | 158,745 | | | | — | | | | — | | | | 158,745 | | |
| (4,935,175 | ) | |
3/7/2023 | |
Societe Generale | | | (0.18 | )% | | S&P Merger Arbitrage
Index (short exposure
to Acquirers)f | | | 4,814,761 | | | | | | | | | | | | | | |
| 14,765,797 | | |
3/7/2023 | |
Societe Generale | | | 1.33 | % | | S&P Merger Arbitrage
Index (long exposure
to Targets)g | | | (955,443 | ) | | | | | | | | | | | | | |
| 9,830,622 | | | | | | | | | | | | | | | | | | | | 3,859,318 | | | | (3,599,318 | ) | | | (260,000 | ) | | | — | | |
| 9,772,567 | | | | | | | | | | | | | | | | | | | | 4,018,063 | | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized
Appreciation | | | 4,974,290 | | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized
Depreciation | | | (956,227 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f Certain underlying short component disclosures related to this index may be found on the website at www.proshares.com/media/Merger_Acquirers_May.pdf.
g See the Common Stocks section of the preceding Schedule of Portfolio Investments for the representative long components of the underlying reference instrument and their relative weightings.
Merger ETF invested, as a percentage of net assets, in the following countries as of May 31, 2022:
| United States | | | 74.8 | % | |
| United Kingdom | | | 3.6 | % | |
| Canada | | | 2.5 | % | |
| Australia | | | 2.4 | % | |
| France | | | 2.2 | % | |
| Othera | | | 14.5 | % | |
| | | 100.0 | % | |
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
40 :: MRGR MERGER ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks — 99.8% | |
| Communications Equipment — 0.4% | |
| Lumentum Holdings, Inc.* | | | 372 | | | $ | 32,022 | | |
| Electronic Equipment, Instruments & Components — 2.5% | |
| MicroVision, Inc.* | | | 54,760 | | | | 197,136 | | |
| Entertainment — 14.3% | |
| Activision Blizzard, Inc. | | | 3,497 | | | | 272,346 | | |
| Electronic Arts, Inc. | | | 1,170 | | | | 162,220 | | |
| NetEase, Inc., ADR | | | 2,509 | | | | 260,259 | | |
| ROBLOX Corp., Class A* | | | 3,762 | | | | 112,634 | | |
| Take-Two Interactive Software, Inc.* | | | 2,458 | | | | 306,095 | | |
| | | | | 1,113,554 | | |
| Health Care Equipment & Supplies — 2.8% | |
| Intuitive Surgical, Inc.* | | | 97 | | | | 22,081 | | |
| Penumbra, Inc.* | | | 1,320 | | | | 193,934 | | |
| | | | | 216,015 | | |
| Household Durables — 6.4% | |
| Sony Group Corp., ADR | | | 1,336 | | | | 125,678 | | |
| Vuzix Corp.* | | | 57,835 | | | | 375,927 | | |
| | | | | 501,605 | | |
| Interactive Media & Services — 12.3% | |
| Alphabet, Inc., Class A* | | | 152 | | | | 345,836 | | |
| fuboTV, Inc.* | | | 22,684 | | | | 74,630 | | |
| Meta Platforms, Inc., Class A* | | | 1,726 | | | | 334,223 | | |
| Snap, Inc., Class A* | | | 11,623 | | | | 164,001 | | |
| Twitter, Inc.* | | | 1,063 | | | | 42,095 | | |
| | | | | 960,785 | | |
| Internet & Direct Marketing Retail — 4.3% | |
| Amazon.com, Inc.* | | | 140 | | | | 336,587 | | |
| IT Services — 4.5% | |
| Glimpse Group, Inc. (The)* | | | 47,348 | | | | 190,812 | | |
| Globant SA* | | | 835 | | | | 158,241 | | |
| | | | | 349,053 | | |
| Media — 3.2% | |
| WiMi Hologram Cloud, Inc., ADR* | | | 140,390 | | | | 252,702 | | |
| Real Estate Management & Development — 2.2% | |
| eXp World Holdings, Inc. | | | 12,424 | | | | 173,563 | | |
| Semiconductors & Semiconductor Equipment — 26.3% | |
| Advanced Micro Devices, Inc.* | | | 1,603 | | | | 163,281 | | |
| Ambarella, Inc.* | | | 1,427 | | | | 121,609 | | |
| CEVA, Inc.* | | | 8,941 | | | | 322,502 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Himax Technologies, Inc., ADR | | | 40,066 | | | $ | 381,428 | | |
| Kopin Corp.* | | | 116,779 | | | | 129,625 | | |
| NVIDIA Corp. | | | 1,717 | | | | 320,598 | | |
| QUALCOMM, Inc. | | | 1,776 | | | | 254,359 | | |
| STMicroelectronics NV, NYRS | | | 5,945 | | | | 238,276 | | |
| Synaptics, Inc.* | | | 856 | | | | 126,791 | | |
| | | | | 2,058,469 | | |
| Software — 13.7% | |
| Agora, Inc., ADR* | | | 9,436 | | | | 57,465 | | |
| InterDigital, Inc. | | | 1,668 | | | | 108,904 | | |
| Matterport, Inc.* | | | 11,290 | | | | 61,982 | | |
| Microsoft Corp. | | | 1,280 | | | | 347,994 | | |
| PTC, Inc.* | | | 3,186 | | | | 371,264 | | |
| Unity Software, Inc.* | | | 3,143 | | | | 125,626 | | |
| | | | | 1,073,235 | | |
| Specialty Retail — 0.5% | |
| Williams-Sonoma, Inc. | | | 316 | | | | 40,423 | | |
| Technology Hardware, Storage & Peripherals — 6.4% | |
| Apple, Inc. | | | 2,237 | | | | 332,955 | | |
| Immersion Corp.* | | | 29,594 | | | | 164,543 | | |
| | | | | 497,498 | | |
Total Common Stocks
(Cost $8,729,461) | | | | | 7,802,647 | | |
Total Investments — 99.8%
(Cost $8,729,461) | | | | | 7,802,647 | | |
| Other assets less liabilities — 0.2% | | | | | 18,907 | | |
| Net Assets — 100.0% | | | | $ | 7,821,554 | | |
* Non-income producing security.
Abbreviations
ADR American Depositary Receipt
NYRS New York Registry Shares
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 170,820 | | |
| Aggregate gross unrealized depreciation | | | (1,108,375 | ) | |
| Net unrealized depreciation | | $ | (937,555 | ) | |
| Federal income tax cost | | $ | 8,740,202 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: METAVERSE ETF VERS :: 41
Metaverse ETF invested, as a percentage of net assets, in the following countries as of May 31, 2022:
| United States | | | 82.9 | % | |
| China | | | 7.3 | % | |
| Taiwan | | | 4.9 | % | |
| Singapore | | | 3.1 | % | |
| Japan | | | 1.6 | % | |
| Othera | | | 0.2 | % | |
| | | 100.0 | % | |
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
42 :: VERS METAVERSE ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks — 98.8% | |
| Aerospace & Defense — 1.5% | |
| BAE Systems plc | | | 172,698 | | | $ | 1,645,444 | | |
| Air Freight & Logistics — 1.6% | |
| DSV A/S | | | 10,307 | | | | 1,688,164 | | |
| Beverages — 1.5% | |
| Diageo plc | | | 35,904 | | | | 1,662,931 | | |
| Biotechnology — 1.5% | |
| CSL Ltd. (a) | | | 8,348 | | | | 1,627,837 | | |
| Building Products — 1.6% | |
| Geberit AG (Registered) | | | 3,063 | | | | 1,680,168 | | |
| Capital Markets — 1.6% | |
| Partners Group Holding AG | | | 1,580 | | | | 1,696,949 | | |
| Chemicals — 4.7% | |
| Croda International plc | | | 19,717 | | | | 1,717,089 | | |
| Givaudan SA (Registered) | | | 451 | | | | 1,657,109 | | |
| Symrise AG | | | 14,874 | | | | 1,637,195 | | |
| | | 5,011,393 | | |
| Diversified Financial Services — 1.3% | |
| Sofina SA | | | 6,050 | | | | 1,421,945 | | |
| Diversified Telecommunication Services — 1.6% | |
| Telenor ASA | | | 124,886 | | | | 1,721,040 | | |
| Electric Utilities — 1.4% | |
| CK Infrastructure Holdings Ltd. | | | 233,133 | | | | 1,561,540 | | |
| Electronic Equipment, Instruments & Components — 1.6% | |
| Halma plc | | | 62,088 | | | | 1,744,182 | | |
| Equity Real Estate Investment Trusts (REITs) — 3.1% | |
| Japan Metropolitan Fund Invest | | | 1,980 | | | | 1,676,101 | | |
| Link REIT | | | 183,865 | | | | 1,665,098 | | |
| | | 3,341,199 | | |
| Food & Staples Retailing — 1.5% | |
| Welcia Holdings Co. Ltd. | | | 78,858 | | | | 1,590,707 | | |
| Food Products — 4.7% | |
Chocoladefabriken Lindt &
Spruengli AG, Class PC | | | 170 | | | | 1,709,666 | | |
| Kerry Group plc, Class A | | | 16,188 | | | | 1,671,710 | | |
| Nestle SA (Registered) | | | 13,825 | | | | 1,687,471 | | |
| | | 5,068,847 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Gas Utilities — 4.6% | |
| APA Group | | | 197,182 | | | $ | 1,609,684 | | |
| Enagas SA | | | 71,150 | | | | 1,624,236 | | |
| Hong Kong & China Gas Co. Ltd. (a) | | | 1,508,833 | | | | 1,707,776 | | |
| | | 4,941,696 | | |
| Health Care Equipment & Supplies — 3.0% | |
| Coloplast A/S, Class B | | | 13,533 | | | | 1,606,044 | | |
| DiaSorin SpA | | | 12,702 | | | | 1,666,860 | | |
| | | 3,272,904 | | |
| Health Care Providers & Services — 3.1% | |
| Fresenius Medical Care AG & Co. KGaA | | | 27,290 | | | | 1,655,837 | | |
| Fresenius SE & Co. KGaA | | | 47,918 | | | | 1,636,469 | | |
| | | 3,292,306 | | |
| Hotels, Restaurants & Leisure — 1.5% | |
| Domino's Pizza Enterprises Ltd. | | | 32,873 | | | | 1,623,111 | | |
| Household Durables — 1.6% | |
| Sekisui Chemical Co. Ltd. | | | 118,857 | | | | 1,709,242 | | |
| Household Products — 1.5% | |
| Unicharm Corp. | | | 46,678 | | | | 1,604,494 | | |
| Insurance — 4.8% | |
| AIA Group Ltd. | | | 163,133 | | | | 1,682,159 | | |
| Legal & General Group plc | | | 523,483 | | | | 1,713,359 | | |
| Tokio Marine Holdings, Inc. | | | 30,861 | | | | 1,791,039 | | |
| | | 5,186,557 | | |
| IT Services — 9.1% | |
| Bechtle AG | | | 36,663 | | | | 1,631,493 | | |
| Itochu Techno-Solutions Corp. | | | 67,327 | | | | 1,682,586 | | |
| Obic Co. Ltd. | | | 10,741 | | | | 1,593,053 | | |
| Otsuka Corp. | | | 54,801 | | | | 1,740,154 | | |
| SCSK Corp. | | | 95,985 | | | | 1,606,403 | | |
| TIS, Inc. | | | 60,089 | | | | 1,576,434 | | |
| | | 9,830,123 | | |
| Machinery — 4.7% | |
| Kurita Water Industries Ltd. | | | 43,038 | | | | 1,667,725 | | |
| Spirax-Sarco Engineering plc | | | 12,624 | | | | 1,680,894 | | |
| Techtronic Industries Co. Ltd. | | | 128,323 | | | | 1,681,412 | | |
| | | 5,030,031 | | |
| Multiline Retail — 1.6% | |
Pan Pacific International Holdings
Corp. | | | 111,324 | | | | 1,716,005 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: MSCI EAFE DIVIDEND GROWERS ETF EFAD :: 43
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Multi-Utilities — 1.5% | |
| National Grid plc | | | 106,995 | | | $ | 1,579,044 | | |
| Oil, Gas & Consumable Fuels — 1.5% | |
Washington H Soul Pattinson &
Co. Ltd. | | | 87,974 | | | | 1,621,879 | | |
| Personal Products — 3.0% | |
| Kao Corp. | | | 40,962 | | | | 1,654,464 | | |
| Kobayashi Pharmaceutical Co. Ltd. (a) | | | 22,633 | | | | 1,521,827 | | |
| | | 3,176,291 | | |
| Pharmaceuticals — 9.2% | |
| Astellas Pharma, Inc. | | | 104,689 | | | | 1,678,426 | | |
| Novartis AG (Registered) | | | 18,303 | | | | 1,658,545 | | |
| Novo Nordisk A/S, Class B | | | 15,513 | | | | 1,714,819 | | |
| Roche Holding AG | | | 4,949 | | | | 1,685,205 | | |
| Sanofi | | | 15,224 | | | | 1,620,759 | | |
| UCB SA | | | 17,182 | | | | 1,512,255 | | |
| | | 9,870,009 | | |
| Professional Services — 4.8% | |
| Nihon M&A Center Holdings, Inc. | | | 158,691 | | | | 1,846,635 | | |
| RELX plc | | | 57,244 | | | | 1,642,011 | | |
| Wolters Kluwer NV | | | 16,641 | | | | 1,642,550 | | |
| | | 5,131,196 | | |
| Semiconductors & Semiconductor Equipment — 1.6% | |
| ASML Holding NV | | | 3,030 | | | | 1,739,796 | | |
| Software — 3.2% | |
| AVEVA Group plc | | | 60,489 | | | | 1,736,617 | | |
| SAP SE | | | 16,883 | | | | 1,678,192 | | |
| | | 3,414,809 | | |
| Specialty Retail — 3.1% | |
| Hikari Tsushin, Inc. | | | 14,774 | | | | 1,676,711 | | |
| Nitori Holdings Co. Ltd. | | | 16,388 | | | | 1,657,335 | | |
| | | 3,334,046 | | |
| Trading Companies & Distributors — 4.8% | |
| Ashtead Group plc | | | 34,201 | | | | 1,790,089 | | |
| Brenntag SE | | | 22,058 | | | | 1,700,389 | | |
| Bunzl plc | | | 46,673 | | | | 1,627,604 | | |
| | | 5,118,082 | | |
| Water Utilities — 1.4% | |
| United Utilities Group plc | | | 114,896 | | | | 1,532,020 | | |
Total Common Stocks
(Cost $110,994,019) | | | | | 106,185,987 | | |
| Investments | | Shares | | Value | |
| Securities Lending Reinvestments (b) — 1.7% | |
| Investment Companies — 1.7% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $1,818,961) | | | 1,818,961 | | | $ | 1,818,961 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 0.6% | |
| Repurchase Agreements (c) — 0.6% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $629,499
(Cost $629,486) | | $ | 629,486 | | | | 629,486 | | |
Total Investments — 101.1%
(Cost $113,442,466) | | | | | 108,634,434 | | |
| Liabilities in excess of other assets — (1.1%) | | | | | (1,232,340 | ) | |
| Net Assets — 100.0% | | | | $ | 107,402,094 | | |
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $2,791,450, collateralized in the form of cash with a value of $1,818,961 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $1,127,550 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.25% - 2.38%, and maturity dates ranging from May 31, 2024 - April 30, 2028. The total value of collateral is $2,946,511.
(b) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $1,818,961.
(c) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 10,830,117 | | |
| Aggregate gross unrealized depreciation | | | (16,604,505 | ) | |
| Net unrealized depreciation | | $ | (5,774,388 | ) | |
| Federal income tax cost | | $ | 114,408,822 | | |
See accompanying notes to the financial statements.
44 :: EFAD MSCI EAFE DIVIDEND GROWERS ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
MSCI EAFE Dividend Growers ETF invested, as a percentage of net assets, in the following countries as of May 31, 2022:
| Japan | | | 27.9 | % | |
| United Kingdom | | | 18.7 | % | |
| Switzerland | | | 11.0 | % | |
| Germany | | | 9.3 | % | |
| Hong Kong | | | 7.7 | % | |
| Australia | | | 6.0 | % | |
| Denmark | | | 4.7 | % | |
| Netherlands | | | 3.1 | % | |
| Belgium | | | 2.7 | % | |
| Norway | | | 1.6 | % | |
| Ireland | | | 1.6 | % | |
| Italy | | | 1.5 | % | |
| Spain | | | 1.5 | % | |
| France | | | 1.5 | % | |
| Othera | | | 1.2 | % | |
| | | 100.0 | % | |
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: MSCI EAFE DIVIDEND GROWERS ETF EFAD :: 45
| Investments | | Shares | | Value | |
| Common Stocks — 99.9% | |
| Automobiles — 2.1% | |
| Ford Otomotiv Sanayi A/S | | | 19,803 | | | $ | 373,768 | | |
| Banks — 6.3% | |
China Merchants Bank Co. Ltd.,
Class A | | | 61,400 | | | | 366,089 | | |
| Public Bank Bhd. | | | 334,877 | | | | 361,761 | | |
Taiwan Cooperative Financial
Holding Co. Ltd. | | | 385,171 | | | | 373,559 | | |
| | | 1,101,409 | | |
| Beverages — 4.1% | |
| Arca Continental SAB de CV | | | 53,645 | | | | 364,684 | | |
Kweichow Moutai Co. Ltd.,
Class A | | | 1,300 | | | | 352,310 | | |
| | | 716,994 | | |
| Chemicals — 8.0% | |
| Asian Paints Ltd. | | | 8,863 | | | | 326,459 | | |
| Berger Paints India Ltd. | | | 43,074 | | | | 341,158 | | |
| Pidilite Industries Ltd. | | | 12,751 | | | | 368,785 | | |
Sinoma Science &
Technology Co. Ltd., Class A* | | | 104,300 | | | | 353,320 | | |
| | | 1,389,722 | | |
| Construction & Engineering — 2.0% | |
China Railway Group Ltd.,
Class H | | | 502,099 | | | | 347,436 | | |
| Construction Materials — 2.0% | |
| UltraTech Cement Ltd. | | | 4,447 | | | | 348,411 | | |
| Diversified Financial Services — 2.3% | |
| Chailease Holding Co. Ltd. | | | 50,571 | | | | 392,023 | | |
| Diversified Telecommunication Services — 2.0% | |
Hellenic Telecommunications
Organization SA | | | 18,247 | | | | 346,531 | | |
| Electric Utilities — 4.8% | |
| Interconexion Electrica SA ESP | | | 77,109 | | | | 486,379 | | |
| Power Grid Corp. of India Ltd. | | | 118,288 | | | | 354,851 | | |
| | | 841,230 | | |
| Electronic Equipment, Instruments & Components — 2.2% | |
Luxshare Precision
Industry Co. Ltd., Class A | | | 76,900 | | | | 390,579 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Food Products — 4.4% | |
| Grupo Bimbo SAB de CV, Series A | | | 122,702 | | | $ | 403,510 | | |
| Marico Ltd. | | | 52,900 | | | | 363,620 | | |
| | | 767,130 | | |
| Gas Utilities — 4.3% | |
| China Gas Holdings Ltd. (a) | | | 260,650 | | | | 388,623 | | |
| China Resources Gas Group Ltd. | | | 85,200 | | | | 356,665 | | |
| | | 745,288 | | |
| Health Care Equipment & Supplies — 4.0% | |
| Hartalega Holdings Bhd. | | | 360,940 | | | | 346,225 | | |
Lepu Medical Technology
Beijing Co. Ltd., Class A | | | 133,100 | | | | 353,707 | | |
| | | 699,932 | | |
| Health Care Providers & Services — 4.0% | |
Shanghai Pharmaceuticals
Holding Co. Ltd., Class A | | | 124,900 | | | | 337,733 | | |
Sinopharm Group Co. Ltd.,
Class H | | | 147,692 | | | | 366,256 | | |
| | | 703,989 | | |
| Independent Power and Renewable Electricity Producers — 2.1% | |
China Longyuan Power
Group Corp. Ltd., Class H | | | 171,688 | | | | 368,878 | | |
| Insurance — 6.3% | |
New China Life Insurance Co. Ltd.,
Class H | | | 141,558 | | | | 370,708 | | |
People's Insurance Co. Group of
China Ltd. (The), Class H | | | 1,112,816 | | | | 350,272 | | |
Ping An Insurance Group Co. of
China Ltd., Class H (a) | | | 58,008 | | | | 371,827 | | |
| | | 1,092,807 | | |
| Interactive Media & Services — 4.3% | |
| NAVER Corp. | | | 1,635 | | | | 380,601 | | |
| Tencent Holdings Ltd. | | | 7,977 | | | | 368,395 | | |
| | | 748,996 | | |
| IT Services — 2.0% | |
| Infosys Ltd., ADR | | | 18,761 | | | | 353,832 | | |
| Metals & Mining — 0.0% | |
| Polyus PJSC, GDR‡(b)(c) | | | 3,949 | | | | — | | |
| Oil, Gas & Consumable Fuels — 0.0% | |
| Rosneft Oil Co. PJSC, GDR‡(b)(c) | | | 25,159 | | | | — | | |
See accompanying notes to the financial statements.
46 :: EMDV MSCI EMERGING MARKETS DIVIDEND GROWERS ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Personal Products — 2.1% | |
| Hindustan Unilever Ltd. | | | 11,925 | | | $ | 361,461 | | |
| Pharmaceuticals — 8.4% | |
| China Medical System Holdings Ltd. | | | 250,588 | | | | 370,428 | | |
| CSPC Pharmaceutical Group Ltd. | | | 355,463 | | | | 380,504 | | |
| Yuhan Corp. | | | 7,628 | | | | 372,398 | | |
Yunnan Baiyao Group Co. Ltd.,
Class A | | | 40,980 | | | | 347,207 | | |
| | | 1,470,537 | | |
| Real Estate Management & Development — 7.7% | |
China Overseas Land &
Investment Ltd. | | | 114,314 | | | | 332,139 | | |
| China Vanke Co. Ltd., Class H (a) | | | 148,335 | | | | 328,155 | | |
| CIFI Holdings Group Co. Ltd. | | | 761,564 | | | | 330,937 | | |
| Longfor Group Holdings Ltd. (c) | | | 69,110 | | | | 344,793 | | |
| | | 1,336,024 | | |
| Road & Rail — 2.2% | |
| Localiza Rent a Car SA | | | 31,223 | | | | 377,891 | | |
| Specialty Retail — 4.2% | |
China Tourism Group Duty Free
Corp. Ltd., Class A | | | 13,900 | | | | 368,968 | | |
| JUMBO SA | | | 22,034 | | | | 365,464 | | |
| | | 734,432 | | |
| Textiles, Apparel & Luxury Goods — 2.1% | |
Shenzhou International
Group Holdings Ltd. | | | 26,015 | | | | 359,699 | | |
| Tobacco — 2.0% | |
| ITC Ltd. | | | 97,969 | | | | 341,533 | | |
| Water Utilities — 2.0% | |
| Guangdong Investment Ltd. | | | 270,476 | | | | 341,232 | | |
| Wireless Telecommunication Services — 2.0% | |
| America Movil SAB de CV, Series L | | | 330,996 | | | | 349,992 | | |
Total Common Stocks
(Cost $18,391,693) | | | | | 17,401,756 | | |
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds — 0.0% (d) | |
| Food Products — 0.0% (d) | |
Britannia Industries Ltd.
Series N3, 5.50%, 6/3/2024
(Cost $3,560) | | INR | 259,086 | | | $ | 3,253 | | |
Total Investments — 99.9%
(Cost $18,395,253) | | | | | 17,405,009 | | |
| Other assets less liabilities — 0.1% | | | | | 18,851 | | |
| Net Assets — 100.0% | | | | $ | 17,423,860 | | |
* Non-income producing security.
‡ Value determined using significant unobservable inputs.
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $749,027, collateralized in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 6.25%, and maturity dates ranging from January 31, 2023 - February 15, 2051. The total value of collateral is $791,100.
(b) Security fair valued as of May 31, 2022 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at May 31, 2022 amounted to $0, which represents approximately 0.00% of net assets of the Fund.
(c) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale.
(d) Represents less than 0.05% of net assets.
Abbreviations
ADR American Depositary Receipt
GDR Global Depositary Receipt
INR Indian Rupee
PJSC Public Joint Stock Company
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 1,670,171 | | |
| Aggregate gross unrealized depreciation | | | (2,711,512 | ) | |
| Net unrealized depreciation | | $ | (1,041,341 | ) | |
| Federal income tax cost | | $ | 18,446,350 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: MSCI EMERGING MARKETS DIVIDEND GROWERS ETF EMDV :: 47
MSCI Emerging Markets Dividend Growers ETF invested, as a percentage of net assets, in the following countries as of May 31, 2022:
| China | | | 51.4 | % | |
| India | | | 16.1 | % | |
| Mexico | | | 6.4 | % | |
| Taiwan | | | 4.4 | % | |
| South Korea | | | 4.3 | % | |
| Greece | | | 4.1 | % | |
| Malaysia | | | 4.1 | % | |
| Colombia | | | 2.8 | % | |
| Brazil | | | 2.2 | % | |
| Turkey | | | 2.1 | % | |
| Israel | | | 2.0 | % | |
| Russia | | | 0.0 | %* | |
| Othera | | | 0.1 | % | |
| | | 100.0 | % | |
* Amount represents less than 0.05%.
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
48 :: EMDV MSCI EMERGING MARKETS DIVIDEND GROWERS ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks — 99.2% | |
| Aerospace & Defense — 2.7% | |
| BAE Systems plc | | | 38,210 | | | $ | 364,060 | | |
| Air Freight & Logistics — 2.7% | |
| DSV A/S | | | 2,281 | | | | 373,601 | | |
| Beverages — 2.7% | |
| Diageo plc | | | 8,004 | | | | 370,713 | | |
| Building Products — 2.7% | |
| Geberit AG (Registered) | | | 678 | | | | 371,908 | | |
| Capital Markets — 2.7% | |
| Partners Group Holding AG | | | 350 | | | | 375,906 | | |
| Chemicals — 8.1% | |
| Croda International plc | | | 4,362 | | | | 379,872 | | |
| Givaudan SA (Registered) | | | 100 | | | | 367,430 | | |
| Symrise AG | | | 3,370 | | | | 370,939 | | |
| | | 1,118,241 | | |
| Diversified Financial Services — 2.3% | |
| Sofina SA (a) | | | 1,339 | | | | 314,708 | | |
| Diversified Telecommunication Services — 2.8% | |
| Telenor ASA | | | 27,632 | | | | 380,794 | | |
| Electronic Equipment, Instruments & Components — 2.8% | |
| Halma plc | | | 13,737 | | | | 385,901 | | |
| Food Products — 8.2% | |
Chocoladefabriken Lindt &
Spruengli AG, Class PC | | | 38 | | | | 382,160 | | |
| Kerry Group plc, Class A | | | 3,582 | | | | 369,908 | | |
| Nestle SA (Registered) | | | 3,061 | | | | 373,624 | | |
| | | 1,125,692 | | |
| Gas Utilities — 2.6% | |
| Enagas SA (a) | | | 15,742 | | | | 359,364 | | |
| Health Care Equipment & Supplies — 5.4% | |
| Coloplast A/S, Class B | | | 2,994 | | | | 355,316 | | |
| DiaSorin SpA | | | 2,891 | | | | 379,381 | | |
| | | 734,697 | | |
| Health Care Providers & Services — 5.3% | |
Fresenius Medical Care AG & Co.
KGaA | | | 6,038 | | | | 366,359 | | |
| Fresenius SE & Co. KGaA | | | 10,602 | | | | 362,074 | | |
| | | 728,433 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Insurance — 2.8% | |
| Legal & General Group plc | | | 115,823 | | | $ | 379,089 | | |
| IT Services — 2.6% | |
| Bechtle AG | | | 8,112 | | | | 360,982 | | |
| Machinery — 2.7% | |
| Spirax-Sarco Engineering plc | | | 2,793 | | | | 371,890 | | |
| Multi-Utilities — 2.6% | |
| National Grid plc | | | 23,673 | | | | 349,369 | | |
| Pharmaceuticals — 13.2% | |
| Novartis AG (Registered) | | | 4,050 | | | | 366,995 | | |
| Novo Nordisk A/S, Class B | | | 3,432 | | | | 379,376 | | |
| Roche Holding AG | | | 1,095 | | | | 372,863 | | |
| Sanofi | | | 3,368 | | | | 358,560 | | |
| UCB SA | | | 3,802 | | | | 334,629 | | |
| | | 1,812,423 | | |
| Professional Services — 5.3% | |
| RELX plc | | | 12,756 | | | | 365,898 | | |
| Wolters Kluwer NV | | | 3,682 | | | | 363,432 | | |
| | | 729,330 | | |
| Semiconductors & Semiconductor Equipment — 2.8% | |
| ASML Holding NV | | | 670 | | | | 384,707 | | |
| Software — 5.5% | |
| AVEVA Group plc | | | 13,383 | | | | 384,221 | | |
| SAP SE | | | 3,735 | | | | 371,264 | | |
| | | 755,485 | | |
| Trading Companies & Distributors — 8.2% | |
| Ashtead Group plc | | | 7,567 | | | | 396,059 | | |
| Brenntag SE | | | 4,880 | | | | 376,185 | | |
| Bunzl plc | | | 10,327 | | | | 360,128 | | |
| | | 1,132,372 | | |
| Water Utilities — 2.5% | |
| United Utilities Group plc | | | 25,421 | | | | 338,963 | | |
Total Common Stocks
(Cost $14,054,359) | | | | | 13,618,628 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: MSCI EUROPE DIVIDEND GROWERS ETF EUDV :: 49
| Investments | | Shares | | Value | |
| Securities Lending Reinvestments (b) — 0.7% | |
| Investment Companies — 0.7% | |
BlackRock Liquidity FedFund,
Institutional Class
0.72% (Cost $101,880) | | | 101,880 | | | $ | 101,880 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 0.4% | |
| Repurchase Agreements (c) — 0.4% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $56,987
(Cost $56,986) | | $ | 56,986 | | | | 56,986 | | |
Total Investments — 100.3%
(Cost $14,213,225) | | | | | 13,777,494 | | |
| Liabilities in excess of other assets — (0.3%) | | | | | (38,322 | ) | |
| Net Assets — 100.0% | | | | $ | 13,739,172 | | |
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $170,397, collateralized in the form of cash with a value of $101,880 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $87,246 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 3.00%, and maturity dates ranging from August 11, 2022 - May 15, 2049. The total value of collateral is $189,126.
(b) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $101,880.
(c) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 840,305 | | |
| Aggregate gross unrealized depreciation | | | (1,352,923 | ) | |
| Net unrealized depreciation | | $ | (512,618 | ) | |
| Federal income tax cost | | $ | 14,290,112 | | |
MSCI Europe Dividend Growers ETF invested, as a percentage of net assets, in the following countries as of May 31, 2022:
| United Kingdom | | | 32.4 | % | |
| Switzerland | | | 19.0 | % | |
| Germany | | | 16.1 | % | |
| Denmark | | | 8.1 | % | |
| Netherlands | | | 5.4 | % | |
| Belgium | | | 4.7 | % | |
| Norway | | | 2.8 | % | |
| Italy | | | 2.8 | % | |
| Ireland | | | 2.7 | % | |
| Spain | | | 2.6 | % | |
| France | | | 2.6 | % | |
| Othera | | | 0.8 | % | |
| | | 100.0 | % | |
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
50 :: EUDV MSCI EUROPE DIVIDEND GROWERS ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks — 99.6% | |
| Aerospace & Defense — 0.2% | |
| AeroVironment, Inc.* | | | 526 | | | $ | 48,371 | | |
| Biotechnology — 3.9% | |
| AbbVie, Inc. | | | 3,603 | | | | 530,974 | | |
| Alnylam Pharmaceuticals, Inc.* | | | 453 | | | | 56,987 | | |
Beijing Wantai Biological Pharmacy
Enterprise Co. Ltd., Class A | | | 1,740 | | | | 33,298 | | |
| CRISPR Therapeutics AG* | | | 887 | | | | 51,490 | | |
| Intellia Therapeutics, Inc.* | | | 1,104 | | | | 50,939 | | |
| Mirati Therapeutics, Inc.* | | | 834 | | | | 32,660 | | |
| Moderna, Inc.* | | | 1,290 | | | | 187,476 | | |
| Natera, Inc.* | | | 1,289 | | | | 47,293 | | |
| Novavax, Inc.* | | | 1,049 | | | | 58,041 | | |
| Twist Bioscience Corp.* | | | 1,376 | | | | 46,839 | | |
| Ultragenyx Pharmaceutical, Inc.* | | | 1,054 | | | | 49,433 | | |
| | | 1,145,430 | | |
| Capital Markets — 0.2% | |
| Coinbase Global, Inc., Class A* | | | 601 | | | | 46,938 | | |
| Chemicals — 12.1% | |
| Chr Hansen Holding A/S | | | 3,423 | | | | 256,657 | | |
| Corbion NV | | | 2,071 | | | | 74,926 | | |
| Corteva, Inc. | | | 9,210 | | | | 576,730 | | |
| FMC Corp. | | | 4,671 | | | | 572,571 | | |
International Flavors &
Fragrances, Inc. | | | 4,404 | | | | 582,077 | | |
| Nutrien Ltd. | | | 5,820 | | | | 568,771 | | |
| Scotts Miracle-Gro Co. (The) | | | 2,081 | | | | 196,904 | | |
| Sensient Technologies Corp. | | | 2,095 | | | | 183,187 | | |
| Symrise AG | | | 5,295 | | | | 584,077 | | |
| | | 3,595,900 | | |
| Communications Equipment — 1.0% | |
| Cisco Systems, Inc. | | | 5,557 | | | | 250,343 | | |
| NetScout Systems, Inc.* | | | 1,104 | | | | 37,900 | | |
| | | 288,243 | | |
| Diversified Consumer Services — 0.9% | |
| Terminix Global Holdings, Inc.* | | | 6,060 | | | | 263,065 | | |
| Diversified Telecommunication Services — 0.3% | |
| Cogent Communications Holdings, Inc. | | | 595 | | | | 35,932 | | |
| Iridium Communications, Inc.* | | | 1,102 | | | | 40,895 | | |
| | | 76,827 | | |
| Electronic Equipment, Instruments & Components — 0.1% | |
| Cognex Corp. | | | 876 | | | | 42,416 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Entertainment — 9.2% | |
| Activision Blizzard, Inc. | | | 5,869 | | | $ | 457,078 | | |
| Electronic Arts, Inc. | | | 2,234 | | | | 309,744 | | |
| Embracer Group AB* | | | 8,902 | | | | 80,780 | | |
| Netflix, Inc.* | | | 3,041 | | | | 600,415 | | |
| Nintendo Co. Ltd. | | | 831 | | | | 370,653 | | |
| Sea Ltd., ADR* | | | 2,767 | | | | 228,720 | | |
Take-Two Interactive
Software, Inc.* | | | 607 | | | | 75,590 | | |
| Walt Disney Co. (The)* | | | 5,531 | | | | 610,844 | | |
| | | 2,733,824 | | |
| Equity Real Estate Investment Trusts (REITs) — 0.4% | |
| Equinix, Inc. | | | 119 | | | | 81,764 | | |
| Keppel DC REIT | | | 28,464 | | | | 42,798 | | |
| | | 124,562 | | |
| Food Products — 4.4% | |
| Kerry Group plc, Class A | | | 5,566 | | | | 576,027 | | |
| McCormick & Co., Inc. (Non-Voting) | | | 6,114 | | | | 566,890 | | |
| Simply Good Foods Co. (The)* | | | 4,078 | | | | 162,957 | | |
| | | 1,305,874 | | |
| Health Care Equipment & Supplies — 8.9% | |
| Abbott Laboratories | | | 5,046 | | | | 592,703 | | |
| ABIOMED, Inc.* | | | 190 | | | | 50,103 | | |
| CONMED Corp. | | | 432 | | | | 50,237 | | |
| Dexcom, Inc.* | | | 366 | | | | 109,046 | | |
| Edwards Lifesciences Corp.* | | | 2,347 | | | | 236,695 | | |
| Glaukos Corp.* | | | 1,215 | | | | 49,608 | | |
| Globus Medical, Inc., Class A* | | | 639 | | | | 42,557 | | |
| ICU Medical, Inc.* | | | 267 | | | | 48,498 | | |
| Inari Medical, Inc.* | | | 780 | | | | 51,324 | | |
| Integra LifeSciences Holdings Corp.* | | | 806 | | | | 50,488 | | |
| Intuitive Surgical, Inc.* | | | 1,347 | | | | 306,631 | | |
| Masimo Corp.* | | | 351 | | | | 49,291 | | |
| Medtronic plc | | | 3,589 | | | | 359,438 | | |
| Neogen Corp.* | | | 5,378 | | | | 142,302 | | |
| QuidelOrtho Corp.* | | | 489 | | | | 46,470 | | |
| ResMed, Inc. | | | 551 | | | | 112,107 | | |
| Shockwave Medical, Inc.* | | | 290 | | | | 47,621 | | |
| Stryker Corp. | | | 1,280 | | | | 300,160 | | |
| | | 2,645,279 | | |
| Health Care Providers & Services — 0.9% | |
| Acadia Healthcare Co., Inc.* | | | 684 | | | | 48,680 | | |
| Guardant Health, Inc.* | | | 1,326 | | | | 54,339 | | |
| Premier, Inc., Class A | | | 1,278 | | | | 47,810 | | |
| Quest Diagnostics, Inc. | | | 450 | | | | 63,459 | | |
| Synlab AG | | | 2,585 | | | | 51,368 | | |
| | | 265,656 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: MSCI TRANSFORMATIONAL CHANGES ETF ANEW :: 51
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Health Care Technology — 0.8% | |
| Cerner Corp. | | | 1,105 | | | $ | 104,809 | | |
| Inspire Medical Systems, Inc.* | | | 278 | | | | 49,159 | | |
| Teladoc Health, Inc.* | | | 1,528 | | | | 52,089 | | |
| Veeva Systems, Inc., Class A* | | | 250 | | | | 42,565 | | |
| | | 248,622 | | |
| Hotels, Restaurants & Leisure — 2.0% | |
| Booking Holdings, Inc.* | | | 266 | | | | 596,787 | | |
| Interactive Media & Services — 8.1% | |
| Alphabet, Inc., Class A* | | | 272 | | | | 618,865 | | |
| Meta Platforms, Inc., Class A* | | | 3,107 | | | | 601,640 | | |
| Pinterest, Inc., Class A* | | | 3,918 | | | | 76,989 | | |
| REA Group Ltd. | | | 962 | | | | 77,744 | | |
| Snap, Inc., Class A* | | | 5,229 | | | | 73,781 | | |
| Tencent Holdings Ltd. | | | 13,423 | | | | 619,902 | | |
| Twitter, Inc.* | | | 6,360 | | | | 251,856 | | |
| ZoomInfo Technologies, Inc.* | | | 2,037 | | | | 82,274 | | |
| | | 2,403,051 | | |
| Internet & Direct Marketing Retail — 8.4% | |
| Alibaba Group Holding Ltd.* | | | 54,440 | | | | 667,735 | | |
| Amazon.com, Inc.* | | | 267 | | | | 641,919 | | |
| Delivery Hero SE*(a) | | | 8,142 | | | | 312,398 | | |
| DoorDash, Inc., Class A* | | | 7,360 | | | | 566,057 | | |
| eBay, Inc. | | | 4,667 | | | | 227,143 | | |
| Just Eat Takeaway.com NV*(a) | | | 3,552 | | | | 79,277 | | |
| | | 2,494,529 | | |
| IT Services — 6.3% | |
| Accenture plc, Class A | | | 857 | | | | 255,780 | | |
| Block, Inc., Class A* | | | 703 | | | | 61,520 | | |
| Bread Financial Holdings, Inc. | | | 795 | | | | 43,805 | | |
| Cloudflare, Inc., Class A* | | | 776 | | | | 43,456 | | |
| DigitalOcean Holdings, Inc.* | | | 882 | | | | 43,086 | | |
| Euronet Worldwide, Inc.* | | | 346 | | | | 41,921 | | |
| GDS Holdings Ltd., Class A* | | | 12,771 | | | | 48,498 | | |
| GoDaddy, Inc., Class A* | | | 646 | | | | 48,482 | | |
| Kyndryl Holdings, Inc.* | | | 3,240 | | | | 39,982 | | |
| Marqeta, Inc., Class A* | | | 4,075 | | | | 42,665 | | |
| Mastercard, Inc., Class A | | | 1,182 | | | | 423,002 | | |
| Nuvei Corp.*(a) | | | 866 | | | | 44,346 | | |
| Okta, Inc.* | | | 489 | | | | 40,611 | | |
| PayPal Holdings, Inc.* | | | 1,472 | | | | 125,429 | | |
| Perficient, Inc.* | | | 426 | | | | 41,710 | | |
| Twilio, Inc., Class A* | | | 418 | | | | 43,961 | | |
| Visa, Inc., Class A | | | 2,264 | | | | 480,353 | | |
| | | 1,868,607 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Life Sciences Tools & Services — 4.8% | |
| 10X Genomics, Inc., Class A* | | | 1,055 | | | $ | 54,005 | | |
| Bio-Techne Corp. | | | 148 | | | | 54,720 | | |
| Danaher Corp. | | | 2,013 | | | | 531,070 | | |
| Genscript Biotech Corp.* | | | 18,393 | | | | 54,378 | | |
| Illumina, Inc.* | | | 591 | | | | 141,533 | | |
Maravai LifeSciences
Holdings, Inc., Class A* | | | 1,414 | | | | 44,046 | | |
| Medpace Holdings, Inc.* | | | 366 | | | | 52,426 | | |
| QIAGEN NV* | | | 1,169 | | | | 53,726 | | |
| Thermo Fisher Scientific, Inc. | | | 593 | | | | 336,569 | | |
| Wuxi Biologics Cayman, Inc.*(a) | | | 13,500 | | | | 99,781 | | |
| | | 1,422,254 | | |
| Machinery — 3.1% | |
| AGCO Corp. | | | 2,407 | | | | 308,409 | | |
| Deere & Co. | | | 1,665 | | | | 595,704 | | |
| | | 904,113 | | |
| Pharmaceuticals — 3.9% | |
| Catalent, Inc.* | | | 641 | | | | 66,062 | | |
| Johnson & Johnson | | | 3,180 | | | | 570,905 | | |
| Roche Holding AG | | | 1,563 | | | | 531,863 | | |
| | | 1,168,830 | | |
| Professional Services — 0.4% | |
ManTech International Corp.,
Class A | | | 424 | | | | 40,555 | | |
| Upwork, Inc.* | | | 4,439 | | | | 81,012 | | |
| | | 121,567 | | |
| Semiconductors & Semiconductor Equipment — 6.5% | |
| Advanced Micro Devices, Inc.* | | | 1,483 | | | | 151,058 | | |
| Ambarella, Inc.* | | | 537 | | | | 45,763 | | |
| Broadcom, Inc. | | | 252 | | | | 146,193 | | |
| Intel Corp. | | | 3,989 | | | | 177,191 | | |
| Lattice Semiconductor Corp.* | | | 835 | | | | 43,437 | | |
| MaxLinear, Inc.* | | | 1,127 | | | | 44,618 | | |
| MediaTek, Inc. | | | 1,991 | | | | 62,079 | | |
| NVIDIA Corp. | | | 3,364 | | | | 628,126 | | |
| NXP Semiconductors NV | | | 356 | | | | 67,555 | | |
| QUALCOMM, Inc. | | | 1,598 | | | | 228,866 | | |
| Silicon Laboratories, Inc.* | | | 285 | | | | 42,511 | | |
| Synaptics, Inc.* | | | 296 | | | | 43,844 | | |
Taiwan Semiconductor
Manufacturing Co. Ltd., ADR | | | 2,675 | | | | 254,927 | | |
| | | 1,936,168 | | |
See accompanying notes to the financial statements.
52 :: ANEW MSCI TRANSFORMATIONAL CHANGES ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Software — 10.2% | |
| Adobe, Inc.* | | | 1,419 | | | $ | 590,985 | | |
| ANSYS, Inc.* | | | 299 | | | | 77,848 | | |
| Avast plc (a) | | | 5,941 | | | | 36,361 | | |
| Blackbaud, Inc.* | | | 649 | | | | 41,309 | | |
| BlackBerry Ltd.* | | | 6,830 | | | | 41,147 | | |
| Blackline, Inc.* | | | 557 | | | | 40,783 | | |
Check Point Software
Technologies Ltd.* | | | 327 | | | | 40,901 | | |
| Coupa Software, Inc.* | | | 602 | | | | 41,412 | | |
Crowdstrike Holdings, Inc.,
Class A* | | | 252 | | | | 40,317 | | |
| CyberArk Software Ltd.* | | | 300 | | | | 41,670 | | |
| DocuSign, Inc.* | | | 519 | | | | 43,549 | | |
| Dropbox, Inc., Class A* | | | 1,840 | | | | 38,346 | | |
| Five9, Inc.* | | | 435 | | | | 42,069 | | |
| Fortinet, Inc.* | | | 184 | | | | 54,122 | | |
| HubSpot, Inc.* | | | 226 | | | | 76,318 | | |
| Mandiant Corp.* | | | 1,833 | | | | 40,418 | | |
| Microsoft Corp. | | | 2,176 | | | | 591,589 | | |
| MicroStrategy, Inc., Class A* | | | 204 | | | | 53,997 | | |
| NortonLifeLock, Inc. | | | 1,642 | | | | 39,966 | | |
| Nutanix, Inc., Class A* | | | 1,883 | | | | 30,505 | | |
| Oracle Corp. | | | 2,828 | | | | 203,390 | | |
| Palo Alto Networks, Inc.* | | | 128 | | | | 64,356 | | |
| Paylocity Holding Corp.* | | | 240 | | | | 41,966 | | |
| Q2 Holdings, Inc.* | | | 776 | | | | 40,918 | | |
| Qualys, Inc.* | | | 353 | | | | 46,130 | | |
| Rapid7, Inc.* | | | 581 | | | | 41,175 | | |
| RingCentral, Inc., Class A* | | | 666 | | | | 42,051 | | |
Sailpoint Technologies
Holdings, Inc.* | | | 635 | | | | 40,284 | | |
| SAP SE | | | 969 | | | | 96,527 | | |
| ServiceNow, Inc.* | | | 261 | | | | 122,010 | | |
| Sprout Social, Inc., Class A* | | | 1,713 | | | | 87,243 | | |
| Tenable Holdings, Inc.* | | | 864 | | | | 43,459 | | |
| Trend Micro, Inc. | | | 690 | | | | 40,574 | | |
| Varonis Systems, Inc.* | | | 1,254 | | | | 41,470 | | |
| VMware, Inc., Class A | | | 335 | | | | 42,913 | | |
| Workday, Inc., Class A* | | | 253 | | | | 39,544 | | |
| | | 3,037,622 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Technology Hardware, Storage & Peripherals — 2.6% | |
| Apple, Inc. | | | 4,064 | | | $ | 604,886 | | |
| NetApp, Inc. | | | 540 | | | | 38,853 | | |
Samsung Electronics Co. Ltd.,
GDR (a) | | | 90 | | | | 120,735 | | |
| | | 764,474 | | |
Total Common Stocks
(Cost $34,264,096) | | | | | 29,549,009 | | |
Total Investments — 99.6%
(Cost $34,264,096) | | | | | 29,549,009 | | |
| Other assets less liabilities — 0.4% | | | | | 127,417 | | |
| Net Assets — 100.0% | | | | $ | 29,676,426 | | |
* Non-income producing security.
(a) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale.
Abbreviations
ADR American Depositary Receipt
GDR Global Depositary Receipt
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 1,074,092 | | |
| Aggregate gross unrealized depreciation | | | (5,877,206 | ) | |
| Net unrealized depreciation | | $ | (4,803,114 | ) | |
| Federal income tax cost | | $ | 34,352,123 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: MSCI TRANSFORMATIONAL CHANGES ETF ANEW :: 53
MSCI Transformational Changes ETF invested, as a percentage of net assets, in the following countries as of May 31, 2022:
| United States | | | 78.7 | % | |
| China | | | 5.1 | % | |
| Germany | | | 3.7 | % | |
| Canada | | | 2.2 | % | |
| Ireland | | | 1.9 | % | |
| Switzerland | | | 1.8 | % | |
| Japan | | | 1.4 | % | |
| Taiwan | | | 1.1 | % | |
| Singapore | | | 0.9 | % | |
| Denmark | | | 0.9 | % | |
| Netherlands | | | 0.5 | % | |
| South Korea | | | 0.4 | % | |
| Israel | | | 0.3 | % | |
| Sweden | | | 0.3 | % | |
| Australia | | | 0.3 | % | |
| United Kingdom | | | 0.1 | % | |
| Othera | | | 0.4 | % | |
| | | 100.0 | % | |
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
54 :: ANEW MSCI TRANSFORMATIONAL CHANGES ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks — 99.8% | |
| Biotechnology — 9.5% | |
| Moderna, Inc.* | | | 780 | | | $ | 113,357 | | |
| Novavax, Inc.* | | | 2,327 | | | | 128,753 | | |
| | | 242,110 | | |
| Chemicals — 8.9% | |
| Advanced Nano Products Co. Ltd. | | | 570 | | | | 42,478 | | |
| Cabot Corp. | | | 1,592 | | | | 120,371 | | |
Nanofilm Technologies
International Ltd. (a) | | | 34,875 | | | | 63,639 | | |
| | | 226,488 | | |
| Electrical Equipment — 2.5% | |
| Nissin Electric Co. Ltd. | | | 5,605 | | | | 64,264 | | |
| Electronic Equipment, Instruments & Components — 2.4% | |
| nLight, Inc.* | | | 2,311 | | | | 28,356 | | |
| Park Systems Corp. | | | 365 | | | | 32,393 | | |
| | | 60,749 | | |
| Life Sciences Tools & Services — 8.9% | |
| Agilent Technologies, Inc. | | | 879 | | | | 112,125 | | |
| Bruker Corp. | | | 1,824 | | | | 113,964 | | |
| | | 226,089 | | |
| Semiconductors & Semiconductor Equipment — 61.5% | |
| ACM Research, Inc., Class A* | | | 2,796 | | | | 42,387 | | |
| Advanced Micro Devices, Inc.* | | | 1,226 | | | | 124,880 | | |
| Applied Materials, Inc. | | | 950 | | | | 111,426 | | |
| ASML Holding NV | | | 183 | | | | 105,302 | | |
| Axcelis Technologies, Inc.* | | | 1,729 | | | | 107,302 | | |
| Entegris, Inc. | | | 941 | | | | 104,413 | | |
| Intel Corp. | | | 2,406 | | | | 106,875 | | |
| KLA Corp. | | | 328 | | | | 119,671 | | |
| Lam Research Corp. | | | 227 | | | | 118,047 | | |
| Meta Materials, Inc.*(b) | | | 15,348 | | | | 29,468 | | |
| NeoPhotonics Corp.* | | | 2,787 | | | | 42,948 | | |
| Onto Innovation, Inc.* | | | 1,474 | | | | 118,480 | | |
| Photronics, Inc.* | | | 3,217 | | | | 69,938 | | |
| SUESS MicroTec SE* | | | 1,005 | | | | 18,147 | | |
Taiwan Semiconductor
Manufacturing Co. Ltd., ADR | | | 1,075 | | | | 102,447 | | |
| Ultra Clean Holdings, Inc.* | | | 2,373 | | | | 79,638 | | |
| Ulvac, Inc. | | | 2,566 | | | | 109,230 | | |
| Veeco Instruments, Inc.* | | | 2,636 | | | | 56,489 | | |
| | | 1,567,088 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Technology Hardware, Storage & Peripherals — 6.1% | |
| Canon, Inc. | | | 4,575 | | | $ | 115,214 | | |
| Nano Dimension Ltd., ADR* | | | 13,416 | | | | 39,980 | | |
| | | 155,194 | | |
Total Common Stocks
(Cost $3,025,696) | | | | | 2,541,982 | | |
| Securities Lending Reinvestments (c) — 1.1% | |
| Investment Companies — 1.1% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $28,710) | | | 28,710 | | | | 28,710 | | |
Total Investments — 100.9%
(Cost $3,054,406) | | | | | 2,570,692 | | |
| Liabilities in excess of other assets — (0.9%) | | | | | (23,874 | ) | |
| Net Assets — 100.0% | | | | $ | 2,546,818 | | |
* Non-income producing security.
(a) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $27,145, collateralized in the form of cash with a value of $28,710 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $28,710.
Abbreviations
ADR American Depositary Receipt
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 96,518 | | |
| Aggregate gross unrealized depreciation | | | (580,232 | ) | |
| Net unrealized depreciation | | $ | (483,714 | ) | |
| Federal income tax cost | | $ | 3,054,406 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: Nanotechnology ETF TINY :: 55
Nanotechnology ETF invested, as a percentage of net assets, in the following countries as of May 31, 2022:
| United States | | | 72.6 | % | |
| Japan | | | 11.3 | % | |
| Netherlands | | | 4.1 | % | |
| Taiwan | | | 4.0 | % | |
| South Korea | | | 3.0 | % | |
| Singapore | | | 2.5 | % | |
| Israel | | | 1.6 | % | |
| Germany | | | 0.7 | % | |
| Othera | | | 0.2 | % | |
| | | 100.0 | % | |
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
56 :: TINY Nanotechnology ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks — 99.8% | |
| Automobiles — 4.1% | |
| Tesla, Inc.* | | | 993 | | | $ | 752,952 | | |
| Biotechnology — 5.0% | |
| Regeneron Pharmaceuticals, Inc.* | | | 1,379 | | | | 916,676 | | |
| Commercial Services & Supplies — 5.1% | |
| Cintas Corp. | | | 2,373 | | | | 945,237 | | |
| Electric Utilities — 10.8% | |
| American Electric Power Co., Inc. | | | 9,866 | | | | 1,006,628 | | |
| Constellation Energy Corp. | | | 1 | | | | 62 | | |
| Exelon Corp. | | | 20,233 | | | | 994,452 | | |
| | | 2,001,142 | | |
| Food & Staples Retailing — 4.3% | |
| Costco Wholesale Corp. | | | 1,694 | | | | 789,777 | | |
| Health Care Equipment & Supplies — 3.2% | |
| Dexcom, Inc.* | | | 2,007 | | | | 597,966 | | |
| Hotels, Restaurants & Leisure — 5.7% | |
| Marriott International, Inc., Class A | | | 6,199 | | | | 1,063,624 | | |
| Interactive Media & Services — 4.7% | |
| Alphabet, Inc., Class A* | | | 382 | | | | 869,142 | | |
| Internet & Direct Marketing Retail — 3.7% | |
| MercadoLibre, Inc.* | | | 876 | | | | 688,431 | | |
| IT Services — 4.9% | |
| Paychex, Inc. | | | 7,284 | | | | 901,978 | | |
| Multiline Retail — 5.4% | |
| Dollar Tree, Inc.* | | | 6,223 | | | | 997,734 | | |
| Pharmaceuticals — 5.1% | |
| AstraZeneca plc, ADR | | | 14,285 | | | | 949,667 | | |
| Semiconductors & Semiconductor Equipment — 9.9% | |
| Broadcom, Inc. | | | 1,729 | | | | 1,003,045 | | |
| NVIDIA Corp. | | | 4,383 | | | | 818,393 | | |
| | | 1,821,438 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Software — 18.3% | |
Crowdstrike Holdings, Inc.,
Class A* | | | 4,650 | | | $ | 743,953 | | |
| Palo Alto Networks, Inc.* | | | 1,667 | | | | 838,134 | | |
| Splunk, Inc.* | | | 7,660 | | | | 785,610 | | |
| Synopsys, Inc.* | | | 3,180 | | | | 1,015,056 | | |
| | | 3,382,753 | | |
| Specialty Retail — 4.8% | |
| O'Reilly Automotive, Inc.* | | | 1,384 | | | | 881,843 | | |
| Technology Hardware, Storage & Peripherals — 4.8% | |
| Apple, Inc. | | | 5,970 | | | | 888,575 | | |
Total Common Stocks
(Cost $19,519,816) | | | | | 18,448,935 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 0.1% | |
| Repurchase Agreements (a) — 0.1% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $18,506
(Cost $18,506) | | $ | 18,506 | | | | 18,506 | | |
Total Investments — 99.9%
(Cost $19,538,322) | | | | | 18,467,441 | | |
| Other assets less liabilities — 0.1% | | | | | 9,343 | | |
| Net Assets — 100.0% | | | | $ | 18,476,784 | | |
* Non-income producing security.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
Abbreviations
ADR American Depositary Receipt
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 828,289 | | |
| Aggregate gross unrealized depreciation | | | (1,901,510 | ) | |
| Net unrealized depreciation | | $ | (1,073,221 | ) | |
| Federal income tax cost | | $ | 19,540,662 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: Nasdaq-100 Dorsey Wright Momentum ETF QQQA :: 57
| Investments | | Shares | | Value | |
| Common Stocks — 99.8% | |
| Entertainment — 65.8% | |
| Activision Blizzard, Inc. | | | 1,357 | | | $ | 105,683 | | |
| Bilibili, Inc., Class Z* | | | 1,348 | | | | 30,886 | | |
| Capcom Co. Ltd. | | | 1,018 | | | | 28,942 | | |
| CD Projekt SA*(a) | | | 402 | | | | 10,232 | | |
| Electronic Arts, Inc. | | | 621 | | | | 86,102 | | |
| Embracer Group AB* | | | 3,756 | | | | 34,083 | | |
| Krafton, Inc.* | | | 152 | | | | 31,882 | | |
| NCSoft Corp. | | | 98 | | | | 36,041 | | |
| Netflix, Inc.* | | | 129 | | | | 25,470 | | |
| Netmarble Corp. (b) | | | 133 | | | | 8,976 | | |
| Nexon Co. Ltd. | | | 2,840 | | | | 70,595 | | |
| Pearl Abyss Corp.* | | | 173 | | | | 8,865 | | |
| ROBLOX Corp., Class A* | | | 684 | | | | 20,479 | | |
| Spotify Technology SA* | | | 340 | | | | 38,342 | | |
| Square Enix Holdings Co. Ltd. | | | 514 | | | | 25,593 | | |
| Take-Two Interactive Software, Inc.* | | | 733 | | | | 91,280 | | |
Tencent Music Entertainment
Group, ADR* | | | 5,073 | | | | 21,205 | | |
| Ubisoft Entertainment SA* | | | 622 | | | | 32,553 | | |
| Wemade Co. Ltd. | | | 109 | | | | 7,524 | | |
| | | 714,733 | | |
| Interactive Media & Services — 5.2% | |
| Bumble, Inc., Class A* | | | 513 | | | | 14,621 | | |
| fuboTV, Inc.*(a) | | | 753 | | | | 2,477 | | |
| JOYY, Inc., ADR | | | 385 | | | | 16,320 | | |
| Snap, Inc., Class A* | | | 1,663 | | | | 23,465 | | |
| | | 56,883 | | |
| Internet & Direct Marketing Retail — 15.4% | |
| Dada Nexus Ltd., ADR* | | | 1,437 | | | | 10,849 | | |
| Deliveroo plc*(b) | | | 5,386 | | | | 6,392 | | |
| Delivery Hero SE*(b) | | | 673 | | | | 25,822 | | |
| DoorDash, Inc., Class A* | | | 493 | | | | 37,917 | | |
| Just Eat Takeaway.com NV*(b) | | | 1,207 | | | | 26,939 | | |
| Meituan*(b) | | | 2,514 | | | | 59,909 | | |
| | | 167,828 | | |
| Leisure Products — 4.1% | |
| Peloton Interactive, Inc., Class A* | | | 1,754 | | | | 24,486 | | |
| Sega Sammy Holdings, Inc. | | | 1,058 | | | | 19,691 | | |
| | | 44,177 | | |
| Road & Rail — 7.6% | |
| Lyft, Inc., Class A* | | | 1,791 | | | | 31,665 | | |
| Uber Technologies, Inc.* | | | 2,171 | | | | 50,367 | | |
| | | 82,032 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Semiconductors & Semiconductor Equipment — 1.7% | |
| Ambarella, Inc.* | | | 216 | | | $ | 18,408 | | |
Total Common Stocks
(Cost $2,036,513) | | | | | 1,084,061 | | |
| Securities Lending Reinvestments (c) — 0.2% | |
| Investment Companies — 0.2% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $2,449) | | | 2,449 | | | | 2,449 | | |
Total Investments — 100.0%
(Cost $2,038,962) | | | | | 1,086,510 | | |
| Other assets less liabilities — 0.0% (d) | | | | | 116 | | |
| Net Assets — 100.0% | | | | $ | 1,086,626 | | |
* Non-income producing security.
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $11,184, collateralized in the form of cash with a value of $2,449 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $10,631 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 3.00%, and maturity dates ranging from August 11, 2022 - May 15, 2049. The total value of collateral is $13,080.
(b) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $2,449.
(d) Represents less than 0.05% of net assets.
Abbreviations
ADR American Depositary Receipt
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 22,035 | | |
| Aggregate gross unrealized depreciation | | | (1,013,697 | ) | |
| Net unrealized depreciation | | $ | (991,662 | ) | |
| Federal income tax cost | | $ | 2,078,172 | | |
See accompanying notes to the financial statements.
58 :: OND On-Demand ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
On-Demand ETF invested, as a percentage of net assets, in the following countries as of May 31, 2022:
| United States | | | 49.0 | % | |
| Japan | | | 13.3 | % | |
| China | | | 11.3 | % | |
| South Korea | | | 8.6 | % | |
| Luxembourg | | | 3.5 | % | |
| Sweden | | | 3.1 | % | |
| France | | | 3.0 | % | |
| Netherlands | | | 2.5 | % | |
| Germany | | | 2.4 | % | |
| Singapore | | | 1.5 | % | |
| Poland | | | 1.0 | % | |
| United Kingdom | | | 0.6 | % | |
| Othera | | | 0.2 | % | |
| | | 100.0 | % | |
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ON-DEMAND ETF OND :: 59
| Investments | | Shares | | Value | |
| Common Stocks — 99.9% | |
| Entertainment — 2.0% | |
| Sea Ltd., ADR* | | | 76,703 | | | $ | 6,340,270 | | |
| Health Care Equipment & Supplies — 1.9% | |
| Figs, Inc., Class A* | | | 669,129 | | | | 5,955,248 | | |
| Internet & Direct Marketing Retail — 95.8% | |
| 1-800-Flowers.com, Inc., Class A* | | | 605,465 | | | | 5,909,338 | | |
| Alibaba Group Holding Ltd., ADR* | | | 433,252 | | | | 41,613,855 | | |
| Amazon.com, Inc.* | | | 32,642 | | | | 78,477,569 | | |
| BARK, Inc.*(a) | | | 2,470,393 | | | | 6,175,982 | | |
| Betterware de Mexico SAB de CV (a) | | | 414,611 | | | | 5,800,408 | | |
| Cango, Inc., ADR*(a) | | | 203,849 | | | | 638,047 | | |
| CarParts.com, Inc.* | | | 797,198 | | | | 6,034,789 | | |
| Chewy, Inc., Class A*(a) | | | 288,771 | | | | 7,161,521 | | |
| ContextLogic, Inc., Class A*(a) | | | 3,613,079 | | | | 6,359,019 | | |
| Coupang, Inc.*(a) | | | 255,084 | | | | 3,446,185 | | |
| Dada Nexus Ltd., ADR* | | | 97,696 | | | | 737,605 | | |
| DoorDash, Inc., Class A* | | | 125,015 | | | | 9,614,904 | | |
| eBay, Inc. | | | 337,392 | | | | 16,420,869 | | |
| Etsy, Inc.* | | | 95,654 | | | | 7,759,452 | | |
| Farfetch Ltd., Class A* | | | 103,365 | | | | 927,184 | | |
| Fiverr International Ltd.*(a) | | | 15,621 | | | | 660,925 | | |
| Global-e Online Ltd.* | | | 41,221 | | | | 794,329 | | |
| Groupon, Inc.*(a) | | | 411,725 | | | | 6,361,151 | | |
| JD.com, Inc., ADR | | | 210,730 | | | | 11,826,168 | | |
| Lands' End, Inc.* | | | 504,660 | | | | 5,854,056 | | |
| Liquidity Services, Inc.* | | | 421,858 | | | | 5,720,394 | | |
| MercadoLibre, Inc.* | | | 7,002 | | | | 5,502,732 | | |
| Overstock.com, Inc.* | | | 198,606 | | | | 6,154,800 | | |
| Ozon Holdings plc, ADR*‡(b) | | | 60,470 | | | | — | | |
| PetMed Express, Inc. (a) | | | 265,638 | | | | 5,852,005 | | |
| Pinduoduo, Inc., ADR* | | | 172,435 | | | | 8,682,102 | | |
| Poshmark, Inc., Class A* | | | 551,465 | | | | 6,027,512 | | |
| Quotient Technology, Inc.* | | | 1,354,904 | | | | 5,663,499 | | |
| Qurate Retail, Inc., Series A | | | 1,686,160 | | | | 6,087,038 | | |
| RealReal, Inc. (The)* | | | 2,051,950 | | | | 6,730,396 | | |
| Revolve Group, Inc.* | | | 219,788 | | | | 6,457,371 | | |
| Shutterstock, Inc. | | | 104,856 | | | | 6,312,331 | | |
| Stitch Fix, Inc., Class A* | | | 765,195 | | | | 6,481,202 | | |
| Uxin Ltd., ADR* | | | 1,489,458 | | | | 625,572 | | |
| Vipshop Holdings Ltd., ADR* | | | 130,327 | | | | 1,212,041 | | |
| Wayfair, Inc., Class A*(a) | | | 126,426 | | | | 7,508,440 | | |
| | | 307,590,791 | | |
| Personal Products — 0.2% | |
| Yatsen Holding Ltd., ADR*(a) | | | 1,471,114 | | | | 725,701 | | |
Total Common Stocks
(Cost $647,706,428) | | | | | 320,612,010 | | |
| Investments | | Shares | | Value | |
| Securities Lending Reinvestments (c) — 7.7% | |
| Investment Companies — 7.7% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $24,777,454) | | | 24,777,454 | | | $ | 24,777,454 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 0.0% (d) | |
| Repurchase Agreements (e) — 0.0% (d) | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $62,973
(Cost $62,973) | | $ | 62,973 | | | | 62,973 | | |
Total Investments — 107.6%
(Cost $672,546,855) | | | | | 345,452,437 | | |
| Liabilities in excess of other assets — (7.6%) | | | | | (24,349,582 | ) | |
| Net Assets — 100.0% | | | | $ | 321,102,855 | | |
* Non-income producing security.
‡ Value determined using significant unobservable inputs.
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $30,849,497, collateralized in the form of cash with a value of $24,777,454 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $7,987,056 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 4.63%, and maturity dates ranging from June 9, 2022 - August 15, 2050. The total value of collateral is $32,764,510.
(b) Security fair valued as of May 31, 2022 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at May 31, 2022 amounted to $0, which represents approximately 0.00% of net assets of the Fund.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $24,777,454.
(d) Represents less than 0.05% of net assets.
(e) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
Abbreviations
ADR American Depositary Receipt
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | — | | |
| Aggregate gross unrealized depreciation | | | (349,309,208 | ) | |
| Net unrealized depreciation | | $ | (349,309,208 | ) | |
| Federal income tax cost | | $ | 694,761,645 | | |
See accompanying notes to the financial statements.
60 :: ONLN ONLINE RETAIL ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTSPROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks — 99.8% | |
| Distributors — 0.0% (a) | |
| Arata Corp. | | | 1,236 | | | $ | 38,548 | | |
| Diversified Consumer Services — 0.8% | |
| Rover Group, Inc.* | | | 260,495 | | | | 1,411,883 | | |
| Food Products — 12.8% | |
| Freshpet, Inc.* | | | 135,080 | | | | 9,721,707 | | |
| General Mills, Inc. | | | 55,578 | | | | 3,882,123 | | |
| J M Smucker Co. (The) | | | 9,737 | | | | 1,220,728 | | |
| Nestle SA (Registered) | | | 60,179 | | | | 7,340,433 | | |
| | | 22,164,991 | | |
| Health Care Equipment & Supplies — 13.6% | |
| Heska Corp.* | | | 30,398 | | | | 3,033,416 | | |
| IDEXX Laboratories, Inc.* | | | 45,154 | | | | 17,683,210 | | |
| Vimian Group AB* | | | 371,353 | | | | 2,226,380 | | |
| Zomedica Corp.* | | | 2,877,272 | | | | 672,994 | | |
| | | 23,616,000 | | |
| Health Care Providers & Services — 8.7% | |
| AmerisourceBergen Corp. | | | 13,878 | | | | 2,148,176 | | |
| Covetrus, Inc.* | | | 310,630 | | | | 6,467,317 | | |
| CVS Group plc | | | 210,566 | | | | 4,760,096 | | |
| Patterson Cos., Inc. | | | 8,045 | | | | 254,141 | | |
| PetIQ, Inc.* | | | 80,909 | | | | 1,388,398 | | |
| | | 15,018,128 | | |
| Household Products — 6.5% | |
| Central Garden & Pet Co., Class A* | | | 120,237 | | | | 5,089,632 | | |
| Colgate-Palmolive Co. | | | 77,190 | | | | 6,083,344 | | |
| | | 11,172,976 | | |
| Insurance — 4.4% | |
| Anicom Holdings, Inc. | | | 210,646 | | | | 1,089,760 | | |
| Trupanion, Inc.* | | | 98,630 | | | | 6,596,374 | | |
| | | 7,686,134 | | |
| Internet & Direct Marketing Retail — 4.8% | |
| BARK, Inc.* | | | 223,901 | | | | 559,753 | | |
| Chewy, Inc., Class A* | | | 263,111 | | | | 6,525,153 | | |
| PetMed Express, Inc. | | | 58,781 | | | | 1,294,945 | | |
| | | 8,379,851 | | |
| Pharmaceuticals — 37.3% | |
| Dechra Pharmaceuticals plc | | | 309,112 | | | | 14,162,658 | | |
| Elanco Animal Health, Inc.* | | | 734,343 | | | | 17,403,929 | | |
| Merck & Co., Inc. | | | 81,398 | | | | 7,491,058 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| SwedenCare AB | | | 365,837 | | | $ | 3,573,728 | | |
| Virbac SA | | | 12,435 | | | | 5,052,821 | | |
| Zoetis, Inc. | | | 98,916 | | | | 16,907,712 | | |
| | | 64,591,906 | | |
| Specialty Retail — 10.9% | |
| Musti Group OYJ* | | | 91,036 | | | | 1,780,672 | | |
Pet Center Comercio e
Participacoes SA | | | 978,470 | | | | 2,497,363 | | |
| Pet Valu Holdings Ltd. | | | 77,209 | | | | 2,008,282 | | |
| Petco Health & Wellness Co., Inc.* | | | 394,808 | | | | 6,301,136 | | |
| Pets at Home Group plc | | | 1,443,362 | | | | 6,311,168 | | |
| | | 18,898,621 | | |
Total Common Stocks
(Cost $245,221,635) | | | | | 172,979,038 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 0.1% | |
| Repurchase Agreements (b) — 0.1% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $244,015
(Cost $244,009) | | $ | 244,009 | | | | 244,009 | | |
Total Investments — 99.9%
(Cost $245,465,644) | | | | | 173,223,047 | | |
| Other assets less liabilities — 0.1% | | | | | 165,213 | | |
| Net Assets — 100.0% | | | | $ | 173,388,260 | | |
* Non-income producing security.
(a) Represents less than 0.05% of net assets.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 2,285,339 | | |
| Aggregate gross unrealized depreciation | | | (75,248,149 | ) | |
| Net unrealized depreciation | | $ | (72,962,810 | ) | |
| Federal income tax cost | | $ | 246,185,857 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: PET CARE ETF PAWZ :: 61
Pet Care ETF invested, as a percentage of net assets, in the following countries as of May 31, 2022:
| United States | | | 70.1 | % | |
| United Kingdom | | | 14.6 | % | |
| Switzerland | | | 4.2 | % | |
| Sweden | | | 3.3 | % | |
| France | | | 2.9 | % | |
| Canada | | | 1.6 | % | |
| Brazil | | | 1.4 | % | |
| Finland | | | 1.0 | % | |
| Japan | | | 0.7 | % | |
| Othera | | | 0.2 | % | |
| | | 100.0 | % | |
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
62 :: PAWZ PET CARE ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks — 99.8% | |
| Banks — 25.0% | |
| Associated Banc-Corp. | | | 435,250 | | | $ | 9,009,675 | | |
| Atlantic Union Bankshares Corp. | | | 261,417 | | | | 9,217,563 | | |
| BancFirst Corp. | | | 131,808 | | | | 11,958,940 | | |
| City Holding Co. (a) | | | 128,053 | | | | 10,511,871 | | |
| Community Bank System, Inc. | | | 140,548 | | | | 9,276,168 | | |
First Interstate BancSystem, Inc.,
Class A (a) | | | 264,750 | | | | 10,079,032 | | |
| First Merchants Corp. | | | 236,558 | | | | 9,736,727 | | |
| Fulton Financial Corp. | | | 584,743 | | | | 9,268,176 | | |
| Home BancShares, Inc. | | | 457,611 | | | | 10,337,432 | | |
| Independent Bank Corp. | | | 122,407 | | | | 10,196,503 | | |
| International Bancshares Corp. | | | 247,704 | | | | 10,386,229 | | |
| Lakeland Bancorp, Inc. | | | 585,402 | | | | 9,085,439 | | |
| Lakeland Financial Corp. | | | 129,416 | | | | 9,338,659 | | |
| Northwest Bancshares, Inc. | | | 735,778 | | | | 9,484,178 | | |
| Premier Financial Corp. | | | 332,165 | | | | 9,024,923 | | |
| Sandy Spring Bancorp, Inc. | | | 223,936 | | | | 9,483,690 | | |
Simmons First National Corp.,
Class A | | | 368,024 | | | | 9,461,897 | | |
| Southside Bancshares, Inc. | | | 248,415 | | | | 10,018,577 | | |
| Tompkins Financial Corp. | | | 129,432 | | | | 9,864,013 | | |
| United Bankshares, Inc. | | | 292,203 | | | | 10,975,145 | | |
| Washington Trust Bancorp, Inc. | | | 191,393 | | | | 9,607,929 | | |
| WesBanco, Inc. | | | 290,869 | | | | 9,906,998 | | |
| | | 216,229,764 | | |
| Building Products — 2.7% | |
| Apogee Enterprises, Inc. | | | 225,954 | | | | 9,399,687 | | |
| Griffon Corp. | | | 436,748 | | | | 14,006,508 | | |
| | | 23,406,195 | | |
| Capital Markets — 1.2% | |
| Cohen & Steers, Inc. | | | 130,732 | | | | 9,963,086 | | |
| Chemicals — 7.1% | |
| Avient Corp. | | | 203,066 | | | | 9,990,847 | | |
| Balchem Corp. | | | 72,394 | | | | 9,007,986 | | |
| HB Fuller Co. | | | 154,165 | | | | 10,958,048 | | |
| Quaker Chemical Corp. (a) | | | 57,283 | | | | 8,959,061 | | |
| Sensient Technologies Corp. (a) | | | 128,471 | | | | 11,233,504 | | |
| Stepan Co. | | | 99,289 | | | | 11,131,290 | | |
| | | 61,280,736 | | |
| Commercial Services & Supplies — 6.0% | |
| ABM Industries, Inc. | | | 218,871 | | | | 10,582,413 | | |
| Brady Corp., Class A | | | 220,880 | | | | 10,714,889 | | |
| Healthcare Services Group, Inc. (a) | | | 627,552 | | | | 10,775,068 | | |
| HNI Corp. | | | 262,830 | | | | 10,021,708 | | |
| Matthews International Corp., Class A | | | 301,796 | | | | 9,766,118 | | |
| | | 51,860,196 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Electric Utilities — 3.4% | |
| ALLETE, Inc. | | | 157,062 | | | $ | 9,740,985 | | |
| PNM Resources, Inc. | | | 222,470 | | | | 10,573,999 | | |
| Portland General Electric Co. | | | 189,572 | | | | 9,336,421 | | |
| | | 29,651,405 | | |
| Electronic Equipment, Instruments & Components — 1.0% | |
| Badger Meter, Inc. | | | 104,466 | | | | 8,267,439 | | |
| Equity Real Estate Investment Trusts (REITs) — 2.0% | |
| STAG Industrial, Inc. | | | 254,757 | | | | 8,483,408 | | |
| Terreno Realty Corp. | | | 145,311 | | | | 8,821,831 | | |
| | | 17,305,239 | | |
| Food & Staples Retailing — 2.1% | |
| Andersons, Inc. (The) | | | 211,226 | | | | 7,944,210 | | |
| SpartanNash Co. | | | 309,027 | | | | 10,633,619 | | |
| | | 18,577,829 | | |
| Food Products — 3.9% | |
| Calavo Growers, Inc. | | | 234,477 | | | | 7,983,942 | | |
| J & J Snack Foods Corp. | | | 62,266 | | | | 7,983,747 | | |
| Lancaster Colony Corp. | | | 62,716 | | | | 7,645,080 | | |
| Tootsie Roll Industries, Inc. | | | 294,993 | | | | 9,755,418 | | |
| | | 33,368,187 | | |
| Gas Utilities — 7.4% | |
| Chesapeake Utilities Corp. | | | 72,744 | | | | 9,716,416 | | |
| New Jersey Resources Corp. | | | 225,371 | | | | 10,349,036 | | |
| Northwest Natural Holding Co. | | | 182,174 | | | | 9,890,227 | | |
| South Jersey Industries, Inc. (a) | | | 294,641 | | | | 10,268,239 | | |
| Southwest Gas Holdings, Inc. | | | 138,502 | | | | 12,898,691 | | |
| Spire, Inc. | | | 144,061 | | | | 11,279,976 | | |
| | | 64,402,585 | | |
| Health Care Equipment & Supplies — 2.1% | |
| Atrion Corp. | | | 14,082 | | | | 8,854,621 | | |
| LeMaitre Vascular, Inc. | | | 210,468 | | | | 9,622,597 | | |
| | | 18,477,218 | | |
| Health Care Providers & Services — 1.1% | |
| Ensign Group, Inc. (The) (a) | | | 119,291 | | | | 9,682,850 | | |
| Household Products — 1.1% | |
| WD-40 Co. (a) | | | 49,170 | | | | 9,282,804 | | |
| Insurance — 1.2% | |
| Horace Mann Educators Corp. | | | 247,645 | | | | 10,019,717 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: RUSSELL 2000 DIVIDEND GROWERS ETF SMDV :: 63
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Internet & Direct Marketing Retail — 1.0% | |
| PetMed Express, Inc. (a) | | | 386,857 | | | $ | 8,522,460 | | |
| Machinery — 6.2% | |
| Douglas Dynamics, Inc. | | | 272,002 | | | | 8,546,303 | | |
| Franklin Electric Co., Inc. | | | 122,868 | | | | 9,057,829 | | |
| Hillenbrand, Inc. | | | 216,418 | | | | 9,054,929 | | |
| Lindsay Corp. | | | 74,272 | | | | 9,358,272 | | |
| Standex International Corp. | | | 95,068 | | | | 8,850,831 | | |
| Trinity Industries, Inc. | | | 335,566 | | | | 8,342,170 | | |
| | | 53,210,334 | | |
| Media — 1.3% | |
| John Wiley & Sons, Inc., Class A | | | 204,928 | | | | 10,852,987 | | |
| Metals & Mining — 3.3% | |
| Kaiser Aluminum Corp. | | | 107,197 | | | | 10,952,318 | | |
| Materion Corp. | | | 123,193 | | | | 10,099,362 | | |
| Worthington Industries, Inc. | | | 170,067 | | | | 7,931,925 | | |
| | | 28,983,605 | | |
| Mortgage Real Estate Investment Trusts (REITs) — 1.1% | |
| Arbor Realty Trust, Inc. | | | 576,478 | | | | 9,465,769 | | |
| Multi-Utilities — 3.5% | |
| Avista Corp. | | | 219,501 | | | | 9,535,123 | | |
| Black Hills Corp. | | | 140,121 | | | | 10,741,676 | | |
| NorthWestern Corp. | | | 165,032 | | | | 10,111,511 | | |
| | | 30,388,310 | | |
| Paper & Forest Products — 1.3% | |
| Neenah, Inc. | | | 301,341 | | | | 11,423,837 | | |
| Personal Products — 1.2% | |
| Nu Skin Enterprises, Inc., Class A (a) | | | 221,070 | | | | 10,312,916 | | |
| Professional Services — 1.3% | |
| Insperity, Inc. | | | 113,450 | | | | 11,352,942 | | |
| Real Estate Management & Development — 1.1% | |
| Kennedy-Wilson Holdings, Inc. | | | 463,739 | | | | 9,766,343 | | |
| Thrifts & Mortgage Finance — 1.0% | |
Federal Agricultural Mortgage Corp.,
Class C | | | 86,292 | | | | 9,061,523 | | |
| Tobacco — 1.3% | |
| Universal Corp. | | | 177,915 | | | | 11,329,627 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Trading Companies & Distributors — 3.5% | |
| Applied Industrial Technologies, Inc. | | | 101,435 | | | $ | 10,489,393 | | |
| GATX Corp. | | | 89,104 | | | | 9,618,777 | | |
| McGrath RentCorp | | | 126,402 | | | | 10,391,509 | | |
| | | 30,499,679 | | |
| Water Utilities — 4.2% | |
| American States Water Co. | | | 115,728 | | | | 9,171,444 | | |
| California Water Service Group | | | 173,943 | | | | 9,335,521 | | |
| Middlesex Water Co. | | | 95,717 | | | | 8,138,816 | | |
| SJW Group | | | 149,861 | | | | 9,268,903 | | |
| | | 35,914,684 | | |
| Wireless Telecommunication Services — 1.2% | |
| Telephone and Data Systems, Inc. | | | 567,808 | | | | 10,067,236 | | |
Total Common Stocks
(Cost $812,997,048) | | | | | 862,927,502 | | |
| Securities Lending Reinvestments (b) — 1.0% | |
| Investment Companies — 1.0% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $8,704,260) | | | 8,704,260 | | | | 8,704,260 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 0.1% | |
| Repurchase Agreements (c) — 0.1% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $810,577
(Cost $810,560) | | $ | 810,560 | | | | 810,560 | | |
Total Investments — 100.9%
(Cost $822,511,868) | | | | | 872,442,322 | | |
| Liabilities in excess of other assets — (0.9%) | | | | | (7,529,385 | ) | |
| Net Assets — 100.0% | | | | $ | 864,912,937 | | |
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $15,911,326, collateralized in the form of cash with a value of $8,704,260 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $7,690,598 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.75%, and maturity dates ranging from June 15, 2022 - November 15, 2051. The total value of collateral is $16,394,858.
See accompanying notes to the financial statements.
64 :: SMDV RUSSELL 2000 DIVIDEND GROWERS ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
(b) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $8,704,260.
(c) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 103,174,414 | | |
| Aggregate gross unrealized depreciation | | | (55,785,084 | ) | |
| Net unrealized appreciation | | $ | 47,389,330 | | |
| Federal income tax cost | | $ | 825,052,992 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: RUSSELL 2000 DIVIDEND GROWERS ETF SMDV :: 65
| Investments | | Shares | | Value | |
| Common Stocks — 99.7% | |
| Banks — 3.2% | |
| Commerce Bancshares, Inc. | | | 3,081 | | | $ | 213,144 | | |
| United Bankshares, Inc. | | | 6,127 | | | | 230,130 | | |
| | | 443,274 | | |
| Beverages — 4.6% | |
| Brown-Forman Corp., Class B | | | 3,054 | | | | 201,930 | | |
| Coca-Cola Co. (The) | | | 3,417 | | | | 216,569 | | |
| PepsiCo, Inc. | | | 1,290 | | | | 216,398 | | |
| | | 634,897 | | |
| Building Products — 1.7% | |
| Carlisle Cos., Inc. | | | 921 | | | | 234,330 | | |
| Capital Markets — 2.8% | |
| Franklin Resources, Inc. | | | 7,583 | | | | 205,348 | | |
| S&P Global, Inc. | | | 524 | | | | 183,127 | | |
| | | 388,475 | | |
| Chemicals — 10.0% | |
| Air Products and Chemicals, Inc. | | | 936 | | | | 230,406 | | |
| HB Fuller Co. | | | 3,232 | | | | 229,730 | | |
| PPG Industries, Inc. | | | 1,725 | | | | 218,195 | | |
| RPM International, Inc. | | | 2,627 | | | | 231,439 | | |
| Sherwin-Williams Co. (The) | | | 827 | | | | 221,669 | | |
| Stepan Co. | | | 2,082 | | | | 233,413 | | |
| | | 1,364,852 | | |
| Commercial Services & Supplies — 4.7% | |
| ABM Industries, Inc. | | | 4,589 | | | | 221,878 | | |
| Brady Corp., Class A | | | 4,631 | | | | 224,650 | | |
| MSA Safety, Inc. | | | 1,528 | | | | 194,805 | | |
| | | 641,333 | | |
| Containers & Packaging — 1.6% | |
| Sonoco Products Co. | | | 3,741 | | | | 218,736 | | |
| Distributors — 1.7% | |
| Genuine Parts Co. | | | 1,744 | | | | 238,457 | | |
| Diversified Telecommunication Services — 1.4% | |
| AT&T, Inc. | | | 8,957 | | | | 190,695 | | |
| Electric Utilities — 1.6% | |
| MGE Energy, Inc. | | | 2,818 | | | | 223,665 | | |
| Electrical Equipment — 1.5% | |
| Emerson Electric Co. | | | 2,335 | | | | 207,021 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Equity Real Estate Investment Trusts (REITs) — 1.5% | |
| Federal Realty Investment Trust | | | 1,781 | | | $ | 204,762 | | |
| Food & Staples Retailing — 4.4% | |
| Sysco Corp. (a) | | | 2,517 | | | | 211,881 | | |
| Walgreens Boots Alliance, Inc. | | | 4,481 | | | | 196,402 | | |
| Walmart, Inc. | | | 1,497 | | | | 192,559 | | |
| | | 600,842 | | |
| Food Products — 5.8% | |
| Archer-Daniels-Midland Co. | | | 2,582 | | | | 234,497 | | |
| Hormel Foods Corp. | | | 4,134 | | | | 201,202 | | |
| Lancaster Colony Corp. | | | 1,314 | | | | 160,177 | | |
| Tootsie Roll Industries, Inc. | | | 6,185 | | | | 204,538 | | |
| | | 800,414 | | |
| Gas Utilities — 3.3% | |
| National Fuel Gas Co. | | | 3,269 | | | | 240,369 | | |
| Northwest Natural Holding Co. | | | 3,820 | | | | 207,388 | | |
| | | 447,757 | | |
| Health Care Equipment & Supplies — 4.4% | |
| Abbott Laboratories | | | 1,761 | | | | 206,847 | | |
| Becton Dickinson and Co. | | | 776 | | | | 198,501 | | |
| Embecta Corp.* | | | 156 | | | | 3,866 | | |
| Medtronic plc | | | 1,974 | | | | 197,696 | | |
| | | 606,910 | | |
| Hotels, Restaurants & Leisure — 1.7% | |
| McDonald's Corp. | | | 907 | | | | 228,754 | | |
| Household Durables — 1.6% | |
| Leggett & Platt, Inc. | | | 5,733 | | | | 224,562 | | |
| Household Products — 6.3% | |
| Clorox Co. (The) | | | 1,478 | | | | 214,842 | | |
| Colgate-Palmolive Co. | | | 2,764 | | | | 217,831 | | |
| Kimberly-Clark Corp. | | | 1,656 | | | | 220,281 | | |
| Procter & Gamble Co. (The) | | | 1,379 | | | | 203,927 | | |
| | | 856,881 | | |
| Industrial Conglomerates — 1.6% | |
| 3M Co. | | | 1,458 | | | | 217,665 | | |
| Insurance — 6.4% | |
| Aflac, Inc. | | | 3,559 | | | | 215,569 | | |
| Cincinnati Financial Corp. | | | 1,736 | | | | 221,965 | | |
| Old Republic International Corp. | | | 8,100 | | | | 193,752 | | |
| RLI Corp. | | | 2,068 | | | | 250,476 | | |
| | | 881,762 | | |
See accompanying notes to the financial statements.
66 :: TMDV RUSSELL U.S. DIVIDEND GROWERS ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| IT Services — 1.7% | |
| Automatic Data Processing, Inc. | | | 1,026 | | | $ | 228,736 | | |
| Machinery — 6.8% | |
| Dover Corp. | | | 1,417 | | | | 189,750 | | |
| Illinois Tool Works, Inc. | | | 1,008 | | | | 209,735 | | |
| Nordson Corp. | | | 944 | | | | 205,679 | | |
| Stanley Black & Decker, Inc. | | | 1,322 | | | | 156,908 | | |
| Tennant Co. | | | 2,693 | | | | 167,612 | | |
| | | 929,684 | | |
| Metals & Mining — 1.5% | |
| Nucor Corp. | | | 1,542 | | | | 204,253 | | |
| Multiline Retail — 1.1% | |
| Target Corp. | | | 954 | | | | 154,434 | | |
| Multi-Utilities — 3.4% | |
| Black Hills Corp. | | | 2,938 | | | | 225,227 | | |
| Consolidated Edison, Inc. | | | 2,379 | | | | 236,140 | | |
| | | 461,367 | | |
| Pharmaceuticals — 1.7% | |
| Johnson & Johnson | | | 1,261 | | | | 226,387 | | |
| Specialty Retail — 1.4% | |
| Lowe's Cos., Inc. | | | 954 | | | | 186,316 | | |
| Tobacco — 1.7% | |
| Universal Corp. | | | 3,731 | | | | 237,590 | | |
| Trading Companies & Distributors — 1.6% | |
| WW Grainger, Inc. | | | 438 | | | | 213,337 | | |
| Water Utilities — 5.5% | |
| American States Water Co. | | | 2,427 | | | | 192,340 | | |
| California Water Service Group | | | 3,648 | | | | 195,788 | | |
| Middlesex Water Co. | | | 2,006 | | | | 170,570 | | |
| SJW Group | | | 3,141 | | | | 194,271 | | |
| | | 752,969 | | |
| Wireless Telecommunication Services — 1.5% | |
| Telephone and Data Systems, Inc. | | | 11,906 | | | | 211,093 | | |
Total Common Stocks
(Cost $13,415,975) | | | | | 13,662,210 | | |
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 0.1% | |
| Repurchase Agreements (b) — 0.1% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $7,831
(Cost $7,831) | | $ | 7,831 | | | $ | 7,831 | | |
Total Investments — 99.8%
(Cost $13,423,806) | | | | | 13,670,041 | | |
| Other assets less liabilities — 0.2% | | | | | 22,103 | | |
| Net Assets — 100.0% | | | | $ | 13,692,144 | | |
* Non-income producing security.
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $84, collateralized in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 30, 2022 - August 15, 2050. The total value of collateral is $88.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 1,077,729 | | |
| Aggregate gross unrealized depreciation | | | (855,301 | ) | |
| Net unrealized appreciation | | $ | 222,428 | | |
| Federal income tax cost | | $ | 13,447,613 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: RUSSELL U.S. DIVIDEND GROWERS ETF TMDV :: 67
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds — 98.4% | |
| Aerospace & Defense — 4.6% | |
| Boeing Co. (The) | |
| 3.20%, 3/1/2029 | | $ | 184,000 | | | $ | 164,380 | | |
| 5.71%, 5/1/2040 | | | 200,000 | | | | 195,087 | | |
| 5.81%, 5/1/2050 | | | 20,000 | | | | 19,556 | | |
| 5.93%, 5/1/2060 | | | 100,000 | | | | 97,918 | | |
| Lockheed Martin Corp. | |
| 4.09%, 9/15/2052 | | | 103,000 | | | | 101,113 | | |
| Northrop Grumman Corp. | |
| 3.25%, 1/15/2028 | | | 200,000 | | | | 193,880 | | |
| Raytheon Technologies Corp. | |
| 4.50%, 6/1/2042 | | | 128,000 | | | | 127,719 | | |
| | | 899,653 | | |
| Airlines — 0.3% | |
Southwest Airlines Co.
5.13%, 6/15/2027 | | | 52,000 | | | | 54,086 | | |
| Automobiles — 1.7% | |
| General Motors Co. | |
| 6.80%, 10/1/2027 | | | 250,000 | | | | 270,422 | | |
| 5.00%, 10/1/2028 | | | 66,000 | | | | 65,940 | | |
| | | 336,362 | | |
| Banks — 7.6% | |
| Bank of America Corp. | |
| 4.20%, 8/26/2024 | | | 64,000 | | | | 65,133 | | |
| 4.00%, 1/22/2025 | | | 102,000 | | | | 102,732 | | |
| Series L, 3.95%, 4/21/2025 | | | 100,000 | | | | 100,685 | | |
| Series L, 4.18%, 11/25/2027 | | | 50,000 | | | | 49,819 | | |
| 7.75%, 5/14/2038 | | | 100,000 | | | | 130,530 | | |
| Citigroup, Inc. | |
| 4.40%, 6/10/2025 | | | 10,000 | | | | 10,113 | | |
| 3.20%, 10/21/2026 | | | 100,000 | | | | 96,917 | | |
| 4.45%, 9/29/2027 | | | 62,000 | | | | 62,189 | | |
| 4.65%, 7/23/2048 | | | 130,000 | | | | 130,056 | | |
| JPMorgan Chase & Co. | |
| 3.90%, 7/15/2025 | | | 154,000 | | | | 156,672 | | |
| 2.95%, 10/1/2026 | | | 22,000 | | | | 21,339 | | |
| PNC Financial Services Group, Inc. (The) | |
| 2.55%, 1/22/2030 | | | 47,000 | | | | 41,936 | | |
| Truist Bank | |
| 3.20%, 4/1/2024 | | | 100,000 | | | | 100,376 | | |
| Wells Fargo & Co. | |
| 3.30%, 9/9/2024 | | | 127,000 | | | | 127,654 | | |
| 3.00%, 2/19/2025 | | | 2,000 | | | | 1,985 | | |
| 3.55%, 9/29/2025 | | | 114,000 | | | | 113,948 | | |
| 3.00%, 4/22/2026 | | | 2,000 | | | | 1,939 | | |
| 3.00%, 10/23/2026 | | | 200,000 | | | | 192,931 | | |
| | | 1,506,954 | | |
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| Beverages — 1.4% | |
| Coca-Cola Co. (The) | |
| 2.88%, 5/5/2041 | | $ | 150,000 | | | $ | 127,100 | | |
| Molson Coors Beverage Co. | |
| 4.20%, 7/15/2046 | | | 32,000 | | | | 27,572 | | |
| PepsiCo, Inc. | |
| 1.95%, 10/21/2031 | | | 130,000 | | | | 113,324 | | |
| | | 267,996 | | |
| Biotechnology — 5.8% | |
| AbbVie, Inc. | |
| 3.75%, 11/14/2023 | | | 3,000 | | | | 3,042 | | |
| 3.60%, 5/14/2025 | | | 160,000 | | | | 160,855 | | |
| 3.20%, 5/14/2026 | | | 80,000 | | | | 78,732 | | |
| 4.88%, 11/14/2048 | | | 200,000 | | | | 203,364 | | |
| 4.25%, 11/21/2049 | | | 32,000 | | | | 29,848 | | |
| Amgen, Inc. | |
| 2.20%, 2/21/2027 | | | 244,000 | | | | 229,389 | | |
| 1.65%, 8/15/2028 | | | 115,000 | | | | 101,188 | | |
| 2.00%, 1/15/2032 | | | 135,000 | | | | 113,166 | | |
| Biogen, Inc. | |
| 2.25%, 5/1/2030 | | | 100,000 | | | | 84,101 | | |
| Gilead Sciences, Inc. | |
| 3.65%, 3/1/2026 | | | 20,000 | | | | 20,050 | | |
| 1.65%, 10/1/2030 | | | 1,000 | | | | 844 | | |
| 4.75%, 3/1/2046 | | | 106,000 | | | | 105,961 | | |
| 2.80%, 10/1/2050 | | | 3,000 | | | | 2,194 | | |
| | | 1,132,734 | | |
| Building Products — 0.7% | |
Carrier Global Corp.
2.70%, 2/15/2031 | | | 160,000 | | | | 139,185 | | |
| Capital Markets — 5.4% | |
| Bank of New York Mellon Corp. (The) | |
| 3.35%, 4/25/2025 | | | 166,000 | | | | 166,222 | | |
| Charles Schwab Corp. (The) | |
| 0.75%, 3/18/2024 | | | 64,000 | | | | 61,865 | | |
| Goldman Sachs Group, Inc. (The) | |
| 3.85%, 1/26/2027 | | | 350,000 | | | | 347,030 | | |
| 3.80%, 3/15/2030 | | | 150,000 | | | | 144,385 | | |
| 6.75%, 10/1/2037 | | | 44,000 | | | | 51,907 | | |
| Morgan Stanley | |
| Series F, 3.88%, 4/29/2024 | | | 100,000 | | | | 102,023 | | |
| 3.13%, 7/27/2026 | | | 100,000 | | | | 97,181 | | |
| 4.38%, 1/22/2047 | | | 100,000 | | | | 96,281 | | |
| | | 1,066,894 | | |
| Chemicals — 0.5% | |
DuPont de Nemours, Inc.
4.21%, 11/15/2023 | | | 100,000 | | | | 101,869 | | |
See accompanying notes to the financial statements.
68 :: SPXB S&P 500® BOND ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| Consumer Finance — 1.3% | |
| American Express Co. | |
| 3.40%, 2/22/2024 | | $ | 17,000 | | | $ | 17,081 | | |
| 1.65%, 11/4/2026 | | | 154,000 | | | | 141,917 | | |
| Capital One Financial Corp. | |
| 3.80%, 1/31/2028 | | | 100,000 | | | | 96,871 | | |
| | | 255,869 | | |
| Diversified Telecommunication Services — 7.0% | |
| AT&T, Inc. | |
| 4.35%, 3/1/2029 | | | 200,000 | | | | 202,428 | | |
| 4.30%, 2/15/2030 | | | 3,000 | | | | 3,028 | | |
| 2.75%, 6/1/2031 | | | 266,000 | | | | 238,245 | | |
| 3.50%, 9/15/2053 | | | 233,000 | | | | 188,169 | | |
| Verizon Communications, Inc. | |
| 0.75%, 3/22/2024 | | | 191,000 | | | | 184,782 | | |
| 1.45%, 3/20/2026 | | | 2,000 | | | | 1,857 | | |
| 4.13%, 3/16/2027 | | | 3,000 | | | | 3,075 | | |
| 4.33%, 9/21/2028 | | | 187,000 | | | | 189,916 | | |
| 4.02%, 12/3/2029 | | | 2,000 | | | | 1,984 | | |
| 1.50%, 9/18/2030 | | | 100,000 | | | | 82,697 | | |
| 4.86%, 8/21/2046 | | | 100,000 | | | | 103,972 | | |
| 3.55%, 3/22/2051 | | | 2,000 | | | | 1,695 | | |
| 3.70%, 3/22/2061 | | | 200,000 | | | | 167,824 | | |
| | | 1,369,672 | | |
| Electric Utilities — 1.6% | |
| NextEra Energy Capital Holdings, Inc. | |
| 2.25%, 6/1/2030 | | | 145,000 | | | | 125,472 | | |
| Southern Co. (The) | |
| 2.95%, 7/1/2023 | | | 128,000 | | | | 128,197 | | |
| Series A, 3.70%, 4/30/2030 | | | 70,000 | | | | 66,623 | | |
| | | 320,292 | | |
| Energy Equipment & Services — 0.0% (a) | |
Halliburton Co.
2.92%, 3/1/2030 | | | 1,000 | | | | 917 | | |
| Entertainment — 1.8% | |
| Walt Disney Co. (The) | |
| 1.75%, 8/30/2024 | | | 40,000 | | | | 38,906 | | |
| 2.65%, 1/13/2031 | | | 118,000 | | | | 106,906 | | |
| 2.75%, 9/1/2049 | | | 150,000 | | | | 113,071 | | |
| 3.60%, 1/13/2051 | | | 100,000 | | | | 87,932 | | |
| | | 346,815 | | |
| Equity Real Estate Investment Trusts (REITs) — 1.5% | |
| American Tower Corp. | |
| 3.80%, 8/15/2029 | | | 36,000 | | | | 33,956 | | |
| Crown Castle International Corp. | |
| 2.90%, 4/1/2041 | | | 100,000 | | | | 75,103 | | |
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| Equinix, Inc. | |
| 3.20%, 11/18/2029 | | $ | 64,000 | | | $ | 58,679 | | |
| Simon Property Group LP | |
| 3.80%, 7/15/2050 | | | 154,000 | | | | 131,517 | | |
| | | 299,255 | | |
| Food & Staples Retailing — 1.0% | |
| Costco Wholesale Corp. | |
| 1.60%, 4/20/2030 | | | 72,000 | | | | 61,908 | | |
| Sysco Corp. | |
| 6.60%, 4/1/2050 | | | 44,000 | | | | 53,816 | | |
| Walmart, Inc. | |
| 2.50%, 9/22/2041 | | | 100,000 | | | | 80,851 | | |
| | | 196,575 | | |
| Food Products — 1.2% | |
| Conagra Brands, Inc. | |
| 5.40%, 11/1/2048 | | | 54,000 | | | | 54,437 | | |
| Kraft Heinz Foods Co. | |
| 6.88%, 1/26/2039 | | | 161,000 | | | | 185,405 | | |
| | | 239,842 | | |
| Health Care Equipment & Supplies — 1.9% | |
| Abbott Laboratories | |
| 4.90%, 11/30/2046 | | | 129,000 | | | | 142,522 | | |
| Becton Dickinson and Co. | |
| 3.70%, 6/6/2027 | | | 124,000 | | | | 122,980 | | |
| Medtronic, Inc. | |
| 4.63%, 3/15/2045 | | | 110,000 | | | | 116,030 | | |
| | | 381,532 | | |
| Health Care Providers & Services — 7.5% | |
| Anthem, Inc. | |
| 2.38%, 1/15/2025 | | | 246,000 | | | | 241,186 | | |
| 3.60%, 3/15/2051 | | | 2,000 | | | | 1,734 | | |
| Cigna Corp. | |
| 3.75%, 7/15/2023 | | | 4,000 | | | | 4,041 | | |
| 4.13%, 11/15/2025 | | | 40,000 | | | | 40,695 | | |
| 4.90%, 12/15/2048 | | | 201,000 | | | | 201,595 | | |
| CVS Health Corp. | |
| 3.75%, 4/1/2030 | | | 2,000 | | | | 1,931 | | |
| 1.88%, 2/28/2031 | | | 166,000 | | | | 137,974 | | |
| 4.78%, 3/25/2038 | | | 1,000 | | | | 1,000 | | |
| 5.13%, 7/20/2045 | | | 183,000 | | | | 186,887 | | |
| 5.05%, 3/25/2048 | | | 54,000 | | | | 55,295 | | |
| 4.25%, 4/1/2050 | | | 150,000 | | | | 136,237 | | |
| HCA, Inc. | |
| 5.25%, 6/15/2049 | | | 250,000 | | | | 241,605 | | |
| UnitedHealth Group, Inc. | |
| 2.90%, 5/15/2050 | | | 121,000 | | | | 94,548 | | |
| 3.25%, 5/15/2051 | | | 150,000 | | | | 124,875 | | |
| | | 1,469,603 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: S&P 500® BOND ETF SPXB :: 69
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| Hotels, Restaurants & Leisure — 1.0% | |
| Booking Holdings, Inc. | |
| 4.63%, 4/13/2030 | | $ | 38,000 | | | $ | 39,264 | | |
| Expedia Group, Inc. | |
| 3.25%, 2/15/2030 | | | 27,000 | | | | 23,846 | | |
| Starbucks Corp. | |
| 2.55%, 11/15/2030 | | | 159,000 | | | | 139,450 | | |
| | | 202,560 | | |
| Industrial Conglomerates — 1.0% | |
GE Capital International Funding Co.
Unlimited Co. | |
| 4.42%, 11/15/2035 | | | 150,000 | | | | 148,122 | | |
| Honeywell International, Inc. | |
| 2.80%, 6/1/2050 | | | 72,000 | | | | 57,805 | | |
| | | 205,927 | | |
| Insurance — 2.3% | |
| Berkshire Hathaway Finance Corp. | |
| 4.20%, 8/15/2048 | | | 216,000 | | | | 210,228 | | |
| 4.25%, 1/15/2049 | | | 20,000 | | | | 19,506 | | |
| Marsh & McLennan Cos., Inc. | |
| 4.90%, 3/15/2049 | | | 189,000 | | | | 195,813 | | |
| Prudential Financial, Inc. | |
| 3.70%, 3/13/2051 | | | 26,000 | | | | 22,710 | | |
| | | 448,257 | | |
| Interactive Media & Services — 0.7% | |
Alphabet, Inc.
2.00%, 8/15/2026 | | | 150,000 | | | | 144,014 | | |
| Internet & Direct Marketing Retail — 3.9% | |
| Amazon.com, Inc. | |
| 0.45%, 5/12/2024 | | | 130,000 | | | | 124,579 | | |
| 2.80%, 8/22/2024 | | | 130,000 | | | | 130,380 | | |
| 1.20%, 6/3/2027 | | | 144,000 | | | | 129,868 | | |
| 1.50%, 6/3/2030 | | | 100,000 | | | | 85,364 | | |
| 3.88%, 8/22/2037 | | | 2,000 | | | | 1,978 | | |
| 2.50%, 6/3/2050 | | | 76,000 | | | | 56,227 | | |
| 4.25%, 8/22/2057 | | | 200,000 | | | | 199,929 | | |
| eBay, Inc. | |
| 3.65%, 5/10/2051 | | | 46,000 | | | | 36,757 | | |
| | | 765,082 | | |
| IT Services — 4.0% | |
| Fiserv, Inc. | |
| 2.65%, 6/1/2030 | | | 32,000 | | | | 27,963 | | |
| 4.40%, 7/1/2049 | | | 150,000 | | | | 136,129 | | |
| Global Payments, Inc. | |
| 2.90%, 5/15/2030 (b) | | | 100,000 | | | | 87,591 | | |
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| International Business Machines Corp. | |
| 3.50%, 5/15/2029 | | $ | 215,000 | | | $ | 207,661 | | |
| 1.95%, 5/15/2030 | | | 2,000 | | | | 1,715 | | |
| 4.25%, 5/15/2049 | | | 51,000 | | | | 47,787 | | |
| Mastercard, Inc. | |
| 3.85%, 3/26/2050 | | | 62,000 | | | | 58,187 | | |
| PayPal Holdings, Inc. | |
| 2.40%, 10/1/2024 | | | 120,000 | | | | 118,414 | | |
| Visa, Inc. | |
| 3.15%, 12/14/2025 | | | 100,000 | | | | 100,146 | | |
| 2.70%, 4/15/2040 | | | 2,000 | | | | 1,678 | | |
| | | 787,271 | | |
| Life Sciences Tools & Services — 0.4% | |
Thermo Fisher Scientific, Inc.
2.80%, 10/15/2041 | | | 100,000 | | | | 80,436 | | |
| Machinery — 0.5% | |
Caterpillar, Inc.
3.25%, 4/9/2050 | | | 120,000 | | | | 102,738 | | |
| Media — 3.4% | |
| Comcast Corp. | |
| 3.95%, 10/15/2025 | | | 118,000 | | | | 120,399 | | |
| 3.15%, 3/1/2026 | | | 250,000 | | | | 247,782 | | |
| 2.65%, 2/1/2030 | | | 32,000 | | | | 29,609 | | |
| 4.25%, 10/15/2030 | | | 28,000 | | | | 28,550 | | |
| 3.75%, 4/1/2040 | | | 2,000 | | | | 1,830 | | |
| Discovery Communications LLC | |
| 4.65%, 5/15/2050 | | | 72,000 | | | | 60,739 | | |
| Fox Corp. | |
| 5.58%, 1/25/2049 | | | 100,000 | | | | 103,962 | | |
| Paramount Global | |
| 4.20%, 5/19/2032 (b) | | | 79,000 | | | | 74,037 | | |
| | | 666,908 | | |
| Oil, Gas & Consumable Fuels — 5.3% | |
| Chevron Corp. | |
| 2.24%, 5/11/2030 | | | 274,000 | | | | 248,368 | | |
| ConocoPhillips Co. | |
| 2.40%, 3/7/2025 | | | 100,000 | | | | 98,196 | | |
| Diamondback Energy, Inc. | |
| 4.25%, 3/15/2052 | | | 105,000 | | | | 93,364 | | |
| Exxon Mobil Corp. | |
| 3.04%, 3/1/2026 | | | 42,000 | | | | 41,768 | | |
| 4.23%, 3/19/2040 | | | 240,000 | | | | 238,321 | | |
| 4.33%, 3/19/2050 | | | 62,000 | | | | 62,554 | | |
| Kinder Morgan, Inc. | |
| 4.30%, 3/1/2028 | | | 100,000 | | | | 100,262 | | |
| MPLX LP | |
| 2.65%, 8/15/2030 | | | 45,000 | | | | 38,973 | | |
See accompanying notes to the financial statements.
70 :: SPXB S&P 500® BOND ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| Phillips 66 | |
| 3.30%, 3/15/2052 | | $ | 2,000 | | | $ | 1,564 | | |
| Pioneer Natural Resources Co. | |
| 2.15%, 1/15/2031 | | | 48,000 | | | | 40,915 | | |
| Valero Energy Corp. | |
| 3.65%, 12/1/2051 | | | 100,000 | | | | 78,801 | | |
| | | 1,043,086 | | |
| Pharmaceuticals — 4.8% | |
| Bristol-Myers Squibb Co. | |
| 2.90%, 7/26/2024 | | | 209,000 | | | | 209,367 | | |
| 3.90%, 2/20/2028 | | | 122,000 | | | | 123,844 | | |
| 3.40%, 7/26/2029 | | | 56,000 | | | | 55,305 | | |
| Johnson & Johnson | |
| 2.95%, 3/3/2027 | | | 250,000 | | | | 248,534 | | |
| 2.45%, 9/1/2060 | | | 2,000 | | | | 1,416 | | |
| Merck & Co., Inc. | |
| 1.45%, 6/24/2030 | | | 150,000 | | | | 127,423 | | |
| Pfizer, Inc. | |
| 1.75%, 8/18/2031 | | | 100,000 | | | | 85,444 | | |
| Utah Acquisition Sub, Inc. | |
| 3.95%, 6/15/2026 | | | 94,000 | | | | 91,814 | | |
| | | 943,147 | | |
| Road & Rail — 0.7% | |
| Norfolk Southern Corp. | |
| 3.05%, 5/15/2050 | | | 28,000 | | | | 21,689 | | |
| Union Pacific Corp. | |
| 2.80%, 2/14/2032 | | | 130,000 | | | | 118,342 | | |
| | | 140,031 | | |
| Semiconductors & Semiconductor Equipment — 3.1% | |
| Broadcom, Inc. | |
| 4.75%, 4/15/2029 | | | 100,000 | | | | 100,023 | | |
| 4.15%, 11/15/2030 | | | 3,000 | | | | 2,850 | | |
| 4.30%, 11/15/2032 | | | 2,000 | | | | 1,896 | | |
| Intel Corp. | |
| 3.90%, 3/25/2030 | | | 36,000 | | | | 36,277 | | |
| 3.25%, 11/15/2049 | | | 20,000 | | | | 16,541 | | |
| 4.75%, 3/25/2050 | | | 33,000 | | | | 34,399 | | |
| 3.05%, 8/12/2051 | | | 100,000 | | | | 79,091 | | |
| NVIDIA Corp. | |
| 2.85%, 4/1/2030 | | | 200,000 | | | | 187,622 | | |
| QUALCOMM, Inc. | |
| 3.25%, 5/20/2027 | | | 150,000 | | | | 149,034 | | |
| | | 607,733 | | |
| Software — 5.4% | |
| Microsoft Corp. | |
| 2.00%, 8/8/2023 | | | 100,000 | | | | 99,635 | | |
| 3.13%, 11/3/2025 | | | 131,000 | | | | 132,053 | | |
| 3.30%, 2/6/2027 | | | 92,000 | | | | 93,109 | | |
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| Oracle Corp. | |
| 2.40%, 9/15/2023 | | $ | 248,000 | | | $ | 246,249 | | |
| 1.65%, 3/25/2026 | | | 260,000 | | | | 236,748 | | |
| 2.95%, 4/1/2030 | | | 2,000 | | | | 1,745 | | |
| 3.60%, 4/1/2040 | | | 2,000 | | | | 1,551 | | |
| 3.65%, 3/25/2041 | | | 130,000 | | | | 100,521 | | |
| 4.00%, 7/15/2046 | | | 2,000 | | | | 1,565 | | |
| Salesforce, Inc. | |
| 2.90%, 7/15/2051 | | | 200,000 | | | | 156,568 | | |
| | | 1,069,744 | | |
| Specialty Retail — 1.2% | |
| Home Depot, Inc. (The) | |
| 2.95%, 6/15/2029 | | | 100,000 | | | | 95,259 | | |
| 5.88%, 12/16/2036 | | | 2,000 | | | | 2,397 | | |
| 2.38%, 3/15/2051 | | | 22,000 | | | | 15,620 | | |
| Lowe's Cos., Inc. | |
| 3.00%, 10/15/2050 | | | 179,000 | | | | 132,345 | | |
| | | 245,621 | | |
| Technology Hardware, Storage & Peripherals — 4.4% | |
| Apple, Inc. | |
| 3.45%, 5/6/2024 | | | 102,000 | | | | 103,563 | | |
| 2.50%, 2/9/2025 | | | 100,000 | | | | 99,124 | | |
| 3.20%, 5/13/2025 | | | 100,000 | | | | 100,920 | | |
| 3.25%, 2/23/2026 | | | 12,000 | | | | 12,071 | | |
| 3.85%, 5/4/2043 | | | 168,000 | | | | 162,065 | | |
| 3.45%, 2/9/2045 | | | 50,000 | | | | 45,179 | | |
| 4.65%, 2/23/2046 | | | 6,000 | | | | 6,428 | | |
| 2.80%, 2/8/2061 | | | 1,000 | | | | 756 | | |
| 2.85%, 8/5/2061 | | | 150,000 | | | | 115,090 | | |
| Hewlett Packard Enterprise Co. | |
| 6.35%, 10/15/2045 (c) | | | 122,000 | | | | 130,295 | | |
| HP, Inc. | |
| 4.20%, 4/15/2032 | | | 100,000 | | | | 92,871 | | |
| | | 868,362 | | |
| Textiles, Apparel & Luxury Goods — 0.2% | |
NIKE, Inc.
3.25%, 3/27/2040 | | | 52,000 | | | | 46,033 | | |
| Tobacco — 1.3% | |
| Altria Group, Inc. | |
| 2.45%, 2/4/2032 | | | 185,000 | | | | 149,362 | | |
| 5.95%, 2/14/2049 | | | 24,000 | | | | 22,976 | | |
| Philip Morris International, Inc. | |
| 4.25%, 11/10/2044 | | | 100,000 | | | | 85,823 | | |
| | | 258,161 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: S&P 500® BOND ETF SPXB :: 71
| Investments | | Principal
Amount | | Value | |
| Corporate Bonds (continued) | |
| Wireless Telecommunication Services — 2.0% | |
| T-Mobile USA, Inc. | |
| 3.50%, 4/15/2025 | | $ | 2,000 | | | $ | 1,985 | | |
| 2.55%, 2/15/2031 | | | 250,000 | | | | 217,144 | | |
| 3.00%, 2/15/2041 | | | 230,000 | | | | 180,731 | | |
| | | 399,860 | | |
Total Corporate Bonds
(Cost $21,981,240) | | | | | 19,411,076 | | |
| Short-Term Investments — 2.8% | |
| Repurchase Agreements (d) — 2.8% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $544,113
(Cost $544,103) | | | 544,103 | | | | 544,103 | | |
Total Investments — 101.2%
(Cost $22,525,343) | | | | | 19,955,179 | | |
| Liabilities in excess of other assets — (1.2%) | | | | | (242,796 | ) | |
| Net Assets — 100.0% | | | | $ | 19,712,383 | | |
(a) Represents less than 0.05% of net assets.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $152,562, collateralized in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 3.13%, and maturity dates ranging from July 15, 2022 - August 15, 2049. The total value of collateral is $156,753.
(c) Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future at a contingent upon predetermined trigger. The interest rate shown was the current rate as of May 31, 2022.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 7,817 | | |
| Aggregate gross unrealized depreciation | | | (2,577,981 | ) | |
| Net unrealized depreciation | | $ | (2,570,164 | ) | |
| Federal income tax cost | | $ | 22,525,343 | | |
See accompanying notes to the financial statements.
72 :: SPXB S&P 500® BOND ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks — 99.8% | |
| Aerospace & Defense — 1.5% | |
| General Dynamics Corp. | | | 691,321 | | | $ | 155,485,006 | | |
| Air Freight & Logistics — 1.8% | |
Expeditors International of
Washington, Inc. | | | 1,659,115 | | | | 180,578,077 | | |
| Beverages — 4.7% | |
| Brown-Forman Corp., Class B | | | 2,463,482 | | | | 162,885,430 | | |
| Coca-Cola Co. (The) | | | 2,529,610 | | | | 160,326,682 | | |
| PepsiCo, Inc. | | | 958,589 | | | | 160,803,304 | | |
| | | 484,015,416 | | |
| Biotechnology — 1.5% | |
| AbbVie, Inc. | | | 1,065,153 | | | | 156,971,598 | | |
| Building Products — 1.5% | |
| A O Smith Corp. | | | 2,548,029 | | | | 153,187,504 | | |
| Capital Markets — 4.7% | |
| Franklin Resources, Inc. | | | 6,250,957 | | | | 169,275,916 | | |
| S&P Global, Inc. | | | 434,501 | | | | 151,849,409 | | |
| T. Rowe Price Group, Inc. (a) | | | 1,228,801 | | | | 156,168,319 | | |
| | | 477,293,644 | | |
| Chemicals — 10.2% | |
| Air Products and Chemicals, Inc. | | | 679,127 | | | | 167,173,903 | | |
| Albemarle Corp. | | | 822,390 | | | | 214,166,804 | | |
| Ecolab, Inc. | | | 941,731 | | | | 154,359,128 | | |
| Linde plc | | | 532,791 | | | | 172,986,582 | | |
| PPG Industries, Inc. | | | 1,241,790 | | | | 157,074,017 | | |
| Sherwin-Williams Co. (The) | | | 673,931 | | | | 180,640,465 | | |
| | | 1,046,400,899 | | |
| Commercial Services & Supplies — 1.6% | |
| Cintas Corp. | | | 404,540 | | | | 161,140,418 | | |
| Containers & Packaging — 1.8% | |
| Amcor plc | | | 14,249,909 | | | | 186,673,808 | | |
| Distributors — 1.6% | |
| Genuine Parts Co. | | | 1,234,817 | | | | 168,836,528 | | |
| Electric Utilities — 1.7% | |
| NextEra Energy, Inc. | | | 2,231,395 | | | | 168,894,288 | | |
| Electrical Equipment — 1.5% | |
| Emerson Electric Co. | | | 1,762,916 | | | | 156,300,133 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Equity Real Estate Investment Trusts (REITs) — 4.3% | |
| Essex Property Trust, Inc. | | | 469,503 | | | $ | 133,268,427 | | |
| Federal Realty Investment Trust (a) | | | 1,354,961 | | | | 155,779,866 | | |
| Realty Income Corp. | | | 2,244,393 | | | | 153,112,490 | | |
| | | 442,160,783 | | |
| Food & Staples Retailing — 4.4% | |
| Sysco Corp. | | | 1,859,005 | | | | 156,491,041 | | |
| Walgreens Boots Alliance, Inc. | | | 3,622,258 | | | | 158,763,568 | | |
| Walmart, Inc. | | | 1,052,325 | | | | 135,360,565 | | |
| | | 450,615,174 | | |
| Food Products — 4.5% | |
| Archer-Daniels-Midland Co. | | | 1,791,613 | | | | 162,714,293 | | |
| Hormel Foods Corp. | | | 3,080,603 | | | | 149,932,948 | | |
| McCormick & Co., Inc. (Non-Voting) | | | 1,613,767 | | | | 149,628,476 | | |
| | | 462,275,717 | | |
| Gas Utilities — 1.6% | |
| Atmos Energy Corp. | | | 1,390,754 | | | | 161,758,598 | | |
| Health Care Equipment & Supplies — 4.7% | |
| Abbott Laboratories | | | 1,379,355 | | | | 162,019,038 | | |
| Becton Dickinson and Co. | | | 647,066 | | | | 165,519,483 | | |
| Medtronic plc | | | 1,531,099 | | | | 153,339,565 | | |
| | | 480,878,086 | | |
| Health Care Providers & Services — 1.5% | |
| Cardinal Health, Inc. | | | 2,682,894 | | | | 151,100,590 | | |
| Hotels, Restaurants & Leisure — 1.6% | |
| McDonald's Corp. | | | 659,626 | | | | 166,364,273 | | |
| Household Products — 7.6% | |
| Church & Dwight Co., Inc. | | | 1,605,470 | | | | 144,588,628 | | |
| Clorox Co. (The) | | | 1,095,055 | | | | 159,177,195 | | |
| Colgate-Palmolive Co. | | | 2,035,461 | | | | 160,414,681 | | |
| Kimberly-Clark Corp. | | | 1,191,364 | | | | 158,475,239 | | |
| Procter & Gamble Co. (The) | | | 1,023,345 | | | | 151,332,259 | | |
| | | 773,988,002 | | |
| Industrial Conglomerates — 1.6% | |
| 3M Co. | | | 1,105,954 | | | | 165,107,873 | | |
| Insurance — 6.1% | |
| Aflac, Inc. | | | 2,604,320 | | | | 157,743,662 | | |
| Brown & Brown, Inc. | | | 2,436,767 | | | | 144,670,857 | | |
| Chubb Ltd. | | | 800,801 | | | | 169,201,243 | | |
| Cincinnati Financial Corp. | | | 1,207,996 | | | | 154,454,369 | | |
| | | 626,070,131 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: S&P 500® DIVIDEND ARISTOCRATS ETF NOBL :: 73
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| IT Services — 3.2% | |
| Automatic Data Processing, Inc. | | | 738,408 | | | $ | 164,620,680 | | |
| International Business Machines Corp. | | | 1,193,860 | | | | 165,755,522 | | |
| | | 330,376,202 | | |
| Life Sciences Tools & Services — 1.4% | |
| West Pharmaceutical Services, Inc. | | | 471,711 | | | | 146,409,660 | | |
| Machinery — 7.6% | |
| Caterpillar, Inc. | | | 762,854 | | | | 164,662,036 | | |
| Dover Corp. | | | 1,153,563 | | | | 154,473,621 | | |
| Illinois Tool Works, Inc. | | | 811,268 | | | | 168,800,533 | | |
| Pentair plc | | | 3,131,241 | | | | 157,094,361 | | |
| Stanley Black & Decker, Inc. | | | 1,165,799 | | | | 138,368,683 | | |
| | | 783,399,234 | | |
| Metals & Mining — 1.3% | |
| Nucor Corp. | | | 1,026,255 | | | | 135,937,737 | | |
| Multiline Retail — 1.1% | |
| Target Corp. | | | 682,973 | | | | 110,559,669 | | |
| Multi-Utilities — 1.7% | |
| Consolidated Edison, Inc. | | | 1,710,946 | | | | 169,828,500 | | |
| Oil, Gas & Consumable Fuels — 3.6% | |
| Chevron Corp. | | | 1,025,916 | | | | 179,186,489 | | |
| Exxon Mobil Corp. | | | 1,939,225 | | | | 186,165,600 | | |
| | | 365,352,089 | | |
| Pharmaceuticals — 1.6% | |
| Johnson & Johnson | | | 909,306 | | | | 163,247,706 | | |
| Software — 1.6% | |
| Roper Technologies, Inc. | | | 363,455 | | | | 160,807,030 | | |
| Specialty Retail — 1.6% | |
| Lowe's Cos., Inc. | | | 837,148 | | | | 163,495,004 | | |
| Textiles, Apparel & Luxury Goods — 1.5% | |
| VF Corp. | | | 3,021,639 | | | | 152,471,904 | | |
| Trading Companies & Distributors — 1.6% | |
| WW Grainger, Inc. | | | 330,499 | | | | 160,976,148 | | |
Total Common Stocks
(Cost $9,526,599,443) | | | | | 10,218,957,429 | | |
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 0.0% (b) | |
| Repurchase Agreements (c) — 0.0% (b) | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $5,034,185
(Cost $5,034,083) | | $ | 5,034,083 | | | $ | 5,034,083 | | |
Total Investments — 99.8%
(Cost $9,531,633,526) | | | | | 10,223,991,512 | | |
| Other assets less liabilities — 0.2% | | | | | 19,538,095 | | |
| Net Assets — 100.0% | | | | $ | 10,243,529,607 | | |
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $48,853, collateralized in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 3.75%, and maturity dates ranging from June 15, 2022 - February 15, 2051. The total value of collateral is $50,643.
(b) Represents less than 0.05% of net assets.
(c) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 1,048,286,373 | | |
| Aggregate gross unrealized depreciation | | | (371,184,896 | ) | |
| Net unrealized appreciation | | $ | 677,101,477 | | |
| Federal income tax cost | | $ | 9,546,890,035 | | |
See accompanying notes to the financial statements.
74 :: NOBL S&P 500® DIVIDEND ARISTOCRATS ETF :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks — 99.9% | |
Abbott Laboratories
(Health Care Equipment &
Supplies) | | | 0.6 | % | | | 1,374 | | | $ | 161,390 | | |
| AbbVie, Inc. (Biotechnology) | | | 0.8 | % | | | 1,374 | | | | 202,486 | | |
Accenture plc, Class A
(IT Services) | | | 0.6 | % | | | 491 | | | | 146,544 | | |
| Adobe, Inc.* (Software) | | | 0.6 | % | | | 367 | | | | 152,848 | | |
Advanced Micro Devices, Inc.*
(Semiconductors &
Semiconductor Equipment) | | | 0.5 | % | | | 1,271 | | | | 129,464 | | |
Alphabet, Inc., Class A*
(Interactive Media & Services) | | | 2.1 | % | | | 233 | | | | 530,131 | | |
Alphabet, Inc., Class C*
(Interactive Media & Services) | | | 1.9 | % | | | 216 | | | | 492,648 | | |
Amazon.com, Inc.* (Internet &
Direct Marketing Retail) | | | 3.2 | % | | | 339 | | | | 815,020 | | |
| Amgen, Inc. (Biotechnology) | | | 0.4 | % | | | 438 | | | | 112,452 | | |
Apple, Inc. (Technology
Hardware, Storage &
Peripherals) | | | 6.9 | % | | | 12,043 | | | | 1,792,480 | | |
AT&T, Inc. (Diversified
Telecommunication Services) | | | 0.5 | % | | | 5,548 | | | | 118,117 | | |
| Bank of America Corp. (Banks) | | | 0.8 | % | | | 5,522 | | | | 205,418 | | |
Berkshire Hathaway, Inc.,
Class B* (Diversified Financial
Services) | | | 1.7 | % | | | 1,424 | | | | 449,956 | | |
Bristol-Myers Squibb Co.
(Pharmaceuticals) | | | 0.5 | % | | | 1,693 | | | | 127,737 | | |
Broadcom, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.7 | % | | | 320 | | | | 185,642 | | |
Cisco Systems, Inc.
(Communications
Equipment) | | | 0.6 | % | | | 3,277 | | | | 147,629 | | |
Coca-Cola Co. (The)
(Beverages) | | | 0.8 | % | | | 3,019 | | | | 191,344 | | |
Comcast Corp., Class A
(Media) | | | 0.6 | % | | | 3,516 | | | | 155,688 | | |
Costco Wholesale Corp.
(Food & Staples Retailing) | | | 0.6 | % | | | 344 | | | | 160,380 | | |
Danaher Corp. (Life Sciences
Tools & Services) | | | 0.5 | % | | | 494 | | | | 130,327 | | |
Eli Lilly & Co.
(Pharmaceuticals) | | | 0.8 | % | | | 617 | | | | 193,393 | | |
Home Depot, Inc. (The)
(Specialty Retail) | | | 0.9 | % | | | 810 | | | | 245,228 | | |
Intel Corp. (Semiconductors &
Semiconductor Equipment) | | | 0.5 | % | | | 3,164 | | | | 140,545 | | |
Johnson & Johnson
(Pharmaceuticals) | | | 1.4 | % | | | 2,045 | | | | 367,139 | | |
JPMorgan Chase & Co.
(Banks) | | | 1.2 | % | | | 2,295 | | | | 303,468 | | |
| Linde plc (Chemicals) | | | 0.5 | % | | | 398 | | | | 129,223 | | |
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (continued) | |
Mastercard, Inc., Class A
(IT Services) | | | 0.9 | % | | | 670 | | | $ | 239,773 | | |
McDonald's Corp. (Hotels,
Restaurants & Leisure) | | | 0.6 | % | | | 580 | | | | 146,282 | | |
Merck & Co., Inc.
(Pharmaceuticals) | | | 0.7 | % | | | 1,961 | | | | 180,471 | | |
Meta Platforms, Inc., Class A*
(Interactive Media &
Services) | | | 1.3 | % | | | 1,794 | | | | 347,390 | | |
| Microsoft Corp. (Software) | | | 6.1 | % | | | 5,825 | | | | 1,583,643 | | |
NextEra Energy, Inc.
(Electric Utilities) | | | 0.4 | % | | | 1,524 | | | | 115,352 | | |
NIKE, Inc., Class B (Textiles,
Apparel & Luxury Goods) | | | 0.4 | % | | | 991 | | | | 117,780 | | |
NVIDIA Corp.
(Semiconductors &
Semiconductor Equipment) | | | 1.4 | % | | | 1,942 | | | | 362,610 | | |
| PepsiCo, Inc. (Beverages) | | | 0.7 | % | | | 1,073 | | | | 179,996 | | |
| Pfizer, Inc. (Pharmaceuticals) | | | 0.9 | % | | | 4,362 | | | | 231,360 | | |
Philip Morris International, Inc.
(Tobacco) | | | 0.5 | % | | | 1,203 | | | | 127,819 | | |
Procter & Gamble Co. (The)
(Household Products) | | | 1.1 | % | | | 1,862 | | | | 275,353 | | |
QUALCOMM, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.5 | % | | | 876 | | | | 125,461 | | |
Raytheon Technologies Corp.
(Aerospace & Defense) | | | 0.3 | % | | | 1,160 | | | | 110,339 | | |
| Salesforce, Inc.* (Software) | | | 0.5 | % | | | 765 | | | | 122,584 | | |
| Tesla, Inc.* (Automobiles) | | | 1.9 | % | | | 650 | | | | 492,869 | | |
Texas Instruments, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.5 | % | | | 718 | | | | 126,914 | | |
Thermo Fisher Scientific, Inc.
(Life Sciences Tools &
Services) | | | 0.7 | % | | | 306 | | | | 173,676 | | |
UnitedHealth Group, Inc.
(Health Care Providers &
Services) | | | 1.4 | % | | | 731 | | | | 363,146 | | |
Verizon Communications, Inc.
(Diversified
Telecommunication Services) | | | 0.6 | % | | | 3,260 | | | | 167,205 | | |
| Visa, Inc., Class A (IT Services) | | | 1.1 | % | | | 1,288 | | | | 273,275 | | |
Walmart, Inc. (Food &
Staples Retailing) | | | 0.6 | % | | | 1,098 | | | | 141,236 | | |
Walt Disney Co. (The)*
(Entertainment) | | | 0.6 | % | | | 1,415 | | | | 156,273 | | |
| Wells Fargo & Co. (Banks) | | | 0.5 | % | | | 3,018 | | | | 138,134 | | |
| Other Common Stocks (a) | | | 45.5 | % | | | 121,797 | | | | 11,771,470 | | |
Total Common Stocks
(Cost $26,741,691) | | | | | | | 25,857,108 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: S&P 500® EX-ENERGY ETF SPXE :: 75
| | | Percentage of
Net Assets | | Shares | | Value | |
| Securities Lending Reinvestments (b) — 0.0% (c) | |
| Investment Companies — 0.0% (c) | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $9,686) | | | 0.0 | % | | | 9,686 | | | $ | 9,686 | | |
| | | | Principal
Amount | | | |
| Short-Term Investments — 0.0% (c) | |
| Repurchase Agreements (d) — 0.0% (c) | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $5,352
(Cost $5,352) | | | | $ | 5,352 | | | | 5,352 | | |
Total Investments — 99.9%
(Cost $26,756,729) | | | | | | | 25,872,146 | | |
| Other assets less liabilities — 0.1% | | | | | | | 19,675 | | |
| Net Assets — 100.0% | | | | | | $ | 25,891,821 | | |
* Non-income producing security.
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was
$17,993, collateralized in the form of cash with a value of $9,686 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $8,999 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 30, 2022 - August 15, 2050. The total value of collateral is $18,685.
(b) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $9,686.
(c) Represents less than 0.05% of net assets.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 1,792,138 | | |
| Aggregate gross unrealized depreciation | | | (2,690,823 | ) | |
| Net unrealized depreciation | | $ | (898,685 | ) | |
| Federal income tax cost | | $ | 26,770,831 | | |
S&P 500® Ex-Energy ETF invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
| Aerospace & Defense | | | 1.7 | % | |
| Air Freight & Logistics | | | 0.7 | % | |
| Airlines | | | 0.3 | % | |
| Auto Components | | | 0.1 | % | |
| Automobiles | | | 2.2 | % | |
| Banks | | | 4.1 | % | |
| Beverages | | | 1.7 | % | |
| Biotechnology | | | 2.2 | % | |
| Building Products | | | 0.4 | % | |
| Capital Markets | | | 3.0 | % | |
| Chemicals | | | 2.0 | % | |
| Commercial Services & Supplies | | | 0.5 | % | |
| Communications Equipment | | | 0.8 | % | |
| Construction & Engineering | | | 0.1 | % | |
| Construction Materials | | | 0.1 | % | |
| Consumer Finance | | | 0.6 | % | |
| Containers & Packaging | | | 0.3 | % | |
| Distributors | | | 0.2 | % | |
| Diversified Financial Services | | | 1.7 | % | |
| Diversified Telecommunication Services | | | 1.1 | % | |
| Electric Utilities | | | 2.0 | % | |
| Electrical Equipment | | | 0.5 | % | |
| Electronic Equipment, Instruments & Components | | | 0.7 | % | |
| Entertainment | | | 1.4 | % | |
| Equity Real Estate Investment Trusts (REITs) | | | 2.8 | % | |
See accompanying notes to the financial statements.
76 :: SPXE S&P 500® EX-ENERGY ETF :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTSPROSHARES TRUST
| Food & Staples Retailing | | | 1.5 | % | |
| Food Products | | | 1.1 | % | |
| Gas Utilities | | | 0.1 | % | |
| Health Care Equipment & Supplies | | | 2.9 | % | |
| Health Care Providers & Services | | | 3.4 | % | |
| Health Care Technology | | | 0.1 | % | |
| Hotels, Restaurants & Leisure | | | 2.0 | % | |
| Household Durables | | | 0.4 | % | |
| Household Products | | | 1.5 | % | |
| Independent Power and Renewable Electricity Producers | | | 0.1 | % | |
| Industrial Conglomerates | | | 0.9 | % | |
| Insurance | | | 2.3 | % | |
| Interactive Media & Services | | | 5.5 | % | |
| Internet & Direct Marketing Retail | | | 3.3 | % | |
| IT Services | | | 4.6 | % | |
| Leisure Products | | | 0.0 | %* | |
| Life Sciences Tools & Services | | | 1.9 | % | |
| Machinery | | | 1.7 | % | |
| Media | | | 1.0 | % | |
| Metals & Mining | | | 0.4 | % | |
| Multiline Retail | | | 0.5 | % | |
| Multi-Utilities | | | 1.0 | % | |
| Personal Products | | | 0.2 | % | |
| Pharmaceuticals | | | 4.6 | % | |
| Professional Services | | | 0.3 | % | |
| Real Estate Management & Development | | | 0.1 | % | |
| Road & Rail | | | 0.9 | % | |
| Semiconductors & Semiconductor Equipment | | | 5.9 | % | |
| Software | | | 9.1 | % | |
| Specialty Retail | | | 2.2 | % | |
| Technology Hardware, Storage & Peripherals | | | 7.3 | % | |
| Textiles, Apparel & Luxury Goods | | | 0.6 | % | |
| Tobacco | | | 0.8 | % | |
| Trading Companies & Distributors | | | 0.2 | % | |
| Water Utilities | | | 0.1 | % | |
| Wireless Telecommunication Services | | | 0.2 | % | |
| Othera | | | 0.1 | % | |
| | | 100.0 | % | |
* Amount represents less than 0.05%.
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: S&P 500® EX-ENERGY ETF SPXE :: 77
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks — 99.9% | |
Abbott Laboratories
(Health Care Equipment &
Supplies) | | | 0.7 | % | | | 487 | | | $ | 57,203 | | |
| AbbVie, Inc. (Biotechnology) | | | 0.9 | % | | | 487 | | | | 71,769 | | |
Accenture plc, Class A
(IT Services) | | | 0.6 | % | | | 175 | | | | 52,230 | | |
| Adobe, Inc.* (Software) | | | 0.7 | % | | | 131 | | | | 54,559 | | |
Advanced Micro Devices, Inc.*
(Semiconductors &
Semiconductor Equipment) | | | 0.6 | % | | | 451 | | | | 45,939 | | |
Alphabet, Inc., Class A*
(Interactive Media & Services) | | | 2.3 | % | | | 83 | | | | 188,845 | | |
Alphabet, Inc., Class C*
(Interactive Media & Services) | | | 2.1 | % | | | 76 | | | | 173,339 | | |
Amazon.com, Inc.* (Internet &
Direct Marketing Retail) | | | 3.5 | % | | | 120 | | | | 288,503 | | |
| Amgen, Inc. (Biotechnology) | | | 0.5 | % | | | 156 | | | | 40,051 | | |
Apple, Inc. (Technology
Hardware, Storage &
Peripherals) | | | 7.7 | % | | | 4,264 | | | | 634,654 | | |
AT&T, Inc. (Diversified
Telecommunication Services) | | | 0.5 | % | | | 1,965 | | | | 41,835 | | |
Bristol-Myers Squibb Co.
(Pharmaceuticals) | | | 0.5 | % | | | 600 | | | | 45,270 | | |
Broadcom, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.8 | % | | | 113 | | | | 65,555 | | |
Chevron Corp. (Oil, Gas &
Consumable Fuels) | | | 1.1 | % | | | 530 | | | | 92,570 | | |
Cisco Systems, Inc.
(Communications
Equipment) | | | 0.6 | % | | | 1,160 | | | | 52,258 | | |
Coca-Cola Co. (The)
(Beverages) | | | 0.8 | % | | | 1,069 | | | | 67,753 | | |
Comcast Corp., Class A
(Media) | | | 0.7 | % | | | 1,245 | | | | 55,129 | | |
ConocoPhillips (Oil, Gas &
Consumable Fuels) | | | 0.5 | % | | | 359 | | | | 40,337 | | |
Costco Wholesale Corp.
(Food & Staples Retailing) | | | 0.7 | % | | | 122 | | | | 56,879 | | |
Danaher Corp. (Life Sciences
Tools & Services) | | | 0.6 | % | | | 176 | | | | 46,432 | | |
Eli Lilly & Co.
(Pharmaceuticals) | | | 0.8 | % | | | 218 | | | | 68,330 | | |
Exxon Mobil Corp. (Oil, Gas &
Consumable Fuels) | | | 1.3 | % | | | 1,164 | | | | 111,744 | | |
Home Depot, Inc. (The)
(Specialty Retail) | | | 1.0 | % | | | 287 | | | | 86,889 | | |
Intel Corp. (Semiconductors &
Semiconductor Equipment) | | | 0.6 | % | | | 1,120 | | | | 49,750 | | |
Johnson & Johnson
(Pharmaceuticals) | | | 1.6 | % | | | 724 | | | | 129,980 | | |
| Linde plc (Chemicals) | | | 0.6 | % | | | 142 | | | | 46,104 | | |
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (continued) | |
Mastercard, Inc., Class A
(IT Services) | | | 1.0 | % | | | 237 | | | $ | 84,815 | | |
McDonald's Corp. (Hotels,
Restaurants & Leisure) | | | 0.6 | % | | | 205 | | | | 51,703 | | |
Merck & Co., Inc.
(Pharmaceuticals) | | | 0.8 | % | | | 695 | | | | 63,961 | | |
Meta Platforms, Inc., Class A*
(Interactive Media &
Services) | | | 1.5 | % | | | 634 | | | | 122,768 | | |
| Microsoft Corp. (Software) | | | 6.8 | % | | | 2,063 | | | | 560,868 | | |
NextEra Energy, Inc.
(Electric Utilities) | | | 0.5 | % | | | 540 | | | | 40,873 | | |
NIKE, Inc., Class B (Textiles,
Apparel & Luxury Goods) | | | 0.5 | % | | | 352 | | | | 41,835 | | |
NVIDIA Corp.
(Semiconductors &
Semiconductor Equipment) | | | 1.5 | % | | | 688 | | | | 128,463 | | |
| PepsiCo, Inc. (Beverages) | | | 0.8 | % | | | 380 | | | | 63,745 | | |
| Pfizer, Inc. (Pharmaceuticals) | | | 1.0 | % | | | 1,544 | | | | 81,894 | | |
Philip Morris International, Inc.
(Tobacco) | | | 0.5 | % | | | 427 | | | | 45,369 | | |
Procter & Gamble Co. (The)
(Household Products) | | | 1.2 | % | | | 659 | | | | 97,453 | | |
QUALCOMM, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.5 | % | | | 310 | | | | 44,398 | | |
Raytheon Technologies Corp.
(Aerospace & Defense) | | | 0.5 | % | | | 411 | | | | 39,094 | | |
| Salesforce, Inc.* (Software) | | | 0.5 | % | | | 271 | | | | 43,425 | | |
| Tesla, Inc.* (Automobiles) | | | 2.1 | % | | | 230 | | | | 174,400 | | |
Texas Instruments, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.5 | % | | | 254 | | | | 44,897 | | |
Thermo Fisher Scientific, Inc.
(Life Sciences Tools &
Services) | | | 0.7 | % | | | 108 | | | | 61,298 | | |
Union Pacific Corp.
(Road & Rail) | | | 0.5 | % | | | 176 | | | | 38,681 | | |
UnitedHealth Group, Inc.
(Health Care Providers &
Services) | | | 1.5 | % | | | 259 | | | | 128,666 | | |
Verizon Communications, Inc.
(Diversified
Telecommunication Services) | | | 0.7 | % | | | 1,154 | | | | 59,188 | | |
| Visa, Inc., Class A (IT Services) | | | 1.2 | % | | | 457 | | | | 96,962 | | |
Walmart, Inc. (Food &
Staples Retailing) | | | 0.6 | % | | | 389 | | | | 50,037 | | |
Walt Disney Co. (The)*
(Entertainment) | | | 0.7 | % | | | 501 | | | | 55,330 | | |
| Other Common Stocks (a) | | | 40.9 | % | | | 36,562 | | | | 3,380,274 | | |
Total Common Stocks
(Cost $8,275,543) | | | | | | | 8,264,304 | | |
See accompanying notes to the financial statements.
78 :: SPXN S&P 500® EX-FINANCIALS ETF :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Amount | | Principal
Value | |
| Short-Term Investments — 0.0% (b) | |
| Repurchase Agreements (c) — 0.0% (b) | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $3,100
(Cost $3,100) | | $ | 3,100 | | | $ | 3,100 | | |
Total Investments — 99.9%
(Cost $8,278,643) | | | | | 8,267,404 | | |
| Other assets less liabilities — 0.1% | | | | | 11,922 | | |
| Net Assets — 100.0% | | | | $ | 8,279,326 | | |
* Non-income producing security.
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $10,608, collateralized in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 30, 2022 - August 15, 2050. The total value of collateral is $11,288.
(b) Represents less than 0.05% of net assets.
(c) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 770,440 | | |
| Aggregate gross unrealized depreciation | | | (789,772 | ) | |
| Net unrealized depreciation | | $ | (19,332 | ) | |
| Federal income tax cost | | $ | 8,286,736 | | |
S&P 500® Ex-Financials ETF invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
| Aerospace & Defense | | | 1.9 | % | |
| Air Freight & Logistics | | | 0.7 | % | |
| Airlines | | | 0.3 | % | |
| Auto Components | | | 0.1 | % | |
| Automobiles | | | 2.5 | % | |
| Beverages | | | 1.9 | % | |
| Biotechnology | | | 2.4 | % | |
| Building Products | | | 0.5 | % | |
| Chemicals | | | 2.2 | % | |
| Commercial Services & Supplies | | | 0.5 | % | |
| Communications Equipment | | | 0.9 | % | |
| Construction & Engineering | | | 0.1 | % | |
| Construction Materials | | | 0.1 | % | |
| Containers & Packaging | | | 0.4 | % | |
| Distributors | | | 0.2 | % | |
| Diversified Telecommunication Services | | | 1.3 | % | |
| Electric Utilities | | | 2.2 | % | |
| Electrical Equipment | | | 0.6 | % | |
| Electronic Equipment, Instruments & Components | | | 0.7 | % | |
| Energy Equipment & Services | | | 0.4 | % | |
| Entertainment | | | 1.5 | % | |
| Food & Staples Retailing | | | 1.7 | % | |
| Food Products | | | 1.2 | % | |
| Gas Utilities | | | 0.1 | % | |
| Health Care Equipment & Supplies | | | 3.2 | % | |
| Health Care Providers & Services | | | 3.8 | % | |
| Health Care Technology | | | 0.1 | % | |
| Hotels, Restaurants & Leisure | | | 2.2 | % | |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: S&P 500® EX-FINANCIALS ETF SPXN :: 79
| Household Durables | | | 0.4 | % | |
| Household Products | | | 1.7 | % | |
| Independent Power and Renewable Electricity Producers | | | 0.1 | % | |
| Industrial Conglomerates | | | 1.0 | % | |
| Interactive Media & Services | | | 6.0 | % | |
| Internet & Direct Marketing Retail | | | 3.6 | % | |
| IT Services | | | 5.1 | % | |
| Leisure Products | | | 0.0 | %* | |
| Life Sciences Tools & Services | | | 2.1 | % | |
| Machinery | | | 1.9 | % | |
| Media | | | 1.1 | % | |
| Metals & Mining | | | 0.5 | % | |
| Multiline Retail | | | 0.6 | % | |
| Multi-Utilities | | | 1.1 | % | |
| Oil, Gas & Consumable Fuels | | | 5.1 | % | |
| Personal Products | | | 0.2 | % | |
| Pharmaceuticals | | | 5.1 | % | |
| Professional Services | | | 0.3 | % | |
| Road & Rail | | | 1.0 | % | |
| Semiconductors & Semiconductor Equipment | | | 6.6 | % | |
| Software | | | 10.1 | % | |
| Specialty Retail | | | 2.5 | % | |
| Technology Hardware, Storage & Peripherals | | | 8.0 | % | |
| Textiles, Apparel & Luxury Goods | | | 0.6 | % | |
| Tobacco | | | 0.9 | % | |
| Trading Companies & Distributors | | | 0.2 | % | |
| Water Utilities | | | 0.1 | % | |
| Wireless Telecommunication Services | | | 0.3 | % | |
| Othera | | | 0.1 | % | |
| | | 100.0 | % | |
* Amount represents less than 0.05%.
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
80 :: SPXN S&P 500® EX-FINANCIALS ETF :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks — 99.8% | |
Accenture plc, Class A
(IT Services) | | | 0.6 | % | | | 81 | | | $ | 24,175 | | |
| Adobe, Inc.* (Software) | | | 0.7 | % | | | 61 | | | | 25,405 | | |
Advanced Micro Devices, Inc.*
(Semiconductors &
Semiconductor Equipment) | | | 0.6 | % | | | 211 | | | | 21,492 | | |
Alphabet, Inc., Class A*
(Interactive Media & Services) | | | 2.3 | % | | | 39 | | | | 88,734 | | |
Alphabet, Inc., Class C*
(Interactive Media & Services) | | | 2.1 | % | | | 36 | | | | 82,108 | | |
Amazon.com, Inc.* (Internet &
Direct Marketing Retail) | | | 3.5 | % | | | 56 | | | | 134,635 | | |
American Tower Corp.
(Equity Real Estate
Investment Trusts (REITs)) | | | 0.4 | % | | | 59 | | | | 15,112 | | |
Apple, Inc. (Technology
Hardware, Storage &
Peripherals) | | | 7.7 | % | | | 1,998 | | | | 297,382 | | |
AT&T, Inc. (Diversified
Telecommunication Services) | | | 0.5 | % | | | 921 | | | | 19,608 | | |
| Bank of America Corp. (Banks) | | | 0.9 | % | | | 916 | | | | 34,075 | | |
Berkshire Hathaway, Inc.,
Class B* (Diversified
Financial Services) | | | 1.9 | % | | | 236 | | | | 74,571 | | |
Broadcom, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.8 | % | | | 53 | | | | 30,747 | | |
Chevron Corp. (Oil, Gas &
Consumable Fuels) | | | 1.1 | % | | | 248 | | | | 43,316 | | |
Cisco Systems, Inc.
(Communications
Equipment) | | | 0.7 | % | | | 544 | | | | 24,507 | | |
Coca-Cola Co. (The)
(Beverages) | | | 0.8 | % | | | 502 | | | | 31,817 | | |
Comcast Corp., Class A
(Media) | | | 0.7 | % | | | 584 | | | | 25,859 | | |
ConocoPhillips (Oil, Gas &
Consumable Fuels) | | | 0.5 | % | | | 168 | | | | 18,877 | | |
Costco Wholesale Corp.
(Food & Staples Retailing) | | | 0.7 | % | | | 57 | | | | 26,575 | | |
Exxon Mobil Corp. (Oil, Gas &
Consumable Fuels) | | | 1.3 | % | | | 545 | | | | 52,320 | | |
Home Depot, Inc. (The)
(Specialty Retail) | | | 1.1 | % | | | 135 | | | | 40,871 | | |
Honeywell International, Inc.
(Industrial Conglomerates) | | | 0.4 | % | | | 88 | | | | 17,039 | | |
Intel Corp. (Semiconductors &
Semiconductor Equipment) | | | 0.6 | % | | | 525 | | | | 23,321 | | |
International Business
Machines Corp. (IT Services) | | | 0.4 | % | | | 115 | | | | 15,967 | | |
JPMorgan Chase & Co.
(Banks) | | | 1.3 | % | | | 382 | | | | 50,512 | | |
| Linde plc (Chemicals) | | | 0.6 | % | | | 66 | | | | 21,429 | | |
Lowe's Cos., Inc.
(Specialty Retail) | | | 0.4 | % | | | 87 | | | | 16,991 | | |
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (continued) | |
Mastercard, Inc., Class A
(IT Services) | | | 1.0 | % | | | 111 | | | $ | 39,724 | | |
McDonald's Corp. (Hotels,
Restaurants & Leisure) | | | 0.6 | % | | | 96 | | | | 24,212 | | |
Meta Platforms, Inc., Class A*
(Interactive Media &
Services) | | | 1.5 | % | | | 297 | | | | 57,511 | | |
| Microsoft Corp. (Software) | | | 6.8 | % | | | 967 | | | | 262,898 | | |
Morgan Stanley (Capital
Markets) | | | 0.4 | % | | | 183 | | | | 15,764 | | |
NextEra Energy, Inc.
(Electric Utilities) | | | 0.5 | % | | | 253 | | | | 19,150 | | |
NIKE, Inc., Class B
(Textiles, Apparel &
Luxury Goods) | | | 0.5 | % | | | 165 | | | | 19,610 | | |
NVIDIA Corp.
(Semiconductors &
Semiconductor Equipment) | | | 1.6 | % | | | 322 | | | | 60,124 | | |
| PepsiCo, Inc. (Beverages) | | | 0.8 | % | | | 178 | | | | 29,859 | | |
Philip Morris International, Inc.
(Tobacco) | | | 0.6 | % | | | 200 | | | | 21,250 | | |
Procter & Gamble Co. (The)
(Household Products) | | | 1.2 | % | | | 309 | | | | 45,695 | | |
QUALCOMM, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.5 | % | | | 146 | | | | 20,910 | | |
Raytheon Technologies Corp.
(Aerospace & Defense) | | | 0.5 | % | | | 192 | | | | 18,263 | | |
S&P Global, Inc.
(Capital Markets) | | | 0.4 | % | | | 47 | | | | 16,426 | | |
| Salesforce, Inc.* (Software) | | | 0.5 | % | | | 128 | | | | 20,511 | | |
| Tesla, Inc.* (Automobiles) | | | 2.1 | % | | | 108 | | | | 81,892 | | |
Texas Instruments, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.5 | % | | | 119 | | | | 21,034 | | |
Union Pacific Corp.
(Road & Rail) | | | 0.5 | % | | | 82 | | | | 18,022 | | |
United Parcel Service, Inc.,
Class B (Air Freight &
Logistics) | | | 0.4 | % | | | 94 | | | | 17,132 | | |
Verizon Communications, Inc.
(Diversified
Telecommunication
Services) | | | 0.7 | % | | | 542 | | | | 27,799 | | |
Visa, Inc., Class A
(IT Services) | | | 1.2 | % | | | 214 | | | | 45,404 | | |
Walmart, Inc. (Food &
Staples Retailing) | | | 0.6 | % | | | 182 | | | | 23,411 | | |
Walt Disney Co. (The)*
(Entertainment) | | | 0.7 | % | | | 234 | | | | 25,843 | | |
| Wells Fargo & Co. (Banks) | | | 0.6 | % | | | 501 | | | | 22,931 | | |
| Other Common Stocks (a) | | | 42.5 | % | | | 19,095 | | | | 1,644,479 | | |
Total Common Stocks
(Cost $3,902,592) | | | | | | | 3,857,299 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: S&P 500® EX-HEALTH CARE ETF SPXV :: 81
| | | Percentage of
Net Assets | | Shares | | Value | |
| Securities Lending Reinvestments (b) — 0.0% (c) | |
| Investment Companies — 0.0% (c) | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $117) | | | 0.0 | % | | | 117 | | | $ | 117 | | |
| | | | Principal
Amount | | | |
| Short-Term Investments — 0.1% | |
| Repurchase Agreements (d) — 0.1% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $2,274
(Cost $2,273) | | | | $ | 2,273 | | | | 2,273 | | |
Total Investments — 99.9%
(Cost $3,904,982) | | | | | | | 3,859,689 | | |
| Other assets less liabilities — 0.1% | | | | | | | 5,148 | | |
| Net Assets — 100.0% | | | | | | $ | 3,864,837 | | |
* Non-income producing security.
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $5,127, collateralized in the form of cash with a value of $117
that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $5,333 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 30, 2022 - August 15, 2050. The total value of collateral is $5,450.
(b) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $117.
(c) Represents less than 0.05% of net assets.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 330,428 | | |
| Aggregate gross unrealized depreciation | | | (391,587 | ) | |
| Net unrealized depreciation | | $ | (61,159 | ) | |
| Federal income tax cost | | $ | 3,920,848 | | |
S&P 500® Ex-Health Care ETF invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
| Aerospace & Defense | | | 1.9 | % | |
| Air Freight & Logistics | | | 0.7 | % | |
| Airlines | | | 0.3 | % | |
| Auto Components | | | 0.1 | % | |
| Automobiles | | | 2.5 | % | |
| Banks | | | 4.6 | % | |
| Beverages | | | 1.9 | % | |
| Building Products | | | 0.5 | % | |
| Capital Markets | | | 3.4 | % | |
| Chemicals | | | 2.3 | % | |
| Commercial Services & Supplies | | | 0.5 | % | |
| Communications Equipment | | | 0.9 | % | |
| Construction & Engineering | | | 0.1 | % | |
| Construction Materials | | | 0.1 | % | |
| Consumer Finance | | | 0.7 | % | |
| Containers & Packaging | | | 0.4 | % | |
| Distributors | | | 0.2 | % | |
| Diversified Financial Services | | | 1.9 | % | |
| Diversified Telecommunication Services | | | 1.3 | % | |
| Electric Utilities | | | 2.2 | % | |
| Electrical Equipment | | | 0.6 | % | |
| Electronic Equipment, Instruments & Components | | | 0.7 | % | |
| Energy Equipment & Services | | | 0.4 | % | |
| Entertainment | | | 1.5 | % | |
| Equity Real Estate Investment Trusts (REITs) | | | 3.1 | % | |
See accompanying notes to the financial statements.
82 :: SPXV S&P 500® EX-HEALTH CARE ETF :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Food & Staples Retailing | | | 1.7 | % | |
| Food Products | | | 1.2 | % | |
| Gas Utilities | | | 0.1 | % | |
| Hotels, Restaurants & Leisure | | | 2.2 | % | |
| Household Durables | | | 0.3 | % | |
| Household Products | | | 1.7 | % | |
| Independent Power and Renewable Electricity Producers | | | 0.1 | % | |
| Industrial Conglomerates | | | 1.0 | % | |
| Insurance | | | 2.5 | % | |
| Interactive Media & Services | | | 6.1 | % | |
| Internet & Direct Marketing Retail | | | 3.6 | % | |
| IT Services | | | 5.1 | % | |
| Leisure Products | | | 0.0 | %* | |
| Machinery | | | 1.9 | % | |
| Media | | | 1.1 | % | |
| Metals & Mining | | | 0.5 | % | |
| Multiline Retail | | | 0.6 | % | |
| Multi-Utilities | | | 1.1 | % | |
| Oil, Gas & Consumable Fuels | | | 5.1 | % | |
| Personal Products | | | 0.2 | % | |
| Professional Services | | | 0.4 | % | |
| Real Estate Management & Development | | | 0.1 | % | |
| Road & Rail | | | 1.0 | % | |
| Semiconductors & Semiconductor Equipment | | | 6.6 | % | |
| Software | | | 10.1 | % | |
| Specialty Retail | | | 2.5 | % | |
| Technology Hardware, Storage & Peripherals | | | 8.1 | % | |
| Textiles, Apparel & Luxury Goods | | | 0.6 | % | |
| Tobacco | | | 0.9 | % | |
| Trading Companies & Distributors | | | 0.2 | % | |
| Water Utilities | | | 0.1 | % | |
| Wireless Telecommunication Services | | | 0.3 | % | |
| Othera | | | 0.2 | % | |
| | | 100.0 | % | |
* Amount represents less than 0.05%.
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: S&P 500® EX-HEALTH CARE ETF SPXV :: 83
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks — 99.8% | |
Abbott Laboratories
(Health Care Equipment &
Supplies) | | | 0.8 | % | | | 647 | | | $ | 75,997 | | |
| AbbVie, Inc. (Biotechnology) | | | 1.0 | % | | | 647 | | | | 95,348 | | |
Alphabet, Inc., Class A*
(Interactive Media & Services) | | | 2.7 | % | | | 110 | | | | 250,276 | | |
Alphabet, Inc., Class C*
(Interactive Media & Services) | | | 2.5 | % | | | 102 | | | | 232,640 | | |
Amazon.com, Inc.* (Internet &
Direct Marketing Retail) | | | 4.1 | % | | | 160 | | | | 384,670 | | |
American Tower Corp. (Equity
Real Estate Investment
Trusts (REITs)) | | | 0.5 | % | | | 167 | | | | 42,774 | | |
| Amgen, Inc. (Biotechnology) | | | 0.6 | % | | | 206 | | | | 52,889 | | |
Anthem, Inc.
(Health Care Providers &
Services) | | | 0.5 | % | | | 89 | | | | 45,355 | | |
AT&T, Inc. (Diversified
Telecommunication Services) | | | 0.6 | % | | | 2,615 | | | | 55,673 | | |
| Bank of America Corp. (Banks) | | | 1.0 | % | | | 2,603 | | | | 96,832 | | |
Berkshire Hathaway, Inc.,
Class B* (Diversified Financial
Services) | | | 2.3 | % | | | 670 | | | | 211,707 | | |
Bristol-Myers Squibb Co.
(Pharmaceuticals) | | | 0.6 | % | | | 797 | | | | 60,134 | | |
| Caterpillar, Inc. (Machinery) | | | 0.5 | % | | | 198 | | | | 42,738 | | |
Chevron Corp. (Oil, Gas &
Consumable Fuels) | | | 1.3 | % | | | 705 | | | | 123,135 | | |
Coca-Cola Co. (The)
(Beverages) | | | 1.0 | % | | | 1,423 | | | | 90,190 | | |
Comcast Corp., Class A
(Media) | | | 0.8 | % | | | 1,657 | | | | 73,372 | | |
ConocoPhillips (Oil, Gas &
Consumable Fuels) | | | 0.6 | % | | | 477 | | | | 53,596 | | |
Costco Wholesale Corp.
(Food & Staples Retailing) | | | 0.8 | % | | | 162 | | | | 75,528 | | |
CVS Health Corp. (Health Care
Providers & Services) | | | 0.5 | % | | | 481 | | | | 46,537 | | |
Danaher Corp. (Life Sciences
Tools & Services) | | | 0.7 | % | | | 233 | | | | 61,470 | | |
Eli Lilly & Co.
(Pharmaceuticals) | | | 1.0 | % | | | 290 | | | | 90,898 | | |
Exxon Mobil Corp. (Oil, Gas &
Consumable Fuels) | | | 1.6 | % | | | 1,549 | | | | 148,704 | | |
Home Depot, Inc. (The)
(Specialty Retail) | | | 1.2 | % | | | 381 | | | | 115,348 | | |
Honeywell International, Inc.
(Industrial Conglomerates) | | | 0.5 | % | | | 251 | | | | 48,599 | | |
Johnson & Johnson
(Pharmaceuticals) | | | 1.8 | % | | | 963 | | | | 172,887 | | |
JPMorgan Chase & Co.
(Banks) | | | 1.5 | % | | | 1,082 | | | | 143,073 | | |
| Linde plc (Chemicals) | | | 0.7 | % | | | 187 | | | | 60,715 | | |
Lowe's Cos., Inc.
(Specialty Retail) | | | 0.5 | % | | | 246 | | | | 48,044 | | |
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (continued) | |
McDonald's Corp. (Hotels,
Restaurants & Leisure) | | | 0.7 | % | | | 273 | | | $ | 68,853 | | |
Medtronic plc (Health Care
Equipment & Supplies) | | | 0.5 | % | | | 493 | | | | 49,374 | | |
Merck & Co., Inc.
(Pharmaceuticals) | | | 0.9 | % | | | 924 | | | | 85,036 | | |
Meta Platforms, Inc.,
Class A* (Interactive Media &
Services) | | | 1.7 | % | | | 846 | | | | 163,820 | | |
Morgan Stanley
(Capital Markets) | | | 0.5 | % | | | 520 | | | | 44,793 | | |
NextEra Energy, Inc.
(Electric Utilities) | | | 0.6 | % | | | 719 | | | | 54,421 | | |
NIKE, Inc., Class B
(Textiles, Apparel &
Luxury Goods) | | | 0.6 | % | | | 468 | | | | 55,622 | | |
| PepsiCo, Inc. (Beverages) | | | 0.9 | % | | | 507 | | | | 85,049 | | |
| Pfizer, Inc. (Pharmaceuticals) | | | 1.2 | % | | | 2,055 | | | | 108,997 | | |
Philip Morris International, Inc.
(Tobacco) | | | 0.6 | % | | | 568 | | | | 60,350 | | |
Procter & Gamble Co. (The)
(Household Products) | | | 1.4 | % | | | 878 | | | | 129,839 | | |
Raytheon Technologies Corp.
(Aerospace & Defense) | | | 0.6 | % | | | 547 | | | | 52,031 | | |
S&P Global, Inc.
(Capital Markets) | | | 0.5 | % | | | 130 | | | | 45,432 | | |
| Tesla, Inc.* (Automobiles) | | | 2.5 | % | | | 306 | | | | 232,028 | | |
Thermo Fisher Scientific, Inc.
(Life Sciences Tools &
Services) | | | 0.9 | % | | | 143 | | | | 81,163 | | |
Union Pacific Corp.
(Road & Rail) | | | 0.5 | % | | | 233 | | | | 51,209 | | |
United Parcel Service, Inc.,
Class B (Air Freight &
Logistics) | | | 0.5 | % | | | 267 | | | | 48,661 | | |
UnitedHealth Group, Inc.
(Health Care Providers &
Services) | | | 1.8 | % | | | 344 | | | | 170,892 | | |
Verizon Communications, Inc.
(Diversified
Telecommunication Services) | | | 0.8 | % | | | 1,537 | | | | 78,833 | | |
Walmart, Inc. (Food &
Staples Retailing) | | | 0.7 | % | | | 518 | | | | 66,630 | | |
Walt Disney Co. (The)*
(Entertainment) | | | 0.8 | % | | | 666 | | | | 73,553 | | |
| Wells Fargo & Co. (Banks) | | | 0.7 | % | | | 1,424 | | | | 65,176 | | |
| Other Common Stocks (a) | | | 47.7 | % | | | 51,657 | | | | 4,453,084 | | |
Total Common Stocks
(Cost $9,884,910) | | | | | | | 9,323,975 | | |
| Securities Lending Reinvestments (b) — 0.0% (c) | |
| Investment Companies — 0.0% (c) | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $302) | | | 0.0 | % | | | 302 | | | | 302 | | |
See accompanying notes to the financial statements.
84 :: SPXT S&P 500® EX-TECHNOLOGY ETF :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| | | Principal
Amount | | Value | |
| Short-Term Investments — 0.0% (c) | |
| Repurchase Agreements (d) — 0.0% (c) | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $1,226
(Cost $1,226) | | $ | 1,226 | | | $ | 1,226 | | |
Total Investments — 99.8%
(Cost $9,886,438) | | | | | 9,325,503 | | |
| Other assets less liabilities — 0.2% | | | | | 14,012 | | |
| Net Assets — 100.0% | | | | $ | 9,339,515 | | |
* Non-income producing security.
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $4,276, collateralized in the form of cash with a value of $302 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $4,127 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 30, 2022 - August 15, 2050. The total value of collateral is $4,429.
(b) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $302.
(c) Represents less than 0.05% of net assets.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 597,862 | | |
| Aggregate gross unrealized depreciation | | | (1,181,154 | ) | |
| Net unrealized depreciation | | $ | (583,292 | ) | |
| Federal income tax cost | | $ | 9,908,795 | | |
S&P 500® Ex-Technology ETF invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
| Aerospace & Defense | | | 2.2 | % | |
| Air Freight & Logistics | | | 0.9 | % | |
| Airlines | | | 0.3 | % | |
| Auto Components | | | 0.2 | % | |
| Automobiles | | | 2.9 | % | |
| Banks | | | 5.4 | % | |
| Beverages | | | 2.3 | % | |
| Biotechnology | | | 2.8 | % | |
| Building Products | | | 0.6 | % | |
| Capital Markets | | | 3.9 | % | |
| Chemicals | | | 2.6 | % | |
| Commercial Services & Supplies | | | 0.6 | % | |
| Construction & Engineering | | | 0.1 | % | |
| Construction Materials | | | 0.2 | % | |
| Consumer Finance | | | 0.8 | % | |
| Containers & Packaging | | | 0.4 | % | |
| Distributors | | | 0.2 | % | |
| Diversified Financial Services | | | 2.3 | % | |
| Diversified Telecommunication Services | | | 1.5 | % | |
| Electric Utilities | | | 2.6 | % | |
| Electrical Equipment | | | 0.7 | % | |
| Energy Equipment & Services | | | 0.5 | % | |
| Entertainment | | | 1.8 | % | |
| Equity Real Estate Investment Trusts (REITs) | | | 3.7 | % | |
| Food & Staples Retailing | | | 2.0 | % | |
| Food Products | | | 1.4 | % | |
| Gas Utilities | | | 0.1 | % | |
| Health Care Equipment & Supplies | | | 3.8 | % | |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: S&P 500® EX-TECHNOLOGY ETF SPXT :: 85
| Health Care Providers & Services | | | 4.4 | % | |
| Health Care Technology | | | 0.1 | % | |
| Hotels, Restaurants & Leisure | | | 2.6 | % | |
| Household Durables | | | 0.4 | % | |
| Household Products | | | 2.0 | % | |
| Independent Power and Renewable Electricity Producers | | | 0.1 | % | |
| Industrial Conglomerates | | | 1.2 | % | |
| Insurance | | | 3.0 | % | |
| Interactive Media & Services | | | 7.1 | % | |
| Internet & Direct Marketing Retail | | | 4.3 | % | |
| Leisure Products | | | 0.0 | %* | |
| Life Sciences Tools & Services | | | 2.5 | % | |
| Machinery | | | 2.2 | % | |
| Media | | | 1.3 | % | |
| Metals & Mining | | | 0.6 | % | |
| Multiline Retail | | | 0.6 | % | |
| Multi-Utilities | | | 1.3 | % | |
| Oil, Gas & Consumable Fuels | | | 6.0 | % | |
| Personal Products | | | 0.2 | % | |
| Pharmaceuticals | | | 6.0 | % | |
| Professional Services | | | 0.4 | % | |
| Real Estate Management & Development | | | 0.1 | % | |
| Road & Rail | | | 1.2 | % | |
| Specialty Retail | | | 2.9 | % | |
| Textiles, Apparel & Luxury Goods | | | 0.8 | % | |
| Tobacco | | | 1.0 | % | |
| Trading Companies & Distributors | | | 0.3 | % | |
| Water Utilities | | | 0.1 | % | |
| Wireless Telecommunication Services | | | 0.3 | % | |
| Othera | | | 0.2 | % | |
| | | 100.0 | % | |
* Amount represents less than 0.05%.
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
86 :: SPXT S&P 500® EX-TECHNOLOGY ETF :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks — 99.9% | |
| Automobiles — 3.5% | |
| Tesla, Inc.* | | | 140 | | | $ | 106,156 | | |
| Construction & Engineering — 9.2% | |
| Arcosa, Inc. | | | 1,845 | | | | 97,545 | | |
| ReneSola Ltd., ADR*(a) | | | 22,173 | | | | 105,765 | | |
| Valmont Industries, Inc. | | | 306 | | | | 78,566 | | |
| | | 281,876 | | |
| Diversified Consumer Services — 3.5% | |
| ADT, Inc. | | | 14,191 | | | | 106,149 | | |
| Electrical Equipment — 33.8% | |
| American Superconductor Corp.* | | | 11,120 | | | | 59,381 | | |
| Array Technologies, Inc.* | | | 11,025 | | | | 122,157 | | |
| Ballard Power Systems, Inc.*(a) | | | 13,406 | | | | 97,462 | | |
| Bloom Energy Corp., Class A* | | | 6,380 | | | | 111,778 | | |
| FuelCell Energy, Inc.* | | | 26,703 | | | | 109,482 | | |
| Generac Holdings, Inc.* | | | 444 | | | | 109,703 | | |
| Plug Power, Inc.* | | | 5,995 | | | | 110,788 | | |
| Shoals Technologies Group, Inc., Class A* | | | 6,645 | | | | 103,662 | | |
| Sunrun, Inc.* | | | 4,252 | | | | 111,062 | | |
| TPI Composites, Inc.* | | | 7,198 | | | | 99,260 | | |
| | | 1,034,735 | | |
| Independent Power and Renewable Electricity Producers — 10.0% | |
| Azure Power Global Ltd.*(a) | | | 5,723 | | | | 85,044 | | |
| Ormat Technologies, Inc. | | | 1,270 | | | | 106,629 | | |
| Sunnova Energy International, Inc.* | | | 5,712 | | | | 114,240 | | |
| | | 305,913 | | |
| Industrial Conglomerates — 3.3% | |
| General Electric Co. | | | 1,312 | | | | 102,716 | | |
| Machinery — 6.1% | |
| Cummins, Inc. | | | 492 | | | | 102,887 | | |
| Hyster-Yale Materials Handling, Inc. | | | 2,248 | | | | 83,064 | | |
| | | 185,951 | | |
| Semiconductors & Semiconductor Equipment — 30.5% | |
| Applied Materials, Inc. | | | 685 | | | | 80,344 | | |
| Canadian Solar, Inc.* | | | 3,454 | | | | 110,735 | | |
| Daqo New Energy Corp., ADR* | | | 2,162 | | | | 105,722 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Enphase Energy, Inc.* | | | 600 | | | $ | 111,714 | | |
| First Solar, Inc.* | | | 1,494 | | | | 105,491 | | |
| JinkoSolar Holding Co. Ltd., ADR*(a) | | | 1,760 | | | | 107,835 | | |
| Maxeon Solar Technologies Ltd.*(a) | | | 8,109 | | | | 96,984 | | |
| SolarEdge Technologies, Inc.* | | | 394 | | | | 107,479 | | |
| SunPower Corp.* | | | 5,955 | | | | 105,225 | | |
| | | 931,529 | | |
Total Common Stocks
(Cost $3,738,071) | | | | | 3,055,025 | | |
| Securities Lending Reinvestments (b) — 12.1% | |
| Investment Companies — 12.1% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $368,658) | | | 368,658 | | | | 368,658 | | |
Total Investments — 112.0%
(Cost $4,106,729) | | | | | 3,423,683 | | |
| Liabilities in excess of other assets — (12.0%) | | | | | (367,903 | ) | |
| Net Assets — 100.0% | | | | $ | 3,055,780 | | |
* Non-income producing security.
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $304,101, collateralized in the form of cash with a value of $368,658 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Investments and $72,194 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 3.13%, and maturity dates ranging from July 15, 2022 - August 15, 2050. The total value of collateral is $440,852.
(b) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $368,658.
Abbreviations
ADR American Depositary Receipt
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 85,242 | | |
| Aggregate gross unrealized depreciation | | | (768,878 | ) | |
| Net unrealized depreciation | | $ | (683,636 | ) | |
| Federal income tax cost | | $ | 4,107,319 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: S&P KENSHO CLEANTECH ETF CTEX :: 87
S&P Kensho Cleantech ETF invested, as a percentage of net assets, in the following countries as of May 31, 2022:
| United States | | | 76.7 | % | |
| China | | | 10.4 | % | |
| Canada | | | 6.8 | % | |
| Singapore | | | 3.2 | % | |
| India | | | 2.8 | % | |
| Othera | | | 0.1 | % | |
| | | 100.0 | % | |
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
88 :: CTEX S&P KENSHO CLEANTECH ETF : MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks — 99.6% | |
| Electrical Equipment — 15.3% | |
| ABB Ltd., ADR | | | 4,138 | | | $ | 128,154 | | |
| Emerson Electric Co. | | | 1,371 | | | | 121,553 | | |
| Rockwell Automation, Inc. | | | 570 | | | | 121,524 | | |
| | | 371,231 | | |
| Electronic Equipment, Instruments & Components — 19.4% | |
| Cognex Corp. | | | 2,005 | | | | 97,082 | | |
| FARO Technologies, Inc.* | | | 2,086 | | | | 67,211 | | |
| Hollysys Automation Technologies Ltd. | | | 4,897 | | | | 74,630 | | |
| Ouster, Inc.*(a) | | | 36,912 | | | | 81,206 | | |
| Sanmina Corp.* | | | 1,788 | | | | 78,475 | | |
| Zebra Technologies Corp., Class A* | | | 213 | | | | 72,035 | | |
| | | 470,639 | | |
| Machinery — 3.0% | |
| Dover Corp. | | | 548 | | | | 73,383 | | |
| Semiconductors & Semiconductor Equipment — 19.3% | |
| Allegro MicroSystems, Inc.* | | | 2,878 | | | | 74,108 | | |
| Ambarella, Inc.* | | | 936 | | | | 79,766 | | |
| Applied Materials, Inc. | | | 653 | | | | 76,590 | | |
| KLA Corp. | | | 222 | | | | 80,997 | | |
| ON Semiconductor Corp.* | | | 1,342 | | | | 81,433 | | |
| Tower Semiconductor Ltd.* | | | 1,522 | | | | 73,452 | | |
| | | 466,346 | | |
| Software — 25.3% | |
| ANSYS, Inc.* | | | 272 | | | | 70,818 | | |
| Aspen Technology, Inc.* | | | 307 | | | | 59,471 | | |
| Autodesk, Inc.* | | | 617 | | | | 128,182 | | |
| C3.ai, Inc., Class A*(a) | | | 4,340 | | | | 82,113 | | |
| PTC, Inc.* | | | 1,091 | | | | 127,134 | | |
| SAP SE, ADR | | | 743 | | | | 74,181 | | |
| UiPath, Inc., Class A* | | | 4,205 | | | | 71,779 | | |
| | | 613,678 | | |
| Technology Hardware, Storage & Peripherals — 7.8% | |
| 3D Systems Corp.*(a) | | | 10,655 | | | | 115,181 | | |
| Stratasys Ltd.* | | | 3,748 | | | | 74,735 | | |
| | | 189,916 | | |
| Trading Companies & Distributors — 3.0% | |
| Applied Industrial Technologies, Inc. | | | 690 | | | | 71,353 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Wireless Telecommunication Services — 6.5% | |
| SK Telecom Co. Ltd., ADR | | | 4,737 | | | $ | 121,125 | | |
| Turkcell Iletisim Hizmetleri A/S, ADR | | | 12,412 | | | | 37,236 | | |
| | | 158,361 | | |
Total Common Stocks
(Cost $3,065,298) | | | | | 2,414,907 | | |
| Securities Lending Reinvestments (b) — 5.7% | |
| Investment Companies — 5.7% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $137,035) | | | 137,035 | | | | 137,035 | | |
Total Investments — 105.3%
(Cost $3,202,333) | | | | | 2,551,942 | | |
| Liabilities in excess of other assets — (5.3%) | | | | | (129,049 | ) | |
| Net Assets — 100.0% | | | | $ | 2,422,893 | | |
* Non-income producing security.
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $186,912, collateralized in the form of cash with a value of $137,035 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $67,812 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 3.00%, and maturity dates ranging from August 11, 2022 - May 15, 2049. The total value of collateral is $204,847.
(b) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $137,035.
Abbreviations
ADR American Depositary Receipt
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 73,391 | | |
| Aggregate gross unrealized depreciation | | | (730,573 | ) | |
| Net unrealized depreciation | | $ | (657,182 | ) | |
| Federal income tax cost | | $ | 3,209,124 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: May 31, 2022 :: S&P KENSHO SMART FACTORIES ETF MAKX :: 89
S&P Kensho Smart Factories ETF invested, as a percentage of net assets, in the following countries as of May 31, 2022:
| United States | | | 78.7 | % | |
| Switzerland | | | 5.3 | % | |
| South Korea | | | 5.0 | % | |
| China | | | 3.1 | % | |
| Germany | | | 3.0 | % | |
| Israel | | | 3.0 | % | |
| Turkey | | | 1.5 | % | |
| Othera | | | 0.4 | % | |
| | | 100.0 | % | |
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
90 :: MAKX S&P KENSHO SMART FACTORIES ETF :: May 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks — 99.7% | |
| Banks — 12.6% | |
| Bank OZK | | | 563,074 | | | $ | 23,350,679 | | |
| Commerce Bancshares, Inc. | | | 320,830 | | | | 22,195,019 | | |
| Cullen/Frost Bankers, Inc. | | | 165,973 | | | | 20,743,306 | | |
| Prosperity Bancshares, Inc. | | | 347,310 | | | | 25,179,975 | | |
| UMB Financial Corp. | | | 245,035 | | | | 22,628,982 | | |
| United Bankshares, Inc. | | | 675,689 | | | | 25,378,879 | | |
| | | 139,476,840 | | |
| Building Products — 2.1% | |
| Carlisle Cos., Inc. | | | 93,040 | | | | 23,672,167 | | |
| Capital Markets — 2.1% | |
| SEI Investments Co. | | | 403,439 | | | | 23,572,941 | | |
| Chemicals — 4.3% | |
| RPM International, Inc. | | | 268,768 | | | | 23,678,461 | | |
| Sensient Technologies Corp. (a) | | | 273,874 | | | | 23,947,542 | | |
| | | 47,626,003 | | |
| Commercial Services & Supplies — 2.1% | |
| MSA Safety, Inc. | | | 180,421 | | | | 23,001,873 | | |
| Construction & Engineering — 2.1% | |
| MDU Resources Group, Inc. | | | 841,816 | | | | 23,048,922 | | |
| Containers & Packaging — 5.8% | |
| AptarGroup, Inc. | | | 196,700 | | | | 21,064,603 | | |
| Silgan Holdings, Inc. | | | 506,280 | | | | 22,180,127 | | |
| Sonoco Products Co. | | | 364,181 | | | | 21,293,663 | | |
| | | 64,538,393 | | |
| Electric Utilities — 2.1% | |
| OGE Energy Corp. | | | 551,433 | | | | 22,774,183 | | |
| Electrical Equipment — 1.9% | |
| Regal Rexnord Corp. | | | 165,216 | | | | 20,643,739 | | |
| Equity Real Estate Investment Trusts (REITs) — 2.0% | |
| National Retail Properties, Inc. | | | 489,428 | | | | 21,681,661 | | |
| Food & Staples Retailing — 2.1% | |
| Casey's General Stores, Inc. | | | 108,654 | | | | 22,767,359 | | |
| Food Products — 3.7% | |
| Flowers Foods, Inc. | | | 837,830 | | | | 23,124,108 | | |
| Lancaster Colony Corp. | | | 146,442 | | | | 17,851,280 | | |
| | | 40,975,388 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Gas Utilities — 12.9% | |
| National Fuel Gas Co. | | | 318,210 | | | $ | 23,397,981 | | |
| New Jersey Resources Corp. | | | 500,314 | | | | 22,974,419 | | |
| ONE Gas, Inc. | | | 259,524 | | | | 22,583,779 | | |
| Southwest Gas Holdings, Inc. | | | 254,156 | | | | 23,669,548 | | |
| Spire, Inc. (a) | | | 297,913 | | | | 23,326,588 | | |
| UGI Corp. | | | 626,257 | | | | 26,766,224 | | |
| | | 142,718,539 | | |
| Household Durables — 2.2% | |
| Leggett & Platt, Inc. (a) | | | 633,690 | | | | 24,821,637 | | |
| Insurance — 12.4% | |
| American Financial Group, Inc. | | | 158,989 | | | | 22,465,146 | | |
| Hanover Insurance Group, Inc. (The) | | | 151,231 | | | | 22,170,464 | | |
| Mercury General Corp. | | | 439,878 | | | | 21,532,028 | | |
| Old Republic International Corp. | | | 963,853 | | | | 23,055,364 | | |
| RenaissanceRe Holdings Ltd. | | | 154,634 | | | | 23,739,412 | | |
| RLI Corp. | | | 194,914 | | | | 23,607,984 | | |
| | | 136,570,398 | | |
| Leisure Products — 2.1% | |
| Polaris, Inc. | | | 222,369 | | | | 23,693,417 | | |
| Machinery — 8.3% | |
| Donaldson Co., Inc. | | | 446,126 | | | | 23,323,467 | | |
| Graco, Inc. | | | 347,897 | | | | 22,021,880 | | |
| Lincoln Electric Holdings, Inc. | | | 176,377 | | | | 23,955,524 | | |
| Toro Co. (The) | | | 274,593 | | | | 22,651,177 | | |
| | | 91,952,048 | | |
| Media — 2.1% | |
| John Wiley & Sons, Inc., Class A | | | 437,948 | | | | 23,193,726 | | |
| Metals & Mining — 1.7% | |
| Royal Gold, Inc. | | | 167,089 | | | | 18,894,424 | | |
| Multi-Utilities — 4.1% | |
| Black Hills Corp. | | | 290,260 | | | | 22,251,332 | | |
| NorthWestern Corp. | | | 372,639 | | | | 22,831,591 | | |
| | | 45,082,923 | | |
| Personal Products — 2.1% | |
| Nu Skin Enterprises, Inc., Class A (a) | | | 506,060 | | | | 23,607,699 | | |
| Pharmaceuticals — 2.4% | |
| Perrigo Co. plc | | | 680,298 | | | | 27,116,678 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: May 31, 2022 :: S&P MIDCAP 400® DIVIDEND ARISTOCRATS ETF REGL :: 91
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Road & Rail — 2.5% | |
| Ryder System, Inc. | | | 340,051 | | | $ | 27,210,881 | | |
| Specialty Retail — 2.0% | |
| Williams-Sonoma, Inc. (a) | | | 169,598 | | | | 21,694,976 | | |
| Water Utilities — 2.0% | |
| Essential Utilities, Inc. | | | 472,879 | | | | 21,875,383 | | |
Total Common Stocks
(Cost $942,214,049) | | | | | 1,102,212,198 | | |
| Securities Lending Reinvestments (b) — 0.0% (c) | |
| Investment Companies — 0.0% (c) | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $107,000) | | | 107,000 | | | | 107,000 | | |
| | | Principal
Amount | | | |
| Short-Term Investments — 0.2% | |
| Repurchase Agreements (d) — 0.2% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $1,689,449
(Cost $1,689,415) | | $ | 1,689,415 | | | | 1,689,415 | | |
Total Investments — 99.9%
(Cost $944,010,464) | | | | | 1,104,008,613 | | |
| Other assets less liabilities — 0.1% | | | | | 1,217,677 | | |
| Net Assets — 100.0% | | | | $ | 1,105,226,290 | | |
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $2,237,445, collateralized in the form of cash with a value of $107,000 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $2,174,529 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 3.75%, and maturity dates ranging from June 15, 2022 - February 15, 2051. The total value of collateral is $2,281,529.
(b) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $107,000.
(c) Represents less than 0.05% of net assets.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 169,598,483 | | |
| Aggregate gross unrealized depreciation | | | (11,166,758 | ) | |
| Net unrealized appreciation | | $ | 158,431,725 | | |
| Federal income tax cost | | $ | 945,576,888 | | |
See accompanying notes to the financial statements.
92 :: REGL S&P MIDCAP 400® DIVIDEND ARISTOCRATS ETF :: May 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks — 99.8% | |
| Communications Equipment — 4.6% | |
| Cisco Systems, Inc. | | | 53,447 | | | $ | 2,407,787 | | |
| Motorola Solutions, Inc. | | | 11,956 | | | | 2,627,212 | | |
| | | 5,034,999 | | |
| Electronic Equipment, Instruments & Components — 21.0% | |
| Amphenol Corp., Class A | | | 39,065 | | | | 2,768,146 | | |
| Avnet, Inc. | | | 71,705 | | | | 3,474,108 | | |
| Badger Meter, Inc. | | | 32,378 | | | | 2,562,395 | | |
| CDW Corp. | | | 15,833 | | | | 2,689,393 | | |
| Corning, Inc. | | | 81,737 | | | | 2,927,819 | | |
| Littelfuse, Inc. | | | 11,975 | | | | 3,235,645 | | |
| National Instruments Corp. | | | 70,668 | | | | 2,495,994 | | |
| TE Connectivity Ltd. | | | 22,371 | | | | 2,894,584 | | |
| | | 23,048,084 | | |
| Entertainment — 2.6% | |
| Activision Blizzard, Inc. | | | 35,911 | | | | 2,796,749 | | |
| Internet & Direct Marketing Retail — 2.2% | |
| PetMed Express, Inc. (a) | | | 110,609 | | | | 2,436,716 | | |
| IT Services — 26.7% | |
| Accenture plc, Class A | | | 8,754 | | | | 2,612,719 | | |
| Automatic Data Processing, Inc. | | | 12,177 | | | | 2,714,740 | | |
| Broadridge Financial Solutions, Inc. | | | 18,228 | | | | 2,665,298 | | |
| Cass Information Systems, Inc. | | | 68,450 | | | | 2,335,514 | | |
| CSG Systems International, Inc. | | | 43,357 | | | | 2,696,372 | | |
| International Business Machines Corp. | | | 20,488 | | | | 2,844,554 | | |
| Jack Henry & Associates, Inc. | | | 14,042 | | | | 2,641,581 | | |
| Mastercard, Inc., Class A | | | 7,758 | | | | 2,776,356 | | |
| Paychex, Inc. | | | 20,295 | | | | 2,513,130 | | |
| Visa, Inc., Class A (a) | | | 13,012 | | | | 2,760,756 | | |
| Western Union Co. (The) | | | 146,074 | | | | 2,649,782 | | |
| | | 29,210,802 | | |
| Semiconductors & Semiconductor Equipment — 25.9% | |
| Analog Devices, Inc. | | | 17,557 | | | | 2,956,599 | | |
| Broadcom, Inc. | | | 4,742 | | | | 2,750,976 | | |
| Intel Corp. | | | 58,889 | | | | 2,615,849 | | |
| KLA Corp. | | | 8,199 | | | | 2,991,405 | | |
| Lam Research Corp. | | | 5,884 | | | | 3,059,857 | | |
| Microchip Technology, Inc. | | | 40,980 | | | | 2,977,197 | | |
| Power Integrations, Inc. (a) | | | 33,346 | | | | 2,813,735 | | |
| QUALCOMM, Inc. | | | 20,185 | | | | 2,890,896 | | |
| Skyworks Solutions, Inc. | | | 23,456 | | | | 2,553,655 | | |
| Texas Instruments, Inc. | | | 15,795 | | | | 2,791,924 | | |
| | | 28,402,093 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Software — 9.6% | |
| Dolby Laboratories, Inc., Class A | | | 36,367 | | | $ | 2,822,807 | | |
| Intuit, Inc. | | | 5,881 | | | | 2,437,439 | | |
| Microsoft Corp. | | | 9,893 | | | | 2,689,610 | | |
| Oracle Corp. | | | 35,295 | | | | 2,538,416 | | |
| | | 10,488,272 | | |
| Technology Hardware, Storage & Peripherals — 7.2% | |
| Apple, Inc. | | | 16,944 | | | | 2,521,945 | | |
| HP, Inc. | | | 71,961 | | | | 2,794,965 | | |
| NetApp, Inc. | | | 35,984 | | | | 2,589,049 | | |
| | | 7,905,959 | | |
Total Common Stocks
(Cost $108,982,690) | | | | | 109,323,674 | | |
| Securities Lending Reinvestments (b) — 2.1% | |
| Investment Companies — 2.1% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $2,299,747) | | | 2,299,747 | | | | 2,299,747 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 0.1% | |
| Repurchase Agreements (c) — 0.1% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $96,095
(Cost $96,094) | | $ | 96,094 | | | | 96,094 | | |
Total Investments — 102.0%
(Cost $111,378,531) | | | | | 111,719,515 | | |
| Liabilities in excess of other assets — (2.0%) | | | | | (2,159,405 | ) | |
| Net Assets — 100.0% | | | | $ | 109,560,110 | | |
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $5,893,008, collateralized in the form of cash with a value of $2,299,747 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $3,710,166 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 6.00%, and maturity dates ranging from June 15, 2022 - February 15, 2052. The total value of collateral is $6,009,913.
(b) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $2,299,747.
(c) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: May 31, 2022 :: S&P TECHNOLOGY DIVIDEND ARISTOCRATS ETF TDV :: 93
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 6,117,172 | | |
| Aggregate gross unrealized depreciation | | | (5,840,571 | ) | |
| Net unrealized appreciation | | $ | 276,601 | | |
| Federal income tax cost | | $ | 111,442,914 | | |
See accompanying notes to the financial statements.
94 :: TDV S&P TECHNOLOGY DIVIDEND ARISTOCRATS ETF :: May 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks — 99.6% | |
| Aerospace & Defense — 4.5% | |
| Hexcel Corp. | | | 1,393 | | | $ | 80,028 | | |
| Building Products — 0.4% | |
| View, Inc.*(a) | | | 4,782 | | | | 6,073 | | |
| Chemicals — 59.6% | |
| Akzo Nobel NV | | | 864 | | | | 75,410 | | |
| Arkema SA | | | 658 | | | | 79,505 | | |
| Axalta Coating Systems Ltd.* | | | 2,985 | | | | 81,073 | | |
| Cabot Corp. | | | 1,150 | | | | 86,951 | | |
| Chemours Co. (The) | | | 2,290 | | | | 98,676 | | |
| Hansol Chemical Co. Ltd. | | | 250 | | | | 53,649 | | |
| Huntsman Corp. | | | 2,236 | | | | 81,055 | | |
| Ingevity Corp.* | | | 859 | | | | 59,855 | | |
| Neo Performance Materials, Inc. | | | 896 | | | | 9,294 | | |
| OCI Co. Ltd. | | | 525 | | | | 54,741 | | |
| PPG Industries, Inc. | | | 592 | | | | 74,882 | | |
| RPM International, Inc. | | | 914 | | | | 80,523 | | |
| Sherwin-Williams Co. (The) | | | 275 | | | | 73,711 | | |
| Sika AG (Registered) | | | 244 | | | | 67,537 | | |
| Solvay SA | | | 793 | | | | 77,556 | | |
| | | 1,054,418 | | |
| Electrical Equipment — 4.4% | |
| Nidec Corp. | | | 1,149 | | | | 77,463 | | |
| Electronic Equipment, Instruments & Components — 6.8% | |
| LG Display Co. Ltd. | | | 5,679 | | | | 79,640 | | |
| Solus Advanced Materials Co. Ltd. | | | 773 | | | | 39,675 | | |
| | | 119,315 | | |
| Metals & Mining — 5.1% | |
| Constellium SE* | | | 3,121 | | | | 52,714 | | |
| Materion Corp. | | | 450 | | | | 36,891 | | |
| | | 89,605 | | |
| Semiconductors & Semiconductor Equipment — 18.8% | |
| Applied Materials, Inc. | | | 686 | | | | 80,461 | | |
| Entegris, Inc. | | | 680 | | | | 75,453 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| Innox Advanced Materials Co. Ltd. | | | 443 | | | $ | 15,719 | | |
| Jusung Engineering Co. Ltd. | | | 1,063 | | | | 18,129 | | |
| LX Semicon Co. Ltd. | | | 358 | | | | 36,691 | | |
| Magnachip Semiconductor Corp.* | | | 989 | | | | 19,285 | | |
| Meta Materials, Inc.*(a) | | | 6,487 | | | | 12,455 | | |
| Universal Display Corp. | | | 593 | | | | 74,902 | | |
| | | 333,095 | | |
Total Common Stocks
(Cost $1,974,984) | | | | | 1,759,997 | | |
| Securities Lending Reinvestments (b) — 1.1% | |
| Investment Companies — 1.1% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $19,614) | | | 19,614 | | | | 19,614 | | |
Total Investments — 100.7%
(Cost $1,994,598) | | | | | 1,779,611 | | |
| Liabilities in excess of other assets — (0.7%) | | | | | (11,581 | ) | |
| Net Assets — 100.0% | | | | $ | 1,768,030 | | |
* Non-income producing security.
(a) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $18,525, collateralized in the form of cash with a value of $19,614 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments.
(b) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $19,614.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 70,699 | | |
| Aggregate gross unrealized depreciation | | | (290,145 | ) | |
| Net unrealized depreciation | | $ | (219,446 | ) | |
| Federal income tax cost | | $ | 1,999,057 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: May 31, 2022 :: SMART MATERIALS ETF TINT :: 95
Smart Materials ETF invested, as a percentage of net assets, in the following countries as of May 31, 2022:
| United States | | | 57.8 | % | |
| South Korea | | | 16.9 | % | |
| France | | | 7.5 | % | |
| Belgium | | | 4.4 | % | |
| Japan | | | 4.4 | % | |
| Netherlands | | | 4.3 | % | |
| Switzerland | | | 3.8 | % | |
| Canada | | | 0.5 | % | |
| Othera | | | 0.4 | % | |
| | | 100.0 | % | |
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
96 :: TINT SMART MATERIALS ETF :: May 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks — 99.6% | |
| Air Freight & Logistics — 35.1% | |
| CH Robinson Worldwide, Inc. | | | 746 | | | $ | 80,948 | | |
| Deutsche Post AG (Registered) | | | 1,708 | | | | 70,604 | | |
| DSV A/S | | | 483 | | | | 79,282 | | |
Expeditors International of
Washington, Inc. | | | 796 | | | | 86,637 | | |
| FedEx Corp. | | | 416 | | | | 93,425 | | |
| Forward Air Corp. | | | 143 | | | | 13,326 | | |
| GXO Logistics, Inc.* | | | 661 | | | | 35,873 | | |
| JD Logistics, Inc.*(a) | | | 7,109 | | | | 13,933 | | |
| Royal Mail plc | | | 4,293 | | | | 16,802 | | |
| SG Holdings Co. Ltd. | | | 1,591 | | | | 28,685 | | |
| United Parcel Service, Inc., Class B | | | 499 | | | | 90,943 | | |
| Yamato Holdings Co. Ltd. | | | 1,518 | | | | 26,248 | | |
| ZTO Express Cayman, Inc. | | | 2,607 | | | | 65,979 | | |
| | | 702,685 | | |
| Commercial Services & Supplies — 3.2% | |
| Brambles Ltd. | | | 8,217 | | | | 64,159 | | |
| Health Care Equipment & Supplies — 0.4% | |
| CryoPort, Inc.* | | | 277 | | | | 7,050 | | |
| IT Services — 4.8% | |
| Amadeus IT Group SA* | | | 1,561 | | | | 96,929 | | |
| Marine — 23.4% | |
COSCO SHIPPING Holdings Co. Ltd.,
Class H* | | | 18,554 | | | | 32,865 | | |
| Evergreen Marine Corp. Taiwan Ltd. | | | 20,460 | | | | 99,040 | | |
| HMM Co. Ltd. | | | 2,100 | | | | 55,080 | | |
| Kawasaki Kisen Kaisha Ltd. | | | 481 | | | | 38,260 | | |
Kuehne + Nagel International AG
(Registered) | | | 291 | | | | 76,694 | | |
| Matson, Inc. | | | 237 | | | | 21,302 | | |
| SITC International Holdings Co. Ltd. | | | 7,243 | | | | 27,321 | | |
| Wan Hai Lines Ltd. | | | 7,765 | | | | 42,002 | | |
| Yang Ming Marine Transport Corp.* | | | 12,375 | | | | 53,081 | | |
| ZIM Integrated Shipping Services Ltd. | | | 367 | | | | 23,367 | | |
| | | 469,012 | | |
| Road & Rail — 30.4% | |
| ArcBest Corp. | | | 142 | | | | 10,739 | | |
| Aurizon Holdings Ltd. | | | 10,535 | | | | 30,393 | | |
| Canadian Pacific Railway Ltd. | | | 1,449 | | | | 103,391 | | |
| Investments | | Shares | | Value | |
| Common Stocks (continued) | |
| CSX Corp. | | | 2,794 | | | $ | 88,821 | | |
Knight-Swift Transportation
Holdings, Inc. | | | 875 | | | | 42,560 | | |
| Landstar System, Inc. | | | 218 | | | | 33,012 | | |
| Old Dominion Freight Line, Inc. | | | 279 | | | | 72,049 | | |
| Rumo SA | | | 7,037 | | | | 26,178 | | |
| Saia, Inc.* | | | 151 | | | | 29,836 | | |
| TFI International, Inc. | | | 477 | | | | 39,171 | | |
| Union Pacific Corp. | | | 417 | | | | 91,648 | | |
| Werner Enterprises, Inc. | | | 339 | | | | 13,753 | | |
| XPO Logistics, Inc.* | | | 566 | | | | 30,247 | | |
| | | 611,798 | | |
| Transportation Infrastructure — 2.3% | |
| Getlink SE | | | 2,425 | | | | 46,665 | | |
Total Common Stocks
(Cost $2,001,082) | | | | | 1,998,298 | | |
Total Investments — 99.6%
(Cost $2,001,082) | | | | | 1,998,298 | | |
| Other assets less liabilities — 0.4% | | | | | 7,446 | | |
| Net Assets — 100.0% | | | | $ | 2,005,744 | | |
* Non-income producing security.
(a) Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 67,128 | | |
| Aggregate gross unrealized depreciation | | | (70,344 | ) | |
| Net unrealized depreciation | | $ | (3,216 | ) | |
| Federal income tax cost | | $ | 2,001,514 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: May 31, 2022 :: SUPPLY CHAIN LOGISTICS ETF SUPL :: 97
Supply Chain Logistics ETF invested, as a percentage of net assets, in the following countries as of May 31, 2022:
| United States | | | 42.0 | % | |
| Taiwan | | | 9.7 | % | |
| Canada | | | 7.1 | % | |
| China | | | 7.0 | % | |
| Spain | | | 4.8 | % | |
| Australia | | | 4.7 | % | |
| Japan | | | 4.7 | % | |
| Denmark | | | 4.0 | % | |
| Switzerland | | | 3.8 | % | |
| Germany | | | 3.5 | % | |
| South Korea | | | 2.7 | % | |
| France | | | 2.3 | % | |
| Brazil | | | 1.3 | % | |
| Israel | | | 1.2 | % | |
| United Kingdom | | | 0.8 | % | |
| Othera | | | 0.4 | % | |
| | | 100.0 | % | |
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
98 :: SUPL SUPPLY CHAIN LOGISTICS ETF :: May 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
PROSHARES TRUST STATEMENTS OF ASSETS AND LIABILITIES :: MAY 31, 2022 :: 99
| | | Big Data
Refiners
ETF | | Bitcoin Strategy
ETF(c) | | Decline of the
Retail Store
ETF | | DJ Brookfield
Global
Infrastructure
ETF | | Equities for
Rising Rates
ETF | | Global Listed
Private Equity
ETF | |
| ASSETS: | |
Securities and Repurchase Agreements,
at cost | | $ | 4,098,042 | | | $ | 299,346,100 | | | $ | 8,114,718 | | | $ | 143,092,615 | | | $ | 104,446,114 | | | $ | 15,886,630 | | |
| Securities, at value(a) | | | 2,567,431 | | | | 299,321,562 | | | | — | | | | 155,319,610 | | | | 104,587,779 | | | | 14,155,639 | | |
| Repurchase Agreements, at value | | | — | | | | — | | | | 8,114,718 | | | | 274,050 | | | | 80,595 | | | | 63,472 | | |
| Cash | | | 4,503 | | | | 193,098,289 | | | | — | | | | 2,879 | | | | 6 | | | | 26 | | |
| Foreign cash(b) | | | 242 | | | | — | | | | — | | | | 105,654 | | | | — | | | | 1,559 | | |
Segregated cash balances with
brokers for futures contracts | | | — | | | | 276,916,021 | | | | — | | | | — | | | | — | | | | — | | |
Segregated cash balances with
custodian for swap agreements | | | — | | | | — | | | | 1,315,000 | | | | — | | | | — | | | | — | | |
| Dividends and interest receivable | | | 219 | | | | — | | | | 152 | | | | 405,297 | | | | 292,660 | | | | 15,223 | | |
| Receivable for security lending income | | | 97 | | | | — | | | | — | | | | 3,065 | | | | 179 | | | | 166 | | |
| Receivable for investments sold | | | — | | | | — | | | | — | | | | — | | | | — | | | | 21,956 | | |
| Receivable for capital shares issued | | | — | | | | 19,661,510 | | | | — | | | | — | | | | — | | | | — | | |
| Receivable from Advisor | | | — | | | | — | | | | — | | | | — | | | | — | | | | 5,452 | | |
| Reclaims receivable | | | 14 | | | | — | | | | — | | | | 83,854 | | | | — | | | | 39,882 | | |
Receivable for variation margin on
futures contracts | | | — | | | | 39,726,874 | | | | — | | | | — | | | | — | | | | — | | |
Unrealized appreciation on non-exchange
traded swap agreements | | | — | | | | — | | | | 817,692 | | | | — | | | | — | | | | — | | |
| Prepaid expenses | | | — | | | | — | | | | — | | | | — | | | | — | | | | 866 | | |
| Total Assets | | | 2,572,506 | | | | 828,724,256 | | | | 10,247,562 | | | | 156,194,409 | | | | 104,961,219 | | | | 14,304,241 | | |
| LIABILITIES: | |
| Cash overdraft | | | — | | | | — | | | | 37 | | | | — | | | | — | | | | — | | |
| Payable for capital shares redeemed | | | — | | | | 3,580,074 | | | | — | | | | — | | | | — | | | | — | | |
Payable for cash collateral received from
securities loaned | | | 153,820 | | | | — | | | | — | | | | 3,153,905 | | | | — | | | | 38,824 | | |
| Advisory fees payable | | | 1,233 | | | | 260,802 | | | | 4,938 | | | | 56,671 | | | | 30,072 | | | | — | | |
| Custodian fees payable | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,238 | | |
| Administration fees payable | | | — | | | | — | | | | — | | | | — | | | | — | | | | 12,610 | | |
| Trustee fees payable | | | 20 | | | | 6,741 | | | | 47 | | | | 916 | | | | 264 | | | | 151 | | |
| Compliance services fees payable | | | 13 | | | | 3,873 | | | | 40 | | | | 795 | | | | 167 | | | | 128 | | |
| Listing, Data and related fees payable | | | — | | | | — | | | | — | | | | — | | | | — | | | | 12,500 | | |
| Professional fees payable | | | 4 | | | | 1,259 | | | | 13 | | | | 231 | | | | 151 | | | | 21,844 | | |
Payable for variation margin on futures
contracts | | | — | | | | 947,532 | | | | — | | | | — | | | | — | | | | — | | |
Unrealized depreciation on non-exchange
traded swap agreements | | | — | | | | — | | | | 163,064 | | | | — | | | | — | | | | — | | |
| Due to Authorized Participant | | | — | | | | — | | | | — | | | | — | | | | — | | | | 21,956 | | |
| Other liabilities | | | — | | | | 899 | | | | — | | | | — | | | | — | | | | 1,434 | | |
| Total Liabilities | | | 155,090 | | | | 4,801,180 | | | | 168,139 | | | | 3,212,518 | | | | 30,654 | | | | 110,685 | | |
| NET ASSETS | | $ | 2,417,416 | | | $ | 823,923,076 | | | $ | 10,079,423 | | | $ | 152,981,891 | | | $ | 104,930,565 | | | $ | 14,193,556 | | |
| NET ASSETS CONSIST OF: | |
| Paid in Capital | | $ | 3,853,976 | | | $ | 1,708,772,058 | | | $ | 39,735,471 | | | $ | 143,835,029 | | | $ | 103,211,756 | | | $ | 21,066,989 | | |
| Distributable earnings (loss) | | | (1,436,560 | ) | | | (884,848,982 | ) | | | (29,656,048 | ) | | | 9,146,862 | | | | 1,718,809 | | | | (6,873,433 | ) | |
| NET ASSETS | | $ | 2,417,416 | | | $ | 823,923,076 | | | $ | 10,079,423 | | | $ | 152,981,891 | | | $ | 104,930,565 | | | $ | 14,193,556 | | |
Shares (unlimited number of shares
authorized, no par value) | | | 100,001 | | | | 41,910,001 | | | | 625,001 | | | | 3,050,001 | | | | 1,930,001 | | | | 480,001 | | |
| Net Asset Value | | $ | 24.17 | | | $ | 19.66 | | | $ | 16.13 | | | $ | 50.16 | | | $ | 54.37 | | | $ | 29.57 | | |
| (a) Includes securities on loan valued at: | | $ | 160,639 | | | $ | — | | | $ | — | | | $ | 3,446,739 | | | $ | 3,485,972 | | | $ | 264,142 | | |
| (b) Cost of foreign cash: | | $ | 247 | | | $ | — | | | $ | — | | | $ | 105,674 | | | $ | — | | | $ | 1,555 | | |
(c) Consolidated Statement of Assets and Liabilities.
See accompanying notes to the financial statements.
100 :: MAY 31, 2022 :: STATEMENTS OF ASSETS AND LIABILITIES PROSHARES TRUST
| | | Hedge
Replication ETF | | High Yield-
Interest Rate
Hedged | | Inflation
Expectations
ETF | | Investment
Grade-Interest
Rate Hedged | | K-1 Free Crude
Oil Strategy
ETF(b) | | Large Cap Core
Plus | |
| ASSETS: | |
Securities and Repurchase Agreements,
at cost | | $ | 44,344,132 | | | $ | 154,898,496 | | | $ | 57,971,129 | | | $ | 754,038,772 | | | $ | — | | | $ | 404,474,275 | | |
| Securities, at value(a) | | | 41,440,193 | | | | 142,521,815 | | | | — | | | | 630,586,252 | | | | — | | | | 450,282,649 | | |
| Repurchase Agreements, at value | | | 2,063,136 | | | | 773,935 | | | | 57,971,129 | | | | 4,554,779 | | | | — | | | | 25,669,361 | | |
| Cash | | | — | | | | — | | | | — | | | | — | | | | 92,755,829 | | | | 3,643 | | |
Segregated cash balances with
brokers for futures contracts | | | 146,520 | | | | 1,796,995 | | | | — | | | | 17,184,980 | | | | 9,400,820 | | | | — | | |
Segregated cash balances with
custodian for swap agreements | | | 2,011,000 | | | | — | | | | 7,516,600 | | | | — | | | | — | | | | 1,969,193 | | |
| Dividends and interest receivable | | | 8,456 | | | | 2,118,436 | | | | 1,087 | | | | 7,039,621 | | | | — | | | | 802,545 | | |
| Receivable for security lending income | | | — | | | | 3,494 | | | | — | | | | 138 | | | | — | | | | 549 | | |
| Receivable for investments sold | | | 8,060 | | | | 5,806,326 | | | | — | | | | 12,396,560 | | | | — | | | | 4,374,046 | | |
| Receivable for capital shares issued | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,508,437 | | |
| Receivable from Advisor | | | 28,888 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
Receivable for variation margin on
futures contracts | | | 1,738 | | | | 572,600 | | | | — | | | | 6,144,673 | | | | — | | | | — | | |
Unrealized appreciation on non-exchange
traded swap agreements | | | 1,060 | | | | — | | | | — | | | | — | | | | — | | | | 12,401,371 | | |
| Prepaid expenses | | | 1,808 | | | | — | | | | 1,765 | | | | — | | | | — | | | | — | | |
| Total Assets | | | 45,710,859 | | | | 153,593,601 | | | | 65,490,581 | | | | 677,907,003 | | | | 102,156,649 | | | | 498,011,794 | | |
| LIABILITIES: | |
| Cash overdraft | | | 706 | | | | 5,939 | | | | 46 | | | | 3,399 | | | | — | | | | — | | |
| Payable for investments purchased | | | — | | | | 4,512,369 | | | | — | | | | — | | | | — | | | | — | | |
| Payable for capital shares redeemed | | | — | | | | — | | | | — | | | | 12,401,979 | | | | — | | | | 4,506,578 | | |
Payable for cash collateral received from
securities loaned | | | 9 | | | | 3,173,875 | | | | — | | | | 40,700 | | | | — | | | | 2,630,055 | | |
| Advisory fees payable | | | — | | | | 63,508 | | | | 5,203 | | | | 171,937 | | | | 53,409 | | | | 179,280 | | |
| Custodian fees payable | | | 32,129 | | | | — | | | | 382 | | | | — | | | | — | | | | — | | |
| Administration fees payable | | | 14,002 | | | | — | | | | 8,625 | | | | — | | | | — | | | | — | | |
| Trustee fees payable | | | 297 | | | | 918 | | | | 256 | | | | 6,114 | | | | 518 | | | | 3,171 | | |
| Compliance services fees payable | | | 261 | | | | 780 | | | | 239 | | | | 5,315 | | | | 443 | | | | 2,854 | | |
| Listing, Data and related fees payable | | | 205,288 | | | | — | | | | 3,352 | | | | — | | | | — | | | | — | | |
| Professional fees payable | | | 21,029 | | | | 225 | | | | 17,435 | | | | 1,102 | | | | 156 | | | | 743 | | |
Payable for variation margin on futures
contracts | | | — | | | | — | | | | — | | | | — | | | | 287,694 | | | | — | | |
Unrealized depreciation on non-exchange
traded swap agreements | | | 1,572,570 | | | | — | | | | 2,165,666 | | | | — | | | | — | | | | 15,315,892 | | |
| Other liabilities | | | 2,711 | | | | — | | | | 3,298 | | | | 151,992 | | | | — | | | | — | | |
| Total Liabilities | | | 1,849,002 | | | | 7,757,614 | | | | 2,204,502 | | | | 12,782,538 | | | | 342,220 | | | | 22,638,573 | | |
| NET ASSETS | | $ | 43,861,857 | | | $ | 145,835,987 | | | $ | 63,286,079 | | | $ | 665,124,465 | | | $ | 101,814,429 | | | $ | 475,373,221 | | |
| NET ASSETS CONSIST OF: | |
| Paid in Capital | | $ | 44,309,825 | | | $ | 194,451,518 | | | $ | 68,007,817 | | | $ | 763,159,613 | | | $ | 12,117,564 | | | $ | 371,796,717 | | |
| Distributable earnings (loss) | | | (447,968 | ) | | | (48,615,531 | ) | | | (4,721,738 | ) | | | (98,035,148 | ) | | | 89,696,865 | | | | 103,576,504 | | |
| NET ASSETS | | $ | 43,861,857 | | | $ | 145,835,987 | | | $ | 63,286,079 | | | $ | 665,124,465 | | | $ | 101,814,429 | | | $ | 475,373,221 | | |
Shares (unlimited number of shares
authorized, no par value) | | | 915,000 | | | | 2,400,001 | | | | 1,930,001 | | | | 9,350,001 | | | | 1,734,034 | | | | 9,530,000 | | |
| Net Asset Value | | $ | 47.94 | | | $ | 60.76 | | | $ | 32.79 | | | $ | 71.14 | | | $ | 58.72 | | | $ | 49.88 | | |
| (a) Includes securities on loan valued at: | | $ | 4,995 | | | $ | 3,987,037 | | | $ | — | | | $ | 1,657,207 | | | $ | — | | | $ | 7,632,482 | | |
(b) Consolidated Statement of Assets and Liabilities.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF ASSETS AND LIABILITIES :: MAY 31, 2022 :: 101
| | | Long Online/
Short Stores
ETF | | Merger ETF | | Metaverse ETF | | MSCI EAFE
Dividend
Growers ETF | | MSCI Emerging
Markets
Dividend
Growers ETF | | MSCI Europe
Dividend
Growers ETF | |
| ASSETS: | |
Securities and Repurchase Agreements,
at cost | | $ | 40,841,067 | | | $ | 68,281,471 | | | $ | 8,729,461 | | | $ | 113,442,466 | | | $ | 18,395,253 | | | $ | 14,213,225 | | |
| Securities, at value(a) | | | 20,702,295 | | | | 60,194,951 | | | | 7,802,647 | | | | 108,004,948 | | | | 17,405,009 | | | | 13,720,508 | | |
| Repurchase Agreements, at value | | | 1,716,841 | | | | 6,876,217 | | | | — | | | | 629,486 | | | | — | | | | 56,986 | | |
| Cash | | | 18 | | | | — | | | | 21,366 | | | | 422 | | | | — | | | | — | | |
| Foreign cash(b) | | | — | | | | 2,944 | | | | — | | | | 6,933 | | | | 376,102 | | | | 873 | | |
Segregated cash balances with
custodian for swap agreements | | | 2,684,780 | | | | 960,434 | | | | — | | | | — | | | | — | | | | — | | |
Segregated cash balances with
Authorized Participant for deposit
securities | | | — | | | | — | | | | — | | | | 3,807,732 | | | | — | | | | — | | |
| Dividends and interest receivable | | | 32,676 | | | | 2,754 | | | | 1,110 | | | | 554,856 | | | | 38,320 | | | | 54,392 | | |
| Receivable for security lending income | | | 609 | | | | — | | | | — | | | | 5,233 | | | | 71 | | | | 39 | | |
| Receivable for investments sold | | | 897,678 | | | | 1,600,924 | | | | — | | | | 8,570,593 | | | | 1,140,422 | | | | 792,385 | | |
| Reclaims receivable | | | — | | | | 295 | | | | — | | | | 523,781 | | | | — | | | | 59,364 | | |
| Due from Authorized Participant | | | — | | | | — | | | | — | | | | 2,880,898 | | | | — | | | | — | | |
Unrealized appreciation on non-exchange
traded swap agreements | | | 2,066,498 | | | | 4,974,290 | | | | — | | | | — | | | | — | | | | — | | |
Unrealized appreciation on forward
foreign currency contracts | | | — | | | | 304,279 | | | | — | | | | — | | | | — | | | | — | | |
| Prepaid expenses | | | — | | | | 1,231 | | | | — | | | | — | | | | — | | | | — | | |
| Total Assets | | | 28,101,395 | | | | 74,918,319 | | | | 7,825,123 | | | | 124,984,882 | | | | 18,959,924 | | | | 14,684,547 | | |
| LIABILITIES: | |
| Cash overdraft | | | — | | | | 2,076 | | | | — | | | | — | | | | 258,177 | | | | 5 | | |
| Due to custodian | | | — | | | | 1,600,924 | | | | — | | | | — | | | | — | | | | — | | |
Collateral upon return of deposit
securities | | | — | | | | — | | | | — | | | | 3,807,732 | | | | — | | | | — | | |
| Payable for investments purchased | | | 1,549,430 | | | | 1,701,198 | | | | — | | | | 8,554,636 | | | | 1,208,818 | | | | 836,927 | | |
| Payable for capital shares redeemed | | | — | | | | — | | | | — | | | | 3,353,361 | | | | — | | | | — | | |
Payable for cash collateral received from
securities loaned | | | 1,474,600 | | | | — | | | | — | | | | 1,818,961 | | | | — | | | | 101,880 | | |
| Advisory fees payable | | | 11,888 | | | | 15,990 | | | | 3,544 | | | | 46,348 | | | | 8,597 | | | | 6,389 | | |
| Management Services fees payable | | | — | | | | 5,962 | | | | — | | | | — | | | | — | | | | — | | |
| Custodian fees payable | | | — | | | | 1,402 | | | | — | | | | — | | | | — | | | | — | | |
| Administration fees payable | | | — | | | | 15,918 | | | | — | | | | — | | | | — | | | | — | | |
| Trustee fees payable | | | 219 | | | | 407 | | | | 7 | | | | 792 | | | | 119 | | | | 81 | | |
| Compliance services fees payable | | | 338 | | | | 326 | | | | 7 | | | | 767 | | | | 115 | | | | 72 | | |
| Listing, Data and related fees payable | | | — | | | | 9,496 | | | | — | | | | — | | | | — | | | | — | | |
| Professional fees payable | | | 34 | | | | 17,503 | | | | 11 | | | | 172 | | | | 27 | | | | 21 | | |
Unrealized depreciation on non-exchange
traded swap agreements | | | 3,284,291 | | | | 956,227 | | | | — | | | | — | | | | — | | | | — | | |
Unrealized depreciation on forward
foreign currency contracts | | | — | | | | 2,393 | | | | — | | | | — | | | | — | | | | — | | |
| Due to broker | | | — | | | | 166,598 | | | | — | | | | — | | | | — | | | | — | | |
| Due to counterparty | | | — | | | | — | | | | — | | | | 19 | | | | 7,235 | | | | — | | |
| Other liabilities | | | — | | | | 6,335 | | | | — | | | | — | | | | 52,976 | (c) | | | — | | |
| Total Liabilities | | | 6,320,800 | | | | 4,502,755 | | | | 3,569 | | | | 17,582,788 | | | | 1,536,064 | | | | 945,375 | | |
| NET ASSETS | | $ | 21,780,595 | | | $ | 70,415,564 | | | $ | 7,821,554 | | | $ | 107,402,094 | | | $ | 17,423,860 | | | $ | 13,739,172 | | |
| NET ASSETS CONSIST OF: | |
| Paid in Capital | | $ | 91,090,862 | | | $ | 70,487,045 | | | $ | 8,821,673 | | | $ | 111,986,527 | | | $ | 21,575,683 | | | $ | 14,977,692 | | |
| Distributable earnings (loss) | | | (69,310,267 | ) | | | (71,481 | ) | | | (1,000,119 | ) | | | (4,584,433 | ) | | | (4,151,823 | ) | | | (1,238,520 | ) | |
| NET ASSETS | | $ | 21,780,595 | | | $ | 70,415,564 | | | $ | 7,821,554 | | | $ | 107,402,094 | | | $ | 17,423,860 | | | $ | 13,739,172 | | |
Shares (unlimited number of shares
authorized, no par value) | | | 585,001 | | | | 1,750,001 | | | | 220,001 | | | | 2,880,001 | | | | 345,001 | | | | 315,001 | | |
| Net Asset Value | | $ | 37.23 | | | $ | 40.24 | | | $ | 35.55 | | | $ | 37.29 | | | $ | 50.50 | | | $ | 43.62 | | |
| (a) Includes securities on loan valued at: | | $ | 1,860,935 | | | $ | — | | | $ | — | | | $ | 2,791,450 | | | $ | 749,027 | | | $ | 170,397 | | |
| (b) Cost of foreign cash: | | $ | — | | | $ | 2,894 | | | $ | — | | | $ | 7,014 | | | $ | 376,162 | | | $ | 862 | | |
(c) Relates to payable for deferred India capital gains tax of $52,976.
See accompanying notes to the financial statements.
102 :: MAY 31, 2022 :: STATEMENTS OF ASSETS AND LIABILITIES PROSHARES TRUST
| | | MSCI
Transformational
Changes ETF | | Nanotechnology
ETF | | Nasdaq-100
Dorsey Wright
Momentum
ETF | | On-Demand
ETF | | Online Retail
ETF | | Pet Care ETF | |
| ASSETS: | |
Securities and Repurchase Agreements,
at cost | | $ | 34,264,096 | | | $ | 3,054,406 | | | $ | 19,538,322 | | | $ | 2,038,962 | | | $ | 672,546,855 | | | $ | 245,465,644 | | |
| Securities, at value(a) | | | 29,549,009 | | | | 2,570,692 | | | | 18,448,935 | | | | 1,086,510 | | | | 345,389,464 | | | | 172,979,038 | | |
| Repurchase Agreements, at value | | | — | | | | — | | | | 18,506 | | | | — | | | | 62,973 | | | | 244,009 | | |
| Cash | | | — | | | | 2,197 | | | | — | | | | 40,864 | | | | 39,752 | | | | 7,813 | | |
| Foreign cash(b) | | | — | | | | 168 | | | | — | | | | 507 | | | | — | | | | 42,467 | | |
| Dividends and interest receivable | | | 27,409 | | | | 3,062 | | | | 18,639 | | | | 1,139 | | | | 596,801 | | | | 66,587 | | |
| Receivable for security lending income | | | — | | | | 582 | | | | — | | | | 9 | | | | 23,731 | | | | 1 | | |
| Receivable for investments sold | | | 7,208,712 | | | | — | | | | — | | | | 78,868 | | | | 20,491,564 | | | | — | | |
| Reclaims receivable | | | 15,264 | | | | 46 | | | | — | | | | 14 | | | | — | | | | 125,308 | | |
| Total Assets | | | 36,800,394 | | | | 2,576,747 | | | | 18,486,080 | | | | 1,207,911 | | | | 366,604,285 | | | | 173,465,223 | | |
| LIABILITIES: | |
| Cash overdraft | | | 41,904 | | | | — | | | | 1 | | | | — | | | | — | | | | — | | |
| Foreign cash overdraft(b) | | | 51,696 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Due to custodian | | | — | | | | — | | | | — | | | | 78,868 | | | | — | | | | — | | |
| Payable for investments purchased | | | 7,018,724 | | | | — | | | | — | | | | — | | | | 20,551,578 | | | | — | | |
Payable for cash collateral received from
securities loaned | | | — | | | | 28,710 | | | | — | | | | 2,449 | | | | 24,777,454 | | | | — | | |
| Advisory fees payable | | | 11,139 | | | | 1,184 | | | | 8,986 | | | | 718 | | | | 164,288 | | | | 73,413 | | |
| Trustee fees payable | | | 213 | | | | 20 | | | | 156 | | | | 14 | | | | 3,333 | | | | 1,576 | | |
| Compliance services fees payable | | | 246 | | | | 11 | | | | 124 | | | | 9 | | | | 4,226 | | | | 1,697 | | |
| Professional fees payable | | | 46 | | | | 4 | | | | 29 | | | | 3 | | | | 551 | | | | 277 | | |
| Due to Authorized Participant | | | — | | | | — | | | | — | | | | 39,224 | | | | — | | | | — | | |
| Total Liabilities | | | 7,123,968 | | | | 29,929 | | | | 9,296 | | | | 121,285 | | | | 45,501,430 | | | | 76,963 | | |
| NET ASSETS | | $ | 29,676,426 | | | $ | 2,546,818 | | | $ | 18,476,784 | | | $ | 1,086,626 | | | $ | 321,102,855 | | | $ | 173,388,260 | | |
| NET ASSETS CONSIST OF: | |
| Paid in Capital | | $ | 37,021,150 | | | $ | 3,014,013 | | | $ | 24,070,494 | | | $ | 2,871,554 | | | $ | 797,951,583 | | | $ | 263,032,602 | | |
| Distributable earnings (loss) | | | (7,344,724 | ) | | | (467,195 | ) | | | (5,593,710 | ) | | | (1,784,928 | ) | | | (476,848,728 | ) | | | (89,644,342 | ) | |
| NET ASSETS | | $ | 29,676,426 | | | $ | 2,546,818 | | | $ | 18,476,784 | | | $ | 1,086,626 | | | $ | 321,102,855 | | | $ | 173,388,260 | | |
Shares (unlimited number of shares
authorized, no par value) | | | 850,001 | | | | 75,001 | | | | 540,001 | | | | 50,001 | | | | 9,210,001 | | | | 3,050,001 | | |
| Net Asset Value | | $ | 34.91 | | | $ | 33.96 | | | $ | 34.22 | | | $ | 21.73 | | | $ | 34.86 | | | $ | 56.85 | | |
| (a) Includes securities on loan valued at: | | $ | — | | | $ | 27,145 | | | $ | — | | | $ | 11,184 | | | $ | 30,849,497 | | | $ | — | | |
| (b) Cost of foreign cash: | | $ | (51,642 | ) | | $ | 165 | | | $ | — | | | $ | 505 | | | $ | — | | | $ | 42,270 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF ASSETS AND LIABILITIES :: MAY 31, 2022 :: 103
| | | Russell 2000
Dividend
Growers ETF | | Russell U.S.
Dividend
Growers ETF | | S&P 500®
Bond ETF | | S&P 500®
Dividend
Aristocrats ETF | | S&P 500®
Ex-Energy ETF | | S&P 500®
Ex-Financials
ETF | |
| ASSETS: | |
Securities and Repurchase Agreements,
at cost | | $ | 822,511,868 | | | $ | 13,423,806 | | | $ | 22,525,343 | | | $ | 9,531,633,526 | | | $ | 26,756,729 | | | $ | 8,278,643 | | |
| Securities, at value(a) | | | 871,631,762 | | | | 13,662,210 | | | | 19,411,076 | | | | 10,218,957,429 | | | | 25,866,794 | | | | 8,264,304 | | |
| Repurchase Agreements, at value | | | 810,560 | | | | 7,831 | | | | 544,103 | | | | 5,034,083 | | | | 5,352 | | | | 3,100 | | |
| Cash | | | — | | | | — | | | | — | | | | — | | | | 54 | | | | 19 | | |
| Dividends and interest receivable | | | 1,487,350 | | | | 26,392 | | | | 162,363 | | | | 22,651,510 | | | | 31,558 | | | | 12,615 | | |
| Receivable for security lending income | | | 2,261 | | | | 1 | | | | 6 | | | | 2 | | | | 4 | | | | 2 | | |
| Receivable for capital shares issued | | | — | | | | — | | | | — | | | | 32,232,521 | | | | — | | | | — | | |
| Total Assets | | | 873,931,933 | | | | 13,696,434 | | | | 20,117,548 | | | | 10,278,875,545 | | | | 25,903,762 | | | | 8,280,040 | | |
| LIABILITIES: | |
| Cash overdraft | | | 15,128 | | | | — | | | | — | | | | 7,134 | | | | — | | | | — | | |
| Payable for investments purchased | | | — | | | | — | | | | 402,325 | | | | 32,231,632 | | | | — | | | | — | | |
Payable for cash collateral received
from securities loaned | | | 8,704,260 | | | | — | | | | — | | | | — | | | | 9,686 | | | | — | | |
| Advisory fees payable | | | 287,841 | | | | 4,012 | | | | 2,476 | | | | 2,976,779 | | | | 1,873 | | | | 598 | | |
| Trustee fees payable | | | 5,496 | | | | 130 | | | | 152 | | | | 61,050 | | | | 181 | | | | 55 | | |
| Compliance services fees payable | | | 4,932 | | | | 126 | | | | 181 | | | | 53,544 | | | | 161 | | | | 48 | | |
| Professional fees payable | | | 1,339 | | | | 22 | | | | 31 | | | | 15,799 | | | | 40 | | | | 13 | | |
| Total Liabilities | | | 9,018,996 | | | | 4,290 | | | | 405,165 | | | | 35,345,938 | | | | 11,941 | | | | 714 | | |
| NET ASSETS | | $ | 864,912,937 | | | $ | 13,692,144 | | | $ | 19,712,383 | | | $ | 10,243,529,607 | | | $ | 25,891,821 | | | $ | 8,279,326 | | |
| NET ASSETS CONSIST OF: | |
| Paid in Capital | | $ | 868,917,979 | | | $ | 12,075,070 | | | $ | 23,176,317 | | | $ | 9,300,764,164 | | | $ | 26,801,706 | | | $ | 3,904,290 | | |
| Distributable earnings (loss) | | | (4,005,042 | ) | | | 1,617,074 | | | | (3,463,934 | ) | | | 942,765,443 | | | | (909,885 | ) | | | 4,375,036 | | |
| NET ASSETS | | $ | 864,912,937 | | | $ | 13,692,144 | | | $ | 19,712,383 | | | $ | 10,243,529,607 | | | $ | 25,891,821 | | | $ | 8,279,326 | | |
Shares (unlimited number of shares
authorized, no par value) | | | 13,860,001 | | | | 290,001 | | | | 250,001 | | | | 111,400,001 | | | | 295,001 | | | | 95,001 | | |
| Net Asset Value | | $ | 62.40 | | | $ | 47.21 | | | $ | 78.85 | | | $ | 91.95 | | | $ | 87.77 | | | $ | 87.15 | | |
| (a) Includes securities on loan valued at: | | $ | 15,911,326 | | | $ | 84 | | | $ | 152,562 | | | $ | 48,853 | | | $ | 17,993 | | | $ | 10,608 | | |
See accompanying notes to the financial statements.
104 :: MAY 31, 2022 :: STATEMENTS OF ASSETS AND LIABILITIES PROSHARES TRUST
| | | S&P 500®
Ex-Health Care
ETF | | S&P 500®
Ex-Technology
ETF | | S&P Kensho
Cleantech ETF | | S&P Kensho
Smart Factories
ETF | | S&P
MidCap 400®
Dividend
Aristocrats ETF | | S&P
Technology
Dividend
Aristocrats ETF | |
| ASSETS: | |
Securities and Repurchase Agreements,
at cost | | $ | 3,904,982 | | | $ | 9,886,438 | | | $ | 4,106,729 | | | $ | 3,202,333 | | | $ | 944,010,464 | | | $ | 111,378,531 | | |
| Securities, at value(a) | | | 3,857,416 | | | | 9,324,277 | | | | 3,423,683 | | | | 2,551,942 | | | | 1,102,319,198 | | | | 111,623,421 | | |
| Repurchase Agreements, at value | | | 2,273 | | | | 1,226 | | | | — | | | | — | | | | 1,689,415 | | | | 96,094 | | |
| Cash | | | — | | | | 25 | | | | 6,438 | | | | 45,968 | | | | — | | | | 6 | | |
| Dividends and interest receivable | | | 5,599 | | | | 15,099 | | | | 1,337 | | | | 3,925 | | | | 1,817,268 | | | | 182,035 | | |
| Receivable for security lending income | | | 1 | | | | 2 | | | | 455 | | | | 36 | | | | 202 | | | | 705 | | |
| Receivable for investments sold | | | — | | | | — | | | | 685,903 | | | | — | | | | — | | | | — | | |
| Reclaims receivable | | | — | | | | — | | | | — | | | | 850 | | | | — | | | | — | | |
| Total Assets | | | 3,865,289 | | | | 9,340,629 | | | | 4,117,816 | | | | 2,602,721 | | | | 1,105,826,083 | | | | 111,902,261 | | |
| LIABILITIES: | |
| Cash overdraft | | | — | | | | — | | | | — | | | | — | | | | 116,148 | | | | — | | |
| Payable for investments purchased | | | — | | | | — | | | | 691,922 | | | | — | | | | — | | | | — | | |
Payable for cash collateral received from
securities loaned | | | 117 | | | | 302 | | | | 368,658 | | | | 137,035 | | | | 107,000 | | | | 2,299,747 | | |
| Advisory fees payable | | | 279 | | | | 678 | | | | 1,418 | | | | 1,169 | | | | 362,394 | | | | 40,903 | | |
| Trustee fees payable | | | 26 | | | | 67 | | | | 20 | | | | 19 | | | | 6,612 | | | | 707 | | |
| Compliance services fees payable | | | 24 | | | | 52 | | | | 14 | | | | 13 | | | | 5,961 | | | | 625 | | |
| Professional fees payable | | | 6 | | | | 15 | | | | 4 | | | | 4 | | | | 1,678 | | | | 169 | | |
| Due to broker | | | — | | | | — | | | | — | | | | 41,358 | | | | — | | | | — | | |
| Due to counterparty | | | — | | | | — | | | | — | | | | 230 | | | | — | | | | — | | |
| Total Liabilities | | | 452 | | | | 1,114 | | | | 1,062,036 | | | | 179,828 | | | | 599,793 | | | | 2,342,151 | | |
| NET ASSETS | | $ | 3,864,837 | | | $ | 9,339,515 | | | $ | 3,055,780 | | | $ | 2,422,893 | | | $ | 1,105,226,290 | | | $ | 109,560,110 | | |
| NET ASSETS CONSIST OF: | |
| Paid in Capital | | $ | 3,915,697 | | | $ | 9,889,624 | | | $ | 3,910,072 | | | $ | 3,092,366 | | | $ | 922,987,605 | | | $ | 105,316,415 | | |
| Distributable earnings (loss) | | | (50,860 | ) | | | (550,109 | ) | | | (854,292 | ) | | | (669,473 | ) | | | 182,238,685 | | | | 4,243,695 | | |
| NET ASSETS | | $ | 3,864,837 | | | $ | 9,339,515 | | | $ | 3,055,780 | | | $ | 2,422,893 | | | $ | 1,105,226,290 | | | $ | 109,560,110 | | |
Shares (unlimited number of shares
authorized, no par value) | | | 45,001 | | | | 130,001 | | | | 100,001 | | | | 75,001 | | | | 15,360,001 | | | | 1,860,001 | | |
| Net Asset Value | | $ | 85.88 | | | $ | 71.84 | | | $ | 30.56 | | | $ | 32.30 | | | $ | 71.95 | | | $ | 58.90 | | |
| (a) Includes securities on loan valued at: | | $ | 5,127 | | | $ | 4,276 | | | $ | 304,101 | | | $ | 186,912 | | | $ | 2,237,445 | | | $ | 5,893,008 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF ASSETS AND LIABILITIES :: MAY 31, 2022 :: 105
| | | Smart
Materials ETF | | Supply Chain
Logistics ETF | |
| ASSETS: | |
| Securities and Repurchase Agreements, at cost | | $ | 1,994,598 | | | $ | 2,001,082 | | |
| Securities, at value(a) | | | 1,779,611 | | | | 1,998,298 | | |
| Repurchase Agreements, at value | | | — | | | | — | | |
| Cash | | | 5,559 | | | | 3,617 | | |
| Foreign cash(b) | | | 242 | | | | 553 | | |
| Dividends and interest receivable | | | 2,201 | | | | 3,279 | | |
| Receivable for security lending income | | | 154 | | | | — | | |
| Reclaims receivable | | | 749 | | | | 980 | | |
| Total Assets | | | 1,788,516 | | | | 2,006,727 | | |
| LIABILITIES: | |
| Payable for cash collateral received from securities loaned | | | 19,614 | | | | — | | |
| Advisory fees payable | | | 838 | | | | 972 | | |
| Trustee fees payable | | | 20 | | | | 6 | | |
| Compliance services fees payable | | | 11 | | | | 2 | | |
| Professional fees payable | | | 3 | | | | 3 | | |
| Total Liabilities | | | 20,486 | | | | 983 | | |
| NET ASSETS | | $ | 1,768,030 | | | $ | 2,005,744 | | |
| NET ASSETS CONSIST OF: | |
| Paid in Capital | | $ | 2,104,517 | | | $ | 2,018,668 | | |
| Distributable earnings (loss) | | | (336,487 | ) | | | (12,924 | ) | |
| NET ASSETS | | $ | 1,768,030 | | | $ | 2,005,744 | | |
| Shares (unlimited number of shares authorized, no par value) | | | 50,001 | | | | 50,001 | | |
| Net Asset Value | | $ | 35.36 | | | $ | 40.11 | | |
| (a) Includes securities on loan valued at: | | $ | 18,525 | | | $ | — | | |
| (b) Cost of foreign cash: | | $ | 239 | | | $ | 552 | | |
See accompanying notes to the financial statements.
106 :: MAY 31, 2022 :: STATEMENTS OF ASSETS AND LIABILITIES PROSHARES TRUST
STATEMENTS OF OPERATIONS
PROSHARES TRUST STATEMENTS OF OPERATIONS :: FOR THE PERIODS ENDED MAY 31, 2022 :: 107
| | | Big Data
Refiners ETF | | Bitcoin
Strategy ETF(a) | | Decline of the
Retail Store
ETF | | DJ Brookfield
Global
Infrastructure
ETF | | Equities for
Rising Rates
ETF | | Global Listed
Private Equity
ETF | |
| | September 29,
2021* through
May 31, 2022 | | October 18,
2021* through
May 31, 2022 | |
Year Ended
May 31, 2022 | |
Year Ended
May 31, 2022 | |
Year Ended
May 31, 2022 | |
Year Ended
May 31, 2022 | |
| INVESTMENT INCOME: | |
| Dividends | | $ | 1,590 | | | $ | — | | | $ | — | | | $ | 4,352,789 | | | $ | 865,185 | | | $ | 1,149,947 | | |
| Interest | | | — | | | | 496,695 | | | | 5,311 | | | | 78 | | | | — | | | | — | | |
| Securities lending income (Note 2) | | | 138 | | | | — | | | | — | | | | 20,237 | | | | 290 | | | | 1,193 | | |
| Foreign withholding tax on income | | | (39 | ) | | | — | | | | — | | | | (309,080 | ) | | | (374 | ) | | | (14,264 | ) | |
| Total Investment Income | | | 1,689 | | | | 496,695 | | | | 5,311 | | | | 4,064,024 | | | | 865,101 | | | | 1,136,876 | | |
| EXPENSES: | |
| Advisory fees (Note 4) | | | 12,999 | | | | 6,522,139 | | | | 46,326 | | | | 631,018 | | | | 113,537 | | | | 110,884 | | |
| Management Services fees (Note 4) | | | — | | | | — | | | | — | | | | — | | | | — | | | | 22,177 | | |
| Professional fees | | | 7 | | | | 2,069 | | | | 27 | | | | 516 | | | | 174 | | | | 21,990 | | |
| Administration fees (Note 5) | | | — | | | | — | | | | — | | | | — | | | | — | | | | 74,931 | | |
| Custodian fees (Note 6) | | | — | | | | — | | | | — | | | | — | | | | — | | | | 6,989 | | |
| Printing and Shareholder reports | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,925 | | |
| Listing, Data and related fees (Note 7) | | | — | | | | — | | | | — | | | | — | | | | — | | | | 38,535 | | |
| Trustees fees (Note 8) | | | 37 | | | | 10,985 | | | | 123 | | | | 2,479 | | | | 371 | | | | 407 | | |
| Compliance services fees (Note 4) | | | 13 | | | | 3,873 | | | | 25 | | | | 580 | | | | 159 | | | | 106 | | |
| Other fees | | | — | | | | — | | | | — | | | | — | | | | — | | | | 5,289 | | |
Total Gross Expenses before
fees waived and/or reimbursed | | | 13,056 | | | | 6,539,066 | | | | 46,501 | | | | 634,593 | | | | 114,241 | | | | 283,233 | | |
| LESS: | |
Expenses waived and/or
reimbursed by Advisor (Note 4) | | | — | | | | — | | | | — | | | | — | | | | — | | | | (150,268 | ) | |
| Total Net Expenses | | | 13,056 | | | | 6,539,066 | | | | 46,501 | | | | 634,593 | | | | 114,241 | | | | 132,965 | | |
| Net Investment Income (Loss) | | | (11,367 | ) | | | (6,042,371 | ) | | | (41,190 | ) | | | 3,429,431 | | | | 750,860 | | | | 1,003,911 | | |
| NET REALIZED GAIN (LOSS) FROM: | |
| Transactions in investment securities | | | (12,093 | ) | | | (546,159 | ) | | | — | | | | 1,154,192 | | | | 793,946 | | | | 60,920 | | |
| Expiration or closing of futures contracts | | | — | | | | (876,330,142 | ) | | | — | | | | — | | | | — | | | | — | | |
Expiration or closing of non-exchange traded
swap agreements | | | — | | | | — | | | | (3,308,481 | ) | | | — | | | | — | | | | — | | |
| In-kind redemptions of investments | | | 117,452 | | | | — | | | | — | | | | 14,938,469 | | | | 1,686,944 | | | | 1,040,459 | | |
| Foreign currency transactions | | | (64 | ) | | | — | | | | — | | | | (23,469 | ) | | | — | | | | (4,445 | ) | |
| Net realized gain (loss) | | | 105,295 | | | | (876,876,301 | ) | | | (3,308,481 | ) | | | 16,069,192 | | | | 2,480,890 | | | | 1,096,934 | | |
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION
FROM: | |
| Investments | | | (1,530,611 | ) | | | (24,538 | ) | | | — | | | | (2,355,710 | ) | | | (714,843 | ) | | | (5,269,478 | ) | |
| Futures contracts | | | — | | | | (1,905,772 | ) | | | — | | | | — | | | | — | | | | — | | |
| Non-exchange traded swap agreements | | | — | | | | — | | | | 3,118,325 | | | | — | | | | — | | | | — | | |
| Foreign currency translations | | | (19 | ) | | | — | | | | — | | | | (8,147 | ) | | | — | | | | (4,943 | ) | |
Change in net unrealized
appreciation/depreciation | | | (1,530,630 | ) | | | (1,930,310 | ) | | | 3,118,325 | | | | (2,363,857 | ) | | | (714,843 | ) | | | (5,274,421 | ) | |
| Net realized and unrealized gain (loss) | | | (1,425,335 | ) | | | (878,806,611 | ) | | | (190,156 | ) | | | 13,705,335 | | | | 1,766,047 | | | | (4,177,487 | ) | |
Change in Net Assets Resulting
from Operations | | $ | (1,436,702 | ) | | $ | (884,848,982 | ) | | $ | (231,346 | ) | | $ | 17,134,766 | | | $ | 2,516,907 | | | $ | (3,173,576 | ) | |
* Commencement of investment operations.
(a) Consolidated Statement of Operations.
See accompanying notes to the financial statements.
108 :: FOR THE PERIODS ENDED MAY 31, 2022 :: STATEMENTS OF OPERATIONS PROSHARES TRUST
| | | Hedge
Replication ETF | | High Yield-
Interest Rate
Hedged | | Inflation
Expectations
ETF | | Investment
Grade-Interest
Rate Hedged | | K-1 Free Crude
Oil Strategy
ETF(a) | | Large Cap Core
Plus | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | |
| INVESTMENT INCOME: | |
| Dividends | | $ | 117,345 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 7,024,516 | | |
| Interest | | | 59,603 | | | | 6,738,731 | | | | 1,276,239 | | | | 26,807,694 | | | | — | | | | 18,496 | | |
| Securities lending income (Note 2) | | | 1,294 | | | | 14,008 | | | | 1 | | | | 15,436 | | | | — | | | | 3,447 | | |
| Foreign withholding tax on income | | | (153 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Total Investment Income | | | 178,089 | | | | 6,752,739 | | | | 1,276,240 | | | | 26,823,130 | | | | — | | | | 7,046,459 | | |
| EXPENSES: | |
| Advisory fees (Note 4) | | | 343,326 | | | | 687,373 | | | | 235,909 | | | | 2,769,450 | | | | 511,571 | | | | 2,251,428 | | |
| Management Services fees (Note 4) | | | 45,776 | | | | — | | | | 42,892 | | | | — | | | | — | | | | — | | |
| Professional fees | | | 70,652 | | | | 490 | | | | 17,562 | | | | 3,069 | | | | 313 | | | | 1,771 | | |
| Administration fees (Note 5) | | | 82,650 | | | | — | | | | 74,112 | | | | — | | | | — | | | | — | | |
| Custodian fees (Note 6) | | | 130,356 | | | | — | | | | 2,942 | | | | — | | | | — | | | | — | | |
| Printing and Shareholder reports | | | 4,063 | | | | — | | | | 4,306 | | | | — | | | | — | | | | — | | |
| Listing, Data and related fees (Note 7) | | | 147,251 | | | | — | | | | 29,920 | | | | — | | | | — | | | | — | | |
| Trustees fees (Note 8) | | | 806 | | | | 2,367 | | | | 723 | | | | 16,773 | | | | 1,359 | | | | 8,798 | | |
| Compliance services fees (Note 4) | | | 217 | | | | 661 | | | | 231 | | | | 4,796 | | | | 349 | | | | 2,276 | | |
| Other fees | | | 5,964 | | | | — | | | | 10,230 | | | | — | | | | 44,981 | (b) | | | — | | |
Total Gross Expenses before
fees waived and/or reimbursed | | | 831,061 | | | | 690,891 | | | | 418,827 | | | | 2,794,088 | | | | 558,573 | | | | 2,264,273 | | |
| LESS: | |
Expenses waived and/or
reimbursed by Advisor (Note 4) | | | (396,256 | ) | | | — | | | | (286,437 | ) | | | — | | | | — | | | | — | | |
| Total Net Expenses | | | 434,805 | | | | 690,891 | | | | 132,390 | | | | 2,794,088 | | | | 558,573 | | | | 2,264,273 | | |
| Net Investment Income (Loss) | | | (256,716 | ) | | | 6,061,848 | | | | 1,143,850 | | | | 24,029,042 | | | | (558,573 | ) | | | 4,782,186 | | |
| NET REALIZED GAIN (LOSS) FROM: | |
| Transactions in investment securities | | | (27,475 | ) | | | (534,662 | ) | | | 536,239 | | | | (8,496,317 | ) | | | — | | | | 27,319,050 | | |
| Expiration or closing of futures contracts | | | (525,560 | ) | | | 9,653,918 | | | | — | | | | 76,256,106 | | | | 30,959,766 | | | | — | | |
Expiration or closing of non-exchange traded
swap agreements | | | 2,637,572 | | | | — | | | | 4,201,521 | | | | — | | | | — | | | | 13,594,042 | | |
| In-kind redemptions of investments | | | 1,456,286 | | | | (1,939,481 | ) | | | 917,775 | | | | (23,041,091 | ) | | | — | | | | 13,211,003 | | |
| Net realized gain (loss) | | | 3,540,823 | | | | 7,179,775 | | | | 5,655,535 | | | | 44,718,698 | | | | 30,959,766 | | | | 54,124,095 | | |
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION
FROM: | |
| Investments | | | (3,364,904 | ) | | | (12,861,857 | ) | | | (516,612 | ) | | | (119,391,936 | ) | | | — | | | | (36,826,182 | ) | |
| Futures contracts | | | 38,345 | | | | 618,936 | | | | — | | | | 5,689,362 | | | | 17,064,949 | | | | — | | |
| Non-exchange traded swap agreements | | | (3,914,200 | ) | | | — | | | | (1,738,923 | ) | | | — | | | | — | | | | (4,407,622 | ) | |
Change in net unrealized
appreciation/depreciation | | | (7,240,759 | ) | | | (12,242,921 | ) | | | (2,255,535 | ) | | | (113,702,574 | ) | | | 17,064,949 | | | | (41,233,804 | ) | |
| Net realized and unrealized gain (loss) | | | (3,699,936 | ) | | | (5,063,146 | ) | | | 3,400,000 | | | | (68,983,876 | ) | | | 48,024,715 | | | | 12,890,291 | | |
Change in Net Assets Resulting
from Operations | | $ | (3,956,652 | ) | | $ | 998,702 | | | $ | 4,543,850 | | | $ | (44,954,834 | ) | | $ | 47,466,142 | | | $ | 17,672,477 | | |
(a) Consolidated Statement of Operations.
(b) Includes futures account fees in the amount of $44,981.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF OPERATIONS :: FOR THE PERIODS ENDED MAY 31, 2022 :: 109
| | | Long Online/
Short Stores
ETF | | Merger ETF | | Metaverse ETF | | MSCI EAFE
Dividend
Growers ETF | | MSCI Emerging
Markets
Dividend
Growers ETF | | MSCI Europe
Dividend
Growers ETF | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | March 15,
2022* through
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | |
| INVESTMENT INCOME: | |
| Dividends | | $ | 289,151 | | | $ | 519,686 | | | $ | 3,861 | | | $ | 2,997,042 | | | $ | 590,031 | | | $ | 315,601 | | |
| Interest | | | 1,333 | | | | 331 | | | | — | | | | 238 | | | | — | | | | 31 | | |
| Securities lending income (Note 2) | | | 164,136 | | | | 4,562 | | | | — | | | | 31,348 | | | | 2,458 | | | | 2,327 | | |
| Foreign withholding tax on income | | | (3,768 | ) | | | (15,357 | ) | | | (47 | ) | | | (265,599 | ) | | | (55,421 | ) | | | (34,926 | ) | |
| Total Investment Income | | | 450,852 | | | | 509,222 | | | | 3,814 | | | | 2,763,029 | | | | 537,068 | | | | 283,033 | | |
| EXPENSES: | |
| Advisory fees (Note 4) | | | 376,209 | | | | 434,223 | | | | 8,364 | | | | 668,324 | | | | 120,945 | | | | 69,955 | | |
| Management Services fees (Note 4) | | | — | | | | 57,896 | | | | — | | | | — | | | | — | | | | — | | |
| Professional fees | | | 191 | | | | 17,998 | | | | 11 | | | | 461 | | | | 71 | | | | 46 | | |
| Administration fees (Note 5) | | | — | | | | 88,332 | | | | — | | | | — | | | | — | | | | — | | |
| Custodian fees (Note 6) | | | — | | | | 10,302 | | | | — | | | | — | | | | — | | | | — | | |
| Printing and Shareholder reports | | | — | | | | 14,672 | | | | — | | | | — | | | | — | | | | — | | |
| Listing, Data and related fees (Note 7) | | | — | | | | 54,965 | | | | — | | | | — | | | | — | | | | — | | |
| Trustees fees (Note 8) | | | 1,074 | | | | 981 | | | | 7 | | | | 2,389 | | | | 361 | | | | 216 | | |
| Compliance services fees (Note 4) | | | 164 | | | | 280 | | | | 7 | | | | 614 | | | | 93 | | | | 62 | | |
| Other fees | | | — | | | | 8,629 | | | | — | | | | — | | | | — | | | | — | | |
Total Gross Expenses before
fees waived and/or reimbursed | | | 377,638 | | | | 688,278 | | | | 8,389 | | | | 671,788 | | | | 121,470 | | | | 70,279 | | |
| LESS: | |
Expenses waived and/or
reimbursed by Advisor (Note 4) | | | — | | | | (254,074 | ) | | | — | | | | — | | | | — | | | | — | | |
| Total Net Expenses | | | 377,638 | | | | 434,204 | | | | 8,389 | | | | 671,788 | | | | 121,470 | | | | 70,279 | | |
| Net Investment Income (Loss) | | | 73,214 | | | | 75,018 | | | | (4,575 | ) | | | 2,091,241 | | | | 415,598 | | | | 212,754 | | |
| NET REALIZED GAIN (LOSS) FROM: | |
| Transactions in investment securities | | | 837,914 | | | | (2,824,032 | ) | | | (68,730 | ) | | | 2,419,016 | | | | 33,946 | (a) | | | 22,897 | | |
Expiration or closing of non-exchange traded
swap agreements | | | (7,161,869 | ) | | | (1,662,029 | ) | | | — | | | | — | | | | — | | | | — | | |
| In-kind redemptions of investments | | | 5,854,007 | | | | 60,351 | | | | — | | | | 1,240,845 | | | | 53,609 | | | | — | | |
| Foreign currency transactions | | | — | | | | 29,727 | | | | — | | | | (30,769 | ) | | | (43,189 | ) | | | (484 | ) | |
Settlement of forward foreign currency
contracts | | | — | | | | 472,776 | | | | — | | | | — | | | | — | | | | — | | |
| Net realized gain (loss) | | | (469,948 | ) | | | (3,923,207 | ) | | | (68,730 | ) | | | 3,629,092 | | | | 44,366 | | | | 22,413 | | |
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION
FROM: | |
| Investments | | | (36,339,919 | ) | | | (2,453,979 | ) | | | (926,814 | ) | | | (28,525,040 | ) | | | (4,096,166 | )(b) | | | (2,412,302 | ) | |
| Non-exchange traded swap agreements | | | 1,942,362 | | | | 5,089,320 | | | | — | | | | — | | | | — | | | | — | | |
| Forward foreign currency contracts | | | — | | | | 409,307 | | | | — | | | | — | | | | — | | | | — | | |
| Foreign currency translations | | | — | | | | 81 | | | | — | | | | (64,221 | ) | | | 26 | | | | (6,157 | ) | |
Change in net unrealized
appreciation/depreciation | | | (34,397,557 | ) | | | 3,044,729 | | | | (926,814 | ) | | | (28,589,261 | ) | | | (4,096,140 | ) | | | (2,418,459 | ) | |
| Net realized and unrealized gain (loss) | | | (34,867,505 | ) | | | (878,478 | ) | | | (995,544 | ) | | | (24,960,169 | ) | | | (4,051,774 | ) | | | (2,396,046 | ) | |
Change in Net Assets Resulting
from Operations | | $ | (34,794,291 | ) | | $ | (803,460 | ) | | $ | (1,000,119 | ) | | $ | (22,868,928 | ) | | $ | (3,636,176 | ) | | $ | (2,183,292 | ) | |
* Commencement of investment operations.
(a) Net of India capital gains tax of $99,400.
(b) Net of change in deferred India capital gain tax of $86,741 and deferred Thailand capital gains tax of $18,025.
See accompanying notes to the financial statements.
110 :: FOR THE PERIODS ENDED MAY 31, 2022 :: STATEMENTS OF OPERATIONS PROSHARES TRUST
| | | MSCI
Transformational
Changes ETF | | Nanotechnology
ETF | | Nasdaq-100
Dorsey Wright
Momentum
ETF | | On-Demand
ETF | | Online Retail
ETF | | Pet Care ETF | |
| | Year Ended
May 31, 2022 | | October 26,
2021* through
May 31, 2022 | | Year Ended
May 31, 2022 | | October 26,
2021* through
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | |
| INVESTMENT INCOME: | |
| Dividends | | $ | 314,543 | | | $ | 16,036 | | | $ | 134,176 | | | $ | 5,200 | | | $ | 4,368,440 | | | $ | 2,189,941 | | |
| Income from non-cash dividends | | | 17,748 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Interest | | | 44 | | | | — | | | | 15 | | | | — | | | | 151 | | | | 535 | | |
| Securities lending income (Note 2) | | | — | | | | 606 | | | | — | | | | 12 | | | | 1,891,043 | | | | 12,653 | | |
| Foreign withholding tax on income | | | (8,874 | ) | | | (1,094 | ) | | | (1,028 | ) | | | (470 | ) | | | (59,367 | ) | | | (53,571 | ) | |
| Total Investment Income | | | 323,461 | | | | 15,548 | | | | 133,163 | | | | 4,742 | | | | 6,200,267 | | | | 2,149,558 | | |
| EXPENSES: | |
| Advisory fees (Note 4) | | | 192,135 | | | | 11,771 | | | | 125,703 | | | | 9,606 | | | | 4,206,707 | | | | 1,465,240 | | |
| Professional fees | | | 144 | | | | 7 | | | | 66 | | | | 5 | | | | 2,355 | | | | 947 | | |
| Trustees fees (Note 8) | | | 765 | | | | 33 | | | | 367 | | | | 27 | | | | 13,460 | | | | 5,350 | | |
| Compliance services fees (Note 4) | | | 213 | | | | 12 | | | | 127 | | | | 10 | | | | 2,894 | | | | 1,435 | | |
| Other fees | | | — | | | | 4 | | | | — | | | | — | | | | — | | | | — | | |
| Total Expenses | | | 193,257 | | | | 11,827 | | | | 126,263 | | | | 9,648 | | | | 4,225,416 | | | | 1,472,972 | | |
| Net Investment Income (Loss) | | | 130,204 | | | | 3,721 | | | | 6,900 | | | | (4,906 | ) | | | 1,974,851 | | | | 676,586 | | |
| NET REALIZED GAIN (LOSS) FROM: | |
| Transactions in investment securities | | | (3,741,070 | ) | | | (127,596 | ) | | | (4,896,579 | ) | | | (276,908 | ) | | | (101,743,334 | ) | | | (17,512,984 | ) | |
| In-kind redemptions of investments | | | 3,719,572 | | | | 143,811 | | | | 701,403 | | | | (551,712 | ) | | | 31,476,275 | | | | 79,179,991 | | |
| Foreign currency transactions | | | 5,612 | | | | (308 | ) | | | — | | | | 1,757 | | | | — | | | | (66,628 | ) | |
| Net realized gain (loss) | | | (15,886 | ) | | | 15,907 | | | | (4,195,176 | ) | | | (826,863 | ) | | | (70,267,059 | ) | | | 61,600,379 | | |
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION
FROM: | |
| Investments | | | (7,052,164 | ) | | | (483,714 | ) | | | (1,274,385 | ) | | | (952,452 | ) | | | (391,990,278 | ) | | | (142,309,305 | ) | |
| Foreign currency translations | | | (4,200 | ) | | | (42 | ) | | | — | | | | (42 | ) | | | — | | | | (5,537 | ) | |
Change in net unrealized
appreciation/depreciation | | | (7,056,364 | ) | | | (483,756 | ) | | | (1,274,385 | ) | | | (952,494 | ) | | | (391,990,278 | ) | | | (142,314,842 | ) | |
| Net realized and unrealized gain (loss) | | | (7,072,250 | ) | | | (467,849 | ) | | | (5,469,561 | ) | | | (1,779,357 | ) | | | (462,257,337 | ) | | | (80,714,463 | ) | |
Change in Net Assets Resulting
from Operations | | $ | (6,942,046 | ) | | $ | (464,128 | ) | | $ | (5,462,661 | ) | | $ | (1,784,263 | ) | | $ | (460,282,486 | ) | | $ | (80,037,877 | ) | |
* Commencement of investment operations.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF OPERATIONS :: FOR THE PERIODS ENDED MAY 31, 2022 :: 111
| | | Russell 2000
Dividend
Growers ETF | | Russell
U.S. Dividend
Growers ETF | | S&P 500®
Bond ETF | | S&P 500®
Dividend
Aristocrats ETF | | S&P 500®
Ex-Energy ETF | | S&P 500®
Ex-Financials
ETF | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | |
| INVESTMENT INCOME: | |
| Dividends | | $ | 23,160,369 | | | $ | 528,502 | | | $ | — | | | $ | 222,896,426 | | | $ | 365,203 | | | $ | 113,464 | | |
| Interest | | | 359 | | | | 7 | | | | 706,491 | | | | 13,641 | | | | 40 | | | | 15 | | |
| Securities lending income (Note 2) | | | 20,394 | | | | 172 | | | | 776 | | | | 822 | | | | 170 | | | | 40 | | |
| Foreign withholding tax on income | | | — | | | | — | | | | — | | | | — | | | | (79 | ) | | | (27 | ) | |
| Total Investment Income | | | 23,181,122 | | | | 528,681 | | | | 707,267 | | | | 222,910,889 | | | | 365,334 | | | | 113,492 | | |
| EXPENSES: | |
| Advisory fees (Note 4) | | | 3,467,331 | | | | 76,289 | | | | 46,943 | | | | 33,050,023 | | | | 62,751 | | | | 19,078 | | |
| Professional fees | | | 3,163 | | | | 74 | | | | 104 | | | | 34,717 | | | | 92 | | | | 30 | | |
| Trustees fees (Note 8) | | | 15,279 | | | | 410 | | | | 570 | | | | 163,695 | | | | 486 | | | | 150 | | |
| Compliance services fees (Note 4) | | | 3,890 | | | | 97 | | | | 137 | | | | 44,479 | | | | 103 | | | | 43 | | |
Total Gross Expenses before
fees waived and/or reimbursed | | | 3,489,663 | | | | 76,870 | | | | 47,754 | | | | 33,292,914 | | | | 63,432 | | | | 19,301 | | |
| LESS: | |
Expenses waived and/or
reimbursed by Advisor (Note 4) | | | — | | | | — | | | | — | | | | — | | | | (3,892 | ) | | | (1,219 | ) | |
| Total Net Expenses | | | 3,489,663 | | | | 76,870 | | | | 47,754 | | | | 33,292,914 | | | | 59,540 | | | | 18,082 | | |
| Net Investment Income (Loss) | | | 19,691,459 | | | | 451,811 | | | | 659,513 | | | | 189,617,975 | | | | 305,794 | | | | 95,410 | | |
| NET REALIZED GAIN (LOSS) FROM: | |
| Transactions in investment securities | | | 49,352,495 | | | | 453,083 | | | | (486,415 | ) | | | (42,740,907 | ) | | | (24,949 | ) | | | (9,887 | ) | |
| In-kind redemptions of investments | | | 16,884,226 | | | | 3,103,063 | | | | (365,083 | ) | | | 1,342,649,855 | | | | 98,453 | | | | — | | |
| Net realized gain (loss) | | | 66,236,721 | | | | 3,556,146 | | | | (851,498 | ) | | | 1,299,908,948 | | | | 73,504 | | | | (9,887 | ) | |
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION
FROM: | |
| Investments | | | (134,202,663 | ) | | | (4,153,389 | ) | | | (2,211,204 | ) | | | (1,353,335,213 | ) | | | (1,256,219 | ) | | | (128,300 | ) | |
Change in net unrealized
appreciation/depreciation | | | (134,202,663 | ) | | | (4,153,389 | ) | | | (2,211,204 | ) | | | (1,353,335,213 | ) | | | (1,256,219 | ) | | | (128,300 | ) | |
| Net realized and unrealized gain (loss) | | | (67,965,942 | ) | | | (597,243 | ) | | | (3,062,702 | ) | | | (53,426,265 | ) | | | (1,182,715 | ) | | | (138,187 | ) | |
Change in Net Assets Resulting
from Operations | | $ | (48,274,483 | ) | | $ | (145,432 | ) | | $ | (2,403,189 | ) | | $ | 136,191,710 | | | $ | (876,921 | ) | | $ | (42,777 | ) | |
See accompanying notes to the financial statements.
112 :: FOR THE PERIODS ENDED MAY 31, 2022 :: STATEMENTS OF OPERATIONS PROSHARES TRUST
| | | S&P 500®
Ex-Health Care
ETF | | S&P 500®
Ex-Technology
ETF | | S&P Kensho
Cleantech ETF | | S&P Kensho
Smart Factories
ETF | | S&P
MidCap 400®
Dividend
Aristocrats ETF | | S&P
Technology
Dividend
Aristocrats ETF | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | September 29,
2021* through
May 31, 2022 | | September 29,
2021* through
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | |
| INVESTMENT INCOME: | |
| Dividends | | $ | 57,411 | | | $ | 150,737 | | | $ | 6,898 | | | $ | 17,429 | | | $ | 32,576,137 | | | $ | 1,993,262 | | |
| Interest | | | 9 | | | | 13 | | | | 17 | | | | — | | | | 1,712 | | | | 144 | | |
| Securities lending income (Note 2) | | | 28 | | | | 58 | | | | 622 | | | | 138 | | | | 835 | | | | 10,305 | | |
| Foreign withholding tax on income | | | (22 | ) | | | — | | | | — | | | | (1,148 | ) | | | — | | | | — | | |
| Total Investment Income | | | 57,426 | | | | 150,808 | | | | 7,537 | | | | 16,419 | | | | 32,578,684 | | | | 2,003,711 | | |
| EXPENSES: | |
| Advisory fees (Note 4) | | | 9,425 | | | | 20,566 | | | | 14,198 | | | | 12,817 | | | | 4,199,083 | | | | 494,039 | | |
| Professional fees | | | 13 | | | | 28 | | | | 7 | | | | 7 | | | | 3,833 | | | | 392 | | |
| Trustees fees (Note 8) | | | 73 | | | | 133 | | | | 39 | | | | 36 | | | | 18,356 | | | | 1,919 | | |
| Compliance services fees (Note 4) | | | 16 | | | | — | | | | 14 | | | | 13 | | | | 4,826 | | | | 503 | | |
Total Gross Expenses before
fees waived and/or reimbursed | | | 9,527 | | | | 20,727 | | | | 14,258 | | | | 12,873 | | | | 4,226,098 | | | | 496,853 | | |
| LESS: | |
Expenses waived and/or
reimbursed by Advisor (Note 4) | | | (570 | ) | | | (1,406 | ) | | | — | | | | — | | | | — | | | | — | | |
| Total Net Expenses | | | 8,957 | | | | 19,321 | | | | 14,258 | | | | 12,873 | | | | 4,226,098 | | | | 496,853 | | |
| Net Investment Income (Loss) | | | 48,469 | | | | 131,487 | | | | (6,721 | ) | | | 3,546 | | | | 28,352,586 | | | | 1,506,858 | | |
| NET REALIZED GAIN (LOSS) FROM: | |
| Transactions in investment securities | | | 218 | | | | (20,418 | ) | | | (413,937 | ) | | | 73,935 | | | | 30,984,539 | | | | 198,683 | | |
| In-kind redemptions of investments | | | — | | | | 153,801 | | | | 249,412 | | | | (96,563 | ) | | | 4,843,031 | | | | 17,936,536 | | |
| Net realized gain (loss) | | | 218 | | | | 133,383 | | | | (164,525 | ) | | | (22,628 | ) | | | 35,827,570 | | | | 18,135,219 | | |
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION
FROM: | |
| Investments | | | (117,688 | ) | | | (606,064 | ) | | | (683,046 | ) | | | (650,391 | ) | | | (56,746,606 | ) | | | (17,461,563 | ) | |
Change in net unrealized
appreciation/depreciation | | | (117,688 | ) | | | (606,064 | ) | | | (683,046 | ) | | | (650,391 | ) | | | (56,746,606 | ) | | | (17,461,563 | ) | |
| Net realized and unrealized gain (loss) | | | (117,470 | ) | | | (472,681 | ) | | | (847,571 | ) | | | (673,019 | ) | | | (20,919,036 | ) | | | 673,656 | | |
Change in Net Assets Resulting
from Operations | | $ | (69,001 | ) | | $ | (341,194 | ) | | $ | (854,292 | ) | | $ | (669,473 | ) | | $ | 7,433,550 | | | $ | 2,180,514 | | |
* Commencement of investment operations.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF OPERATIONS :: FOR THE PERIODS ENDED MAY 31, 2022 :: 113
| | | Smart
Materials ETF | | Supply Chain
Logistics ETF | |
| | October 26,
2021* through
May 31, 2022 | | April 6, 2022*
through
May 31, 2022 | |
| INVESTMENT INCOME: | |
| Dividends | | $ | 31,353 | | | $ | 13,556 | | |
| Securities lending income (Note 2) | | | 221 | | | | — | | |
| Foreign withholding tax on income | | | (3,020 | ) | | | (1,254 | ) | |
| Total Investment Income | | | 28,554 | | | | 12,302 | | |
| EXPENSES: | |
| Advisory fees (Note 4) | | | 10,919 | | | | 2,426 | | |
| Professional fees | | | 5 | | | | 3 | | |
| Trustees fees (Note 8) | | | 33 | | | | 6 | | |
| Compliance services fees (Note 4) | | | 11 | | | | 2 | | |
| Total Expenses | | | 10,968 | | | | 2,437 | | |
| Net Investment Income (Loss) | | | 17,586 | | | | 9,865 | | |
| NET REALIZED GAIN (LOSS) FROM: | |
| Transactions in investment securities | | | (132,103 | ) | | | (3,204 | ) | |
| In-kind redemptions of investments | | | 8,370 | | | | (14,193 | ) | |
| Foreign currency transactions | | | (1,646 | ) | | | (2,637 | ) | |
| Net realized gain (loss) | | | (125,379 | ) | | | (20,034 | ) | |
| CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION FROM: | |
| Investments | | | (214,987 | ) | | | (2,784 | ) | |
| Foreign currency translations | | | (27 | ) | | | 29 | | |
| Change in net unrealized appreciation/depreciation | | | (215,014 | ) | | | (2,755 | ) | |
| Net realized and unrealized gain (loss) | | | (340,393 | ) | | | (22,789 | ) | |
| Change in Net Assets Resulting from Operations | | $ | (322,807 | ) | | $ | (12,924 | ) | |
* Commencement of investment operations.
See accompanying notes to the financial statements.
114 :: FOR THE PERIODS ENDED MAY 31, 2022 :: STATEMENTS OF OPERATIONS PROSHARES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 115
| | | Big Data
Refiners ETF | | Bitcoin
Strategy ETF(b) | | Decline of the
Retail Store ETF | |
| | September 29,
2021*
through
May 31, 2022 | | October 18,
2021*
through
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (11,367 | ) | | $ | (6,042,371 | ) | | $ | (41,190 | ) | | $ | (132,859 | ) | |
| Net realized gain (loss) | | | 105,295 | | | | (876,876,301 | ) | | | (3,308,481 | ) | | | (28,222,798 | ) | |
| Change in net unrealized appreciation/depreciation | | | (1,530,630 | ) | | | (1,930,310 | ) | | | 3,118,325 | | | | 13,140,753 | | |
| Change in net assets resulting from operations | | | (1,436,702 | ) | | | (884,848,982 | ) | | | (231,346 | ) | | | (15,214,904 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 4,967,334 | | | | 2,376,696,826 | | | | 4,848,694 | | | | 3,215,628 | | |
| Cost of shares redeemed | | | (1,113,216 | ) | | | (667,924,768 | ) | | | (1,961,866 | ) | | | (16,683,476 | ) | |
| Change in net assets resulting from capital transactions | | | 3,854,118 | | | | 1,708,772,058 | | | | 2,886,828 | | | | (13,467,848 | ) | |
| Change in net assets | | | 2,417,416 | | | | 823,923,076 | | | | 2,655,482 | | | | (28,682,752 | ) | |
| NET ASSETS: | |
| Beginning of period | | $ | — | | | $ | — | | | $ | 7,423,941 | | | $ | 36,106,693 | | |
| End of period | | $ | 2,417,416 | | | $ | 823,923,076 | | | $ | 10,079,423 | | | $ | 7,423,941 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | — | | | | — | | | | 450,001 | | | | 1,050,001 | | |
| Issued | | | 100,000 | | | | 68,940,001 | | | | 300,000 | | | | 100,000 | | |
| Issued in-kind | | | 25,001 | | | | — | | | | — | | | | — | | |
| Redeemed | | | — | | | | (27,030,000 | ) | | | (125,000 | ) | | | (700,000 | ) | |
| Redemption in-kind | | | (25,000 | ) | | | — | | | | — | | | | — | | |
| Shares outstanding, end of period | | | 100,001 | | | | 41,910,001 | | | | 625,001 | | | | 450,001 | | |
* 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 10 to the Financial Statements.
(b) Consolidated Statement of Changes in Net Assets.
See accompanying notes to the financial statements.
116 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
| | | DJ Brookfield Global
Infrastructure ETF | | Equities for
Rising Rates ETF | | Global Listed Private Equity ETF | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | 3,429,431 | | | $ | 3,920,881 | | | $ | 750,860 | | | $ | 55,255 | | | $ | 1,003,911 | | | $ | 970,495 | | |
| Net realized gain (loss) | | | 16,069,192 | | | | 3,040,408 | | | | 2,480,890 | | | | 180,763 | | | | 1,096,934 | | | | 562,355 | | |
Change in net unrealized
appreciation/depreciation | | | (2,363,857 | ) | | | 19,411,352 | | | | (714,843 | ) | | | 1,020,284 | | | | (5,274,421 | ) | | | 7,272,464 | | |
Change in net assets resulting
from operations | | | 17,134,766 | | | | 26,372,641 | | | | 2,516,907 | | | | 1,256,302 | | | | (3,173,576 | ) | | | 8,805,314 | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | (4,439,777 | ) | | | (4,543,262 | ) | | | (337,628 | ) | | | (35,971 | ) | | | (2,700,293 | ) | | | (1,367,531 | ) | |
| Total distributions | | | (4,439,777 | ) | | | (4,543,262 | ) | | | (337,628 | ) | | | (35,971 | ) | | | (2,700,293 | ) | | | (1,367,531 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 27,711,864 | | | | 38,824,504 | | | | 108,378,415 | | | | 4,620,083 | | | | 7,753,365 | | | | — | | |
| Cost of shares redeemed | | | (65,084,206 | ) | | | (26,440,295 | ) | | | (12,629,601 | ) | | | — | | | | (8,660,132 | ) | | | (2,729,277 | ) | |
Change in net assets resulting
from capital transactions | | | (37,372,342 | ) | | | 12,384,209 | | | | 95,748,814 | | | | 4,620,083 | | | | (906,767 | ) | | | (2,729,277 | ) | |
| Change in net assets | | | (24,677,353 | ) | | | 34,213,588 | | | | 97,928,093 | | | | 5,840,414 | | | | (6,780,636 | ) | | | 4,708,506 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 177,659,244 | | | $ | 143,445,656 | | | $ | 7,002,472 | | | $ | 1,162,058 | | | $ | 20,974,192 | | | $ | 16,265,686 | | |
| End of period | | $ | 152,981,891 | | | $ | 177,659,244 | | | $ | 104,930,565 | | | $ | 7,002,472 | | | $ | 14,193,556 | | | $ | 20,974,192 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 3,810,001 | | | | 3,530,001 | | | | 140,001 | | | | 40,001 | | | | 550,001 | | | | 630,001 | | |
| Issued | | | — | | | | — | | | | — | | | | — | | | | — | | | | ��� | | |
| Issued in-kind | | | 590,000 | | | | 940,000 | | | | 2,030,000 | | | | 100,000 | | | | 210,000 | | | | — | | |
| Redeemed | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Redemption in-kind | | | (1,350,000 | ) | | | (660,000 | ) | | | (240,000 | ) | | | — | | | | (280,000 | ) | | | (80,000 | ) | |
| Shares outstanding, end of period | | | 3,050,001 | | | | 3,810,001 | | | | 1,930,001 | | | | 140,001 | | | | 480,001 | | | | 550,001 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 117
| | | Hedge Replication ETF | | High Yield-Interest Rate Hedged | | Inflation Expectations ETF | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (256,716 | ) | | $ | (221,981 | ) | | $ | 6,061,848 | | | $ | 3,898,726 | | | $ | 1,143,850 | | | $ | 223,960 | | |
| Net realized gain (loss) | | | 3,540,823 | | | | (988,551 | ) | | | 7,179,775 | | | | 175,937 | | | | 5,655,535 | | | | 668,613 | | |
Change in net unrealized
appreciation/depreciation | | | (7,240,759 | ) | | | 5,498,914 | | | | (12,242,921 | ) | | | 4,957,671 | | | | (2,255,535 | ) | | | 1,608,239 | | |
Change in net assets resulting
from operations | | | (3,956,652 | ) | | | 4,288,382 | | | | 998,702 | | | | 9,032,334 | | | | 4,543,850 | | | | 2,500,812 | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | — | | | | — | | | | (6,219,462 | ) | | | (4,078,079 | ) | | | (1,313,529 | ) | | | (56,814 | ) | |
| Total distributions | | | — | | | | — | | | | (6,219,462 | ) | | | (4,078,079 | ) | | | (1,313,529 | ) | | | (56,814 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 24,709,770 | | | | 14,798,403 | | | | 82,448,025 | | | | 35,957,041 | | | | 37,681,874 | | | | 37,831,159 | | |
| Cost of shares redeemed | | | (20,962,589 | ) | | | (1,869,086 | ) | | | (39,410,448 | ) | | | (9,252,267 | ) | | | (21,873,044 | ) | | | (3,747,088 | ) | |
Change in net assets resulting
from capital transactions | | | 3,747,181 | | | | 12,929,317 | | | | 43,037,577 | | | | 26,704,774 | | | | 15,808,830 | | | | 34,084,071 | | |
| Change in net assets | | | (209,471 | ) | | | 17,217,699 | | | | 37,816,817 | | | | 31,659,029 | | | | 19,039,151 | | | | 36,528,069 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 44,071,328 | | | $ | 26,853,629 | | | $ | 108,019,170 | | | $ | 76,360,141 | | | $ | 44,246,928 | | | $ | 7,718,859 | | |
| End of period | | $ | 43,861,857 | | | $ | 44,071,328 | | | $ | 145,835,987 | | | $ | 108,019,170 | | | $ | 63,286,079 | | | $ | 44,246,928 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 845,000 | | | | 595,000 | | | | 1,725,001 | | | | 1,300,001 | | | | 1,470,001 | | | | 320,001 | | |
| Issued | | | 480,000 | | | | 290,000 | | | | 250,000 | | | | — | | | | 880,000 | | | | 430,000 | | |
| Issued in-kind | | | — | | | | — | | | | 1,075,000 | | | | 575,000 | | | | 290,000 | | | | 850,000 | | |
| Redeemed | | | (150,000 | ) | | | (40,000 | ) | | | — | | | | (50,000 | ) | | | (400,000 | ) | | | (60,000 | ) | |
| Redemption in-kind | | | (260,000 | ) | | | — | | | | (650,000 | ) | | | (100,000 | ) | | | (310,000 | ) | | | (70,000 | ) | |
| Shares outstanding, end of period | | | 915,000 | | | | 845,000 | | | | 2,400,001 | | | | 1,725,001 | | | | 1,930,001 | | | | 1,470,001 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
See accompanying notes to the financial statements.
118 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
| | | Investment Grade-Interest
Rate Hedged | | K-1 Free Crude Oil Strategy ETF(b) | | Large Cap Core Plus | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | 24,029,042 | | | $ | 10,382,805 | | | $ | (558,573 | ) | | $ | (504,527 | ) | | $ | 4,782,186 | | | $ | 4,778,492 | | |
| Net realized gain (loss) | | | 44,718,698 | | | | 51,847,323 | | | | 30,959,766 | | | | 58,784,766 | | | | 54,124,095 | | | | 37,405,665 | | |
Change in net unrealized
appreciation/depreciation | | | (113,702,574 | ) | | | (20,124,053 | ) | | | 17,064,949 | | | | (19,857,293 | ) | | | (41,233,804 | ) | | | 102,776,896 | | |
Change in net assets resulting
from operations | | | (44,954,834 | ) | | | 42,106,075 | | | | 47,466,142 | | | | 38,422,946 | | | | 17,672,477 | | | | 144,961,053 | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | (23,881,727 | ) | | | (9,567,802 | ) | | | (40,509,974 | ) | | | — | | | | (4,447,277 | ) | | | (5,069,437 | ) | |
| Total distributions | | | (23,881,727 | ) | | | (9,567,802 | ) | | | (40,509,974 | ) | | | — | | | | (4,447,277 | ) | | | (5,069,437 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 461,774,370 | | | | 572,021,423 | | | | 83,663,007 | | | | 103,977,191 | | | | 24,386,474 | | | | 29,139,341 | | |
| Cost of shares redeemed | | | (452,196,117 | ) | | | (115,171,760 | ) | | | (92,689,118 | ) | | | (114,607,200 | ) | | | (44,142,043 | ) | | | (99,467,099 | ) | |
Change in net assets resulting
from capital transactions | | | 9,578,253 | | | | 456,849,663 | | | | (9,026,111 | ) | | | (10,630,009 | ) | | | (19,755,569 | ) | | | (70,327,758 | ) | |
| Change in net assets | | | (59,258,308 | ) | | | 489,387,936 | | | | (2,069,943 | ) | | | 27,792,937 | | | | (6,530,369 | ) | | | 69,563,858 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 724,382,773 | | | $ | 234,994,837 | | | $ | 103,884,372 | | | $ | 76,091,435 | | | $ | 481,903,590 | | | $ | 412,339,732 | | |
| End of period | | $ | 665,124,465 | | | $ | 724,382,773 | | | $ | 101,814,429 | | | $ | 103,884,372 | | | $ | 475,373,221 | | | $ | 481,903,590 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 9,500,001 | | | | 3,375,001 | | | | 1,759,034 | | | | 2,259,034 | | | | 9,940,000 | (c) | | | 11,760,000 | (c) | |
| Issued | | | 25,000 | | | | 1,225,000 | | | | 1,550,000 | | | | 2,500,000 | | | | 50,000 | (c) | | | — | (c) | |
| Issued in-kind | | | 6,100,000 | | | | 6,450,000 | | | | — | | | | — | | | | 410,000 | (c) | | | 620,000 | (c) | |
| Redeemed | | | (375,000 | ) | | | (50,000 | ) | | | (1,575,000 | ) | | | (3,000,000 | ) | | | — | (c) | | | — | (c) | |
| Redemption in-kind | | | (5,900,000 | ) | | | (1,500,000 | ) | | | — | | | | — | | | | (870,000 | )(c) | | | (2,440,000 | )(c) | |
| Shares outstanding, end of period | | | 9,350,001 | | | | 9,500,001 | | | | 1,734,034 | | | | 1,759,034 | | | | 9,530,000 | (c) | | | 9,940,000 | (c) | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(b) Consolidated Statement of Changes in Net Assets.
(c) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective January 13, 2022.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 119
| | | Long Online/Short
Stores ETF | |
Merger ETF | |
Metaverse ETF | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | March 15,
2022*
through
May 31, 2022 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | 73,214 | | | $ | 2,915,793 | | | $ | 75,018 | | | $ | 113,968 | | | $ | (4,575 | ) | |
| Net realized gain (loss) | | | (469,948 | ) | | | 32,410,646 | | | | (3,923,207 | ) | | | 1,132,701 | | | | (68,730 | ) | |
| Change in net unrealized appreciation/depreciation | | | (34,397,557 | ) | | | 3,124,549 | | | | 3,044,729 | | | | 275,097 | | | | (926,814 | ) | |
| Change in net assets resulting from operations | | | (34,794,291 | ) | | | 38,450,988 | | | | (803,460 | ) | | | 1,521,766 | | | | (1,000,119 | ) | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | — | | | | (3,324,258 | ) | | | (196,076 | ) | | | (86,898 | ) | | | — | | |
| Total distributions | | | — | | | | (3,324,258 | ) | | | (196,076 | ) | | | (86,898 | ) | | | — | | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 809,446 | | | | 49,825,022 | | | | 29,568,109 | | | | 34,893,532 | | | | 8,821,673 | | |
| Cost of shares redeemed | | | (44,701,406 | ) | | | (167,617,336 | ) | | | (1,015,874 | ) | | | (992,691 | ) | | | — | | |
| Change in net assets resulting from capital transactions | | | (43,891,960 | ) | | | (117,792,314 | ) | | | 28,552,235 | | | | 33,900,841 | | | | 8,821,673 | | |
| Change in net assets | | | (78,686,251 | ) | | | (82,665,584 | ) | | | 27,552,699 | | | | 35,335,709 | | | | 7,821,554 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 100,466,846 | | | $ | 183,132,430 | | | $ | 42,862,865 | | | $ | 7,527,156 | | | $ | — | | |
| End of period | | $ | 21,780,595 | | | $ | 100,466,846 | | | $ | 70,415,564 | | | $ | 42,862,865 | | | $ | 7,821,554 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 1,275,001 | | | | 2,665,001 | | | | 1,050,001 | | | | 200,001 | | | | — | | |
| Issued | | | — | | | | — | | | | — | | | | — | | | | 20,001 | | |
| Issued in-kind | | | 10,000 | | | | 580,000 | | | | 725,000 | | | | 875,000 | | | | 200,000 | | |
| Redeemed | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Redemption in-kind | | | (700,000 | ) | | | (1,970,000 | ) | | | (25,000 | ) | | | (25,000 | ) | | | — | | |
| Shares outstanding, end of period | | | 585,001 | | | | 1,275,001 | | | | 1,750,001 | | | | 1,050,001 | | | | 220,001 | | |
* 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 10 to the Financial Statements.
See accompanying notes to the financial statements.
120 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
| | | MSCI EAFE Dividend
Growers ETF | | MSCI Emerging Markets
Dividend Growers ETF | | MSCI Europe Dividend
Growers ETF | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | 2,091,241 | | | $ | 2,411,476 | | | $ | 415,598 | | | $ | 704,573 | | | $ | 212,754 | | | $ | 158,498 | | |
| Net realized gain (loss) | | | 3,629,092 | | | | 8,311,132 | | | | 44,366 | | | | 76,451 | | | | 22,413 | | | | 482,614 | | |
Change in net unrealized
appreciation/depreciation | | | (28,589,261 | ) | | | 21,696,783 | | | | (4,096,140 | ) | | | 6,869,127 | | | | (2,418,459 | ) | | | 1,762,059 | | |
Change in net assets resulting
from operations | | | (22,868,928 | ) | | | 32,419,391 | | | | (3,636,176 | ) | | | 7,650,151 | | | | (2,183,292 | ) | | | 2,403,171 | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | (4,086,070 | ) | | | (1,964,651 | ) | | | (466,437 | ) | | | (753,195 | ) | | | (291,008 | ) | | | (103,844 | ) | |
| Total distributions | | | (4,086,070 | ) | | | (1,964,651 | ) | | | (466,437 | ) | | | (753,195 | ) | | | (291,008 | ) | | | (103,844 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 6,860,550 | | | | 1,184,806 | | | | — | | | | — | | | | 6,654,416 | | | | — | | |
| Cost of shares redeemed | | | (11,152,753 | ) | | | (9,845,361 | ) | | | (1,110,855 | ) | | | (6,424,135 | ) | | | — | | | | (425,921 | ) | |
Change in net assets resulting
from capital transactions | | | (4,292,203 | ) | | | (8,660,555 | ) | | | (1,110,855 | ) | | | (6,424,135 | ) | | | 6,654,416 | | | | (425,921 | ) | |
| Change in net assets | | | (31,247,201 | ) | | | 21,794,185 | | | | (5,213,468 | ) | | | 472,821 | | | | 4,180,116 | | | | 1,873,406 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 138,649,295 | | | $ | 116,855,110 | | | $ | 22,637,328 | | | $ | 22,164,507 | | | $ | 9,559,056 | | | $ | 7,685,650 | | |
| End of period | | $ | 107,402,094 | | | $ | 138,649,295 | | | $ | 17,423,860 | | | $ | 22,637,328 | | | $ | 13,739,172 | | | $ | 9,559,056 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 3,010,001 | | | | 3,230,001 | | | | 365,001 | | | | 485,001 | | | | 185,001 | | | | 195,001 | | |
| Issued | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Issued in-kind | | | 160,000 | | | | 30,000 | | | | — | | | | — | | | | 130,000 | | | | — | | |
| Redeemed | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Redemption in-kind | | | (290,000 | ) | | | (250,000 | ) | | | (20,000 | ) | | | (120,000 | ) | | | — | | | | (10,000 | ) | |
| Shares outstanding, end of period | | | 2,880,001 | | | | 3,010,001 | | | | 345,001 | | | | 365,001 | | | | 315,001 | | | | 185,001 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 121
| | | MSCI Transformational
Changes ETF | | Nanotechnology
ETF | | Nasdaq-100 Dorsey
Wright Momentum ETF | |
| |
Year Ended
May 31, 2022 | | October 14,
2020*
through
May 31, 2021 | | October 26,
2021*
through
May 31, 2022 | | Year Ended
May 31, 2022 | | May 18,
2021*
through
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | 130,204 | | | $ | 80,206 | | | $ | 3,721 | | | $ | 6,900 | | | $ | 4,285 | | |
| Net realized gain (loss) | | | (15,886 | ) | | | (15,601 | ) | | | 15,907 | | | | (4,195,176 | ) | | | — | | |
| Change in net unrealized appreciation/depreciation | | | (7,056,364 | ) | | | 2,341,604 | | | | (483,756 | ) | | | (1,274,385 | ) | | | 203,504 | | |
| Change in net assets resulting from operations | | | (6,942,046 | ) | | | 2,406,209 | | | | (464,128 | ) | | | (5,462,661 | ) | | | 207,789 | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | (116,676 | ) | | | (8,680 | ) | | | (3,067 | ) | | | (8,273 | ) | | | — | | |
| Total distributions | | | (116,676 | ) | | | (8,680 | ) | | | (3,067 | ) | | | (8,273 | ) | | | — | | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 18,696,634 | | | | 44,649,526 | | | | 6,077,885 | | | | 28,611,153 | | | | 4,000,040 | | |
| Cost of shares redeemed | | | (29,008,541 | ) | | | — | | | | (3,063,872 | ) | | | (8,871,264 | ) | | | — | | |
| Change in net assets resulting from capital transactions | | | (10,311,907 | ) | | | 44,649,526 | | | | 3,014,013 | | | | 19,739,889 | | | | 4,000,040 | | |
| Change in net assets | | | (17,370,629 | ) | | | 47,047,055 | | | | 2,546,818 | | | | 14,268,955 | | | | 4,207,829 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 47,047,055 | | | $ | — | | | $ | — | | | $ | 4,207,829 | | | $ | — | | |
| End of period | | $ | 29,676,426 | | | $ | 47,047,055 | | | $ | 2,546,818 | | | $ | 18,476,784 | | | $ | 4,207,829 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 1,075,001 | | | | — | | | | — | | | | 100,001 | | | | — | | |
| Issued | | | — | | | | 275,001 | | | | 100,001 | | | | 80,000 | | | | 100,001 | | |
| Issued in-kind | | | 425,000 | | | | 800,000 | | | | 50,000 | | | | 580,000 | | | | — | | |
| Redeemed | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Redemption in-kind | | | (650,000 | ) | | | — | | | | (75,000 | ) | | | (220,000 | ) | | | — | | |
| Shares outstanding, end of period | | | 850,001 | | | | 1,075,001 | | | | 75,001 | | | | 540,001 | | | | 100,001 | | |
* 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 10 to the Financial Statements.
See accompanying notes to the financial statements.
122 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
| | | On-Demand
ETF | | Online Retail ETF | |
Pet Care ETF | |
| | October 26,
2021*
through
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (4,906 | ) | | $ | 1,974,851 | | | $ | 6,202,291 | | | $ | 676,586 | | | $ | 419,304 | | |
| Net realized gain (loss) | | | (826,863 | ) | | | (70,267,059 | ) | | | 97,743,437 | | | | 61,600,379 | | | | 9,950,328 | | |
| Change in net unrealized appreciation/depreciation | | | (952,494 | ) | | | (391,990,278 | ) | | | 42,034,554 | | | | (142,314,842 | ) | | | 60,167,712 | | |
| Change in net assets resulting from operations | | | (1,784,263 | ) | | | (460,282,486 | ) | | | 145,980,282 | | | | (80,037,877 | ) | | | 70,537,344 | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | (665 | ) | | | — | | | | (8,478,651 | ) | | | (618,071 | ) | | | (288,132 | ) | |
| Total distributions | | | (665 | ) | | | — | | | | (8,478,651 | ) | | | (618,071 | ) | | | (288,132 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 4,990,402 | | | | 245,381,275 | | | | 1,014,209,600 | | | | 299,440,093 | | | | 184,055,796 | | |
| Cost of shares redeemed | | | (2,118,848 | ) | | | (516,257,557 | ) | | | (230,965,847 | ) | | | (348,661,164 | ) | | | (11,314,544 | ) | |
| Change in net assets resulting from capital transactions | | | 2,871,554 | | | | (270,876,282 | ) | | | 783,243,753 | | | | (49,221,071 | ) | | | 172,741,252 | | |
| Change in net assets | | | 1,086,626 | | | | (731,158,768 | ) | | | 920,745,384 | | | | (129,877,019 | ) | | | 242,990,464 | | |
| NET ASSETS: | |
| Beginning of period | | $ | — | | | $ | 1,052,261,623 | | | $ | 131,516,239 | | | $ | 303,265,279 | | | $ | 60,274,815 | | |
| End of period | | $ | 1,086,626 | | | $ | 321,102,855 | | | $ | 1,052,261,623 | | | $ | 173,388,260 | | | $ | 303,265,279 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | — | | | | 13,900,001 | | | | 2,780,001 | | | | 3,900,001 | | | | 1,275,001 | | |
| Issued | | | 100,001 | | | | 1,300,000 | | | | 780,000 | | | | 200,000 | | | | — | | |
| Issued in-kind | | | 25,000 | | | | 2,510,000 | | | | 13,580,000 | | | | 3,525,000 | | | | 2,800,000 | | |
| Redeemed | | | — | | | | — | | | | — | | | | (200,000 | ) | | | — | | |
| Redemption in-kind | | | (75,000 | ) | | | (8,500,000 | ) | | | (3,240,000 | ) | | | (4,375,000 | ) | | | (175,000 | ) | |
| Shares outstanding, end of period | | | 50,001 | | | | 9,210,001 | | | | 13,900,001 | | | | 3,050,001 | | | | 3,900,001 | | |
* 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 10 to the Financial Statements.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 123
| | | Russell 2000
Dividend Growers ETF | | Russell U.S.
Dividend Growers ETF | |
S&P 500® Bond ETF | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | 19,691,459 | | | $ | 15,634,397 | | | $ | 451,811 | | | $ | 565,952 | | | $ | 659,513 | | | $ | 793,950 | | |
| Net realized gain (loss) | | | 66,236,721 | | | | (62,327,876 | ) | | | 3,556,146 | | | | 286,636 | | | | (851,498 | ) | | | 2,152,891 | | |
Change in net unrealized
appreciation/depreciation | | | (134,202,663 | ) | | | 272,134,910 | | | | (4,153,389 | ) | | | 6,815,049 | | | | (2,211,204 | ) | | | (2,302,903 | ) | |
Change in net assets resulting
from operations | | | (48,274,483 | ) | | | 225,441,431 | | | | (145,432 | ) | | | 7,667,637 | | | | (2,403,189 | ) | | | 643,938 | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | (19,248,109 | ) | | | (14,203,459 | ) | | | (498,477 | ) | | | (569,787 | ) | | | (682,694 | ) | | | (823,749 | ) | |
| Total distributions | | | (19,248,109 | ) | | | (14,203,459 | ) | | | (498,477 | ) | | | (569,787 | ) | | | (682,694 | ) | | | (823,749 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 104,984,941 | | | | 196,704,619 | | | | 3,801,553 | | | | 6,578,275 | | | | 4,592,619 | | | | 36,871,072 | | |
| Cost of shares redeemed | | | (96,839,152 | ) | | | (72,608,041 | ) | | | (17,727,696 | ) | | | (6,804,140 | ) | | | (17,875,220 | ) | | | (30,013,661 | ) | |
Change in net assets resulting
from capital transactions | | | 8,145,789 | | | | 124,096,578 | | | | (13,926,143 | ) | | | (225,865 | ) | | | (13,282,601 | ) | | | 6,857,411 | | |
| Change in net assets | | | (59,376,803 | ) | | | 335,334,550 | | | | (14,570,052 | ) | | | 6,871,985 | | | | (16,368,484 | ) | | | 6,677,600 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 924,289,740 | | | $ | 588,955,190 | | | $ | 28,262,196 | | | $ | 21,390,211 | | | $ | 36,080,867 | | | $ | 29,403,267 | | |
| End of period | | $ | 864,912,937 | | | $ | 924,289,740 | | | $ | 13,692,144 | | | $ | 28,262,196 | | | $ | 19,712,383 | | | $ | 36,080,867 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 13,790,001 | | | | 11,860,001 | | | | 580,001 | | | | 590,001 | | | | 400,001 | | | | 325,001 | | |
| Issued | | | — | | | | 20,000 | | | | — | | | | — | | | | — | | | | — | | |
| Issued in-kind | | | 1,620,000 | | | | 3,300,000 | | | | 80,000 | | | | 170,000 | | | | 50,000 | | | | 400,000 | | |
| Redeemed | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Redemption in-kind | | | (1,550,000 | ) | | | (1,390,000 | ) | | | (370,000 | ) | | | (180,000 | ) | | | (200,000 | ) | | | (325,000 | ) | |
| Shares outstanding, end of period | | | 13,860,001 | | | | 13,790,001 | | | | 290,001 | | | | 580,001 | | | | 250,001 | | | | 400,001 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
See accompanying notes to the financial statements.
124 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
| | | S&P 500® Dividend
Aristocrats ETF | | S&P 500® Ex-Energy ETF | |
S&P 500® Ex-Financials ETF | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | 189,617,975 | | | $ | 155,886,179 | | | $ | 305,794 | | | $ | 263,637 | | | $ | 95,410 | | | $ | 72,140 | | |
| Net realized gain (loss) | | | 1,299,908,948 | | | | 359,452,373 | | | | 73,504 | | | | 7,483,329 | | | | (9,887 | ) | | | 2,194,533 | | |
Change in net unrealized
appreciation/depreciation | | | (1,353,335,213 | ) | | | 1,853,926,371 | | | | (1,256,219 | ) | | | (251,562 | ) | | | (128,300 | ) | | | (391,246 | ) | |
Change in net assets resulting
from operations | | | 136,191,710 | | | | 2,369,264,923 | | | | (876,921 | ) | | | 7,495,404 | | | | (42,777 | ) | | | 1,875,427 | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | (187,521,760 | ) | | | (151,829,765 | ) | | | (297,297 | ) | | | (253,539 | ) | | | (89,363 | ) | | | (64,208 | ) | |
| Total distributions | | | (187,521,760 | ) | | | (151,829,765 | ) | | | (297,297 | ) | | | (253,539 | ) | | | (89,363 | ) | | | (64,208 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 5,603,396,650 | | | | 2,014,967,011 | | | | 2,971,162 | | | | 42,076,428 | | | | 923,101 | | | | 12,653,759 | | |
| Cost of shares redeemed | | | (3,947,780,684 | ) | | | (1,348,307,450 | ) | | | (951,970 | ) | | | (41,085,768 | ) | | | ��� | | | | (11,199,668 | ) | |
Change in net assets resulting
from capital transactions | | | 1,655,615,966 | | | | 666,659,561 | | | | 2,019,192 | | | | 990,660 | | | | 923,101 | | | | 1,454,091 | | |
| Change in net assets | | | 1,604,285,916 | | | | 2,884,094,719 | | | | 844,974 | | | | 8,232,525 | | | | 790,961 | | | | 3,265,310 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 8,639,243,691 | | | $ | 5,755,148,972 | | | $ | 25,046,847 | | | $ | 16,814,322 | | | $ | 7,488,365 | | | $ | 4,223,055 | | |
| End of period | | $ | 10,243,529,607 | | | $ | 8,639,243,691 | | | $ | 25,891,821 | | | $ | 25,046,847 | | | $ | 8,279,326 | | | $ | 7,488,365 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 93,700,001 | | | | 85,900,001 | | | | 275,001 | | | | 255,001 | | | | 85,001 | | | | 65,001 | | |
| Issued | | | 10,500,000 | | | | 14,100,000 | | | | — | | | | — | | | | — | | | | — | | |
| Issued in-kind | | | 50,400,000 | | | | 12,450,000 | | | | 30,000 | | | | 490,000 | | | | 10,000 | | | | 150,000 | | |
| Redeemed | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Redemption in-kind | | | (43,200,000 | ) | | | (18,750,000 | ) | | | (10,000 | ) | | | (470,000 | ) | | | — | | | | (130,000 | ) | |
| Shares outstanding, end of period | | | 111,400,001 | | | | 93,700,001 | | | | 295,001 | | | | 275,001 | | | | 95,001 | | | | 85,001 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 125
| | | S&P 500® Ex-Health Care ETF | |
S&P 500® Ex-Technology ETF | | S&P Kensho
Cleantech
ETF | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | September 29,
2021*
through
May 31, 2022 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | 48,469 | | | $ | 34,634 | | | $ | 131,487 | | | $ | 73,536 | | | $ | (6,721 | ) | |
| Net realized gain (loss) | | | 218 | | | | 1,214,088 | | | | 133,383 | | | | 1,349,226 | | | | (164,525 | ) | |
| Change in net unrealized appreciation/depreciation | | | (117,688 | ) | | | (94,632 | ) | | | (606,064 | ) | | | 232,050 | | | | (683,046 | ) | |
| Change in net assets resulting from operations | | | (69,001 | ) | | | 1,154,090 | | | | (341,194 | ) | | | 1,654,812 | | | | (854,292 | ) | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | (51,608 | ) | | | (27,558 | ) | | | (121,158 | ) | | | (65,132 | ) | | | — | | |
| Total distributions | | | (51,608 | ) | | | (27,558 | ) | | | (121,158 | ) | | | (65,132 | ) | | | — | | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | — | | | | 27,126,068 | | | | 4,653,007 | | | | 23,960,378 | | | | 6,060,722 | | |
| Cost of shares redeemed | | | — | | | | (26,467,721 | ) | | | (2,223,007 | ) | | | (20,876,976 | ) | | | (2,150,650 | ) | |
| Change in net assets resulting from capital transactions | | | — | | | | 658,347 | | | | 2,430,000 | | | | 3,083,402 | | | | 3,910,072 | | |
| Change in net assets | | | (120,609 | ) | | | 1,784,879 | | | | 1,967,648 | | | | 4,673,082 | | | | 3,055,780 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 3,985,446 | | | $ | 2,200,567 | | | $ | 7,371,867 | | | $ | 2,698,785 | | | $ | — | | |
| End of period | | $ | 3,864,837 | | | $ | 3,985,446 | | | $ | 9,339,515 | | | $ | 7,371,867 | | | $ | 3,055,780 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 45,001 | | | | 35,001 | | | | 100,001 | | | | 50,001 | | | | — | | |
| Issued | | | — | | | | — | | | | — | | | | — | | | | 100,000 | | |
| Issued in-kind | | | — | | | | 320,000 | | | | 60,000 | | | | 350,000 | | | | 50,001 | | |
| Redeemed | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Redemption in-kind | | | — | | | | (310,000 | ) | | | (30,000 | ) | | | (300,000 | ) | | | (50,000 | ) | |
| Shares outstanding, end of period | | | 45,001 | | | | 45,001 | | | | 130,001 | | | | 100,001 | | | | 100,001 | | |
* 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 10 to the Financial Statements.
See accompanying notes to the financial statements.
126 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
| | | S&P Kensho
Smart
Factories ETF | | S&P MidCap 400® Dividend
Aristocrats ETF | | S&P Technology Dividend
Aristocrats ETF | |
| | September 29,
2021*
through
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | 3,546 | | | $ | 28,352,586 | | | $ | 20,139,271 | | | $ | 1,506,858 | | | $ | 1,070,668 | | |
| Net realized gain (loss) | | | (22,628 | ) | | | 35,827,570 | | | | 34,483,873 | | | | 18,135,219 | | | | 11,795,039 | | |
| Change in net unrealized appreciation/depreciation | | | (650,391 | ) | | | (56,746,606 | ) | | | 242,504,177 | | | | (17,461,563 | ) | | | 16,634,099 | | |
| Change in net assets resulting from operations | | | (669,473 | ) | | | 7,433,550 | | | | 297,127,321 | | | | 2,180,514 | | | | 29,499,806 | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | — | | | | (27,600,412 | ) | | | (19,199,867 | ) | | | (1,390,073 | ) | | | (955,974 | ) | |
| Total distributions | | | — | | | | (27,600,412 | ) | | | (19,199,867 | ) | | | (1,390,073 | ) | | | (955,974 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 4,000,440 | | | | 101,242,394 | | | | 227,841,829 | | | | 78,827,324 | | | | 75,613,972 | | |
| Cost of shares redeemed | | | (908,074 | ) | | | (16,369,370 | ) | | | (145,655,187 | ) | | | (67,791,298 | ) | | | (46,994,940 | ) | |
| Change in net assets resulting from capital transactions | | | 3,092,366 | | | | 84,873,024 | | | | 82,186,642 | | | | 11,036,026 | | | | 28,619,032 | | |
| Change in net assets | | | 2,422,893 | | | | 64,706,162 | | | | 360,114,096 | | | | 11,826,467 | | | | 57,162,864 | | |
| NET ASSETS: | |
| Beginning of period | | $ | — | | | $ | 1,040,520,128 | | | $ | 680,406,032 | | | $ | 97,733,643 | | | $ | 40,570,779 | | |
| End of period | | $ | 2,422,893 | | | $ | 1,105,226,290 | | | $ | 1,040,520,128 | | | $ | 109,560,110 | | | $ | 97,733,643 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | — | | | | 14,180,001 | | | | 12,950,001 | | | | 1,680,001 | | | | 1,010,001 | | |
| Issued | | | 100,001 | | | | — | | | | 1,820,000 | | | | 200,000 | | | | 850,000 | | |
| Issued in-kind | | | — | | | | 1,410,000 | | | | 2,000,000 | | | | 1,080,000 | | | | 860,000 | | |
| Redeemed | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Redemption in-kind | | | (25,000 | ) | | | (230,000 | ) | | | (2,590,000 | ) | | | (1,100,000 | ) | | | (1,040,000 | ) | |
| Shares outstanding, end of period | | | 75,001 | | | | 15,360,001 | | | | 14,180,001 | | | | 1,860,001 | | | | 1,680,001 | | |
* 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 10 to the Financial Statements.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 127
| | | Smart Materials
ETF | | Supply Chain
Logistics ETF | |
| | October 26,
2021*
through
May 31, 2022 | | April 6,
2022*
through
May 31, 2022 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | 17,586 | | | $ | 9,865 | | |
| Net realized gain (loss) | | | (125,379 | ) | | | (20,034 | ) | |
| Change in net unrealized appreciation/depreciation | | | (215,014 | ) | | | (2,755 | ) | |
| Change in net assets resulting from operations | | | (322,807 | ) | | | (12,924 | ) | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | (13,680 | ) | | | — | | |
| Total distributions | | | (13,680 | ) | | | — | | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 6,974,746 | | | | 4,003,953 | | |
| Cost of shares redeemed | | | (4,870,229 | ) | | | (1,985,285 | ) | |
| Change in net assets resulting from capital transactions | | | 2,104,517 | | | | 2,018,668 | | |
| Change in net assets | | | 1,768,030 | | | | 2,005,744 | | |
| NET ASSETS: | |
| Beginning of period | | $ | — | | | $ | — | | |
| End of period | | $ | 1,768,030 | | | $ | 2,005,744 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | — | | | | — | | |
| Issued | | | 100,000 | | | | 100,001 | | |
| Issued in-kind | | | 75,001 | | | | — | | |
| Redeemed | | | — | | | | — | | |
| Redemption in-kind | | | (125,000 | ) | | | (50,000 | ) | |
| Shares outstanding, end of period | | | 50,001 | | | | 50,001 | | |
* 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 10 to the Financial Statements.
See accompanying notes to the financial statements.
128 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
STATEMENT OF CASH FLOW
PROSHARES TRUST CONSOLIDATED STATEMENT OF CASH FLOW :: MAY 31, 2022 :: 129
| | | Bitcoin Strategy
ETF | |
| | October 18,
2021*
through
May 31, 2022 | |
| CASH FLOWS FROM (USED IN) OPERATING ACTIVITIES: | |
| Net increase (decrease) in net assets resulting from operations | | $ | (884,848,982 | ) | |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to
net cash provided by (used in) operating activities: | |
| (Purchases) sales of short-term investments, net | | | (299,395,595 | ) | |
| Realized (gain) loss on investments in securities | | | 546,159 | | |
| Change in unrealized (appreciation) depreciation on investments in securities | | | 24,538 | | |
| Amortization (accretion) of bond premium (discount) | | | (496,664 | ) | |
| (Increases) decreases in operating assets: | |
| Receivable on variation margin on futures contracts | | | (39,726,874 | ) | |
| Increases (decreases) in operating liabilities: | |
| Advisory fees payable | | | 260,802 | | |
| Trustees fees payable | | | 6,741 | | |
| Compliance services fees payable | | | 3,873 | | |
| Professional fees payable | | | 1,259 | | |
| Payable on variation margin on futures contracts | | | 947,532 | | |
| Other liabilities | | | 899 | | |
| Net cash provided by (used in) operating activities | | $ | (1,222,676,312 | ) | |
| CASH FLOWS FROM (USED IN) FINANCING ACTIVITIES | |
| Proceeds from reverse repurchase agreements | | | 137,361,337,362 | | |
| Repayments of reverse repurchase agreements | | | (137,361,337,362 | ) | |
| Proceeds from shares issued | | | 2,357,035,316 | | |
| Payments on shares redeemed | | | (664,344,694 | ) | |
| Net cash provided by (used in) financing activities | | $ | 1,692,690,622 | | |
| Net change in cash and cash denominated in foreign currencies | | | 470,014,310 | | |
| Cash, beginning of period | | | — | | |
| Cash, end of period** | | $ | 470,014,310 | | |
* Commencement of investment operations.
** Cash amount reported as Cash in the Statement of Assets & Liabilities and represents Cash ($193,098,289) and Segregated cash balances with brokers for futures contracts ($276,916,021) but does not include short-term investments.
See accompanying notes to the financial statements.
130 :: May 31, 2022 :: CONSOLIDATED STATEMENT OF CASH FLOW PROSHARES TRUST
FINANCIAL HIGHLIGHTS
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 131
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Big Data Refiners ETF | |
September 29,
2021* through
May 31, 2022 | | $ | 40.00 | | | $ | (0.12 | ) | | $ | (15.71 | ) | | $ | — | | | $ | (15.83 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 24.17 | | | | (39.57 | )% | | | (39.43 | )% | | | 0.58 | % | | | 0.58 | % | | | (0.51 | )% | | | (0.51 | )% | | $ | 2,417 | | | | 25 | % | |
| Bitcoin Strategy ETF† | |
October 18, 2021*
through
May 31, 2022 | | | 40.00 | | | | (0.15 | ) | | | (20.20 | ) | | | 0.01 | | | | (20.34 | ) | | | — | | | | — | | | | — | | | | — | | | | 19.66 | | | | (50.85 | ) | | | (50.93 | ) | | | 0.96 | | | | 0.96 | | | | (0.88 | ) | | | (0.88 | ) | | | 823,923 | | | | 232 | | |
| Decline of the Retail Store ETF | |
Year ended
May 31, 2022 | | | 16.50 | | | | (0.09 | ) | | | (0.28 | ) | | | — | | | | (0.37 | ) | | | — | | | | — | | | | — | | | | — | | | | 16.13 | | | | (2.25 | ) | | | (2.12 | ) | | | 0.65 | | | | 0.65 | | | | (0.58 | ) | | | (0.58 | ) | | | 10,079 | | | | — | | |
Year ended
May 31, 2021 | | | 34.39 | | | | (0.16 | ) | | | (17.73 | ) | | | — | | | | (17.89 | ) | | | — | | | | — | | | | — | | | | — | | | | 16.50 | | | | (52.02 | ) | | | (51.88 | ) | | | 0.65 | | | | 0.65 | | | | (0.64 | ) | | | (0.64 | ) | | | 7,424 | | | | — | | |
Year ended
May 31, 2020 | | | 39.55 | | | | 0.03 | | | | (4.96 | ) | | | — | | | | (4.93 | ) | | | (0.21 | ) | | | — | | | | (0.02 | )# | | | (0.23 | ) | | | 34.39 | | | | (12.50 | ) | | | (12.75 | ) | | | 0.66 | | | | 0.66 | | | | 0.07 | | | | 0.07 | | | | 36,107 | | | | — | | |
Year ended
May 31, 2019 | | | 33.98 | | | | 0.25 | | | | 5.57 | (i) | | | — | | | | 5.82 | | | | (0.25 | ) | | | — | | | | — | | | | (0.25 | ) | | | 39.55 | | | | 17.29 | | | | 17.27 | | | | 0.65 | | | | 0.65 | | | | 0.77 | | | | 0.77 | | | | 5,933 | | | | — | | |
November 14,
2017* through
May 31, 2018 | | | 40.00 | | | | 0.12 | | | | (6.09 | ) | | | — | | | | (5.97 | ) | | | (0.05 | ) | | | — | | | | — | | | | (0.05 | ) | | | 33.98 | | | | (14.95 | ) | | | (14.94 | ) | | | 0.65 | | | | 0.65 | | | | 0.62 | | | | 0.62 | | | | 22,933 | | | | — | | |
* Commencement of investment operations.
† Consolidated Financial Highlights.
See accompanying notes to the financial statements.
132 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| DJ Brookfield Global Infrastructure ETF | |
Year ended
May 31, 2022 | | $ | 46.63 | | | $ | 1.16 | | | $ | 3.94 | | | $ | — | | | $ | 5.10 | | | $ | (1.57 | ) | | $ | — | | | $ | — | | | $ | (1.57 | ) | | $ | 50.16 | | | | 11.21 | % | | | 11.36 | % | | | 0.45 | % | | | 0.45 | % | | | 2.45 | % | | | 2.45 | % | | $ | 152,982 | | | | 9 | % | |
Year ended
May 31, 2021 | | | 40.64 | | | | 1.07 | | | | 6.19 | | | | — | | | | 7.26 | | | | (1.27 | ) | | | — | | | | — | | | | (1.27 | ) | | | 46.63 | | | | 18.50 | | | | 18.44 | | | | 0.45 | | | | 0.45 | | | | 2.58 | | | | 2.58 | | | | 177,659 | | | | 10 | | |
Year ended
May 31, 2020 | | | 43.97 | | | | 0.97 | | | | (2.91 | ) | | | — | | | | (1.94 | ) | | | (1.39 | ) | | | — | | | | — | | | | (1.39 | ) | | | 40.64 | | | | (4.55 | ) | | | (4.74 | ) | | | 0.46 | | | | 0.46 | | | | 2.24 | | | | 2.24 | | | | 143,446 | | | | 8 | | |
Year ended
May 31, 2019 | | | 41.45 | | | | 1.19 | | | | 2.75 | | | | — | | | | 3.94 | | | | (1.42 | ) | | | — | | | | — | | | | (1.42 | ) | | | 43.97 | | | | 9.80 | | | | 9.82 | | | | 0.45 | | | | 0.45 | | | | 2.81 | | | | 2.81 | | | | 99,368 | | | | 14 | | |
Year ended
May 31, 2018 | | | 43.14 | | | | 1.09 | | | | (1.35 | ) | | | — | | | | (0.26 | ) | | | (1.43 | ) | | | — | | | | — | | | | (1.43 | ) | | | 41.45 | | | | (0.62 | ) | | | (0.47 | ) | | | 0.45 | | | | 0.45 | | | | 2.58 | | | | 2.58 | | | | 39,380 | | | | 11 | | |
| Equities for Rising Rates ETF | |
Year ended
May 31, 2022 | | | 50.02 | | | | 1.21 | | | | 4.02 | | | | — | | | | 5.23 | | | | (0.88 | ) | | | — | | | | — | | | | (0.88 | ) | | | 54.37 | | | | 10.65 | | | | 9.03 | | | | 0.35 | | | | 0.35 | | | | 2.31 | | | | 2.31 | | | | 104,931 | | | | 102 | | |
Year ended
May 31, 2021 | | | 29.05 | | | | 0.94 | | | | 20.75 | | | | — | | | | 21.69 | | | | (0.72 | ) | | | — | | | | — | | | | (0.72 | ) | | | 50.02 | | | | 75.88 | | | | 78.30 | | | | 0.35 | | | | 0.35 | | | | 2.31 | | | | 2.31 | | | | 7,002 | | | | 105 | | |
Year ended
May 31, 2020 | | | 37.88 | | | | 0.88 | | | | (8.81 | ) | | | — | | | | (7.93 | ) | | | (0.90 | ) | | | — | | | | — | | | | (0.90 | ) | | | 29.05 | | | | (21.31 | ) | | | (22.29 | ) | | | 0.35 | | | | 0.35 | | | | 2.31 | | | | 2.31 | | | | 1,162 | | | | 147 | | |
Year ended
May 31, 2019 | | | 49.54 | | | | 0.81 | | | | (11.49 | ) | | | — | | | | (10.68 | ) | | | (0.98 | ) | | | — | | | | — | | | | (0.98 | ) | | | 37.88 | | | | (21.81 | ) | | | (22.25 | ) | | | 0.35 | | | | 0.35 | | | | 1.75 | | | | 1.75 | | | | 3,788 | | | | 89 | | |
July 24, 2017*
through
May 31, 2018 | | | 40.00 | | | | 0.56 | | | | 9.46 | | | | — | | | | 10.02 | | | | (0.48 | ) | | | — | | | | — | | | | (0.48 | ) | | | 49.54 | | | | 25.15 | | | | 25.61 | | | | 0.35 | | | | 0.35 | | | | 1.48 | | | | 1.48 | | | | 14,861 | | | | 49 | | |
* Commencement of investment operations.
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 133
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Global Listed Private Equity ETF | |
Year ended
May 31, 2022 | | $ | 38.13 | | | $ | 1.59 | | | $ | (5.83 | ) | | $ | — | | | $ | (4.24 | ) | | $ | (4.32 | ) | | $ | — | | | $ | — | | | $ | (4.32 | ) | | $ | 29.57 | | | | (12.80 | )% | | | (12.87 | )% | | | 1.28 | % | | | 0.60 | % | | | 3.85 | % | | | 4.53 | % | | $ | 14,194 | | | | 31 | % | |
Year ended
May 31, 2021 | | | 25.82 | | | | 1.60 | | | | 12.97 | | | | — | | | | 14.57 | | | | (2.26 | ) | | | — | | | | — | | | | (2.26 | ) | | | 38.13 | | | | 59.40 | | | | 58.58 | | | | 1.40 | | | | 0.60 | | | | 4.39 | | | | 5.19 | | | | 20,974 | | | | 21 | | |
Year ended
May 31, 2020 | | | 33.60 | | | | 1.62 | | | | (6.54 | ) | | | — | | | | (4.92 | ) | | | (2.86 | ) | | | — | | | | — | | | | (2.86 | ) | | | 25.82 | | | | (16.27 | ) | | | (15.67 | ) | | | 1.38 | | | | 0.60 | | | | 4.32 | | | | 5.11 | | | | 16,266 | | | | 20 | | |
Year ended
May 31, 2019 | | | 36.04 | | | | 1.67 | | | | (2.67 | ) | | | — | | | | (1.00 | ) | | | (1.44 | ) | | | — | | | | — | | | | (1.44 | ) | | | 33.60 | | | | (2.70 | ) | | | (2.88 | ) | | | 1.22 | | | | 0.60 | | | | 4.25 | | | | 4.87 | | | | 18,818 | | | | 25 | | |
Year ended
May 31, 2018 | | | 43.21 | | | | 2.76 | | | | (1.38 | ) | | | — | | | | 1.38 | | | | (8.55 | ) | | | — | | | | — | | | | (8.55 | ) | | | 36.04 | | | | 3.54 | | | | 3.27 | | | | 1.97 | | | | 0.60 | | | | 5.59 | | | | 6.95 | | | | 18,922 | | | | 23 | | |
| Hedge Replication ETF | |
Year ended
May 31, 2022 | | | 52.16 | | | | (0.28 | ) | | | (3.94 | ) | | | — | | | | (4.22 | ) | | | — | | | | — | | | | — | | | | — | | | | 47.94 | | | | (8.10 | ) | | | (8.17 | ) | | | 1.82 | | | | 0.95 | | | | (1.43 | ) | | | (0.56 | ) | | | 43,862 | | | | 52 | | |
Year ended
May 31, 2021 | | | 45.13 | | | | (0.34 | ) | | | 7.37 | | | | — | | | | 7.03 | | | | — | | | | — | | | | — | | | | — | | | | 52.16 | | | | 15.57 | | | | 16.26 | | | | 1.88 | | | | 0.95 | | | | (1.62 | ) | | | (0.68 | ) | | | 44,071 | | | | 72 | | |
Year ended
May 31, 2020 | | | 44.53 | | | | 0.24 | | | | 0.77 | | | | — | | | | 1.01 | | | | (0.39 | ) | | | — | | | | (0.02 | )# | | | (0.41 | ) | | | 45.13 | | | | 2.27 | | | | 1.84 | | | | 1.62 | | | | 0.95 | | | | (0.16 | ) | | | 0.52 | | | | 26,854 | | | | 89 | | |
Year ended
May 31, 2019 | | | 45.44 | | | | 0.51 | | | | (1.06 | ) | | | — | | | | (0.55 | ) | | | (0.36 | ) | | | — | | | | — | | | | (0.36 | ) | | | 44.53 | | | | (1.21 | ) | | | (1.39 | ) | | | 1.53 | | | | 0.95 | | | | 0.55 | | | | 1.13 | | | | 31,842 | | | | 106 | | |
Year ended
May 31, 2018 | | | 44.03 | | | | 0.12 | | | | 1.29 | | | | — | | | | 1.41 | | | | — | (h) | | | — | | | | — | | | | — | (h) | | | 45.44 | | | | 3.22 | | | | 3.48 | | | | 1.78 | | | | 0.95 | | | | (0.57 | ) | | | 0.26 | | | | 40,896 | | | | 170 | | |
See accompanying notes to the financial statements.
134 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| High Yield-Interest Rate Hedged | |
Year ended
May 31, 2022 | | $ | 62.62 | | | $ | 2.73 | | | $ | (1.79 | ) | | $ | 0.02 | | | $ | 0.96 | | | $ | (2.82 | ) | | $ | — | | | $ | — | | | $ | (2.82 | ) | | $ | 60.76 | | | | 1.56 | % | | | 1.67 | % | | | 0.50 | % | | | 0.50 | % | | | 4.41 | % | | | 4.41 | % | | $ | 145,836 | | | | 45 | % | |
Year ended
May 31, 2021 | | | 58.74 | | | | 2.96 | | | | 4.05 | | | | — | (h) | | | 7.01 | | | | (3.13 | ) | | | — | | | | — | | | | (3.13 | ) | | | 62.62 | | | | 12.22 | | | | 12.22 | | | | 0.50 | | | | 0.50 | | | | 4.83 | | | | 4.83 | | | | 108,019 | | | | 55 | | |
Year ended
May 31, 2020 | | | 64.39 | | | | 3.53 | | | | (5.52 | ) | | | — | | | | (1.99 | ) | | | (3.66 | ) | | | — | | | | — | | | | (3.66 | ) | | | 58.74 | | | | (3.32 | ) | | | (3.03 | ) | | | 0.51 | | | | 0.51 | | | | 5.62 | | | | 5.62 | | | | 76,360 | | | | 52 | | |
Year ended
May 31, 2019 | | | 66.82 | | | | 4.04 | | | | (2.41 | ) | | | 0.02 | | | | 1.65 | | | | (4.08 | ) | | | — | | | | — | | | | (4.08 | ) | | | 64.39 | | | | 2.50 | | | | 2.29 | | | | 0.50 | | | | 0.50 | | | | 6.10 | | | | 6.10 | | | | 125,561 | | | | 49 | | |
Year ended
May 31, 2018 | | | 68.59 | | | | 3.90 | | | | (1.84 | ) | | | 0.03 | | | | 2.09 | | | | (3.86 | ) | | | — | | | | — | | | | (3.86 | ) | | | 66.82 | | | | 3.10 | | | | 2.73 | | | | 0.50 | | | | 0.50 | | | | 5.75 | | | | 5.75 | | | | 172,054 | | | | 42 | | |
| Inflation Expectations ETF | |
Year ended
May 31, 2022 | | | 30.10 | | | | 0.82 | | | | 2.85 | | | | 0.01 | | | | 3.68 | | | | (0.99 | ) | | | — | | | | — | | | | (0.99 | ) | | | 32.79 | | | | 12.65 | | | | 12.00 | | | | 0.98 | | | | 0.31 | | | | 2.00 | | | | 2.67 | | | | 63,286 | | | | — | | |
Year ended
May 31, 2021 | | | 24.12 | | | | 0.51 | | | | 5.66 | | | | 0.01 | | | | 6.18 | | | | (0.20 | ) | | | — | | | | — | | | | (0.20 | ) | | | 30.10 | | | | 25.70 | | | | 25.40 | | | | 1.70 | | | | 0.30 | | | | 0.44 | | | | 1.84 | | | | 44,247 | | | | 60 | | |
Year ended
May 31, 2020 | | | 27.12 | | | | 0.40 | | | | (2.86 | ) | | | 0.01 | | | | (2.45 | ) | | | (0.55 | ) | | | — | | | | — | | | | (0.55 | ) | | | 24.12 | | | | (9.16 | ) | | | (8.73 | ) | | | 1.13 | | | | 0.30 | | | | 0.72 | | | | 1.56 | | | | 7,719 | | | | 21 | | |
Year ended
May 31, 2019 | | | 28.66 | | | | 0.59 | | | | (1.53 | ) | | | 0.01 | | | | (0.93 | ) | | | (0.61 | ) | | | — | | | | — | | | | (0.61 | ) | | | 27.12 | | | | (3.35 | ) | | | (2.69 | ) | | | 1.75 | | | | 0.30 | | | | 0.63 | | | | 2.08 | | | | 7,593 | | | | 120 | | |
Year ended
May 31, 2018 | | | 27.81 | | | | 0.54 | | | | 1.11 | (i) | | | 0.01 | | | | 1.66 | | | | (0.81 | ) | | | — | | | | — | | | | (0.81 | ) | | | 28.66 | | | | 6.14 | | | | 3.62 | | | | 1.21 | | | | 0.30 | | | | 1.07 | | | | 1.98 | | | | 10,029 | | | | 46 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 135
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Investment Grade-Interest Rate Hedged | |
Year ended
May 31, 2022 | | $ | 76.25 | | | $ | 1.93 | | | $ | (5.10 | ) | | $ | — | (h) | | $ | (3.17 | ) | | $ | (1.94 | ) | | $ | — | | | $ | — | | | $ | (1.94 | ) | | $ | 71.14 | | | | (4.21 | )% | | | (3.51 | )% | | | 0.30 | % | | | 0.30 | % | | | 2.60 | % | | | 2.60 | % | | $ | 665,124 | | | | 24 | % | |
Year ended
May 31, 2021 | | | 69.63 | | | | 1.93 | | | | 6.58 | | | | 0.03 | | | | 8.54 | | | | (1.92 | ) | | | — | | | | — | | | | (1.92 | ) | | | 76.25 | | | | 12.40 | | | | 12.19 | | | | 0.30 | | | | 0.30 | | | | 2.59 | | | | 2.59 | | | | 724,383 | | | | 22 | | |
Year ended
May 31, 2020 | | | 73.37 | | | | 2.49 | | | | (3.66 | ) | | | — | (h) | | | (1.17 | ) | | | (2.57 | ) | | | — | | | | — | | | | (2.57 | ) | | | 69.63 | | | | (1.73 | ) | | | (1.26 | ) | | | 0.30 | | | | 0.30 | | | | 3.40 | | | | 3.40 | | | | 234,995 | | | | 21 | | |
Year ended
May 31, 2019 | | | 74.89 | | | | 2.87 | | | | (1.43 | ) | | | 0.01 | | | | 1.45 | | | | (2.97 | ) | | | — | | | | — | | | | (2.97 | ) | | | 73.37 | | | | 1.99 | | | | 1.51 | | | | 0.30 | | | | 0.30 | | | | 3.87 | | | | 3.87 | | | | 295,317 | | | | 22 | | |
Year ended
May 31, 2018 | | | 75.75 | | | | 2.74 | | | | (0.97 | ) | | | — | (h) | | | 1.77 | | | | (2.63 | ) | | | — | | | | — | | | | (2.63 | ) | | | 74.89 | | | | 2.31 | | | | 2.27 | | | | 0.30 | | | | 0.30 | | | | 3.58 | | | | 3.58 | | | | 597,210 | | | | 24 | | |
| K-1 Free Crude Oil Strategy ETF† | |
Year ended
May 31, 2022 | | | 59.06 | | | | (0.39 | ) | | | 31.17 | | | | — | | | | 30.78 | | | | (31.12 | ) | | | — | | | | — | | | | (31.12 | ) | | | 58.72 | | | | 81.99 | | | | 82.32 | | | | 0.71 | (n) | | | 0.71 | (n) | | | (0.71 | ) | | | (0.71 | ) | | | 101,814 | | | | — | | |
Year ended
May 31, 2021 | | | 33.68 | | | | (0.29 | ) | | | 25.67 | | | | — | | | | 25.38 | | | | — | | | | — | | | | — | | | | — | | | | 59.06 | | | | 75.34 | | | | 77.78 | | | | 0.67 | (m) | | | 0.67 | (m) | | | (0.67 | ) | | | (0.67 | ) | | | 103,884 | | | | — | | |
Year ended
May 31, 2020(j) | | | 97.38 | | | | 0.08 | | | | (62.88 | ) | | | — | | | | (62.80 | ) | | | (0.90 | ) | | | — | | | | — | | | | (0.90 | ) | | | 33.68 | | | | (65.09 | ) | | | (65.24 | ) | | | 0.66 | | | | 0.65 | | | | 0.15 | | | | 0.16 | | | | 76,091 | | | | 206 | (k) | |
Year ended
May 31, 2019(j) | | | 121.60 | | | | 1.36 | | | | (24.89 | ) | | | — | | | | (23.53 | ) | | | (0.69 | ) | | | — | | | | — | | | | (0.69 | ) | | | 97.38 | | | | (19.30 | ) | | | (19.85 | ) | | | 0.65 | | | | 0.65 | | | | 1.24 | | | | 1.24 | | | | 11,198 | | | | — | | |
Year ended
May 31, 2018(j) | | | 94.67 | | | | 0.50 | | | | 33.11 | | | | — | | | | 33.61 | | | | (6.68 | ) | | | — | | | | — | | | | (6.68 | ) | | | 121.60 | | | | 36.41 | | | | 37.11 | | | | 0.65 | | | | 0.65 | | | | 0.46 | | | | 0.46 | | | | 12,160 | | | | — | | |
† Consolidated Financial Highlights.
See accompanying notes to the financial statements.
136 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Large Cap Core Plus | |
Year ended
May 31, 2022(o) | | $ | 48.48 | | | $ | 0.50 | | | $ | 1.36 | | | $ | — | | | $ | 1.86 | | | $ | (0.46 | ) | | $ | — | | | $ | — | | | $ | (0.46 | ) | | $ | 49.88 | | | | 3.79 | % | | | 3.87 | % | | | 0.45 | % | | | 0.45 | % | | | 0.96 | % | | | 0.96 | % | | $ | 475,373 | | | | 53 | % | |
Year ended
May 31, 2021(o) | | | 35.06 | | | | 0.45 | | | | 13.45 | | | | — | | | | 13.90 | | | | (0.48 | ) | | | — | | | | — | | | | (0.48 | ) | | | 48.48 | | | | 39.97 | | | | 39.77 | | | | 0.45 | | | | 0.45 | | | | 1.10 | | | | 1.10 | | | | 481,904 | | | | 58 | | |
Year ended
May 31, 2020(o) | | | 33.26 | | | | 0.53 | | | | 1.86 | | | | — | | | | 2.39 | | | | (0.59 | ) | | | — | | | | — | | | | (0.59 | ) | | | 35.06 | | | | 7.26 | | | | 7.49 | | | | 0.46 | | | | 0.46 | | | | 1.49 | | | | 1.49 | | | | 412,340 | | | | 57 | | |
Year ended
May 31, 2019(o) | | | 33.77 | | | | 0.51 | | | | (0.53 | ) | | | — | | | | (0.02 | ) | | | (0.49 | ) | | | — | | | | — | | | | (0.49 | ) | | | 33.26 | | | | (0.08 | ) | | | (0.25 | ) | | | 0.45 | | | | 0.45 | | | | 1.51 | | | | 1.51 | | | | 756,295 | | | | 52 | | |
Year ended
May 31, 2018(o) | | | 29.80 | | | | 0.48 | | | | 3.92 | | | | — | | | | 4.40 | | | | (0.43 | ) | | | — | | | | — | | | | (0.43 | ) | | | 33.77 | | | | 14.85 | | | | 15.00 | | | | 0.45 | | | | 0.45 | | | | 1.48 | | | | 1.48 | | | | 785,230 | | | | 53 | | |
| Long Online/Short Stores ETF | |
Year ended
May 31, 2022 | | | 78.80 | | | | 0.08 | | | | (41.65 | ) | | | — | | | | (41.57 | ) | | | — | | | | — | | | | — | | | | — | | | | 37.23 | | | | (52.75 | ) | | | (52.96 | ) | | | 0.65 | | | | 0.65 | | | | 0.13 | | | | 0.13 | | | | 21,781 | | | | 124 | | |
Year ended
May 31, 2021 | | | 68.72 | | | | 1.17 | (l) | | | 10.14 | | | | — | | | | 11.31 | | | | (1.23 | ) | | | — | | | | — | | | | (1.23 | ) | | | 78.80 | | | | 16.23 | | | | 16.41 | | | | 0.65 | | | | 0.65 | | | | 1.36 | (l) | | | 1.36 | (l) | | | 100,467 | | | | 77 | | |
Year ended
May 31, 2020 | | | 51.09 | | | | (0.17 | ) | | | 17.80 | | | | — | | | | 17.63 | | | | — | | | | — | | | | — | | | | — | | | | 68.72 | | | | 34.52 | | | | 34.29 | | | | 0.65 | | | | 0.65 | | | | (0.31 | ) | | | (0.31 | ) | | | 183,132 | | | | 89 | | |
Year ended
May 31, 2019 | | | 48.31 | | | | (0.15 | ) | | | 2.93 | | | | — | | | | 2.78 | | | | — | | | | — | | | | — | | | | — | | | | 51.09 | | | | 5.74 | | | | 5.56 | | | | 0.65 | | | | 0.65 | | | | (0.31 | ) | | | (0.31 | ) | | | 48,787 | | | | 53 | | |
November 14,
2017* through
May 31, 2018 | | | 40.00 | | | | (0.08 | ) | | | 8.39 | | | | — | | | | 8.31 | | | | — | | | | — | | | | — | | | | — | | | | 48.31 | | | | 20.78 | | | | 21.03 | | | | 0.65 | | | | 0.65 | | | | (0.32 | ) | | | (0.32 | ) | | | 53,144 | | | | 30 | | |
* Commencement of investment operations.
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 137
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Merger ETF | |
Year ended
May 31, 2022 | | $ | 40.82 | | | $ | 0.05 | | | $ | (0.48 | ) | | $ | — | | | $ | (0.43 | ) | | $ | (0.15 | ) | | $ | — | | | $ | — | | | $ | (0.15 | ) | | $ | 40.24 | | | | (1.07 | )% | | | (0.90 | )% | | | 1.19 | % | | | 0.75 | % | | | (0.31 | )% | | | 0.13 | % | | $ | 70,416 | | | | 262 | % | |
Year ended
May 31, 2021 | | | 37.64 | | | | 0.26 | | | | 3.01 | | | | — | | | | 3.27 | | | | (0.09 | ) | | | — | | | | — | | | | (0.09 | ) | | | 40.82 | | | | 8.72 | | | | 8.91 | | | | 1.68 | | | | 0.75 | | | | (0.27 | ) | | | 0.65 | | | | 42,863 | | | | 315 | | |
Year ended
May 31, 2020 | | | 37.24 | | | | 0.01 | | | | 0.69 | | | | — | | | | 0.70 | | | | (0.30 | ) | | | — | | | | — | | | | (0.30 | ) | | | 37.64 | | | | 1.86 | | | | 1.52 | | | | 3.49 | | | | 0.75 | | | | (2.73 | ) | | | 0.02 | | | | 7,527 | | | | 249 | | |
Year ended
May 31, 2019 | | | 35.58 | | | | 0.32 | | | | 1.85 | | | | — | | | | 2.17 | | | | (0.51 | ) | | | — | | | | — | | | | (0.51 | ) | | | 37.24 | | | | 6.16 | | | | 7.58 | | | | 3.49 | | | | 0.75 | | | | (1.87 | ) | | | 0.87 | | | | 5,586 | | | | 314 | | |
Year ended
May 31, 2018 | | | 35.67 | | | | 0.22 | | | | (0.18 | ) | | | — | | | | 0.04 | | | | (0.13 | ) | | | — | | | | — | | | | (0.13 | ) | | | 35.58 | | | | 0.11 | | | | (1.26 | ) | | | 4.05 | | | | 0.75 | | | | (2.68 | ) | | | 0.62 | | | | 4,448 | | | | 296 | | |
| Metaverse ETF | |
March 15, 2022*
through May 31,
2022 | | | 40.00 | | | | (0.03 | ) | | | (4.42 | ) | | | — | | | | (4.45 | ) | | | — | | | | — | | | | — | | | | — | | | | 35.55 | | | | (11.12 | ) | | | (11.10 | ) | | | 0.58 | | | | 0.58 | | | | (0.32 | ) | | | (0.32 | ) | | | 7,822 | | | | 20 | | |
| MSCI EAFE Dividend Growers ETF | |
Year ended
May 31, 2022 | | | 46.06 | | | | 0.69 | | | | (8.12 | ) | | | — | | | | (7.43 | ) | | | (1.34 | ) | | | — | | | | — | | | | (1.34 | ) | | | 37.29 | | | | (16.64 | ) | | | (16.70 | ) | | | 0.50 | | | | 0.50 | | | | 1.57 | | | | 1.57 | | | | 107,402 | | | | 44 | | |
Year ended
May 31, 2021 | | | 36.18 | | | | 0.79 | | | | 9.73 | | | | — | | | | 10.52 | | | | (0.64 | ) | | | — | | | | — | | | | (0.64 | ) | | | 46.06 | | | | 29.37 | | | | 29.46 | | | | 0.50 | | | | 0.50 | | | | 1.90 | | | | 1.90 | | | | 138,649 | | | | 57 | | |
Year ended
May 31, 2020 | | | 35.92 | | | | 0.66 | | | | 0.38 | (i) | | | — | | | | 1.04 | | | | (0.78 | ) | | | — | | | | — | | | | (0.78 | ) | | | 36.18 | | | | 2.82 | | | | 2.65 | | | | 0.51 | | | | 0.51 | | | | 1.78 | | | | 1.78 | | | | 116,855 | | | | 81 | | |
Year ended
May 31, 2019 | | | 38.53 | | | | 0.80 | | | | (2.59 | ) | | | — | | | | (1.79 | ) | | | (0.82 | ) | | | — | | | | — | | | | (0.82 | ) | | | 35.92 | | | | (4.72 | ) | | | (4.92 | ) | | | 0.50 | | | | 0.50 | | | | 2.19 | | | | 2.19 | | | | 109,559 | | | | 31 | | |
Year ended
May 31, 2018 | | | 37.13 | | | | 0.86 | | | | 1.49 | | | | — | | | | 2.35 | | | | (0.95 | ) | | | — | | | | — | | | | (0.95 | ) | | | 38.53 | | | | 6.42 | | | | 6.12 | | | | 0.50 | | | | 0.50 | | | | 2.27 | | | | 2.27 | | | | 115,578 | | | | 32 | | |
* Commencement of investment operations.
See accompanying notes to the financial statements.
138 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| MSCI Emerging Markets Dividend Growers ETF | |
Year ended
May 31, 2022 | | $ | 62.02 | | | $ | 1.17 | | | $ | (11.39 | ) | | $ | — | | | $ | (10.22 | ) | | $ | (1.30 | ) | | $ | — | | | $ | — | | | $ | (1.30 | ) | | $ | 50.50 | | | | (16.72 | )% | | | (18.25 | )% | | | 0.60 | % | | | 0.60 | % | | | 2.06 | % | | | 2.06 | % | | $ | 17,424 | | | | 67 | % | |
Year ended
May 31, 2021 | | | 45.70 | | | | 1.73 | | | | 16.35 | | | | — | | | | 18.08 | | | | (1.76 | ) | | | — | | | | — | | | | (1.76 | ) | | | 62.02 | | | | 40.52 | | | | 41.04 | | | | 0.60 | | | | 0.60 | | | | 3.16 | | | | 3.16 | | | | 22,637 | | | | 78 | | |
Year ended
May 31, 2020 | | | 56.45 | | | | 1.23 | | | | (10.58 | ) | | | — | | | | (9.35 | ) | | | (1.40 | ) | | | — | | | | — | | | | (1.40 | ) | | | 45.70 | | | | (16.99 | ) | | | (16.96 | ) | | | 0.61 | | | | 0.61 | | | | 2.29 | | | | 2.29 | | | | 22,165 | | | | 51 | | |
Year ended
May 31, 2019 | | | 57.61 | | | | 1.20 | | | | (1.67 | ) | | | — | | | | (0.47 | ) | | | (0.69 | ) | | | — | | | | — | | | | (0.69 | ) | | | 56.45 | | | | (0.84 | ) | | | (0.43 | ) | | | 0.60 | | | | 0.60 | | | | 2.15 | | | | 2.15 | | | | 20,602 | | | | 79 | | |
Year ended
May 31, 2018 | | | 52.18 | | | | 1.11 | | | | 5.60 | | | | — | | | | 6.71 | | | | (1.28 | ) | | | — | | | | — | | | | (1.28 | ) | | | 57.61 | | | | 13.02 | | | | 12.43 | | | | 0.60 | | | | 0.60 | | | | 1.93 | | | | 1.93 | | | | 20,163 | | | | 61 | | |
| MSCI Europe Dividend Growers ETF | |
Year ended
May 31, 2022 | | | 51.67 | | | | 0.85 | | | | (7.66 | ) | | | — | | | | (6.81 | ) | | | (1.24 | ) | | | — | | | | — | | | | (1.24 | ) | | | 43.62 | | | | (13.59 | ) | | | (13.73 | ) | | | 0.55 | | | | 0.55 | | | | 1.67 | | | | 1.67 | | | | 13,739 | | | | 40 | | |
Year ended
May 31, 2021 | | | 39.41 | | | | 0.85 | | | | 11.96 | | | | — | | | | 12.81 | | | | (0.55 | ) | | | — | | | | — | | | | (0.55 | ) | | | 51.67 | | | | 32.81 | | | | 33.22 | | | | 0.55 | | | | 0.55 | | | | 1.88 | | | | 1.88 | | | | 9,559 | | | | 57 | | |
Year ended
May 31, 2020 | | | 38.72 | | | | 0.68 | | | | 0.95 | | | | — | | | | 1.63 | | | | (0.94 | ) | | | — | | | | — | | | | (0.94 | ) | | | 39.41 | | | | 4.18 | | | | 4.35 | | | | 0.56 | | | | 0.56 | | | | 1.68 | | | | 1.68 | | | | 7,686 | | | | 92 | | |
Year ended
May 31, 2019 | | | 41.97 | | | | 0.86 | | | | (3.24 | ) | | | — | | | | (2.38 | ) | | | (0.87 | ) | | | — | | | | — | | | | (0.87 | ) | | | 38.72 | | | | (5.79 | ) | | | (5.77 | ) | | | 0.55 | | | | 0.55 | | | | 2.15 | | | | 2.15 | | | | 9,099 | | | | 28 | | |
Year ended
May 31, 2018 | | | 41.08 | | | | 0.93 | | | | 0.93 | | | | — | | | | 1.86 | | | | (0.97 | ) | | | — | | | | — | | | | (0.97 | ) | | | 41.97 | | | | 4.62 | | | | 4.16 | | | | 0.55 | | | | 0.55 | | | | 2.24 | | | | 2.24 | | | | 10,493 | | | | 31 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 139
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| MSCI Transformational Changes ETF | |
Year ended
May 31, 2022 | | $ | 43.76 | | | $ | 0.13 | | | $ | (8.87 | ) | | $ | — | | | $ | (8.74 | ) | | $ | (0.11 | ) | | $ | — | | | $ | — | | | $ | (0.11 | ) | | $ | 34.91 | | | | (20.03 | )% | | | (20.15 | )% | | | 0.45 | % | | | 0.45 | % | | | 0.31 | % | | | 0.31 | % | | $ | 29,676 | | | | 33 | % | |
October 14, 2020*
through
May 31, 2021 | | | 40.00 | | | | 0.12 | | | | 3.66 | | | | — | (h) | | | 3.78 | | | | (0.02 | ) | | | — | | | | — | | | | (0.02 | ) | | | 43.76 | | | | 9.47 | | | | 9.42 | | | | 0.45 | | | | 0.45 | | | | 0.46 | | | | 0.46 | | | | 47,047 | | | | 44 | | |
| Nanotechnology ETF | |
October 26, 2021*
through
May 31, 2022 | | | 40.00 | | | | 0.04 | | | | (6.06 | ) | | | 0.01 | | | | (6.01 | ) | | | (0.03 | ) | | | — | | | | — | | | | (0.03 | ) | | | 33.96 | | | | (15.05 | ) | | | (15.09 | ) | | | 0.58 | | | | 0.58 | | | | 0.18 | | | | 0.18 | | | | 2,547 | | | | 32 | | |
| Nasdaq-100 Dorsey Wright Momentum ETF | |
Year ended
May 31, 2022 | | | 42.08 | | | | 0.01 | | | | (7.82 | ) | | | — | | | | (7.81 | ) | | | (0.05 | ) | | | — | | | | — | | | | (0.05 | ) | | | 34.22 | | | | (18.60 | ) | | | (18.68 | ) | | | 0.58 | | | | 0.58 | | | | 0.03 | | | | 0.03 | | | | 18,477 | | | | 168 | | |
May 18, 2021*
through
May 31, 2021 | | | 40.00 | | | | 0.04 | | | | 2.04 | | | | — | | | | 2.08 | | | | — | | | | — | | | | — | | | | — | | | | 42.08 | | | | 5.20 | | | | 5.25 | | | | 0.58 | | | | 0.58 | | | | 2.90 | | | | 2.90 | | | | 4,208 | | | | — | | |
| On-Demand ETF | |
October 26, 2021*
through
May 31, 2022 | | | 40.00 | | | | (0.05 | ) | | | (18.22 | ) | | | 0.01 | | | | (18.26 | ) | | | (0.01 | ) | | | — | | | | — | | | | (0.01 | ) | | | 21.73 | | | | (45.66 | ) | | | (46.02 | ) | | | 0.58 | | | | 0.58 | | | | (0.30 | ) | | | (0.30 | ) | | | 1,087 | | | | 35 | | |
* Commencement of investment operations.
See accompanying notes to the financial statements.
140 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Online Retail ETF | |
Year ended
May 31, 2022 | | $ | 75.70 | | | $ | 0.17 | | | $ | (41.01 | ) | | $ | — | | | $ | (40.84 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 34.86 | | | | (53.95 | )% | | | (53.95 | )% | | | 0.58 | % | | | 0.58 | % | | | 0.27 | % | | | 0.27 | % | | $ | 321,103 | | | | 113 | % | |
Year ended
May 31, 2021 | | | 47.31 | | | | 0.63 | | | | 28.70 | | | | — | | | | 29.33 | | | | (0.94 | ) | | | — | | | | — | | | | (0.94 | ) | | | 75.70 | | | | 62.18 | | | | 62.54 | | | | 0.58 | | | | 0.58 | | | | 0.84 | | | | 0.84 | | | | 1,052,262 | | | | 91 | | |
Year ended
May 31, 2020 | | | 35.24 | | | | (0.09 | ) | | | 12.16 | | | | — | | | | 12.07 | | | | — | | | | — | | | | — | | | | — | | | | 47.31 | | | | 34.25 | | | | 34.08 | | | | 0.58 | | | | 0.58 | | | | (0.23 | ) | | | (0.23 | ) | | | 131,516 | | | | 81 | | |
July 13, 2018*
through
May 31, 2019 | | | 40.00 | | | | (0.09 | ) | | | (4.67 | ) | | | — | | | | (4.76 | ) | | | — | | | | — | | | | — | | | | — | | | | 35.24 | | | | (11.90 | ) | | | (11.98 | ) | | | 0.58 | | | | 0.58 | | | | (0.30 | ) | | | (0.30 | ) | | | 21,144 | | | | 46 | | |
| Pet Care ETF | |
Year ended
May 31, 2022 | | | 77.76 | | | | 0.17 | | | | (20.92 | ) | | | — | | | | (20.75 | ) | | | (0.16 | ) | | | — | | | | — | | | | (0.16 | ) | | | 56.85 | | | | (26.74 | ) | | | (26.76 | ) | | | 0.50 | | | | 0.50 | | | | 0.23 | | | | 0.23 | | | | 173,388 | | | | 49 | | |
Year ended
May 31, 2021 | | | 47.27 | | | | 0.16 | | | | 30.44 | | | | — | | | | 30.60 | | | | (0.11 | ) | | | — | | | | — | | | | (0.11 | ) | | | 77.76 | | | | 64.79 | | | | 64.24 | | | | 0.50 | | | | 0.50 | | | | 0.23 | | | | 0.23 | | | | 303,265 | | | | 45 | | |
Year ended
May 31, 2020 | | | 39.94 | | | | 0.14 | | | | 7.34 | | | | — | | | | 7.48 | | | | (0.15 | ) | | | — | | | | — | | | | (0.15 | ) | | | 47.27 | | | | 18.79 | | | | 19.21 | | | | 0.50 | | | | 0.50 | | | | 0.33 | | | | 0.33 | | | | 60,275 | | | | 66 | | |
November 5,
2018* through
May 31, 2019 | | | 40.00 | | | | 0.08 | | | | (0.10 | )(i) | | | — | | | | (0.02 | ) | | | (0.04 | ) | | | — | | | | — | | | | (0.04 | ) | | | 39.94 | | | | (0.04 | ) | | | (0.08 | ) | | | 0.50 | | | | 0.50 | | | | 0.36 | | | | 0.36 | | | | 26,958 | | | | 42 | | |
* Commencement of investment operations.
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 141
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Russell 2000 Dividend Growers ETF | |
Year ended
May 31, 2022 | | $ | 67.03 | | | $ | 1.45 | | | $ | (4.66 | ) | | $ | — | | | $ | (3.21 | ) | | $ | (1.42 | ) | | $ | — | | | $ | — | | | $ | (1.42 | ) | | $ | 62.40 | | | | (4.80 | )% | | | (4.94 | )% | | | 0.40 | % | | | 0.40 | % | | | 2.27 | % | | | 2.27 | % | | $ | 864,913 | | | | 58 | % | |
Year ended
May 31, 2021 | | | 49.66 | | | | 1.27 | | | | 17.27 | | | | — | | | | 18.54 | | | | (1.17 | ) | | | — | | | | — | | | | (1.17 | ) | | | 67.03 | | | | 38.00 | | | | 38.03 | | | | 0.40 | | | | 0.40 | | | | 2.23 | | | | 2.23 | | | | 924,290 | | | | 60 | | |
Year ended
May 31, 2020 | | | 57.13 | | | | 1.31 | | | | (7.44 | ) | | | — | | | | (6.13 | ) | | | (1.34 | ) | | | — | | | | — | | | | (1.34 | ) | | | 49.66 | | | | (10.96 | ) | | | (10.99 | ) | | | 0.41 | | | | 0.41 | | | | 2.30 | | | | 2.30 | | | | 588,955 | | | | 33 | | |
Year ended
May 31, 2019 | | | 56.29 | | | | 1.26 | | | | 0.67 | | | | — | | | | 1.93 | | | | (1.09 | ) | | | — | | | | — | | | | (1.09 | ) | | | 57.13 | | | | 3.48 | | | | 3.55 | | | | 0.40 | | | | 0.40 | | | | 2.17 | | | | 2.17 | | | | 630,109 | | | | 26 | | |
Year ended
May 31, 2018 | | | 53.30 | | | | 1.11 | | | | 2.89 | | | | — | | | | 4.00 | | | | (1.01 | ) | | | — | | | | — | | | | (1.01 | ) | | | 56.29 | | | | 7.57 | | | | 7.53 | | | | 0.40 | | | | 0.40 | | | | 2.03 | | | | 2.03 | | | | 406,693 | | | | 20 | | |
| Russell U.S. Dividend Growers ETF | |
Year ended
May 31, 2022 | | | 48.73 | | | | 1.00 | | | | (1.39 | ) | | | — | | | | (0.39 | ) | | | (1.13 | ) | | | — | | | | — | | | | (1.13 | ) | | | 47.21 | | | | (0.79 | ) | | | (0.82 | ) | | | 0.35 | | | | 0.35 | | | | 2.07 | | | | 2.07 | | | | 13,692 | | | | 21 | | |
Year ended
May 31, 2021 | | | 36.25 | | | | 0.98 | | | | 12.49 | | | | — | | | | 13.47 | | | | (0.99 | ) | | | — | | | | — | | | | (0.99 | ) | | | 48.73 | | | | 37.80 | | | | 37.79 | | | | 0.35 | | | | 0.35 | | | | 2.36 | | | | 2.36 | | | | 28,262 | | | | 22 | | |
November 5, 2019*
through
May 31, 2020 | | | 40.00 | | | | 0.49 | | | | (3.98 | ) | | | — | | | | (3.49 | ) | | | (0.26 | ) | | | — | | | | — | | | | (0.26 | ) | | | 36.25 | | | | (8.62 | ) | | | (8.53 | ) | | | 0.36 | | | | 0.36 | | | | 2.35 | | | | 2.35 | | | | 21,390 | | | | 8 | | |
* Commencement of investment operations.
See accompanying notes to the financial statements.
142 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| S&P 500® Bond ETF | |
Year ended
May 31, 2022 | | $ | 90.20 | | | $ | 1.88 | | | $ | (11.31 | ) | | $ | — | | | $ | (9.43 | ) | | $ | (1.92 | ) | | $ | — | | | $ | — | | | $ | (1.92 | ) | | $ | 78.85 | | | | (10.65 | )% | | | (10.38 | )% | | | 0.15 | % | | | 0.15 | % | | | 2.11 | % | | | 2.11 | % | | $ | 19,712 | | | | 78 | % | |
Year ended
May 31, 2021 | | | 90.47 | | | | 1.98 | | | | (0.13 | ) | | | — | | | | 1.85 | | | | (2.12 | ) | | | — | | | | — | | | | (2.12 | ) | | | 90.20 | | | | 2.01 | | | | 1.52 | | | | 0.15 | | | | 0.15 | | | | 2.16 | | | | 2.16 | | | | 36,081 | | | | 73 | | |
Year ended
May 31, 2020 | | | 83.60 | | | | 2.88 | | | | 6.92 | | | | 0.04 | | | | 9.84 | | | | (2.97 | ) | | | — | | | | — | | | | (2.97 | ) | | | 90.47 | | | | 11.97 | | | | 12.38 | | | | 0.15 | | | | 0.15 | | | | 3.30 | | | | 3.30 | | | | 29,403 | | | | 55 | | |
Year ended
May 31, 2019 | | | 80.84 | | | | 3.07 | | | | 2.70 | | | | 0.02 | | | | 5.79 | | | | (3.03 | ) | | | — | | | | — | | | | (3.03 | ) | | | 83.60 | | | | 7.40 | | | | 7.21 | | | | 0.15 | | | | 0.15 | | | | 3.82 | | | | 3.82 | | | | 27,169 | | | | 29 | | |
May 1, 2018*
through
May 31, 2018 | | | 80.00 | | | | 0.23 | | | | 0.44 | | | | 0.17 | | | | 0.84 | | | | — | | | | — | | | | — | | | | — | | | | 80.84 | | | | 1.05 | | | | 1.36 | | | | 0.15 | | | | 0.15 | | | | 3.50 | | | | 3.50 | | | | 32,336 | | | | 4 | | |
| S&P 500® Dividend Aristocrats ETF | |
Year ended
May 31, 2022 | | | 92.20 | | | | 1.87 | | | | (0.28 | ) | | | — | | | | 1.59 | | | | (1.84 | ) | | | — | | | | — | | | | (1.84 | ) | | | 91.95 | | | | 1.72 | | | | 1.67 | | | | 0.35 | | | | 0.35 | | | | 2.01 | | | | 2.01 | | | | 10,243,530 | | | | 18 | | |
Year ended
May 31, 2021 | | | 67.00 | | | | 1.78 | | | | 25.16 | | | | — | | | | 26.94 | | | | (1.74 | ) | | | — | | | | — | | | | (1.74 | ) | | | 92.20 | | | | 40.88 | | | | 41.10 | | | | 0.35 | | | | 0.35 | | | | 2.26 | | | | 2.26 | | | | 8,639,244 | | | | 21 | | |
Year ended
May 31, 2020 | | | 65.14 | | | | 1.58 | | | | 1.81 | (i) | | | — | | | | 3.39 | | | | (1.53 | ) | | | — | | | | — | | | | (1.53 | ) | | | 67.00 | | | | 5.22 | | | | 5.11 | | | | 0.35 | | | | 0.35 | | | | 2.28 | | | | 2.28 | | | | 5,755,149 | | | | 29 | | |
Year ended
May 31, 2019 | | | 62.21 | | | | 1.42 | | | | 2.94 | | | | — | | | | 4.36 | | | | (1.43 | ) | | | — | | | | — | | | | (1.43 | ) | | | 65.14 | | | | 7.10 | | | | 7.07 | | | | 0.35 | | | | 0.35 | | | | 2.17 | | | | 2.17 | | | | 4,520,918 | | | | 20 | | |
Year ended
May 31, 2018 | | | 57.46 | | | | 1.37 | | | | 4.54 | | | | — | | | | 5.91 | | | | (1.16 | ) | | | — | | | | — | | | | (1.16 | ) | | | 62.21 | | | | 10.34 | | | | 10.34 | | | | 0.35 | | | | 0.35 | | | | 2.23 | | | | 2.23 | | | | 3,493,291 | | | | 22 | | |
* Commencement of investment operations.
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 143
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| S&P 500® Ex-Energy ETF | |
Year ended
May 31, 2022 | | $ | 91.08 | | | $ | 1.05 | | | $ | (3.34 | ) | | $ | — | | | $ | (2.29 | ) | | $ | (1.02 | ) | | $ | — | | | $ | — | | | $ | (1.02 | ) | | $ | 87.77 | | | | (2.61 | )% | | | (2.71 | )% | | | 0.23 | % | | | 0.21 | % | | | 1.08 | % | | | 1.09 | % | | $ | 25,892 | | | | 2 | % | |
Year ended
May 31, 2021 | | | 65.94 | | | | 0.96 | | | | 25.12 | | | | — | | | | 26.08 | | | | (0.94 | ) | | | — | | | | — | | | | (0.94 | ) | | | 91.08 | | | | 39.88 | | | | 39.84 | | | | 0.27 | | | | 0.27 | | | | 1.21 | | | | 1.21 | | | | 25,047 | | | | 8 | | |
Year ended
May 31, 2020 | | | 58.41 | | | | 1.04 | | | | 7.43 | | | | — | | | | 8.47 | | | | (0.94 | ) | | | — | | | | — | | | | (0.94 | ) | | | 65.94 | | | | 14.62 | | | | 14.67 | | | | 0.27 | | | | 0.27 | | | | 1.63 | | | | 1.63 | | | | 16,814 | | | | 4 | | |
Year ended
May 31, 2019 | | | 56.44 | | | | 0.93 | | | | 1.92 | | | | — | | | | 2.85 | | | | (0.88 | ) | | | — | | | | — | | | | (0.88 | ) | | | 58.41 | | | | 5.10 | | | | 5.03 | | | | 0.27 | | | | 0.27 | | | | 1.60 | | | | 1.60 | | | | 6,717 | | | | 6 | | |
Year ended
May 31, 2018 | | | 50.44 | | | | 0.87 | | | | 5.98 | | | | — | | | | 6.85 | | | | (0.85 | ) | | | — | | | | — | | | | (0.85 | ) | | | 56.44 | | | | 13.67 | | | | 13.98 | | | | 0.27 | | | | 0.27 | | | | 1.61 | | | | 1.61 | | | | 7,055 | | | | 4 | | |
| S&P 500® Ex-Financials ETF | |
Year ended
May 31, 2022 | | | 88.10 | | | | 1.04 | | | | (1.00 | ) | | | — | | | | 0.04 | | | | (0.99 | ) | | | — | | | | — | | | | (0.99 | ) | | | 87.15 | | | | (0.03 | ) | | | 0.00 | (j) | | | 0.23 | | | | 0.21 | | | | 1.10 | | | | 1.12 | | | | 8,279 | | | | 3 | | |
Year ended
May 31, 2021 | | | 64.97 | | | | 0.96 | | | | 23.05 | | | | — | | | | 24.01 | | | | (0.88 | ) | | | — | | | | — | | | | (0.88 | ) | | | 88.10 | | | | 37.22 | | | | 37.03 | | | | 0.27 | | | | 0.27 | | | | 1.23 | | | | 1.23 | | | | 7,488 | | | | 5 | | |
Year ended
May 31, 2020 | | | 56.85 | | | | 1.02 | | | | 8.09 | | | | — | | | | 9.11 | | | | (0.99 | ) | | | — | | | | — | | | | (0.99 | ) | | | 64.97 | | | | 16.19 | | | | 16.50 | | | | 0.27 | | | | 0.27 | | | | 1.65 | | | | 1.65 | | | | 4,223 | | | | 4 | | |
Year ended
May 31, 2019 | | | 55.43 | | | | 0.96 | | | | 1.33 | | | | — | | | | 2.29 | | | | (0.87 | ) | | | — | | | | — | | | | (0.87 | ) | | | 56.85 | | | | 4.14 | | | | 5.98 | | | | 0.27 | | | | 0.27 | | | | 1.67 | | | | 1.67 | | | | 1,990 | | | | 6 | | |
Year ended
May 31, 2018 | | | 49.53 | | | | 0.89 | | | | 5.85 | | | | — | | | | 6.74 | | | | (0.84 | ) | | | — | | | | — | | | | (0.84 | ) | | | 55.43 | | | | 13.73 | | | | 12.00 | | | | 0.27 | | | | 0.27 | | | | 1.68 | | | | 1.68 | | | | 1,386 | | | | 8 | | |
See accompanying notes to the financial statements.
144 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| S&P 500® Ex-Health Care ETF | |
Year ended
May 31, 2022 | | $ | 88.56 | | | $ | 1.08 | | | $ | (2.61 | ) | | $ | — | | | $ | (1.53 | ) | | $ | (1.15 | ) | | $ | — | | | $ | — | | | $ | (1.15 | ) | | $ | 85.88 | | | | (1.83 | )% | | | (1.88 | )% | | | 0.23 | % | | | 0.21 | % | | | 1.15 | % | | | 1.16 | % | | $ | 3,865 | | | | 3 | % | |
Year ended
May 31, 2021 | | | 62.87 | | | | 1.09 | | | | 25.70 | | | | — | | | | 26.79 | | | | (1.10 | ) | | | — | | | | — | | | | (1.10 | ) | | | 88.56 | | | | 43.08 | | | | 43.07 | | | | 0.27 | | | | 0.27 | | | | 1.39 | | | | 1.39 | | | | 3,985 | | | | 29 | | |
Year ended
May 31, 2020 | | | 57.57 | | | | 1.11 | | | | 5.28 | | | | — | | | | 6.39 | | | | (1.09 | ) | | | — | | | | — | | | | (1.09 | ) | | | 62.87 | | | | 11.21 | | | | 11.27 | | | | 0.27 | | | | 0.27 | | | | 1.79 | | | | 1.79 | | | | 2,201 | | | | 5 | | |
Year ended
May 31, 2019 | | | 56.95 | | | | 0.99 | | | | 0.62 | | | | — | | | | 1.61 | | | | (0.99 | ) | | | — | | | | — | | | | (0.99 | ) | | | 57.57 | | | | 2.88 | | | | 2.13 | | | | 0.27 | | | | 0.27 | | | | 1.72 | | | | 1.72 | | | | 1,439 | | | | 6 | | |
Year ended
May 31, 2018 | | | 50.44 | | | | 0.94 | | | | 6.42 | | | | — | | | | 7.36 | | | | (0.85 | ) | | | — | | | | — | | | | (0.85 | ) | | | 56.95 | | | | 14.68 | | | | 16.29 | | | | 0.27 | | | | 0.27 | | | | 1.73 | | | | 1.73 | | | | 1,424 | | | | 8 | | |
| S&P 500® Ex-Technology ETF | |
Year ended
May 31, 2022 | | | 73.72 | | | | 1.07 | | | | (1.94 | ) | | | — | | | | (0.87 | ) | | | (1.01 | ) | | | — | | | | — | | | | (1.01 | ) | | | 71.84 | | | | (1.25 | ) | | | (1.32 | ) | | | 0.22 | | | | 0.21 | | | | 1.39 | | | | 1.41 | | | | 9,340 | | | | 4 | | |
Year ended
May 31, 2021 | | | 53.97 | | | | 0.96 | | | | 19.79 | | | | — | | | | 20.75 | | | | (1.00 | ) | | | — | | | | — | | | | (1.00 | ) | | | 73.72 | | | | 38.92 | | | | 38.98 | | | | 0.27 | | | | 0.27 | | | | 1.48 | | | | 1.48 | | | | 7,372 | | | | 15 | | |
Year ended
May 31, 2020 | | | 52.09 | | | | 1.04 | | | | 1.87 | (i) | | | — | | | | 2.91 | | | | (1.03 | ) | | | — | | | | — | | | | (1.03 | ) | | | 53.97 | | | | 5.64 | | | | 5.67 | | | | 0.27 | | | | 0.27 | | | | 1.89 | | | | 1.89 | | | | 2,699 | | | | 5 | | |
Year ended
May 31, 2019 | | | 51.48 | | | | 0.96 | | | | 0.62 | | | | — | | | | 1.58 | | | | (0.97 | ) | | | — | | | | — | | | | (0.97 | ) | | | 52.09 | | | | 3.10 | | | | 2.07 | | | | 0.27 | | | | 0.27 | | | | 1.83 | | | | 1.83 | | | | 3,126 | | | | 22 | | |
Year ended
May 31, 2018 | | | 47.50 | | | | 0.96 | | | | 3.89 | | | | — | | | | 4.85 | | | | (0.87 | ) | | | — | | | | — | | | | (0.87 | ) | | | 51.48 | | | | 10.29 | | | | 11.20 | | | | 0.27 | | | | 0.27 | | | | 1.87 | | | | 1.87 | | | | 2,574 | | | | 4 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 145
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| S&P Kensho Cleantech ETF | |
September 29,
2021* through
May 31, 2022 | | $ | 40.00 | | | $ | (0.07 | ) | | $ | (9.37 | ) | | $ | — | (h) | | $ | (9.44 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 30.56 | | | | (23.61 | )% | | | (23.60 | )% | | | 0.58 | % | | | 0.58 | % | | | (0.27 | )% | | | (0.27 | )% | | $ | 3,056 | | | | 40 | % | |
| S&P Kensho Smart Factories ETF | |
September 29,
2021* through
May 31, 2022 | | | 40.00 | | | | 0.04 | | | | (7.74 | ) | | | — | (h) | | | (7.70 | ) | | | — | | | | — | | | | — | | | | — | | | | 32.30 | | | | (19.24 | ) | | | (19.28 | ) | | | 0.58 | | | | 0.58 | | | | 0.16 | | | | 0.16 | | | | 2,423 | | | | 42 | | |
| S&P MidCap 400® Dividend Aristocrats ETF | |
Year ended
May 31, 2022 | | | 73.38 | | | | 1.93 | | | | (1.47 | ) | | | — | | | | 0.46 | | | | (1.89 | ) | | | — | | | | — | | | | (1.89 | ) | | | 71.95 | | | | 0.71 | | | | 0.62 | | | | 0.40 | | | | 0.40 | | | | 2.70 | | | | 2.70 | | | | 1,105,226 | | | | 34 | | |
Year ended
May 31, 2021 | | | 52.54 | | | | 1.51 | | | | 20.78 | | | | — | | | | 22.29 | | | | (1.45 | ) | | | — | | | | — | | | | (1.45 | ) | | | 73.38 | | | | 43.17 | | | | 43.37 | | | | 0.40 | | | | 0.40 | | | | 2.45 | | | | 2.45 | | | | 1,040,520 | | | | 31 | | |
Year ended
May 31, 2020 | | | 55.48 | | | | 1.36 | | | | (2.90 | ) | | | — | | | | (1.54 | ) | | | (1.40 | ) | | | — | | | | — | | | | (1.40 | ) | | | 52.54 | | | | (2.77 | ) | | | (2.83 | ) | | | 0.41 | | | | 0.41 | | | | 2.43 | | | | 2.43 | | | | 680,406 | | | | 37 | | |
Year ended
May 31, 2019 | | | 53.89 | | | | 1.06 | | | | 1.53 | | | | — | | | | 2.59 | | | | (1.00 | ) | | | — | | | | — | | | | (1.00 | ) | | | 55.48 | | | | 4.84 | | | | 4.81 | | | | 0.40 | | | | 0.40 | | | | 1.89 | | | | 1.89 | | | | 615,828 | | | | 32 | | |
Year ended
May 31, 2018 | | | 51.35 | | | | 1.00 | | | | 2.51 | | | | — | | | | 3.51 | | | | (0.97 | ) | | | — | | | | — | | | | (0.97 | ) | | | 53.89 | | | | 6.89 | | | | 6.86 | | | | 0.40 | | | | 0.40 | | | | 1.89 | | | | 1.89 | | | | 379,949 | | | | 29 | | |
* Commencement of investment operations.
See accompanying notes to the financial statements.
146 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| S&P Technology Dividend Aristocrats ETF | |
Year ended
May 31, 2022 | | $ | 58.17 | | | $ | 0.84 | | | $ | 0.64 | | | $ | — | | | $ | 1.48 | | | $ | (0.75 | ) | | $ | — | | | $ | — | | | $ | (0.75 | ) | | $ | 58.90 | | | | 2.48 | % | | | 2.46 | % | | | 0.45 | % | | | 0.45 | % | | | 1.37 | % | | | 1.37 | % | | $ | 109,560 | | | | 24 | % | |
Year ended
May 31, 2021 | | | 40.17 | | | | 0.67 | | | | 17.93 | | | | — | | | | 18.60 | | | | (0.60 | ) | | | — | | | | — | | | | (0.60 | ) | | | 58.17 | | | | 46.67 | | | | 46.59 | | | | 0.45 | | | | 0.45 | | | | 1.33 | | | | 1.33 | | | | 97,734 | | | | 43 | | |
November 5,
2019* through
May 31, 2020 | | | 40.00 | | | | 0.36 | | | | 0.00 | (h) | | | — | | | | 0.36 | | | | (0.19 | ) | | | — | | | | — | | | | (0.19 | ) | | | 40.17 | | | | 0.98 | | | | 1.06 | | | | 0.46 | | | | 0.46 | | | | 1.66 | | | | 1.66 | | | | 40,571 | | | | 31 | | |
| Smart Materials ETF | |
October 26,
2021* through
May 31, 2022 | | | 40.00 | | | | 0.21 | | | | (4.69 | ) | | | 0.01 | | | | (4.47 | ) | | | (0.17 | ) | | | — | | | | — | | | | (0.17 | ) | | | 35.36 | | | | (11.20 | ) | | | (11.48 | ) | | | 0.58 | | | | 0.58 | | | | 0.93 | | | | 0.93 | | | | 1,768 | | | | 50 | | |
| Supply Chain Logistics ETF | |
April 6, 2022*
through
May 31, 2022 | | | 40.00 | | | | 0.14 | | | | (0.05 | ) | | | 0.02 | | | | 0.11 | | | | — | | | | — | | | | — | | | | — | | | | 40.11 | | | | 0.29 | | | | (0.18 | ) | | | 0.58 | | | | 0.58 | | | | 2.36 | | | | 2.36 | | | | 2,006 | | | | 10 | | |
* Commencement of investment operations.
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 147
ProShares Trust Notes to Financial Highlights:
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Includes transaction fees associated with the issuance and redemption of Creation Units.
(c) Not annualized for periods less than one year.
(d) 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, if any, and redemption on the last day of the period at net asset value. 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.
(e) 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, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., NYSE and NASDAQ) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund's closing price on the listing market.
(f) Annualized for periods less than one year.
(g) 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. In-Kind transactions are not included in the portfolio turnover calculations.
(h) Per share amount is less than $0.005.
(i) The amount shown for a share outstanding throughout the period is not in accordance with the aggregate net realized and unrealized gain (loss) for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund.
(j) Per share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective April 21, 2020.
(k) During the year, the Fund invested in certain exchange traded funds for a limited period of time. The portfolio turnover rate shown above reflects the impact of that investment over the period of time during which the Fund held those exchange traded funds. If the calculation of portfolio turnover included periods in which the Fund did not hold these exchange traded funds, the portfolio turnover rate would have been 1,324%.
(l) Reflects special dividends paid out during the period by one of the Fund's holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.38) and the net investment income (loss) net of waivers ratio would have been (0.45)%.
(m) Includes net futures account fees amounting to 0.02%. Excluding these fees, the ratio of expenses to average net assets would have been 0.65%.
(n) Includes net futures account fees amounting to 0.06%. Excluding these fees, the ratio of expenses to average net assets would have been 0.65%.
(o) Per share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective January 13, 2022.
# Amount has been reclassified based on the tax character of the distributions for the tax year ended October 31, 2020.
See accompanying notes to the financial statements.
148 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
NOTES TO FINANCIAL STATEMENTS
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 149
1. Organization
ProShares Trust (the "Trust") is registered as an open-end management investment company under the Investment Company Act of 1940 ("1940 Act"). The Trust was formed as a Delaware statutory trust on May 29, 2002, has authorized capital of an unlimited number of shares at no par value and is comprised of 119 operational funds. These accompanying Notes to Financial Statements relate to the portfolios of the Trust included in this report (collectively, the "Funds" and individually, a "Fund"). Each Fund qualifies as an investment company as defined in the Financial Accounting Standards Codification Topic 946 — Financial Services — Investment Companies. Each Fund is considered to be "non-diversified" under the 1940 Act, except for ProShares DJ Brookfield Global Infrastructure ETF, ProShares Equities for Rising Rates ETF, ProShares High Yield-Interest Rate Hedged, ProShares Investment Grade-Interest Rate Hedged, ProShares Metaverse ETF, ProShares MSCI EAFE Dividend Growers ETF, ProShares MSCI Emerging Markets Dividend Growers ETF, ProShares MSCI Europe Dividend Growers ETF, ProShares MSCI Transformational Changes ETF, ProShares Russell 2000 Dividend Growers ETF, ProShares Russell U.S. Dividend Growers ETF, ProShares S&P 500® Bond ETF, ProShares S&P 500® Dividend Aristocrats ETF, ProShares S&P 500® Ex-Energy ETF, ProShares S&P 500® Ex-Financials ETF, ProShares S&P 500® Ex-Health Care ETF, ProShares S&P 500® Ex-Technology ETF and ProShares S&P MidCap 400® Dividend Aristocrats ETF.
ProShares Managed Futures Strategy ETF, ProShares Morningstar Alternatives Solution ETF, ProShares RAFITM Long/Short and ProShares Short Term USD Emerging Markets Bond ETF were liquidated on May 17, 2022.
2. Significant Accounting Policies
The net asset value per share ("NAV") of each Fund, except as detailed below, is generally determined as of the close of the regular trading session of the exchange on which it is listed (is typically calculated as of 4:00 p.m. Eastern Time) on each business day. The NAV of ProShares High Yield — Interest Rate Hedged, ProShares Inflation Expectations ETF, ProShares Investment Grade — Interest Rate Hedged and ProShares S&P 500® Bond ETF is typically calculated as of 3:00 p.m. (Eastern Time) on each business day. The NAV of ProShares K-1 Free Crude Oil Strategy ETF is typically calculated as of 2:30 p.m. (Eastern Time) on each business day when the Cboe BZX Exchange Inc. ("BZX Exchange") is open for trading. The NAV of each of ProShares MSCI EAFE Dividend Growers ETF and ProShares MSCI Europe Dividend Growers ETF is typically calculated as of 11:30 a.m. Eastern Time (this time may vary due to differences in when daylight savings time is effective between London and New York. The actual valuation time is 4:30 p.m., London Time).
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 ("GAAP"). The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts. The actual results could differ from those estimates.
Investment Valuation
The Funds record their investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The securities in the portfolio of a Fund that are listed or traded on a stock exchange or the Nasdaq Stock Market, except as otherwise noted, are generally valued at the closing price, if available, or the last sale price on the exchange or system where the security is principally traded, generally using information provided by a third party pricing service, or market quotations. These valuations are typically categorized as Level 1 in the fair value hierarchy described below. If there have been no sales for that day on the exchange or system where the security is principally traded, then fair value may be determined with reference to the mean of the latest bid and asked quotes, if applicable, on the exchange or system. If there have been no sales or quotes of the security for that day on the exchange or system, the security will be valued in accordance with procedures approved by the Trust's Board of Trustees (the "Board").
Exchange traded funds held by ProShares K-1 Free Crude Oil Strategy ETF are valued at the last traded price at the time the Fund NAV is determined, and will typically be categorized as a Level 1 in the fair value hierarchy. Exchange traded funds held by other Funds are generally valued at the closing price, if available, or the last sale price as described above, and are typically categorized as Level 1 in the fair value hierarchy.
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 furnished by primary market makers for those instruments. Fixed-income securities are valued according to prices as furnished by an independent pricing service, generally at the mean of the bid and asked quotes for U.S. Treasury securities and at the bid or evaluated bid price for corporate bonds. Centrally cleared index-based swaps are generally valued at the mean between the bid and asked prices as furnished by an independent pricing service. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Exchange traded bond, commodity and currency futures contracts are generally valued at the official futures settlement price, except for currency futures contracts held by Hedge Replication ETF which are generally valued at their last sale price prior to the time at which the NAV of the Fund is determined. These valuations are typically categorized as Level 1 in the fair value hierarchy. If there was no sale on that day, fair valuation procedures as described below may be applied. Non-exchange traded derivatives (e.g. non-exchange traded swap agreements) are generally valued using independent sources and/or agreement with counterparties or other procedures approved by the Board and are typically categorized as Level 2 in the fair value hierarchy.
When ProShare Advisors LLC (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 prices become stale, or an event occurs that materially affects the furnished price), the Advisor may, in good faith, establish a
150 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
fair value for that security in accordance with procedures established by and under the general supervision and responsibility of the Board. Fair value pricing may require subjective determinations about the value of a security. While the Trust's policy is intended to result in a calculation of a Fund's NAV that fairly reflects security values as of the time of pricing, the Trust cannot ensure that fair values determined by the Advisor or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold and the differences could be material to the financial statements. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy.
The Funds disclose the fair value of their investments in a hierarchy that distinguishes between: (1) market participant assumptions which are developed based on market data obtained from sources independent of the Funds (observable inputs) and (2) the Funds' own assumptions about market participant assumptions which are developed based on the best information available under the circumstances
(unobservable inputs). The three levels defined by the hierarchy are as follows:
• Level 1 — Quoted prices in active markets for identical assets.
• Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
• Level 3 — Significant unobservable inputs (including assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For example, short-term debt securities maturing in sixty days or less may be valued at amortized cost. Generally, amortized cost approximates the current fair value of a security, but since the valuation is not obtained from a quoted price in an active market, such securities are typically reflected as Level 2. Fair value measurements may also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.
The following is a summary of the valuations as of May 31, 2022, for each Fund based upon the three levels defined above:
Please refer to the Schedules of Portfolio Investments to view equity and debt securities segregated by industry type.
| | |
LEVEL 1 - Quoted Prices | |
LEVEL 2 - Other Significant Observable Inputs | | LEVEL 3 -
Significant
Unobservable
Inputs | |
Total | |
| |
Common
Stocks/
Shares of
Beneficial
Interest | |
Securities
Lending
Reinvestments | |
Futures
Contracts* | |
Rights/
Warrants | |
U.S.
Treasury
Obligations | |
Corporate
Bonds | |
Repurchase
Agreements | |
Swap
Agreements* | |
Forward
Currency
Contracts* | |
Common
Stocks/
Shares of
Beneficial
Interest | |
Investment
Securities,
including
Repurchase
Agreements | | Other
Financial
Instruments,
including
Futures
Contracts,
Swap
Agreements,
and Forward
Currency
Contracts* | |
| Big Data Refiners ETF | | $ | 2,413,611 | | | $ | 153,820 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | $ | 2,567,431 | | | | — | | |
| Bitcoin Strategy ETF | | | — | | | | — | | | $ | (1,905,772 | ) | | | — | | | $ | 299,321,562 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 299,321,562 | | | $ | (1,905,772 | ) | |
Decline of the Retail Store
ETF | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | $ | 8,114,718 | | | $ | 654,628 | | | | — | | | | — | | | | 8,114,718 | | | | 654,628 | | |
DJ Brookfield Global
Infrastructure ETF | | | 152,165,705 | | | | 3,153,905 | | | | — | | | | — | | | | — | | | | — | | | | 274,050 | | | | — | | | | — | | | | — | | | | 155,593,660 | | | | — | | |
Equities for Rising Rates
ETF | | | 104,587,779 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 80,595 | | | | — | | | | — | | | | — | | | | 104,668,374 | | | | — | | |
Global Listed Private Equity
ETF | | | 14,116,815 | | | | 38,824 | | | | — | | | | — | | | | — | | | | — | | | | 63,472 | | | | — | | | | — | | | | — | | | | 14,219,111 | | | | — | | |
| Hedge Replication ETF | | | 8,972,183 | | | | 9 | | | | 121,549 | | | $ | 157 | | | | 32,467,844 | | | | — | | | | 2,063,136 | | | | (1,571,510 | ) | | | — | | | | — | | | | 43,503,329 | | | | (1,449,961 | ) | |
High Yield-Interest Rate
Hedged | | | — | | | | 3,173,875 | | | | 676,468 | | | | — | | | | — | | | $ | 139,347,940 | | | | 773,935 | | | | — | | | | — | | | | — | | | | 143,295,750 | | | | 676,468 | | |
Inflation Expectations
ETF | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 57,971,129 | | | | (2,165,666 | ) | | | — | | | | — | | | | 57,971,129 | | | | (2,165,666 | ) | |
Investment Grade-Interest
Rate Hedged | | | — | | | | 40,700 | | | | 6,417,333 | | | | — | | | | — | | | | 630,545,552 | | | | 4,554,779 | | | | — | | | | — | | | | — | | | | 635,141,031 | | | | 6,417,333 | | |
K-1 Free Crude Oil Strategy
ETF | | | — | | | | — | | | | 17,552,949 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 17,552,949 | | |
| Large Cap Core Plus | | | 447,652,594 | | | | 2,630,055 | | | | — | | | | — | | | | — | | | | — | | | | 25,669,361 | | | | (2,914,521 | ) | | | — | | | | — | | | | 475,952,010 | | | | (2,914,521 | ) | |
Long Online /Short Stores
ETF | | | 19,227,695 | | | | 1,474,600 | | | | — | | | | — | | | | — | | | | — | | | | 1,716,841 | | | | (1,217,793 | ) | | | — | | | | — | (a) | | | 22,419,136 | | | | (1,217,793 | ) | |
| Merger ETF | | | 60,194,951 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 6,876,217 | | | | 4,018,063 | | | $ | 301,886 | | | | — | | | | 67,071,168 | | | | 4,319,949 | | |
| Metaverse ETF | | | 7,802,647 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 7,802,647 | | | | — | | |
MSCI EAFE Dividend
Growers ETF | | | 106,185,987 | | | | 1,818,961 | | | | — | | | | — | | | | — | | | | — | | | | 629,486 | | | | — | | | | — | | | | — | | | | 108,634,434 | | | | — | | |
MSCI Emerging Markets
Dividend Growers ETF | | | 17,401,756 | | | | — | | | | — | | | | — | | | | — | | | | 3,253 | | | | — | | | | — | | | | — | | | | — | (a) | | | 17,405,009 | | | | — | | |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 151
| | LEVEL 1 - Quoted Prices | | LEVEL 2 - Other Significant Observable Inputs | | LEVEL 3 -
Significant
Unobservable
Inputs | | Total | |
| | Common
Stocks/
Shares of
Beneficial
Interest | | Securities
Lending
Reinvestments | | Futures
Contracts* | | Rights/
Warrants | | U.S.
Treasury
Obligations | | Corporate
Bonds | | Repurchase
Agreements | | Swap
Agreements* | | Forward
Currency
Contracts* | | Common
Stocks/
Shares of
Beneficial
Interest | | Investment
Securities,
including
Repurchase
Agreements | | Other
Financial
Instruments,
including
Futures
Contracts,
Swap
Agreements,
and Forward
Currency
Contracts* | |
MSCI Europe Dividend
Growers ETF | | $ | 13,618,628 | | | $ | 101,880 | | | | — | | | | — | | | | — | | | | — | | | $ | 56,986 | | | | — | | | | — | | | | — | | | $ | 13,777,494 | | | | — | | |
MSCI Transformational
Changes ETF | | | 29,549,009 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 29,549,009 | | | | — | | |
| Nanotechnology ETF | | | 2,541,982 | | | | 28,710 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,570,692 | | | | — | | |
Nasdaq-100 Dorsey Wright
Momentum ETF | | | 18,448,935 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 18,506 | | | | — | | | | — | | | | — | | | | 18,467,441 | | | | — | | |
| On-Demand ETF | | | 1,084,061 | | | | 2,449 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,086,510 | | | | — | | |
| Online Retail ETF | | | 320,612,010 | | | | 24,777,454 | | | | — | | | | — | | | | — | | | | — | | | | 62,973 | | | | — | | | | — | | | | — | (a) | | | 345,452,437 | | | | — | | |
| Pet Care ETF | | | 172,979,038 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 244,009 | | | | — | | | | — | | | | — | | | | 173,223,047 | | | | — | | |
Russell 2000 Dividend
Growers ETF | | | 862,927,502 | | | | 8,704,260 | | | | — | | | | — | | | | — | | | | — | | | | 810,560 | | | | — | | | | — | | | | — | | | | 872,442,322 | | | | — | | |
Russell U.S. Dividend
Growers ETF | | | 13,662,210 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 7,831 | | | | — | | | | — | | | | — | | | | 13,670,041 | | | | — | | |
| S&P 500® Bond ETF | | | — | | | | — | | | | — | | | | — | | | | — | | | $ | 19,411,076 | | | | 544,103 | | | | — | | | | — | | | | — | | | | 19,955,179 | | | | — | | |
S&P 500® Dividend
Aristocrats ETF | | | 10,218,957,429 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 5,034,083 | | | | — | | | | — | | | | — | | | | 10,223,991,512 | | | | — | | |
| S&P 500® Ex-Energy ETF | | | 25,857,108 | | | | 9,686 | | | | — | | | | — | | | | — | | | | — | | | | 5,352 | | | | — | | | | — | | | | — | | | | 25,872,146 | | | | — | | |
S&P 500® Ex-Financials
ETF | | | 8,264,304 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 3,100 | | | | — | | | | — | | | | — | | | | 8,267,404 | | | | — | | |
S&P 500® Ex-Health Care
ETF | | | 3,857,299 | | | | 117 | | | | — | | | | — | | | | — | | | | — | | | | 2,273 | | | | — | | | | — | | | | — | | | | 3,859,689 | | | | — | | |
S&P 500® Ex-Technology
ETF | | | 9,323,975 | | | | 302 | | | | — | | | | — | | | | — | | | | — | | | | 1,226 | | | | — | | | | — | | | | — | | | | 9,325,503 | | | | — | | |
S&P Kensho Cleantech
ETF | | | 3,055,025 | | | | 368,658 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 3,423,683 | | | | — | | |
S&P Kensho Smart
Factories ETF | | | 2,414,907 | | | | 137,035 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,551,942 | | | | — | | |
S&P MidCap 400® Dividend
Aristocrats ETF | | | 1,102,212,198 | | | | 107,000 | | | | — | | | | — | | | | — | | | | — | | | | 1,689,415 | | | | — | | | | — | | | | — | | | | 1,104,008,613 | | | | — | | |
S&P Technology Dividend
Aristocrats ETF | | | 109,323,674 | | | | 2,299,747 | | | | — | | | | — | | | | — | | | | — | | | | 96,094 | | | | — | | | | — | | | | — | | | | 111,719,515 | | | | — | | |
| Smart Materials ETF | | | 1,759,997 | | | | 19,614 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,779,611 | | | | — | | |
Supply Chain Logistics
ETF | | | 1,998,298 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,998,298 | | | | — | | |
* These investments are recorded in the financial statements at the unrealized gain or loss on the investment.
(a) Security has zero value.
There were no other Level 3 securities held at period end, except those securities classified as Level 3 in the Schedules of Portfolio Investments of ProShares Long Online/Short Stores ETF, ProShares MSCI Emerging Markets Dividend Growers ETF and ProShares Online Retails ETF which are considered quantitatively insignificant for additional disclosure.
Foreign Currency Translation
Each Fund's accounting records are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies and commitments under forward foreign currency exchange contracts are translated into U.S. dollars as of the close of London world markets except that such translations with respect to the ProShares Big Data Refiners ETF, ProShares DJ Brookfield Global Infrastructure ETF, ProShares Global Listed Private Equity ETF, ProShares Merger ETF, ProShares Metaverse ETF, ProShares MSCI Emerging Markets Dividend Growers ETF, ProShares MSCI Transformational Changes ETF, ProShares Nanotechnology ETF, ProShares On-Demand ETF, ProShares Pet Care ETF, ProShares S&P Kensho Cleantech ETF, ProShares S&P Kensho Smart Factories ETF, ProShares Smart Materials ETF and ProShares Supply Chain Logistics ETF each utilize the last quoted New York rates prior to 4:00 p.m. The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
152 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
Repurchase Agreements
Each of the Funds may enter into repurchase agreements. Repurchase agreements are primarily used by the Funds as short-term investments for cash positions. Under a repurchase agreement, a Fund purchases one or more debt securities and simultaneously agrees to sell those securities back to the seller at a mutually agreed-upon future price and date, normally one day or a few days later. The resale price is greater than the purchase price, reflecting an agreed-upon market interest rate during the purchaser's holding period. While the maturities of the underlying securities in repurchase transactions may be more than one year, the term of each repurchase agreement will always be less than one year. The Funds follow certain procedures designed to minimize the risks inherent in such agreements. These procedures include e-affecting repurchase transactions generally with major global financial institutions whose creditworthiness is monitored by the Advisor. In addition, the value of the collateral underlying the repurchase agreement is required to be at least equal to the repurchase price, including any accrued interest income earned on the repurchase agreement. The Funds may invest in repurchase agreements through joint account arrangements; in such cases, each Fund holds a pro rata share of the collateral and interest income based upon the dollar amount of the repurchase agreements entered into by each Fund. The collateral underlying the repurchase agreement is held by the Fund's custodian. A repurchase agreement is subject to 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 declare bankruptcy or the Fund may have difficulty exercising rights to the collateral. During periods of high demand for repurchase agreements, the Funds may be unable to invest available cash in these instruments to the extent desired by the Advisor.
On May 31, 2022, the Funds had interest in joint repurchase agreements with the following counterparties, for the time periods and rates indicated. Amounts shown in the table below represent Principal Amount, Cost and Value for each respective repurchase agreement.
| Fund Name | | Bank of America
Securities, Inc.,
0.77%, dated
05/31/2022 due
06/01/2022 (a) | | Barclays
Capital, Inc.,
0.50%, dated
05/31/2022 due
06/01/2022 (b) | | Barclays
Capital, Inc.,
0.55%, dated
05/31/2022 due
06/01/2022 (c) | | Barclays
Capital, Inc.,
0.65%, dated
05/31/2022 due
06/01/2022 (d) | | Barclays
Capital, Inc.,
0.76%, dated
05/31/2022 due
06/01/2022 (e) | | BNP Paribas
Securities
Corp.,
0.59%, dated
05/31/2022 due
06/01/2022 (f) | | BNP Paribas
Securities
Corp.,
0.77%, dated
05/31/2022 due
06/01/2022 (g) | | ING Financial
Markets LLC,
0.77%, dated
05/31/2022 due
06/01/2022 (h) | | Total | |
| Decline of the Retail Store ETF | | $ | 533,906 | | | $ | 99,154 | | | $ | 457,633 | | | $ | 762,722 | | | $ | 914,620 | | | $ | 762,722 | | | $ | 3,889,883 | | | $ | 694,078 | | | $ | 8,114,718 | | |
| DJ Brookfield Global Infrastructure ETF | | | 18,031 | | | | 3,349 | | | | 15,455 | | | | 25,759 | | | | 30,887 | | | | 25,759 | | | | 131,369 | | | | 23,441 | | | | 274,050 | | |
| Equities for Rising Rates ETF | | | 5,303 | | | | 985 | | | | 4,545 | | | | 7,575 | | | | 9,084 | | | | 7,575 | | | | 38,634 | | | | 6,894 | | | | 80,595 | | |
| Global Listed Private Equity ETF | | | 4,176 | | | | 776 | | | | 3,580 | | | | 5,966 | | | | 7,154 | | | | 5,966 | | | | 30,425 | | | | 5,429 | | | | 63,472 | | |
| Hedge Replication ETF | | | 135,743 | | | | 25,209 | | | | 116,352 | | | | 193,919 | | | | 232,539 | | | | 193,919 | | | | 988,988 | | | | 176,467 | | | | 2,063,136 | | |
| High Yield-Interest Rate Hedged | | | 50,921 | | | | 9,457 | | | | 43,646 | | | | 72,744 | | | | 87,232 | | | | 72,744 | | | | 370,994 | | | | 66,197 | | | | 773,935 | | |
| Inflation Expectations ETF | | | 3,814,193 | | | | 708,350 | | | | 3,269,309 | | | | 5,448,848 | | | | 6,534,007 | | | | 5,448,848 | | | | 27,789,124 | | | | 4,958,450 | | | | 57,971,129 | | |
| Investment Grade-Interest Rate Hedged | | | 299,680 | | | | 55,655 | | | | 256,869 | | | | 428,115 | | | | 513,376 | | | | 428,115 | | | | 2,183,386 | | | | 389,583 | | | | 4,554,779 | | |
| Large Cap Core Plus | | | 1,688,908 | | | | 313,654 | | | | 1,447,635 | | | | 2,412,726 | | | | 2,893,229 | | | | 2,412,726 | | | | 12,304,902 | | | | 2,195,581 | | | | 25,669,361 | | |
| Long Online/Short Stores ETF | | | 112,959 | | | | 20,978 | | | | 96,822 | | | | 161,370 | | | | 193,508 | | | | 161,370 | | | | 822,987 | | | | 146,847 | | | | 1,716,841 | | |
| Merger ETF | | | 452,419 | | | | 84,021 | | | | 387,787 | | | | 646,312 | | | | 775,028 | | | | 646,312 | | | | 3,296,193 | | | | 588,145 | | | | 6,876,217 | | |
| MSCI EAFE Dividend Growers ETF | | | 41,417 | | | | 7,692 | | | | 35,500 | | | | 59,167 | | | | 70,950 | | | | 59,167 | | | | 301,751 | | | | 53,842 | | | | 629,486 | | |
| MSCI Europe Dividend Growers ETF | | | 3,749 | | | | 696 | | | | 3,214 | | | | 5,356 | | | | 6,424 | | | | 5,356 | | | | 27,317 | | | | 4,874 | | | | 56,986 | | |
Nasdaq-100 Dorsey Wright Momentum
ETF | | | 1,218 | | | | 226 | | | | 1,044 | | | | 1,739 | | | | 2,086 | | | | 1,739 | | | | 8,871 | | | | 1,583 | | | | 18,506 | | |
| Online Retail ETF | | | 4,143 | | | | 769 | | | | 3,551 | | | | 5,919 | | | | 7,098 | | | | 5,919 | | | | 30,187 | | | | 5,387 | | | | 62,973 | | |
| Pet Care ETF | | | 16,055 | | | | 2,982 | | | | 13,761 | | | | 22,935 | | | | 27,502 | | | | 22,935 | | | | 116,968 | | | | 20,871 | | | | 244,009 | | |
| Russell 2000 Dividend Growers ETF | | | 53,330 | | | | 9,904 | | | | 45,712 | | | | 76,187 | | | | 91,359 | | | | 76,187 | | | | 388,551 | | | | 69,330 | | | | 810,560 | | |
| Russell U.S. Dividend Growers ETF | | | 515 | | | | 96 | | | | 442 | | | | 736 | | | | 882 | | | | 736 | | | | 3,754 | | | | 670 | | | | 7,831 | | |
| S&P 500® Bond ETF | | | 35,799 | | | | 6,648 | | | | 30,685 | | | | 51,142 | | | | 61,326 | | | | 51,142 | | | | 260,823 | | | | 46,538 | | | | 544,103 | | |
| S&P 500® Dividend Aristocrats ETF | | | 331,216 | | | | 61,512 | | | | 283,899 | | | | 473,166 | | | | 567,398 | | | | 473,166 | | | | 2,413,145 | | | | 430,581 | | | | 5,034,083 | | |
| S&P 500® Ex-Energy ETF | | | 352 | | | | 65 | | | | 302 | | | | 503 | | | | 603 | | | | 503 | | | | 2,566 | | | | 458 | | | | 5,352 | | |
| S&P 500® Ex-Financials ETF | | | 204 | | | | 38 | | | | 175 | | | | 291 | | | | 350 | | | | 291 | | | | 1,486 | | | | 265 | | | | 3,100 | | |
| S&P 500® Ex-Health Care ETF | | | 150 | | | | 28 | | | | 128 | | | | 214 | | | | 256 | | | | 214 | | | | 1,089 | | | | 194 | | | | 2,273 | | |
| S&P 500® Ex-Technology ETF | | | 81 | | | | 15 | | | | 69 | | | | 115 | | | | 138 | | | | 115 | | | | 588 | | | | 105 | | | | 1,226 | | |
S&P MidCap 400® Dividend Aristocrats
ETF | | | 111,156 | | | | 20,643 | | | | 95,275 | | | | 158,792 | | | | 190,416 | | | | 158,792 | | | | 809,840 | | | | 144,501 | | | | 1,689,415 | | |
| S&P Technology Dividend Aristocrats ETF | | | 6,322 | | | | 1,174 | | | | 5,419 | | | | 9,032 | | | | 10,831 | | | | 9,032 | | | | 46,064 | | | | 8,220 | | | | 96,094 | | |
| | $ | 7,721,946 | | | $ | 1,434,076 | | | $ | 6,618,809 | | | $ | 11,031,350 | | | $ | 13,228,283 | | | $ | 11,031,350 | | | $ | 56,259,885 | | | $ | 10,038,531 | | | $ | 117,364,230 | | |
Each Repurchase Agreement was fully collateralized by U.S. government and/or agency securities at May 31, 2022 as follows:
(a) U.S. Treasury Bonds, 0%, due 11/15/2022 to 5/15/2052, which had an aggregate value at the Trust level of $357,000,024.
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 153
(b) U.S. Treasury Bonds, 2.75% to 4.5%, due 8/15/2039 to 11/15/2047, which had an aggregate value at the Trust level of $66,300,000.
(c) U.S. Treasury Bonds, 1.38% to 3%, due 2/15/2047 to 8/15/2050; U.S. Treasury Notes, 0.63% to 1.25%, due 8/31/2024 to 5/15/2030, which had an aggregate value at the Trust level of $306,000,010.
(d) U.S. Treasury Notes, 0.25% to 0.38%, due 1/15/2025 to 7/15/2025, which had an aggregate value at the Trust level of $510,000,118.
(e) U.S. Treasury Notes, 0.13% to 2.38%, due 7/15/2022 to 10/31/2027, which had an aggregate value at the Trust level of $611,568,562.
(f) U.S. Treasury Bonds, 0% to 1.88%, due 2/15/2027 to 11/15/2051; U.S. Treasury Notes, 0.38% to 2.75%, due 11/15/2024 to 1/15/2029, which had an aggregate value at the Trust level of $510,000,000.
(g) U.S. Treasury Bills, 0%, due 11/25/2022; U.S. Treasury Bonds, 0% to 5%, due 2/15/2027 to 11/15/2051; U.S. Treasury Notes, 0.38% to 2.75%, due 7/15/2023 to 5/31/2029, which had an aggregate value at the Trust level of $2,601,000,015.
(h) Federal Farm Credit Bank, 1.12%, due 11/16/2022; Federal Home Loan Bank, 0.5% to 1.2%, due 5/20/2024 to 6/13/2025; Federal Home Loan Mortgage Corp., 0%, due 9/15/2029 to 3/15/2031; Federal National Mortgage Association, 0% to 6.63%, due 9/6/2024 to 11/15/2030; U.S. Treasury Bills, 0%, due 11/3/2022 to 5/18/2023; U.S. Treasury Bonds, 0.63% to 5.5%, due 8/15/2028 to 8/15/2046; U.S. Treasury Notes, 0.13% to 2.88%, due 11/15/2022 to 1/15/2032, which had an aggregate value at the Trust level of $464,103,342.
Reverse Repurchase Agreements
Bitcoin Strategy ETF may enter into reverse repurchase agreements as part of its investment strategy, which may be viewed as a form of borrowing. Reverse repurchase agreements involve sales by the Fund of portfolio assets for cash concurrently with an agreement by the Fund to repurchase those same assets at a later date at a fixed price. Generally, the effect of such a transaction is that the Fund can recover all or most of the cash invested in the portfolio securities involved during the term of the reverse repurchase agreement, while the Fund will be able to keep the interest income associated with those portfolio securities. Such transactions are advantageous only if the interest cost to the Fund of the reverse repurchase transaction is less than the cost of obtaining the cash otherwise. For the ProShares Bitcoin Strategy ETF, the interest on reverse repurchase agreements is part of the unitary fee and is not a direct fund expense. Opportunities to achieve this advantage may not always be available, and the Fund intends to use the reverse repurchase technique only when it will be to the Fund's advantage to do so. The Fund will segregate with its custodian bank cash or liquid instruments equal in value to the Fund's obligations with respect to reverse repurchase agreements.
As of May 31, 2022, the Fund had no outstanding reverse repurchase agreements. The weighted average daily balance of the reverse repurchase agreements during the period October 18, 2021 (commencement of operations) to May 31, 2022 was $894,609,949.
Equity Securities
Certain Funds may invest in equity securities, including in shares of foreign or U.S. common stock, Real Estate Investment Trusts, Depositary Receipts, and shares of other Investment Companies, including other exchange traded funds ("ETFs").
Real Estate Investment Trusts ("REITs") and Business Development Companies ("BDCs")
REITs and BDCs report information on the source of their distributions annually. A portion of distributions received from REITs and BDCs during the period is estimated to be dividend income, realized gain or return of capital. These estimates are adjusted when the actual source of distributions is disclosed by the REITs and BDCs.
Debt Instruments
Certain Funds may invest in debt instruments, including U.S. government securities; Foreign and U.S. investment grade corporate debt securities. Additionally, certain Funds may invest in (lower rated) debt
instruments (also known as "junk bonds") that are rated below "investment grade" by Moody's, Standard and Poor's and/or Fitch, Inc.
Securities Lending
Certain Funds may lend securities to brokers, dealers and financial organizations in exchange for collateral in the amount of at least 102% of the value of U.S. dollar-denominated securities loaned or at least 105% of the value of non-U.S. dollar-denominated securities loaned, marked to market daily. Each security loaned will be secured continuously by collateral in the form of cash, Money Market Instruments or U.S. Government securities. When a Fund lends its securities, it continues to receive payments equal to the dividends and interest paid on the securities loaned and simultaneously may earn interest on the reinvestment of the cash collateral. Any cash collateral received by the Fund in connection with these loans may be reinvested in a variety of short-term investments. Any securities collateral received by the Fund in connection with these loans may not be sold or pledged by the Fund and, accordingly, are not reflected in the Fund's assets and liabilities. The Funds may incur fees and expenses in connection with the reinvestment of cash collateral. For security loans collateralized by cash, borrowers may be entitled to receive a fee based on the amount of collateral. The Funds are typically compensated by the difference between the amount earned on the reinvestment of cash collateral and any fees paid to the borrower. Although voting and other rights attendant to securities loaned pass to the borrower, such loans may be recalled so that the securities may be voted on by the Fund if a material event affecting the Fund's investment in the securities on loan is to occur. Security loans are subject to termination by the Fund or the borrower at any time. Not all Funds may participate in securities lending at any given time. No securities loan shall be made on behalf of a Fund if, as a result, the aggregate value of all securities loaned by the particular Fund exceeds one-third of the value of such Fund's total assets (including the value of the collateral received).
Securities lending involves exposure to certain risks, including "gap" risk (i.e., the risk of a mismatch between the return on cash collateral reinvestments and any fees a Fund has agreed to pay a borrower), operational risk (i.e., the risk of losses resulting from problems in the settlement and the accounting process), legal, counterparty and credit risk. If a securities lending counterparty were to default, a Fund would be subject to the risk of a possible delay in receiving collateral or in recovering the loaned securities, or to a possible loss of rights in the collateral. In the event a borrower does not return a Fund's securities as agreed, the Fund may experience losses if the proceeds received from liquidating the collateral do not at least equal the value of the loaned
154 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
security at the time the collateral is liquidated, plus the transaction costs incurred in purchasing replacement securities. This event could trigger adverse tax consequences for a Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market. A Fund could lose money if its short-term reinvestment of the collateral declines in value over the period of the loan. The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day.
U.S. Treasury Inflation-Protected Securities
U.S. Treasury Inflation-Protected Securities ("TIPs") are inflation-protected public obligations of the U.S. Treasury. Inflation-protected bonds are fixed-income securities whose interest and principal payments are periodically adjusted for inflation. As the index measuring inflation changes, the interest and principal payments of inflation-protected bonds will be adjusted accordingly. Because of the inflation-adjustment feature, inflation-protected bonds typically have lower yields than conventional fixed rate bonds.
Accounting for Derivatives Instruments
In seeking to achieve the investment objectives of Funds whose objective is tied to an index or benchmark, the Advisor uses a passive approach to investing that is designed to track the performance of the Fund's underlying index or benchmark. Each such Fund attempts to achieve its investment objective by investing all, or substantially all, of its assets in investments that make up its index or in financial instruments that provide similar exposure.
In connection with its management of certain series of the Trust included in this report (i.e. ProShares Bitcoin Strategy ETF and ProShares K-1 Free Crude Oil Strategy ETF (the "Commodity Pools")), the Advisor has registered as a commodity pool operator (a "CPO") and the Commodity Pools are commodity pools under the Commodity Exchange Act (the "CEA"). Accordingly, the Advisor is subject to registration and regulation as a CPO under the CEA, and must comply with various regulatory requirements under the CEA and the rules and regulations of the Commodity Futures Trading Commission ("CFTC") and the National Futures Association ("NFA"), including investor protection requirements, antifraud provisions, disclosure requirements and reporting and record keeping requirements. The Advisor is also subject to periodic inspections and audits by the CFTC and NFA. Compliance with these regulatory requirements could adversely affect the Commodity Pools' total return. In this regard, any further amendment to the CEA or its related regulations that subject the Advisor or the Commodity Pools to additional regulation may have adverse impacts on the Commodity Pools' operations and expenses.
All open derivative positions at period end are reflected on each respective Fund's Schedule of Portfolio Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objective during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivative contracts in order to achieve the appropriate exposure to meet its investment objective, with the
exception of the Funds listed below, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period.
| | | Average quarterly exposure to
derivatives (notional amounts
in comparison to net assets) | |
| Inflation Expectations ETF | | | 213 | % | |
| Merger ETF | | | 64 | % | |
For financial reporting purposes, the Trust can offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements in the Statement of Assets and Liabilities. Funds holding forward currency contracts and/or non-exchange traded swap agreements present the gross amounts of these assets and liabilities on their Schedule of Portfolio Investments. Information concerning the value of and amounts due under Repurchase and Reverse Repurchase Agreement transactions may be found on each Fund's Schedule of Portfolio Investments. Information concerning the counterparties to each Repurchase Agreement and levels of collateralization may be found above, under the caption "Repurchase Agreements."
Following is a description of the Funds' use of derivative instruments, the types of derivatives utilized by the Funds during the reporting period, as well as the primary underlying risk exposures related to each instrument type.
Futures Contracts
Each Fund may purchase or sell futures contracts and options thereon as a substitute for a comparable market position in the underlying securities or to satisfy regulatory requirements. A physical-settlement futures contract generally obligates the seller to deliver (and the purchaser to take delivery of) the specified asset on the expiration date of the contract. A cash-settled futures contract obligates the seller to deliver (and the purchaser to accept) an amount of cash equal to a specific dollar amount (the contract multiplier) multiplied by the difference between the final settlement price of a specific futures contract and the price at which the agreement is made. No physical delivery of the underlying asset is made.
The Funds generally engage in closing or offsetting transactions before final settlement of a futures contract, wherein a second identical futures contract is sold to offset a long position (or bought to offset a short position). In such cases, the obligation is to deliver (or take delivery of) cash equal to a specific dollar amount (the contract multiplier) multiplied by the difference between the price of the offsetting transaction and the price at which the original contract was entered into. If the original position entered into is a long position (futures contract purchased) there will be a gain (loss) if the offsetting sell transaction is carried out at a higher (lower) price, inclusive of commissions. If the original position entered into is a short position (futures contract sold) there will be a gain (loss) if the offsetting buy transaction is carried out at a lower (higher) price, inclusive of commissions.
Whether a Fund realizes a gain or loss from futures activities depends generally upon movements in the underlying currency, commodity, security or index. The extent of the Fund's loss from an unhedged short position in futures contracts or from writing options on futures
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 155
contracts is potentially unlimited. Each Fund will engage in transactions in futures contracts and related options that are traded on a U.S. exchange or board of trade or that have been approved for sale in the U.S. by the CFTC.
Upon entering into a futures contract, each Fund will be required to deposit with the broker an amount of cash or cash equivalents in the range of approximately 5% to 10% of the contract amount for equity, index and commodity futures and in the range of approximately 1% to 3% of the contract amount for bond and currency futures (these amounts are subject to change by the exchange on which the contract is traded). This amount, known as "initial margin," is in the nature of a performance bond or good faith deposit on the contract and is returned to the Fund upon termination of the futures contract, assuming all contractual obligations have been satisfied. Subsequent payments, known as "variation margin," to and from the broker will be made as the price of the security, currency, commodity or index underlying the futures contract fluctuates, making the long and short positions in the futures contract more or less valuable, a process known as "marking-to-market." At any time prior to expiration of a futures contract, a Fund may elect to close its position by taking an opposite position, which will operate to terminate the Fund's existing position in the contract.
The primary risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures and the market value of the underlying assets, and the possibility of an illiquid market for a futures contract. Although each Fund intends to sell futures contracts only if there is an active market for such contracts, no assurance can be given that a liquid market will exist for any particular contract at any particular time. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit, or trading may be suspended for specified periods during the day. Futures contract prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk that the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market. In addition, although the counterparty to a futures contract is often a clearing organization, backed by a group of financial institutions, there may be instances in which the counterparty could fail to perform its obligations, causing significant losses to a Fund.
Forward Currency Contracts
Certain Funds may invest in forward currency contracts for investment or risk management purposes. A forward currency contract is an obligation to buy or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. These contracts are entered into on the interbank market conducted directly between currency traders (usually large commercial banks) and their customers.
At or before the maturity of a forward currency contract, a Fund may either sell a portfolio security and make delivery of the currency, or retain the security and terminate its contractual obligation to deliver the currency by buying an "offsetting" contract obligating it to buy, on the same maturity date, the same amount of the currency. If the Fund engages in an offsetting transaction, it may later enter into a new forward currency contract to sell the currency.
If a Fund engages in offsetting transactions, the Fund will incur a gain or loss, to the extent that there has been movement in forward currency contract prices. If forward prices go down during the period between the date a Fund enters into a forward currency contract for the sale of a currency and the date it enters into an offsetting contract for the purchase of the currency, the Fund will realize a gain to the extent that the price of the currency it has agreed to sell exceeds the price of the currency it has agreed to buy. If forward prices go up, the Fund will suffer a loss to the extent the price of the currency it has agreed to buy exceeds the price of the currency it has agreed to sell.
Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency.
Swap Agreements
Certain Funds may enter into swap agreements to gain exposure to an underlying asset without actually purchasing such asset (or shorting such asset), or to hedge a position, including in circumstances in which direct investment is restricted for legal reasons or is otherwise impracticable. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year. In a standard "swap" transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on a particular pre-determined investment or instrument. The gross return to be exchanged or "swapped" between the parties is calculated with respect to a "notional amount," e.g., the return on or change in value of a particular dollar amount invested in a "basket" of securities or an ETF representing a particular index or group of securities.
Most swap agreements entered into by a Fund calculate and settle the obligations of the parties to the agreement on a "net basis" with a 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 the positions held by each party to the agreement (the "net amount").
When investing in swap agreements, the Funds may hold or gain exposure to only a representative sample of the securities in an index, or to a component of the index.
On a typical long swap, the counterparty will generally agree to pay the Fund the amount, if any, by which the notional amount of the swap agreement would have increased in value had it been invested in the particular underlying assets (e.g., an ETF, or securities comprising an index), plus any dividends or interest that would have been received on those assets. The Fund will agree to pay to the counterparty a floating rate of interest on the notional amount of the swap agreement plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such assets plus, in certain
156 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
circumstances, commissions or trading spreads on the notional amount. Therefore, the return to the Fund on a long swap should be the gain or loss on the notional amount plus dividends or interest on the assets less the interest paid by the Fund on the notional amount. As a trading technique, the Advisor may substitute physical securities with a swap agreement having investment characteristics substantially similar to the underlying securities.
Some Funds may also enter into swap agreements that provide the opposite return of their index or a security. These swaps are similar to the long swaps disclosed above except that the counterparty pays interest to each Fund on the notional amount outstanding and that dividends or interest on the underlying instruments reduce the value of the swap. In addition, in certain instances, each Fund will agree to pay to the counterparty commissions or trading spreads on the notional amount. These amounts are netted with any unrealized gain or loss to determine the value of the swap.
A Fund's current obligations under most swap agreements (total return swaps, equity/index swaps, interest rate swaps) 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 or earmarking cash and/or securities determined to be liquid, but typically no payments will be made until the settlement date.
A Fund will not enter into uncleared swap agreements (i.e., not cleared by a central counterparty) unless the Advisor believes that the counterparty to the transaction is creditworthy. The counterparty to an uncleared swap agreement will typically be a major global financial institution. A Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. If such a default occurs, a Fund will have contractual remedies pursuant to the swap agreements, but such remedies may be subject to bankruptcy and insolvency laws that could affect the Fund's rights as a creditor.
In the normal course of business, a Fund enters into International Swaps and Derivatives Association ("ISDA") agreements with certain counterparties for derivative transactions. These agreements contain, among other conditions, events of default and termination events, and various covenants and representations. Certain of the Fund's ISDA agreements contain provisions that require the Fund to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of the Fund's NAV over specific periods of time, which may or may not be exclusive of redemptions. If the Fund were to trigger such provisions and have open derivative positions at that time, counterparties to the ISDA agreements could elect to terminate such ISDA agreements and request immediate payment in an amount equal to the net liability positions, if any, under the relevant ISDA agreement. Pursuant to the terms of its ISDA agreements, the Fund will have already collateralized its liability under such agreements, in some cases only in excess of certain threshold amounts. The Funds seek to mitigate risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market
daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds, although the Funds may not always be successful. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to risks, including possible delays in recovering amounts as a result of bankruptcy proceedings.
The use of swaps is a highly specialized activity which involves investment techniques and risks in addition to, and in some cases different from, those associated with ordinary portfolio securities transactions. The primary risks associated with the use of swap agreements are mispricing or improper valuation, imperfect correlation between movements in the notional amount and the price of the underlying investments, and the inability of counterparties or clearing organizations to perform. A Fund may use a combination of swaps on an underlying index and swaps on an ETF that is designed to track the performance of that index, or it may solely use swaps on an ETF to achieve its desired investment exposure. The performance of an ETF may not track the performance of its underlying index due to embedded costs and other factors. Thus, to the extent a Fund invests in swaps that use an ETF as the reference asset, that Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with its index as it would if the Fund used only swaps on the underlying index. The Advisor, under supervision from the Board, is responsible for determining and monitoring the liquidity of the Funds' transactions in swap agreements.
All of the outstanding swap agreements held by the Funds on May 31, 2022 contractually terminate within 20 months but may be terminated without penalty by either party daily. Upon termination, the Fund is entitled to receive or pay the "unrealized appreciation or depreciation" amount existing at the date of termination.
The Financial Accounting Standards Board, pursuant to Accounting Standards Codification 815-10 ("ASC 815-10"), requires companies (including the Trust) to disclose information intended to enable financial statement users to understand how derivative instruments affect the Statements of Assets and Liabilities as well as the effect of derivative instruments on the Statements of Operations during the reporting period, in the context of each entity's risk exposure. ASC 815-10 provides examples of risk exposure, including interest rate, foreign exchange, equity, commodity and credit.
As the Funds' investment objective is to provide investment results, before fees and expenses, that correspond to the return of its underlying index on a daily basis, the derivatives utilized are aligned to the same primary risk. The primary risk exposure for those Funds benchmarked to an equity index is equity risk, for Funds benchmarked to a fixed-income index the primary risk is interest rate risk and for the foreign currency contracts held by ProShares Merger ETF and for the currency futures contracts held by ProShares Hedge Replication ETF, the primary risk is foreign currency risk. The primary risk for ProShares Bitcoin Strategy ETF and ProShares K-1 Free Crude Oil Strategy ETF is commodity market risk.
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 157
The following tables indicate the location of derivative-related items on the Statements of Assets and Liabilities as well as the effect of derivative instruments on the Statements of Operations during the reporting period.
Fair Value of Derivative Instruments as of May 31, 2022
| Asset Derivatives | | Liabilities Derivatives | |
Derivatives not
accounted for as
hedging
instruments under
ASC 815 | | Statements of
Assets
and Liabilities
Location | | Fund | | Unrealized
Appreciation* | | Statements of
Assets
and Liabilities
Location | | Fund | | Unrealized
Depreciation* | |
Commodity futures,
Equity and Bond
index futures
contracts/
Non-exchange
traded swap
agreements/
Forward currency
contracts | | Net assets consist of:
Net unrealized
appreciation
(depreciation) on:
futures contracts*;
Assets: Unrealized
appreciation on
non-exchange
traded swap
agreements and
forward currency
contracts | | | | | | Net assets consist of:
Net unrealized
appreciation
(depreciation) on:
futures contracts*;
Liabilities: Unrealized
depreciation on
non-exchange
traded swap
agreements and
forward currency
contracts | | | | | |
| | | | Bitcoin Strategy ETF | | $ | 14,096,016 | | | | | Bitcoin Strategy ETF | | $ | 16,001,788 | | |
| | | | Decline of the Retail Store
ETF | | | 817,692 | | | | | Decline of the Retail Store
ETF | | | 163,064 | | |
| | | | Hedge Replication ETF | | | 122,609 | | | | | Hedge Replication ETF | | | 1,572,570 | | |
| | | | High Yield-Interest Rate
Hedged | | | 676,468 | | | | | High Yield-Interest Rate
Hedged | | | — | | |
| | | | Inflation Expectations ETF | | | — | | | | | Inflation Expectations ETF | | | 2,165,666 | | |
| | | | Investment Grade-Interest
Rate Hedged | | | 6,417,333 | | | | | Investment Grade-Interest
Rate Hedged | | | — | | |
| | | | K-1 Free Crude Oil Strategy
ETF | | | 17,552,949 | | | | | K-1 Free Crude Oil Strategy
ETF | | | — | | |
| | | | Large Cap Core Plus | | | 12,401,371 | | | | | Large Cap Core Plus | | | 15,315,892 | | |
| | | | Long Online /Short Stores
ETF | | | 2,066,498 | | | | | Long Online /Short Stores
ETF | | | 3,284,291 | | |
| | | | Merger ETF | | | 5,278,569 | | | | | Merger ETF | | | 958,620 | | |
* Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Portfolio Investments. For these securities, only the variation margin is reported within the asset and liability sections of the Statements of Assets and Liabilities.
158 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
The Effect of Derivative Instruments on the Statements of Operations for the Year Ended May 31, 2022
Derivatives not
accounted for as
hedging
instruments under
ASC 815 | | Location of Gain or (Loss) on
Derivatives on the
Statements of Operations | | Fund | | Realized Gain or
(Loss) on
Derivatives | | Change in
Unrealized
Appreciation or
(Depreciation) on
Derivatives | |
Commodity futures,
Equity and Bond
index futures
contracts/
Non-exchange traded
swap agreements/
Forward currency
contracts | | Net realized gain (loss) on
Expiration or closing of:
futures contracts, non-exchange
traded swap agreements and
Settlement of forward foreign
currency contracts; Change in
net unrealized appreciation
(depreciation) on: Futures
contracts, Non-exchange traded
swap agreements and Foreign
currency translations | | Bitcoin Strategy ETF | | $ | (876,330,142 | ) | | $ | (1,905,772 | ) | |
| | | | Decline of the Retail Store ETF | | | (3,308,481 | ) | | | 3,118,325 | | |
| | | | Hedge Replication ETF | | | 2,112,012 | | | | (3,875,855 | ) | |
| | | | High Yield-Interest Rate Hedged | | | 9,653,918 | | | | 618,936 | | |
| | | | Inflation Expectations ETF | | | 4,201,521 | | | | (1,738,923 | ) | |
| | | | Investment Grade-Interest Rate Hedged | | | 76,256,106 | | | | 5,689,362 | | |
| | | | K-1 Free Crude Oil Strategy ETF | | | 30,959,766 | | | | 17,064,949 | | |
| | | | Large Cap Core Plus | | | 13,594,042 | | | | (4,407,622 | ) | |
| | | | Long Online /Short Stores ETF | | | (7,161,869 | ) | | | 1,942,362 | | |
| | | | Merger ETF | | | (1,189,253 | ) | | | 5,498,627 | | |
Taxes and Distributions
Each of the Funds intends to qualify or continue to qualify as a regulated investment company and distribute substantially all of its net investment income and capital gains to shareholders. Accordingly, no provision for Federal income taxes is required in the financial statements.
As of May 31, 2022, management of the Funds has reviewed all open tax years and major jurisdictions (the last four tax year ends including the interim tax periods since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months.
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 GAAP. These "book/tax" differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales, 1256 mark-to-market, partnerships, passive foreign investment companies mark-to-market, constructive sales adjustments and qualified late-year loss deferrals) do not require a reclassification. The Funds may utilize equalization accounting for tax purposes and designate earnings and profits, including net realized gains distributed to shareholders on redemption of shares, as a part of the dividends paid deduction for income tax purposes. While subject to management's discretion, any available tax equalization is typically applied first to short-term capital gains, next to long-term capital gains and then to ordinary income. To the extent distributions exceed net investment income and net realized capital gains for tax purposes, they are reported as a tax return of capital.
The Funds' tax year end is October 31st and the tax character of current year distributions and current components of accumulated earnings (deficit) will be determined at the end of the current tax year.
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 159
The tax character of distributions paid for the most recent tax years ended October 31, 2021 and October 31, 2020, were as follows:
| | | Year Ended October 31, 2021 | | Year Ended October 31, 2020 | |
| Fund | | Distributions
paid from
ordinary
income | | Distributions
paid from
net long-term
capital gains | | Tax
return of
capital | | Total
Distributions | | Distributions
paid from
ordinary
income | | Distributions
paid from
net long-term
capital gains | | Tax
return of
capital | | Total
Distributions | |
Decline of the Retail
Store ETF | | | — | | | | — | | | | — | | | | — | | | $ | 29,634 | | | | — | | | $ | 11,175 | | | $ | 40,809 | | |
DJ Brookfield Global
Infrastructure ETF | | $ | 4,579,364 | | | | — | | | | — | | | $ | 4,579,364 | | | | 4,404,834 | | | | — | | | | — | | | | 4,404,834 | | |
Equities for Rising
Rates ETF | | | 94,619 | | | | — | | | | — | | | | 94,619 | | | | 40,353 | | | | — | | | | — | | | | 40,353 | | |
Global Listed Private
Equity ETF | | | 2,165,196 | | | | — | | | | — | | | | 2,165,196 | | | | 1,668,775 | | | | — | | | | — | | | | 1,668,775 | | |
Hedge Replication
ETF | | | — | | | | — | | | | — | | | | — | | | | 86,291 | | | | — | | | | 11,239 | | | | 97,530 | | |
High Yield-Interest Rate
Hedged | | | 4,609,154 | | | | — | | | | — | | | | 4,609,154 | | | | 5,287,272 | | | | — | | | | — | | | | 5,287,272 | | |
Inflation Expectations
ETF | | | 904,369 | | | | — | | | | — | | | | 904,369 | | | | 252,609 | | | | — | | | | — | | | | 252,609 | | |
Investment
Grade-Interest
Rate Hedged | | | 15,727,767 | | | | — | | | | — | | | | 15,727,767 | | | | 7,733,811 | | | | — | | | | — | | | | 7,733,811 | | |
K-1 Free Crude Oil
Strategy ETF | | | 10,954,243 | | | | — | | | | — | | | | 10,954,243 | | | | 30,754 | | | | — | | | | — | | | | 30,754 | | |
| Large Cap Core Plus | | | 4,296,408 | | | | — | | | | — | | | | 4,296,408 | | | | 8,415,580 | | | | — | | | | — | | | | 8,415,580 | | |
Long Online/Short
Stores ETF | | | 2,129,774 | | | | — | | | | — | | | | 2,129,774 | | | | 1,194,484 | | | | — | | | | — | | | | 1,194,484 | | |
| Merger ETF | | | 235,774 | | | | — | | | | — | | | | 235,774 | | | | 27,031 | | | | — | | | | — | | | | 27,031 | | |
MSCI EAFE Dividend
Growers ETF | | | 2,322,875 | | | | — | | | | — | | | | 2,322,875 | | | | 2,082,024 | | | | — | | | | — | | | | 2,082,024 | | |
MSCI Emerging
Markets Dividend
Growers ETF | | | 428,638 | | | | — | | | | — | | | | 428,638 | | | | 811,191 | | | | — | | | | — | | | | 811,191 | | |
MSCI Europe Dividend
Growers ETF | | | 148,837 | | | | — | | | | — | | | | 148,837 | | | | 128,617 | | | | — | | | | — | | | | 128,617 | | |
MSCI Transformational
Changes ETF | | | 90,521 | | | | — | | | | — | | | | 90,521 | | | | — | | | | — | | | | — | | | | — | | |
Nasdaq-100 Dorsey
Wright Momentum
ETF | | | 8,273 | | | | — | | | | — | | | | 8,273 | | | | — | | | | — | | | | — | | | | — | | |
| Online Retail ETF | | | 6,686,189 | | | | — | | | | — | | | | 6,686,189 | | | | 1,792,462 | | | | — | | | | — | | | | 1,792,462 | | |
| Pet Care ETF | | | 489,582 | | | | — | | | | — | | | | 489,582 | | | | 155,960 | | | | — | | | | — | | | | 155,960 | | |
Russell 2000 Dividend
Growers ETF | | | 17,029,913 | | | | — | | | | — | | | | 17,029,913 | | | | 14,822,286 | | | | — | | | | — | | | | 14,822,286 | | |
Russell U.S. Dividend
Growers ETF | | | 590,148 | | | | — | | | | — | | | | 590,148 | | | | 395,376 | | | | — | | | | — | | | | 395,376 | | |
| S&P 500® Bond ETF | | | 768,742 | | | | — | | | | — | | | | 768,742 | | | | 898,083 | | | | — | | | | — | | | | 898,083 | | |
S&P 500® Dividend
Aristocrats ETF | | | 166,605,956 | | | | — | | | | — | | | | 166,605,956 | | | | 138,661,646 | | | | — | | | | — | | | | 138,661,646 | | |
S&P 500® Ex-Energy
ETF | | | 273,752 | | | | — | | | | — | | | | 273,752 | | | | 213,486 | | | | — | | | | — | | | | 213,486 | | |
S&P 500® Ex-Financials
ETF | | | 76,616 | | | | — | | | | — | | | | 76,616 | | | | 46,836 | | | | — | | | | — | | | | 46,836 | | |
S&P 500® Ex-Health
Care ETF | | | 39,649 | | | | — | | | | — | | | | 39,649 | | | | 31,221 | | | | — | | | | — | | | | 31,221 | | |
160 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
| | | Year Ended October 31, 2021 | | Year Ended October 31, 2020 | |
| Fund | | Distributions
paid from
ordinary
income | | Distributions
paid from
net long-term
capital gains | | Tax
return of
capital | | Total
Distributions | | Distributions
paid from
ordinary
income | | Distributions
paid from
net long-term
capital gains | | Tax
return of
capital | | Total
Distributions | |
S&P 500® Ex-Technology
ETF | | $ | 91,165 | | | | — | | | | — | | | $ | 91,165 | | | $ | 60,424 | | | | — | | | | — | | | $ | 60,424 | | |
S&P MidCap 400®
Dividend Aristocrats
ETF | | | 24,692,475 | | | | — | | | | — | | | | 24,692,475 | | | | 17,300,177 | | | | — | | | | — | | | | 17,300,177 | | |
S&P Technology
Dividend Aristocrats
ETF | | | 1,219,048 | | | | — | | | | — | | | | 1,219,048 | | | | 507,704 | | | | — | | | | — | | | | 507,704 | | |
At October 31, 2021 (the Funds' most recent tax year end), the components of accumulated earnings (deficit) on a tax basis were as follows:
| Fund | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gain | | Accumulated
Capital and
Other Losses | | Unrealized
Appreciation/
(Depreciation) | |
| Big Data Refiners ETF | | | — | | | | — | | | $ | (1,750 | ) | | $ | 262,859 | | |
| Bitcoin Strategy ETF | | | — | | | | — | | | | (336,680 | ) | | | (49,699,506 | ) | |
| Decline of the Retail Store ETF | | | — | | | | — | | | | (26,968,684 | ) | | | (2,867,261 | ) | |
| DJ Brookfield Global Infrastructure ETF | | $ | 672,059 | | | | — | | | | (6,694,536 | ) | | | 5,324,210 | | |
| Equities for Rising Rates ETF | | | 10,268 | | | | — | | | | (1,378,478 | ) | | | 1,129,907 | | |
| Global Listed Private Equity ETF | | | 834,404 | | | | — | | | | (3,793,730 | ) | | | 1,644,929 | | |
| Hedge Replication ETF | | | — | | | | — | | | | (68,686 | ) | | | 3,413,304 | | |
| High Yield-Interest Rate Hedged | | | 498,941 | | | | — | | | | (43,441,020 | ) | | | (97,870 | ) | |
| Inflation Expectations ETF | | | 92,514 | | | | — | | | | (10,978,759 | ) | | | 2,032,772 | | |
| Investment Grade-Interest Rate Hedged | | | 1,983,207 | | | | — | | | | (55,039,812 | ) | | | 13,962,740 | | |
| K-1 Free Crude Oil Strategy ETF | | | 24,240,927 | | | | — | | | | — | | | | 11,553,890 | | |
| Large Cap Core Plus | | | — | | | | — | | | | (9,043,901 | ) | | | 145,345,260 | | |
| Long Online/Short Stores ETF | | | — | | | | — | | | | (36,590,713 | ) | | | (8,165,990 | ) | |
| Merger ETF | | | — | | | | — | | | | (1,508,009 | ) | | | 3,019,033 | | |
| MSCI EAFE Dividend Growers ETF | | | 2,021,841 | | | | — | | | | (701,483 | ) | | | 24,361,058 | | |
MSCI Emerging Markets Dividend
Growers ETF | | | 11,818 | | | | — | | | | (2,635,470 | ) | | | 1,075,487 | | |
| MSCI Europe Dividend Growers ETF | | | 140,566 | | | | — | | | | (820,808 | ) | | | 2,336,983 | | |
| MSCI Transformational Changes ETF | | | 19,972 | | | | — | | | | (98,467 | ) | | | 2,680,284 | | |
| Nanotechnology ETF | | | — | | | | — | | | | (179 | ) | | | 84,089 | | |
Nasdaq-100 Dorsey Wright Momentum
ETF | | | — | | | | — | | | | (661,574 | ) | | | 2,286,673 | | |
| On-Demand ETF | | | 665 | | | | — | | | | (315 | ) | | | (84,031 | ) | |
| Online Retail ETF | | | — | | | | — | | | | (2,038,140 | ) | | | (105,493,442 | ) | |
| Pet Care ETF | | | 147,579 | | | | — | | | | — | | | | 14,584,471 | | |
| Russell 2000 Dividend Growers ETF | | | 1,277,893 | | | | — | | | | (66,286,492 | ) | | | 85,987,503 | | |
| Russell U.S. Dividend Growers ETF | | | 39,149 | | | | — | | | | (257,562 | ) | | | 2,060,305 | | |
| S&P 500® Bond ETF | | | 51,576 | | | | — | | | | (15,311 | ) | | | 129,458 | | |
| S&P 500® Dividend Aristocrats ETF | | | 16,164,108 | | | | — | | | | — | | | | 1,162,902,745 | | |
| S&P 500® Ex-Energy ETF | | | 20,738 | | | | — | | | | (149,987 | ) | | | 2,776,821 | | |
| S&P 500® Ex-Financials ETF | | | 5,089 | | | | — | | | | (34,768 | ) | | | 904,728 | | |
| S&P 500® Ex-Health Care ETF | | | 2,826 | | | | — | | | | — | | | | 443,023 | | |
| S&P 500® Ex-Technology ETF | | | 7,257 | | | | — | | | | (67,847 | ) | | | 529,953 | | |
| S&P Kensho Cleantech ETF | | | — | | | | — | | | | (2,294 | ) | | | 957,646 | | |
| S&P Kensho Smart Factories ETF | | | — | | | | — | | | | (1,901 | ) | | | 286,369 | | |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 161
| Fund | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gain | | Accumulated
Capital and
Other Losses | | Unrealized
Appreciation/
(Depreciation) | |
S&P MidCap 400® Dividend Aristocrats
ETF | | $ | 3,051,029 | | | | — | | | $ | (1,347,334 | ) | | $ | 161,896,398 | | |
| S&P Technology Dividend Aristocrats ETF | | | 62,122 | | | | — | | | | — | | | | 10,966,739 | | |
| Smart Materials ETF | | | 2,258 | | | | — | | | | (319 | ) | | | (611 | ) | |
Temporary differences are generally due to differing book and tax treatments for the timing of the recognition of gains and losses on certain investment transactions and the timing and the deductibility of certain expenses. Permanent differences, primarily due to gain (loss) on in-kind redemptions, reclassification on sale of derivatives, designation of taxable distributions in excess, utilization of earnings and profits distributed to the shareholders on redemption of shares and nondeductible expenses, resulted in reclassifications as of October 31, 2021 (the Funds' most recent tax year end), among the Funds' components of net assets.
As of October 31, 2021 (the Funds' most recent tax year end), the Funds had capital loss carry forwards ("CLCFs") available to offset future realized gains, if any, to the extent provided for by regulations and to thereby reduce the amount of future taxable capital gain distributions. Under current tax law, CLCFs retain their character as either short-term or long-term capital losses, and are not subject to expiration.
At October 31, 2021 (the Funds' most recent tax year end), the following Funds had available CLCFs:
| | | No Expiration Date | |
| Decline of the Retail Store ETF | | $ | 26,922,782 | | |
| DJ Brookfield Global Infrastructure ETF | | | 6,694,536 | | |
| Equities for Rising Rates ETF | | | 1,378,478 | | |
| Global Listed Private Equity ETF | | | 3,793,730 | | |
| High Yield-Interest Rate Hedged | | | 43,441,020 | | |
| Inflation Expectations ETF | | | 10,978,759 | | |
| Investment Grade-Interest Rate Hedged | | | 55,039,812 | | |
| Large Cap Core Plus | | | 9,043,901 | | |
| Long Online/Short Stores ETF | | | 36,153,035 | | |
| Merger ETF | | | 1,508,009 | | |
| MSCI EAFE Dividend Growers ETF | | | 701,483 | | |
| MSCI Emerging Markets Dividend Growers ETF | | | 2,635,470 | | |
| MSCI Europe Dividend Growers ETF | | | 820,808 | | |
| MSCI Transformational Changes ETF | | | 98,467 | | |
| Nasdaq-100 Dorsey Wright Momentum ETF | | | 661,574 | | |
| Russell 2000 Dividend Growers ETF | | | 66,286,492 | | |
| Russell U.S. Dividend Growers ETF | | | 257,562 | | |
| S&P 500® Bond ETF | | | 15,311 | | |
| S&P 500® Ex-Energy ETF | | | 149,987 | | |
| S&P 500® Ex-Financials ETF | | | 34,768 | | |
| S&P 500® Ex-Technology ETF | | | 67,847 | | |
| S&P Kensho Cleantech ETF | | | 199 | | |
| S&P MidCap 400® Dividend Aristocrats ETF | | | 1,347,334 | | |
At October 31, 2021 (the Funds' most recent tax year end), the following Funds utilized CLCFs and/or elected to defer late-year ordinary losses to November 1, 2021:
| Fund | | CLCFs Utilized | | Ordinary Late Year
Loss Deferrals | |
| Big Data Refiners ETF | | | — | | | $ | 1,750 | | |
| Bitcoin Strategy ETF | | | — | | | | 336,680 | | |
| Decline of the Retail Store ETF | | | — | | | | 45,902 | | |
| Equities for Rising Rates ETF | | $ | 174,807 | | | | — | | |
| Hedge Replication ETF | | | 358,056 | | | | 68,686 | | |
| High Yield-Interest Rate Hedged | | | 2,501,814 | | | | — | | |
162 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
| Fund | | CLCFs Utilized | | Ordinary Late Year
Loss Deferrals | |
| Investment Grade-Interest Rate Hedged | | $ | 9,810,623 | | | | — | | |
| Large Cap Core Plus | | | 24,871,037 | | | | — | | |
| Long Online/Short Stores ETF | | | 3,080,688 | | | $ | 437,678 | | |
| Merger ETF | | | 5,595 | | | | — | | |
| MSCI EAFE Dividend Growers ETF | | | 7,993,399 | | | | — | | |
| MSCI Emerging Markets Dividend Growers ETF | | | 955,373 | | | | — | | |
| MSCI Europe Dividend Growers ETF | | | 423,856 | | | | — | | |
| Nanotechnology ETF | | | — | | | | 179 | | |
| On-Demand ETF | | | — | | | | 315 | | |
| Online Retail ETF | | | 274,581 | | | | 2,038,140 | | |
| Pet Care ETF | | | 188,239 | | | | — | | |
| Russell 2000 Dividend Growers ETF | | | 40,895,364 | | | | — | | |
| Russell U.S. Dividend Growers ETF | | | 493,768 | | | | — | | |
| S&P 500® Dividend Aristocrats ETF | | | 52,067,419 | | | | — | | |
| S&P 500® Ex-Energy ETF | | | 21,588 | | | | — | | |
| S&P 500® Ex-Health Care ETF | | | 20,051 | | | | — | | |
| S&P 500® Ex-Technology ETF | | | 9,031 | | | | — | | |
| S&P Kensho Cleantech ETF | | | — | | | | 2,095 | | |
| S&P Kensho Smart Factories ETF | | | — | | | | 1,901 | | |
| S&P MidCap 400® Dividend Aristocrats ETF | | | 22,388,684 | | | | — | | |
| Smart Materials ETF | | | — | | | | 319 | | |
3. Investment Transactions, Income and Expense Allocations
Throughout the reporting period, investment transactions are generally accounted for no later than one business day following the trade date. For financial reporting purposes, investment transactions on the last business day of the reporting period are accounted for on the trade date.
Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount. Dividend income is recorded on the ex-dividend date except for certain foreign dividends that may be recorded as soon as such information becomes available. Non-cash dividend income received in the form of securities in-lieu of cash are recorded at the fair value of the securities received. Gains or losses realized on sales of securities are determined using the specific identification method by comparing the identified cost of the security lot sold with the net sales proceeds.
Expenses directly attributable to a Fund are charged to that Fund, while expenses which are attributable to more than one Fund or jointly with an affiliate, are allocated among the respective Funds and/or affiliates based upon relative net assets or another reasonable basis.
4. Advisory and Management Service Fees and Transactions with Affiliates
The Advisor serves as the investment adviser to each Fund subject to an expense limitation, as outlined in the table below (the "Capped Funds"), pursuant to an Investment Advisory Agreement. For its investment advisory services, each Capped Fund pays the Advisor a monthly fee, accrued daily at an annualized rate based on its average daily net assets. Pursuant to a separate Management Services Agreement, the Advisor performs certain administrative services on behalf of the Capped Funds, such as negotiating, coordinating and implementing the Trust's contractual obligations with the Funds' service providers; monitoring, overseeing and reviewing the performance of such service providers to ensure adherence to applicable contractual obligations; and preparing or coordinating reports and presentations to the Board of Trustees with respect to such service providers. For these and other services, each Capped Fund pays the Advisor monthly management services fees, accrued daily at an annualized rate based on its average daily net assets.
The Advisor has contractually agreed to waive advisory and management services fees, and if necessary, reimburse certain other expenses, in order to limit the annual operating expenses of each Capped Fund. These expense limitations remain in effect until the dates specified in the table below, after which they may be terminated or revised.
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 163
For the year ended May 31, 2022, advisory and management services fees, waivers, reimbursements, and expense limitations were as follows:
| Fund | | Investment
Advisory
Fee Rate | | Management
Services
Fee Rate | | Advisory
Fees Waived | | Management
Services
Fees Waived | | Expense
Reimbursements | | Expense
Limitation | | Expense Limitation
Effective Through | |
| Global Listed Private Equity ETF | | | 0.50 | % | | | 0.10 | % | | $ | 110,884 | | | $ | 22,177 | | | $ | 17,207 | | | | 0.60 | % | | September 30, 2022 | |
| Hedge Replication ETF* | | | 0.75 | | | | 0.10 | | | | 343,326 | | | | 45,776 | | | | 7,154 | | | | 0.95 | | | September 30, 2022 | |
| Inflation Expectations ETF | | | 0.55 | | | | 0.10 | | | | 235,909 | | | | 42,892 | | | | 7,636 | | | | 0.30 | | | September 30, 2022 | |
| Merger ETF* | | | 0.75 | | | | 0.10 | | | | 254,074 | | | | — | | | | — | | | | 0.75 | | | September 30, 2022 | |
| S&P 500® Ex-Energy ETF | | | 0.13 | | | | — | | | | 3,892 | | | | — | | | | — | | | | 0.09 | | | September 30, 2023 | |
| S&P 500® Ex-Financials ETF | | | 0.13 | | | | — | | | | 1,219 | | | | — | | | | — | | | | 0.09 | | | September 30, 2023 | |
| S&P 500® Ex-Health Care ETF | | | 0.13 | | | | — | | | | 570 | | | | — | | | | — | | | | 0.09 | | | September 30, 2023 | |
| S&P 500® Ex-Technology ETF | | | 0.13 | | | | — | | | | 1,406 | | | | — | | | | — | | | | 0.09 | | | September 30, 2023 | |
* In addition to the expense limitations disclosed above, the Advisor has entered into an Advisory Fee Waiver Agreement for each Fund that reduces the annualized advisory fee rate subject to the following breakpoints: 0.75% of the first $4.0 billion of average daily net assets of the Fund, 0.70% of the next $1.5 billion, 0.65% of the next $1.5 billion, 0.60% of the next $1.5 billion and 0.55% of average daily net assets of the Fund over $8.5 billion. To the extent that a Fund achieves an asset breakpoint, the Advisor will waive fees in order to match the corresponding reduction in the tiered advisory fee limit. Any such waivers are reflected as a component of "Expenses waived and/or reimbursed by Advisor" on the Statements of Operations, and are not subject to subsequent recoupment by the Advisor.
For each Fund, amounts waived or reimbursed by the Advisor may be recouped by the Advisor within five years of the end of the applicable contractual period to the extent that such recoupments would not cause a Fund's annualized operating expenses to exceed the lesser of (1) the expense limitation in effect at the time of waiver, and (2) the expense limitation in effect at the time of recoupment. Any amounts recouped by the Advisor during the period are reflected in the Statements of Operations as "Recoupment of prior expenses waived and/or reimbursed by Advisor". As of May 31, 2022, the amounts eligible for recoupment and the date of expiration are as follows:
| | | Expires September 30, | | Total Amount
Eligible for | |
| Fund | | 2022 | | 2023 | | 2024 | | 2025 | | 2026 | | 2027 | | Recoupment | |
| Global Listed Private Equity ETF | | $ | 128,000 | | | $ | 136,169 | | | $ | 124,461 | | | $ | 153,246 | | | $ | 149,156 | | | $ | 100,602 | | | $ | 791,634 | | |
| Hedge Replication ETF | | | 259,681 | | | | 347,042 | | | | 212,474 | | | | 210,955 | | | | 347,389 | | | | 286,506 | | | | 1,664,047 | | |
| Inflation Expectations ETF | | | 296,029 | | | | 159,591 | | | | 202,598 | | | | 213,190 | | | | 209,329 | | | | 194,079 | | | | 1,274,816 | | |
| Merger ETF | | | 129,121 | | | | 139,569 | | | | 141,587 | | | | 151,118 | | | | 181,794 | | | | 184,442 | | | | 927,631 | | |
The Advisor also serves as the investment adviser to each Fund not subject to an expense limitation as outlined below (the "Unitary Fee Funds") pursuant to an Investment Advisory and Management Agreement. The Unitary Fee Funds pay the Advisor a monthly fee, accrued daily at an annualized rate based on average daily net assets for investment advisory and management services. The Advisor is responsible for substantially all other expenses of the Unitary Fee Funds except, generally, interest expenses (except that the Advisor will pay net expenses incurred in connection with investments in reverse repurchase agreements in ProShares Bitcoin Strategy ETF), taxes, brokerage and other transaction costs (except that the Advisor will pay account or similar fees charged by futures commission merchants in ProShares Bitcoin Strategy ETF), legal expenses fees and expenses related to securities lending, compensation and expenses of the Independent Trustees, compensation and expenses of the counsel to the Independent Trustees, compensation and expenses of the Trust's chief compliance officer and his or her staff, legal fees and expenses in connection with litigation, future distribution fees or expenses (if any), and extraordinary expenses.
The following funds have a unitary fee: ProShares Big Data Refiners ETF (0.58%), ProShares Bitcoin Strategy ETF (0.95%), ProShares Decline of the Retail Store ETF (0.65%), ProShares DJ Brookfield Global Infrastructure ETF (0.45%), ProShares Equities for Rising Rates ETF (0.35%), ProShares High Yield-Interest Rate Hedged (0.50%), ProShares Investment Grade — Interest Rate Hedged (0.30%), ProShares K-1 Free Crude Oil Strategy ETF (0.65%), ProShares Large Cap Core Plus (0.45%), ProShares Long Online/Short Stores ETF (0.65%), ProShares Metaverse ETF (0.58%), ProShares MSCI EAFE Dividend Growers ETF (0.50%), ProShares MSCI Emerging Markets Dividend Growers ETF (0.60%), ProShares MSCI Europe Dividend Growers ETF (0.55%), ProShares MSCI Transformational Changes ETF (0.45%), ProShares Nanotechnology (0.58%), ProShares Nasdaq-100 Dorsey Wright Momentum ETF (0.58%), ProShares On-Demand ETF (0.58%), ProShares Online Retail ETF (0.58%), ProShares Pet Care ETF (0.50%), ProShares Russell 2000 Dividend Growers ETF (0.40%), ProShares Russell U.S. Dividend Growers ETF (0.35%), ProShares S&P 500® Bond ETF (0.15%), ProShares S&P 500® Dividend Aristocrats ETF (0.35%), ProShares S&P 500® Ex-Energy ETF (0.13%), ProShares S&P 500® Ex-Financials ETF (0.13%), ProShares S&P 500® Ex-Health Care ETF (0.13%), ProShares S&P 500® Ex-Technology ETF (0.13%), ProShares S&P Kensho Cleantech ETF (0.58%), ProShares Kensho Smart Factories ETF (0.58%), ProShares S&P MidCap 400® Dividend Aristocrats ETF (0.40%), ProShares S&P Technology Dividend Aristocrats ETF (0.45%), ProShares Smart Materials (0.58%) and ProShares Supply Chain Logistics ETF (0.58%).
164 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
Prior to February 1, 2022, each of the ProShares S&P 500® Ex-Energy ETF, ProShares S&P 500® Ex-Financials ETF, ProShares S&P 500® Ex-Health Care ETF and ProShares S&P 500® Ex-Technology ETF (the "Ex-Sector Funds") had a unitary fee of 0.27%. Effective February 1, 2022, the unitary fee for the Ex-Sector Funds was changed to 0.13%. Additionally, the advisor has agreed to waive investment advisory and management services fees of each Ex-Sector Fund to the extent total annual operating expenses before waivers and expense reimbursements, as a percentage of average daily net assets, exceed 0.09% through September 30, 2023. These waivers are non-recoupable. After such date, the expense limitation may be terminated or revised by the Advisor.
Employees of the Advisor serve in the roles of Interested Trustee, President, Chief Legal Officer and Secretary of the Trust. These individuals receive no compensation directly from the Trust. Another employee of the Advisor serves as Chief Compliance Officer and Anti-Money Laundering Officer. This individual's related compensation, along with the compensation of staff who administer the Funds' compliance program, and certain other expenses are reimbursed to the Advisor by the Funds and are reflected on the Statements of Operations as "Compliance services fees".
5. Administration Fees
JPMorgan Chase Bank, N.A. acts as the Trust's administrator (the "Administrator"). The Administrator provides certain administrative services to the Funds, including fund accounting, fund administration and certain compliance services, pursuant to a Fund Services Agreement. For these services, each Fund shall pay the Administrator monthly, a fee accrued daily and based on average net assets. Each Fund may also reimburse the Administrator for such out-of-pocket expenses as incurred by the Administrator in the performance of its duties. Such fees are reflected on the Statements of Operations as "Administration Fees". Certain employees of the Administrator are also officers of the Trust.
6. Custodian Fees
JPMorgan Chase Bank, N.A. acts as custodian for the Funds in accordance with a Custody 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. Such fees are reflected on the Statements of Operations as "Custodian Fees".
7. Listing, Data and Related Fees
The Funds may incur costs relating to their initial and ongoing listing on an exchange and for the calculation and dissemination of Indicative Optimized Portfolio Values (IOPVs). Additionally, a Fund may enter into a license agreement for the right to use an Index and the related Trade Mark(s) and to receive data related to the index from the index provider. The portion of such costs attributed to each Fund is reflected on the Statements of Operations as "Listing, Data and related fees".
8. Trustees Fees
The Trust, together with other affiliated trusts, pay each Independent Trustee an aggregate fee consisting of a $325,000 annual retainer (paid in quarterly increments) for services provided as a Board member. Prior to July 1, 2021, each Independent trustee was paid a $185,000 annual retainer for services provided as a Board member, plus a quarterly in-person meeting fee of $10,000, an in-person special meeting fee of $3,000 and a telephonic meeting fee of $3,000. Such fees are allocated between the Funds and other affiliated funds. Each Fund's share of these fees, together with reimbursable expenses of the Trustees, is reflected on the Statements of Operations as "Trustees Fees".
9. Distribution and Service Plan
SEI Investments Distribution Co. 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.
10. Issuance and Redemption of Fund Shares
Each Fund issues and redeems its shares only to Authorized Participants (typically broker-dealers) in exchange for the deposit or delivery of a basket of assets (securities and/or cash), in large blocks known as Creation Units, each of which is comprised of a specified number of shares.
To the extent the Funds permit the contribution of securities in exchange for the purchase of shares (contribution in-kind), shares may be issued in advance of receipt by the Fund of all or a portion of the applicable Deposit Securities. In these circumstances, the Fund may require the Authorized Participant to maintain with the Trust an amount up to 115% and/or 125% of the daily mark-to-market value of the missing Deposit Securities.
Retail investors may only purchase and sell Fund shares on a national securities exchange through a broker-dealer and such transactions may be subject to customary commission rates imposed by the broker-dealer.
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 165
Authorized Participants may pay transaction fees to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units. Transaction fees related to unsettled Creation Unit transactions are included in the receivable for capital shares issued on the Statements of Assets and Liabilities. Transaction fees assessed during the period, which are included in the proceeds from shares issued on the Statements of Changes in Net Assets, were as follows:
| | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| Bitcoin Strategy ETF | | $ | 506,152 | | | | — | | |
| High Yield-Interest Rate Hedged | | | 42,950 | | | $ | 3,041 | | |
| Inflation Expectations ETF | | | 11,191 | | | | 6,116 | | |
| Investment Grade-Interest Rate Hedged | | | 31,840 | | | | 183,484 | | |
| MSCI Transformational Changes ETF | | | — | | | | 2,220 | | |
| Nanotechnology ETF | | | 1,200 | | | | — | | |
| On-Demand ETF | | | 1,200 | | | | — | | |
| S&P Kensho Cleantech ETF | | | 400 | | | | — | | |
| S&P Kensho Smart Factories ETF | | | 400 | | | | — | | |
| Smart Materials ETF | | | 1,200 | | | | — | | |
| Supply Chain Logistics ETF | | | 1,600 | | | | — | | |
11. Investment Transactions
For the year ended May 31, 2022, the cost of securities purchased and proceeds from sales of securities (U.S. government securities for the Inflation Expectations ETF), excluding short-term securities, derivatives and in-kind transactions, were:
| Fund | | Purchases | | Sales | |
| Big Data Refiners ETF | | $ | 4,852,600 | | | $ | 868,121 | | |
| Bitcoin Strategy ETF | | | 2,169,405,187 | | | | 968,964,666 | | |
| DJ Brookfield Global Infrastructure ETF | | | 12,566,732 | | | | 12,167,768 | | |
| Equities for Rising Rates ETF | | | 36,016,984 | | | | 34,715,430 | | |
| Global Listed Private Equity ETF | | | 6,629,169 | | | | 8,274,849 | | |
| Hedge Replication ETF | | | 11,510,470 | | | | 5,221,881 | | |
| High Yield-Interest Rate Hedged | | | 84,646,292 | | | | 59,634,878 | | |
| Inflation Expectations ETF | | | — | | | | 30,825,400 | | |
| Investment Grade-Interest Rate Hedged | | | 276,901,022 | | | | 207,333,751 | | |
| Large Cap Core Plus | | | 260,343,325 | | | | 248,891,804 | | |
| Long Online/Short Stores ETF | | | 65,189,751 | | | | 66,190,418 | | |
| Merger ETF | | | 138,349,797 | | | | 134,987,946 | | |
| Metaverse ETF | | | 2,109,434 | | | | 1,306,131 | | |
| MSCI EAFE Dividend Growers ETF | | | 57,662,516 | | | | 59,305,299 | | |
| MSCI Emerging Markets Dividend Growers ETF | | | 13,266,260 | | | | 13,896,965 | | |
| MSCI Europe Dividend Growers ETF | | | 5,046,273 | | | | 5,056,366 | | |
| MSCI Transformational Changes ETF | | | 13,948,639 | | | | 14,102,292 | | |
| Nanotechnology ETF | | | 5,047,020 | | | | 1,092,058 | | |
| Nasdaq-100 Dorsey Wright Momentum ETF | | | 38,233,694 | | | | 34,796,739 | | |
| On-Demand ETF | | | 4,819,579 | | | | 990,886 | | |
| Online Retail ETF | | | 901,070,123 | | | | 815,337,930 | | |
| Pet Care ETF | | | 142,330,131 | | | | 143,499,481 | | |
| Russell 2000 Dividend Growers ETF | | | 501,001,769 | | | | 500,489,722 | | |
| Russell U.S. Dividend Growers ETF | | | 4,593,634 | | | | 4,762,686 | | |
| S&P 500® Bond ETF | | | 24,146,921 | | | | 24,066,119 | | |
| S&P 500® Dividend Aristocrats ETF | | | 2,613,019,858 | | | | 1,660,413,241 | | |
| S&P 500® Ex-Energy ETF | | | 747,103 | | | | 681,952 | | |
| S&P 500® Ex-Financials ETF | | | 247,294 | | | | 237,372 | | |
| S&P 500® Ex-Health Care ETF | | | 121,889 | | | | 126,493 | | |
166 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
| Fund | | Purchases | | Sales | |
| S&P 500® Ex-Technology ETF | | $ | 394,096 | | | $ | 332,603 | | |
| S&P Kensho Cleantech ETF | | | 5,467,360 | | | | 1,474,562 | | |
| S&P Kensho Smart Factories ETF | | | 5,391,787 | | | | 1,398,042 | | |
| S&P MidCap 400® Dividend Aristocrats ETF | | | 357,618,716 | | | | 357,489,132 | | |
| S&P Technology Dividend Aristocrats ETF | | | 37,938,082 | | | | 25,910,364 | | |
| Smart Materials ETF | | | 5,196,210 | | | | 1,534,845 | | |
| Supply Chain Logistics ETF | | | 3,996,762 | | | | 262,598 | | |
12. In-Kind Transactions
During the period presented in this report, certain Funds delivered portfolio securities in exchange for the redemption of shares (redemption-in-kind). Cash and securities were transferred for redemptions at fair value. For financial reporting purposes, the Funds recorded net realized gains and losses in connection with each transaction.
For the year ended May 31, 2022, the fair value of the securities transferred for redemptions, and the net realized gains (losses) recorded in connection with the transactions were as follows:
| Fund | | Fair Value | | Net Realized
Gains (Losses) | |
| Big Data Refiners ETF | | $ | 1,109,935 | | | $ | 117,452 | | |
| DJ Brookfield Global Infrastructure ETF | | | 64,605,377 | | | | 14,938,469 | | |
| Equities for Rising Rates ETF | | | 12,498,814 | | | | 1,686,944 | | |
| Global Listed Private Equity ETF | | | 8,591,189 | | | | 1,040,459 | | |
| Hedge Replication ETF | | | 3,980,556 | | | | 1,456,286 | | |
| High Yield-Interest Rate Hedged | | | 39,600,760 | | | | (1,939,481 | ) | |
| Inflation Expectations ETF | | | 9,251,629 | | | | 917,775 | | |
| Investment Grade-Interest Rate Hedged | | | 422,774,799 | | | | (23,041,091 | ) | |
| Large Cap Core Plus | | | 43,005,331 | | | | 13,211,003 | | |
| Long Online/Short Stores ETF | | | 44,014,602 | | | | 5,854,007 | | |
| Merger ETF | | | 985,664 | | | | 60,351 | | |
| MSCI EAFE Dividend Growers ETF | | | 10,649,953 | | | | 1,240,845 | | |
| MSCI Emerging Markets Dividend Growers ETF | | | 596,808 | | | | 53,609 | | |
| MSCI Transformational Changes ETF | | | 28,485,437 | | | | 3,719,572 | | |
| Nanotechnology ETF | | | 2,967,039 | | | | 143,811 | | |
| Nasdaq-100 Dorsey Wright Momentum ETF | | | 8,787,719 | | | | 701,403 | | |
| On-Demand ETF | | | 1,892,348 | | | | (551,712 | ) | |
| Online Retail ETF | | | 510,574,958 | | | | 31,476,275 | | |
| Pet Care ETF | | | 327,461,100 | | | | 79,179,991 | | |
| Russell 2000 Dividend Growers ETF | | | 95,895,513 | | | | 16,884,226 | | |
| Russell U.S. Dividend Growers ETF | | | 17,537,846 | | | | 3,103,063 | | |
| S&P 500® Bond ETF | | | 17,584,159 | | | | (365,083 | ) | |
| S&P 500® Dividend Aristocrats ETF | | | 3,939,138,788 | | | | 1,342,649,855 | | |
| S&P 500® Ex-Energy ETF | | | 939,196 | | | | 98,453 | | |
| S&P 500® Ex-Technology ETF | | | 2,179,096 | | | | 153,801 | | |
| S&P Kensho Cleantech ETF | | | 2,144,088 | | | | 249,412 | | |
| S&P Kensho Smart Factories ETF | | | 905,820 | | | | (96,563 | ) | |
| S&P MidCap 400® Dividend Aristocrats ETF | | | 16,365,687 | | | | 4,843,031 | | |
| S&P Technology Dividend Aristocrats ETF | | | 67,037,820 | | | | 17,936,536 | | |
| Smart Materials ETF | | | 4,038,365 | | | | 8,370 | | |
| Supply Chain Logistics ETF | | | 1,715,627 | | | | (14,193 | ) | |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 167
In addition, during the period, certain Funds received securities in exchange for subscriptions of shares (subscriptions-in-kind). For the year ended May 31, 2022, the fair value of the securities received for subscriptions were as follows:
| Fund | | Fair Value | |
| Big Data Refiners ETF | | $ | 964,320 | | |
| DJ Brookfield Global Infrastructure ETF | | | 27,210,033 | | |
| Equities for Rising Rates ETF | | | 107,035,711 | | |
| Global Listed Private Equity ETF | | | 7,713,022 | | |
| High Yield-Interest Rate Hedged | | | 65,225,097 | | |
| Inflation Expectations ETF | | | 8,685,513 | | |
| Investment Grade-Interest Rate Hedged | | | 449,540,906 | | |
| Large Cap Core Plus | | | 21,312,230 | | |
| Long Online/Short Stores ETF | | | 793,205 | | |
| Merger ETF | | | 25,831,529 | | |
| Metaverse ETF | | | 7,994,887 | | |
| MSCI EAFE Dividend Growers ETF | | | 6,164,934 | | |
| MSCI Europe Dividend Growers ETF | | | 6,574,395 | | |
| MSCI Transformational Changes ETF | | | 18,284,976 | | |
| Nanotechnology ETF | | | 2,021,548 | | |
| Nasdaq-100 Dorsey Wright Momentum ETF | | | 25,069,274 | | |
| On-Demand ETF | | | 928,788 | | |
| Online Retail ETF | | | 155,048,075 | | |
| Pet Care ETF | | | 279,223,957 | | |
| Russell 2000 Dividend Growers ETF | | | 103,909,825 | | |
| Russell U.S. Dividend Growers ETF | | | 3,763,255 | | |
| S&P 500® Bond ETF | | | 4,483,431 | | |
| S&P 500® Dividend Aristocrats ETF | | | 4,645,540,958 | | |
| S&P 500® Ex-Energy ETF | | | 2,911,429 | | |
| S&P 500® Ex-Financials ETF | | | 912,281 | | |
| S&P 500® Ex-Technology ETF | | | 4,566,094 | | |
| S&P Kensho Cleantech ETF | | | 2,053,887 | | |
| S&P MidCap 400® Dividend Aristocrats ETF | | | 101,232,114 | | |
| S&P Technology Dividend Aristocrats ETF | | | 66,111,798 | | |
| Smart Materials ETF | | | 2,478,559 | | |
13. Basis of Consolidation
The accompanying Consolidated Schedules of Portfolio Investments, Consolidated Statements of Assets and Liabilities, Consolidated Statements of Operations, Consolidated Statements of Changes in Net Assets, and Consolidated Financial Highlights of ProShares Bitcoin Strategy ETF and ProShares K-1 Free Crude Oil Strategy ETF, and the Consolidated Cash Flow Statement for ProShares Bitcoin Strategy ETF include the accounts of ProShares Cayman Bitcoin Strategy Portfolio, a wholly-owned subsidiary of ProShares Bitcoin Strategy ETF and ProShares Cayman Crude Oil Strategy Portfolio, a wholly-owned subsidiary of ProShares K-1 Free Crude Oil Strategy ETF organized under the laws of the Cayman Islands (together, the "Subsidiaries" and each, a "Subsidiary"), which primarily invest in commodity-related instruments. The Subsidiaries enable the Funds to hold these commodity-related instruments and satisfy regulated investment company tax requirements. Each Fund will invest a significant portion of its total assets in its Subsidiary. As of May 31, 2022, the net assets of ProShares Cayman Bitcoin Strategy Portfolio were 39.1% of the net assets of ProShares Bitcoin Strategy ETF and the net assets of ProShares Cayman Crude Oil Strategy Portfolio were 25.8% of the net assets of ProShares K-1 Free Crude Oil Strategy ETF. Intercompany accounts and transactions, if any, have been eliminated. The Subsidiaries are subject to the same investment policies and restrictions that apply to ProShares Bitcoin Strategy ETF and ProShares K-1 Free Crude Oil Strategy ETF, except that the Subsidiaries may invest without limitation in commodity-related instruments.
14. Share Splits
Effective January 13, 2022, ProShares Large Cap Core Plus underwent a 2-for-1 share split.
The effect of the share split transactions was to multiply the number of outstanding shares of the Fund by the split factor, with a corresponding decrease in the net asset value per share. These transactions did not change the net assets of the Fund or the value of a shareholder's investment.
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The historical share transactions presented in the Statements of Changes in Net Assets and per share data presented in the Financial Highlights have been adjusted retroactively to give effect to the share splits.
15. Risk
Some risks apply to all Funds, while others are specific to the investment strategy of certain Funds. Each Fund may be subject to other risks in addition to these identified risks. This section discusses certain common principal risks encountered by the Funds.
• Risks Associated with the Use of Derivatives
Certain Funds may obtain investment exposure through derivatives (including investing in futures contracts, options on futures contracts, securities and indexes, forward contracts, swap agreements and similar instruments). Investing in derivatives may be considered aggressive and may expose a Fund to risks different from, or possibly greater than, the risks associated with investing directly in securities underlying the derivative, including: 1) the risk that there may be imperfect correlation between the price of financial instruments and movements in the prices of the underlying reference asset(s); 2) the risk that an instrument is mispriced; 3) credit or counterparty risk on the amount each Fund expects to receive from a counterparty; 4) the risk that securities prices, interest rates and currency markets will move adversely and a Fund will incur significant losses; 5) the risk that the cost of holding a financial instrument might exceed its total return; and 6) the possible absence of a liquid secondary market for a particular instrument and possible exchange-imposed price fluctuation limits, either of which may make it difficult or impossible to adjust a Fund's position in a particular instrument when desired. The occurrence of any of these factors may prevent the Fund from achieving its investment objective. Because derivatives often require limited initial investment, the use of derivatives also may expose the Fund to losses in excess of those amounts initially invested.
Certain Funds may use a combination of swaps on an underlying index or swaps on an ETF that is designed to track the performance of that index. The performance of an ETF may not track the performance of its underlying index due to embedded costs and other factors. Thus, to the extent a Fund invests in swaps that use an ETF as the reference asset, that Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with its index as it would if the Fund used only swaps on the underlying index.
Moreover, with respect to the use of swap agreements, if an index has a dramatic intraday move that causes a material decline in a Fund's net assets, the terms of a swap agreement between the Fund and its counterparty may permit the counterparty to immediately close out the transaction with the Fund. In that event, the Fund may be unable to enter into another swap agreement or invest in other derivatives to achieve the desired exposure consistent with the Fund's investment objective. This, in turn, may prevent the Fund from achieving its investment objective, even if the Index reverses all or a portion of its intraday move by the end of the day. Any costs associated with using derivatives will also have the effect of lowering the Fund's return.
• Bitcoin Risk
The Bitcoin Strategy ETF does not invest directly in Bitcoin. The Fund invests primarily in Bitcoin futures.
Bitcoin is a relatively new innovation and the market for Bitcoin is subject to rapid price swings, changes and uncertainty. The further development of the Bitcoin Network and the acceptance and use of Bitcoin are subject to a variety of factors that are difficult to evaluate. The slowing, stopping or reversing of the development of the Bitcoin Network or the acceptance of Bitcoin may adversely affect the price of Bitcoin. Bitcoin is subject to the risk of fraud, theft, manipulation or security failures, operational or other problems that impact Bitcoin trading venues. Additionally, if one or a coordinated group of miners were to gain control of 51% of the Bitcoin Network, they would have the ability to manipulate transactions, halt payments and fraudulently obtain Bitcoin. A significant portion of Bitcoin is held by a small number of holders sometimes referred to as "whales". These holders have the ability to manipulate the price of Bitcoin. Unlike the exchanges for more traditional assets, such as equity securities and futures contracts, Bitcoin and Bitcoin trading venues are largely unregulated. As a result of the lack of regulation, individuals or groups may engage in fraud or market manipulation and investors may be more exposed to the risk of theft, fraud and market manipulation than when investing in more traditional asset classes. Over the past several years, a number of Bitcoin trading venues have been closed due to fraud, failure or security breaches. Investors in Bitcoin may have little or no recourse should such theft, fraud or manipulation occur and could suffer significant losses. Legal or regulatory changes may negatively impact the operation of the Bitcoin Network or restrict the use of Bitcoin. The realization of any of these risks could result in a decline in the acceptance of Bitcoin and consequently a reduction in the value of Bitcoin, Bitcoin futures, and the Fund. The Bitcoin Network is collectively maintained by (1) a decentralized group of participants who run computer software that results in the recording and validation of transactions (commonly referred to as "miners"), (2) developers who propose improvements to the Bitcoin Protocol and the software that enforces the protocol and (3) users who choose which version of the bitcoin software to run. From time to time, the developers suggest changes to the bitcoin software. If a sufficient number of users and miners elect not to adopt the changes, a new digital asset, operating on the earlier version of the bitcoin software, may be created. This is often referred to as a "fork." The creation of a "fork" or a substantial giveaway of Bitcoin (sometimes referred to as an "air drop") may result in a significant and unexpected decline in the value of Bitcoin, Bitcoin futures, and the Fund.
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• Bitcoin Futures Risk
The market for bitcoin futures may be less developed, and potentially less liquid and more volatile, than more established futures markets. While the bitcoin futures market has grown substantially since bitcoin futures commenced trading, there can be no assurance that this growth will continue. Bitcoin futures are subject to collateral requirements and daily limits that may limit the Fund's ability to achieve the desired exposure. If the Fund is unable to meet its investment objective, the Fund's returns may be lower than expected. Additionally, these collateral requirements may require the Fund to liquidate its position when it otherwise would not do so.
When a bitcoin futures contract is nearing expiration, the Fund will generally sell it and use the proceeds to buy a bitcoin futures contract with a later expiration date. This is commonly referred to as "rolling". The costs associated with rolling bitcoin futures typically are substantially higher than the costs associated with other futures contracts and may have a significant adverse impact on the performance of the Fund.
• Borrowing Risk
The Bitcoin Strategy ETF may borrow for investment purposes using reverse repurchase agreements. Borrowing may cause a Fund to liquidate positions under adverse market conditions to satisfy its repayment obligations. Borrowing increases the risk of loss and may increase the volatility of the Fund.
• Long/Short Risk
Certain Funds seek long exposure to certain securities and short exposure to certain other securities. There is no guarantee that the returns on a Fund's long or short positions will produce high, or even positive, returns. In addition, Funds subject to this risk may gain enhanced long exposure to certain securities (i.e., obtain investment exposure that exceeds the amount directly invested in those assets, a form of leverage) and, under such circumstances, will lose more money in market environments that are adverse to its long positions than funds that do not employ such leverage.
• Concentration Risk
Certain Funds may typically concentrate their investments in issuers of one or more particular industries to the same extent that their underlying indexes are so concentrated and to the extent permitted by applicable regulatory guidance. There is a risk that those issuers (or industry sectors) will perform poorly and negatively impact a Fund. Concentration risk results from maintaining exposure (long or short) 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.
• Correlation Risk
There is no guarantee that a Fund whose investment objective, before fees and expenses, seeks correlation with an index will achieve a high degree of correlation with its index or the inverse thereof. Failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. The percentage change of the Fund's NAV each day may differ, perhaps significantly in amount, and possibly even direction, from the percentage change of the Fund's index on such day. A number of other factors may adversely affect a Fund's correlation with its index, including material over- or under-exposure, fees, expenses, transaction costs, financing costs associated with the use of derivatives, income items, valuation methodology, infrequent trading in the securities underlying its index, accounting standards and disruptions or illiquidity in the markets for the securities or financial instruments in which a Fund invests. While each Fund generally attempts to track the performance of the Index by investing all, or substantially all, of its assets in the securities that make up the Index in approximately the same proportion as their weighting in the Index, at times a Fund may not have investment exposure to all securities in its index, or, with respect to equity funds, its weighting of investment exposure to such securities, financial investments or industries may be different from that of the index. In addition, a Fund may invest in securities or financial investments not included in the index or in financial instruments. Each Fund may take or refrain from taking positions in order to improve tax efficiency or comply with regulatory restrictions, or for other reasons, each of which may negatively affect the Fund's correlation with its index. A Fund may also be subject to large movements of assets into and out of the Fund, which may cause a difference between the changes in the daily performance of the Fund and changes in the level of the Index potentially resulting in the Fund being over- or underexposed to its index and may be impacted by index reconstitutions and index rebalancing events. Additionally, a Fund's underlying investments may trade on markets that may or may not be open on the same day as the Fund. Furthermore, a Fund's currency holdings may be valued at a different time than the level of its index. In addition, the Funds with a foreign currency hedging strategy may also be unable to perfectly match the Index and will introduce additional costs, both sources of additional correlation risk. Any of these factors could decrease correlation between the performance of a Fund and the index and may hinder a Fund's ability to meet its investment objective.
• Counterparty Risk
A Fund will be subject to credit risk (i.e., the risk that a counterparty is unwilling or unable to make timely payments or otherwise meet its contractual obligations) with respect to the amount the Fund expects to receive from counterparties to financial instruments (including derivatives and repurchase agreements) entered into by the Fund. The Funds generally structure the agreements such that either party can
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terminate the contract without penalty prior to the termination date. If a counterparty terminates a contract, a Fund may not be able to invest in other derivatives to achieve the desired exposure, or achieving such exposure may be more expensive. A Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations under such an agreement.
At May 31, 2022, ProShares Decline of the Retail Store ETF and ProShares Merger ETF had net unrealized appreciation on swaps with a single counterparty which exceeded 5% of each Fund's net assets.
• Geographic Concentration Risk
Certain Funds that focus their investments in companies economically tied to particular foreign countries or geographic regions may be particularly susceptible to political, social, economic or regulatory events affecting those countries or regions. The performance of such Funds may be more volatile than a more geographically diversified fund.
• Foreign Currency Risk
Certain of the Funds' investments may be denominated in foreign currencies. Investments denominated in foreign currencies are exposed to more risk than those investments denominated in U.S. dollars. The value of an investment denominated in a foreign currency could change significantly as foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign currency losses could offset or exceed any potential gains, or add to losses, in the related investments. Regulatory fees or higher custody fees maybe imposed on foreign currency holdings.
• Liquidity Risk
In certain circumstances, such as the disruption of the orderly markets for the securities and/or financial instruments in which a Fund invests, the Fund might not be able to acquire or dispose of certain holdings quickly or at prices that represent true market value in the judgment of the Advisor. Markets for the securities and/or financial instruments in which a Fund invests may be disrupted by a number of events, including but not limited to economic crises, natural disasters, new legislation, or regulatory changes inside or outside of the U.S. For example, regulation limiting the ability of certain financial institutions to invest in certain securities would likely reduce the liquidity of those securities. These situations may prevent a Fund from limiting losses, realizing gains or achieving a high correlation with its index.
The market for the Bitcoin futures contracts is still developing and may be subject to periods of illiquidity. During such times it may be difficult or impossible to buy or sell a position at the desired price. Market disruptions or volatility can also make it difficult to find a counterparty willing to transact at a reasonable price and sufficient size. Illiquid markets may cause losses, which could be significant. The large size of the positions which the Fund may acquire increases the risk of illiquidity, may make its positions more difficult to liquidate, and increase the losses incurred while trying to do so.
• Debt Instrument Risk
Certain Funds invest in, or seek exposure to, debt instruments. Debt instruments may have varying levels of sensitivity to changes in interest rates and other factors. In addition, changes in the credit quality of the issuer of a debt instrument (including a default) can also affect the price of a debt instrument, as can an issuer's default on its payment obligations. These factors may cause the value of an investment in a Fund to change.
• Breakeven Inflation Investing Risk
ProShares Inflation Expectations ETF seeks investment results, before fees and expenses that track the performance of the FTSE 30-Year TIPS (Treasury Rate-Hedged) Index. The FTSE 30-Year TIPS (Treasury Rate-Hedged) Index tracks the performance of long positions in the most recently issued 30-year Treasury Inflation-Protected Securities ("TIPS") bond and duration-adjusted short positions in U.S. Treasury bonds of, in aggregate, approximate equivalent duration dollars to the TIPS. The FTSE 30-Year TIPS (Treasury Rate-Hedged) Index seeks to achieve an overall duration dollar amount of zero. The difference in yield (or spread) between these bonds (Treasury yield minus TIPS yield) is commonly referred to as a "breakeven rate of inflation" ("BEI") and is considered to be a measure of the market's expectations for inflation over the relevant period. The level of the FTSE 30-Year TIPS (Treasury Rate-Hedged) Index (and the Fund) will fluctuate based on changes in the value of the underlying bonds, which will likely not be the same on a percentage basis as changes in the BEI. The FTSE 30-Year TIPS (Treasury Rate-Hedged) Index is not designed to measure or predict the realized rate of inflation, nor does it seek to replicate the returns of any price index or measure of actual consumer price levels. Changes in the BEI are based on the TIPS and U.S. Treasury markets, interest rate and inflation expectations, and fiscal and monetary policy. There is no guarantee that these factors will combine to produce any particular directional changes in the FTSE 30-Year TIPS (Treasury Rate-Hedged) Index over time, or that the Fund will retain any appreciation in value over extended periods of time, or that the returns of the FTSE 30-Year TIPS (Treasury Rate-Hedged) Index or the Fund will track or outpace the realized rate of inflation, or any price index or measure of actual consumer price levels. It is possible that the returns of the FTSE 30-Year TIPS (Treasury Rate-Hedged) Index or the Fund will not correlate to (or may be the opposite of) the change in the realized rate of inflation, or any price index, or measure of actual consumer price levels. Furthermore, while the BEI provides exposure to inflation expectations, it may also be influenced by other factors, including premiums related to liquidity for certain bonds as well as premiums surrounding the uncertainty
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of future inflation. These other factors may impact the level of the FTSE 30-Year TIPS (Treasury Rate-Hedged) Index or the value of the Fund in unexpected ways and may cancel out or even reverse the impact of changes in inflation expectations. As a result, an investment in the Fund may not serve as an effective hedge against inflation.
• Subsidiary Investment Risk
Changes in the laws of the United States and/or the Cayman Islands, under which the ProShares Bitcoin Strategy ETF and ProShares K-1 Free Crude Oil Strategy ETF and their Subsidiaries are organized, respectively, could result in the inability of the Funds to operate as intended and could negatively affect the Funds and their shareholders. The Subsidiaries are not registered under the 1940 Act and are not subject to all the investor protections of the 1940 Act. Thus, the Funds, as an investor in the Subsidiaries, will not have all the protections offered to investors in registered investment companies.
• Risks Associated with the Use of Crude Oil Futures Contracts
ProShares K-1 Free Crude Oil Strategy ETF obtains investment exposure through commodity futures and does not invest directly in physical commodities. ProShares K-1 Free Crude Oil Strategy ETF does not invest in nor seek exposure to the current "spot" or cash price of physical crude oil. Crude oil futures contracts typically perform very differently from, and commonly underperform, the spot price of crude oil due to current (and futures expectations of) factors such as storage costs, supply and demand and geopolitical risks. Investing in futures contracts may be considered aggressive and may expose the Fund to greater risks than investing directly in securities or other instruments. These risks include counterparty risk and liquidity risk (each as discussed below). Because futures contracts often require limited initial investment, the use of futures contracts also may expose the Fund to losses in excess of those amounts initially invested.
• Active Management Risk
The performance of actively managed funds (ProShares Bitcoin Strategy ETF) reflect, in part, the ability of the Advisor to select investments and make investment decisions that are suited to achieving a Fund's investment objective. The Advisor's judgments about a Fund's investments may prove to be incorrect. If the investments selected and strategies employed by a Fund fail to produce the intended results, the Fund could underperform other funds with a similar investment objective and/or strategies.
• Commodity Market Risk
The value of Commodity Futures typically is based in great part upon the price movements of a physical commodity and the market's expectations for such moves in the future. The prices of Commodity Futures may fluctuate quickly and dramatically and may not correlate to price movements in other asset classes. Global events such as government interventions, treaties and trading, inter- or intrastate conflict, weather or other natural disasters, changes in supply or production, changes in activity of crude oil commodity producing companies, countries and/or organizations, and changes in speculators' and/or investor's demand can cause extreme levels of volatility. Furthermore, since commodities are generally denominated in USD, a strengthening US dollar can also cause significant declines in commodity prices. An active trading market may not exist for certain commodities. Each of these factors and events could have a significant negative impact on a Fund.
• Rolling Futures Contract Risk
ProShares Bitcoin Strategy ETF (through its investment in the Subsidiary) and ProShares K-1 Free Crude Oil Strategy ETF (through its investment in the Subsidiary) have exposure to futures contracts and are subject to risks related to "rolling" of such contracts. A Fund does not intend to hold futures contracts through their expiration date, but instead intends to "roll" its futures positions. Rolling occurs when a Fund closes out of futures contracts as they near their expiration date and is replaced with contracts that have a later expiration date. When the market for these futures contracts is such that the prices are higher in the more distant delivery months than in the nearer delivery months, the sale during the course of the rolling process of the more nearby contract would take place at a price that is lower than the price of the more distant contract. This pattern of higher futures contract prices for longer expiration contracts is often referred to as "contango." Alternatively, when the market for futures contracts is such that the prices are higher in the nearer months than in the more distant months, the sale during the course of the rolling process of the more nearby contract would take place at a price that is higher than the price of the more distant contract. This pattern of higher futures prices for shorter expiration futures contracts is referred to as "backwardation." Extended periods of contango or backwardation have occurred in the past and can in the future cause significant losses for a Fund. The Advisor will utilize active management techniques (with respect to ProShares Bitcoin Strategy ETF) to seek to mitigate the negative impact or, in certain cases, benefit from the contango or backwardation present in the various futures contract markets, but there can be no guarantee that it will be successful in doing so.
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• Risks Specific to the Crude Oil Markets
Several factors may affect the price of crude oil and, in turn, the WTI crude oil futures contracts and other assets, if any, owned by a Fund, including, but not limited to:
? Significant increases or decreases in the available supply of crude oil due to natural or technological factors. Natural factors would include depletion of known cost-effective sources for crude oil or the impact of severe weather on the ability to produce or distribute crude oil. Technological factors would include increases in availability created by new or improved extraction, refining and processing equipment and methods or decreases caused by failure or unavailability of major refining and processing equipment (for example, shutting down or constructing oil refineries).
? A significant change in the attitude of speculators and investors towards crude oil. Should the speculative community take a negative or positive view towards crude oil, it could cause a change in world prices of crude oil, which could have a corresponding positive or negative impact on the price of a Fund's shares.
? Large purchases or sales of crude oil by the official sector. Governments and large institutions have large commodities holdings or may establish major commodities positions. For example, nations with centralized or nationalized oil production and organizations such as the Organization of Petroleum Exporting Countries control large physical quantities of crude oil. If one or more of these institutions decides to buy or sell crude oil in amounts large enough to cause a change in world prices, the price of a Fund's shares will be affected.
? Political factors such as imposition of regulations or entry into trade treaties, as well as political disruptions caused by societal breakdown, insurrection and/or war may greatly influence crude oil supply and prices.
• Exposure to Retailing Industry Risk
Retailing Industry Risk is the risk faced by companies in the retailing industry, including: changes in domestic and international economies, consumer confidence, disposable household income and spending, and consumer tastes and preferences; intense competition; changing demographics; marketing and public perception; dependence on third-party suppliers and distribution systems; intellectual property infringement; legislative or regulatory changes and increased government supervision; thin capitalization; dependence on a relatively few number of high volume sales days to achieve overall results; and dependence on outside financing, which may be difficult to obtain.
• Online Retail Companies Risk
Companies that operate in the online marketplace and retail segments are subject to fluctuating consumer demand. Unlike traditional brick and mortar retailers, online marketplaces and retailers must assume shipping costs or pass such costs to consumers. Consumer access to price information for the same or similar products may cause companies that operate in the online marketplace and retail segments to reduce profit margins in order to compete. Due to the nature of their business models, companies that operate in the online marketplace and retail segments may also be subject to heightened cybersecurity risk, including the risk of theft or damage to vital hardware, software and information systems. The loss or public dissemination of sensitive customer information or other proprietary data may negatively affect the financial performance of such companies to a greater extent than traditional brick and mortar retailers. As a result of such companies being web-based and the fact that they process, store, and transmit large amounts of data, including personal information, for their customers, failure to prevent or mitigate data loss or other security breaches, including breaches of vendors' technology and systems, could expose companies that operate in the online marketplace and retail segments or their customers to a risk of loss or misuse of such information, adversely affect their operating results, result in litigation or potential liability, and otherwise harm their businesses. Investing in Online Retailers may be attractive to investors who believe the trend of rising online sales will continue; however, there is no guarantee this trend will continue. Each of these factors could have a negative impact on the performance of the companies in the Index and the performance of the Fund.
• Metaverse Companies Risk
The metaverse is a developing technology and is subject to risks associated with a developing technology which include, but are not limited to, small or limited markets for their securities, changes in business cycles, world economic growth, technological progress, rapid obsolescence, and government regulation. Companies in metaverse-related businesses, especially smaller, start-up companies, tend to be more volatile than securities of companies that do not rely heavily on technology. Rapid change to technologies that affect a company's products could have a material adverse effect on such company's operating results. These companies may rely on a combination of patents, copyrights, trademarks and trade secret laws to establish and protect their proprietary rights in their products and technologies. Such companies typically face intense competition and loss or impairment of intellectual property rights. There is no guarantee that the products or services produced by companies in metaverse related businesses will be successful.
• Media and Entertainment Industry Risk
Media and entertainment companies within the Communication Services industry are impacted by the high costs of research and development of new content and services in an effort to stay relevant in a highly competitive industry. In addition, media and entertainment companies are challenged by the changing tastes, topical interests and discretionary income of their targeted consumers. With the advancement of
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streaming technology, sales of content through physical formats (such as DVD and Blu-ray) and traditional content delivery services (such as cable TV providers and satellite dish operators) are declining in popularity as consumers increasingly opt to purchase digital content that is customizable, less expensive and takes up less physical space. The media and entertainment industry is regulated and changes to rules regarding advertising and the content produced by media and entertainment companies can increase overall production and distribution costs.
• Semiconductors and Semiconductor Equipment Industry Risk
The risks of investments in the industry include: intense competition, both domestically and internationally, including competition from subsidized foreign competitors with lower production costs; wide fluctuations in securities prices due to risks of rapid obsolescence of products; economic performance of the customers of semiconductor companies; their research costs and the risks that their products may not prove commercially successful; capital equipment expenditures that could be substantial and suffer from rapid obsolescence; and thin capitalization and limited product lines, markets, financial resources or personnel. The semiconductors sector may also be affected by risks that affect the broader technology sector, including: government regulation; dramatic and often unpredictable changes in growth rates and competition for qualified personnel; heavy dependence on patent and intellectual property rights, the loss or impairment of which may adversely affect profitability; and a small number of companies representing a large portion of the technology sector as a whole.
• Software and Services Industry Risk
The risks of investments in the industry include: competitive pressures, such as aggressive pricing (including fixed-rate pricing), technological developments (including product-specific technological change), changing domestic demand, and the ability to attract and retain skilled employees; availability and price of components; dependence on intellectual property rights, and potential loss or impairment of those rights; research and development costs; rapid product obsolescence; cyclical market patterns; evolving industry standards; and frequent new product introductions requiring timely and successful introduction of new products and the ability to service such products. The software and services industry may also be affected by risks that affect the broader information technology industry.
• Natural Disaster/Epidemic Risk
Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Fund may have difficulty achieving its investment objectives which may adversely impact Fund performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Fund's investment advisor, third party service providers and counterparties), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds' investments. These factors can cause substantial market volatility, exchange trading suspensions and closures, changes in the availability of and the margin requirements for certain instruments, and can impact the ability of the Fund to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis would also affect the global economy in ways that cannot necessarily be foreseen. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these could have a significant impact on a Fund's performance, resulting in losses to your investment.
• Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shock
The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions to slow and contain the spread of COVID-19 (including any variants). These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. The global economic shocks being experienced as of the date hereof may cause the underlying assumptions and expectations of the Fund to quickly become outdated or inaccurate, resulting in significant losses. Additionally, other public health issues, war, military conflicts, sanctions, acts of terrorism, sustained elevated inflation, supply chain issues or other events could have a significant negative impact on global financial markets and economies. Russia's recent military incursions in Ukraine have led to, and may lead to additional sanctions being levied by the United States, European Union and other countries against Russia. Russia's military incursion and the resulting sanctions could adversely affect global energy and financial markets and thus could affect the value of the Fund's investments, even beyond any direct exposure the Fund may have to the region or to adjoining geographic regions. The extent and duration of the military action, sanctions and resulting market disruptions are impossible to predict, but could have a severe adverse effect on the region, including significant negative impacts on
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the economy and the markets for certain securities and commodities, such as oil and natural gas. How long such tensions and related events will last cannot be predicted. These tensions and any related events could have significant impact on the Fund performance and the value of an investment in the Fund.
16. Indemnifications
Under the Trust's organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business the Trust enters into contracts that contain a variety of general indemnifications. The Trust's maximum exposure under these arrangements cannot be known; however, the Trust expects risk of significant loss to be remote.
17. Subsequent Events
Subsequent events occurring after the date of this report have been evaluated for potential impact, for purposes of recognition or disclosure in the financial statements, through the date the report was issued.
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees of ProShares Trust and Shareholders of each of the thirty-eight funds listed below
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments (or summary schedules of portfolio investments for the Funds indicated with an asterisk below), of each of the funds listed below (thirty-eight of the funds constituting ProShares Trust, hereafter collectively referred to as the "Funds") as of May 31, 2022, the related statements of operations, of changes in net assets and, for Bitcoin Strategy ETF, of cash flows for each of the periods listed below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of May 31, 2022, the results of each of their operations, the changes in each of their net assets, for Bitcoin Strategy ETF, its cash flows for each of the periods listed below, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.
Big Data Refiners ETF (b)
Bitcoin Strategy ETF (c)
Decline of the Retail Store ETF (a)
DJ Brookfield Global Infrastructure ETF (a)
Equities for Rising Rates ETF (a)
Global Listed Private Equity ETF (a)
Hedge Replication ETF* (a)
High Yield-Interest Rate Hedged (a)
Inflation Expectations ETF (a)
Investment Grade — Interest Rate Hedged (a)
K-1 Free Crude Oil Strategy ETF (a)
Large Cap Core Plus* (a)
Long Online/Short Stores ETF (a)
Merger ETF (a)
Metaverse ETF (d)
MSCI EAFE Dividend Growers ETF (a)
MSCI Emerging Markets Dividend Growers ETF (a)
MSCI Europe Dividend Growers ETF (a)
MSCI Transformational Changes ETF (e)
Nanotechnology ETF (f)
Nasdaq-100 Dorsey Wright Momentum ETF (g)
On-Demand ETF (f)
Online Retail ETF (a)
Pet Care ETF (a)
Russell 2000 Dividend Growers ETF (a)
Russell U.S. Dividend Growers ETF (a)
S&P 500® Bond ETF (a)
S&P 500® Dividend Aristocrats ETF (a)
S&P 500® Ex-Energy ETF* (a)
S&P 500® Ex-Financials ETF* (a)
S&P 500® Ex-Health Care ETF* (a)
S&P 500® Ex-Technology ETF* (a)
S&P Kensho Cleantech ETF (b)
S&P Kensho Smart Factories ETF (b)
S&P MidCap 400® Dividend Aristocrats ETF (a)
S&P Technology Dividend Aristocrats ETF (a)
Smart Materials ETF (f)
Supply Chain Logistics ETF (h)
(a) Statement of operations for the year ended May 31, 2022, and statement of changes in net assets for each of the two years in the period ended May 31, 2022.
(b) Statement of operations and statement of changes in net assets for the period September 29, 2021 (commencement of investment operations) through May 31, 2022.
(c) Statement of operations, statement of changes in net assets and statement of cash flows for the period October 18, 2021 (commencement of investment operations) through May 31, 2022.
(d) Statement of operations and statement of changes in net assets for the period March 15, 2022 (commencement of investment operations) through May 31, 2022.
(e) Statement of operations for the year ended May 31, 2022 and statement of changes in net assets for the year ended May 31, 2022 and for the period October 14, 2020 (commencement of investment operations) through May 31, 2021.
(f) Statement of operations and statement of changes in net assets for the period October 26, 2021 (commencement of investment operations) through May 31, 2022.
(g) Statement of operations for the year ended May 31, 2022 and statement of changes in net assets for the year ended May 31, 2022 and for the period May 18, 2021 (commencement of investment operations) through May 31, 2021.
(h) Statement of operations and statement of changes in net assets for the period April 6, 2022 (commencement of investment operations) through May 31, 2022.
Basis for Opinions
These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant
176 :: REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PROSHARES TRUST
estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Baltimore, Maryland
July 27, 2022
We have served as the auditor of one or more investment companies in ProFunds and ProShares Trust group since 1997.
PROSHARES TRUSTREPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM :: 177
At a meeting held on March 10, 2022, the Board of Trustees (the "Board") of ProShares Trust (the "Trust") considered the initial approval of the Investment Advisory and Management Agreement (the "Unitary Fee Agreement") between the Trust and ProShare Advisors LLC (the "Advisor") with respect to the ProShares Metaverse Theme ETF (the "New ETF").
In response to a request from the Independent Trustees, the Advisor provided information for the Board to consider relating to the approval of the Unitary Fee Agreement, including information that addressed, among other things: (i) the nature, extent, and quality of the services that were provided or proposed to be provided by the Advisor; (ii) the costs of the services to be provided and the profits realized by the Advisor; (iii) the investment performance of the Advisor in managing other index-based ETF portfolios; (iv) the extent to which economies of scale might be realized as the New ETF grows and whether fee levels reflect economies of scale, if any, for the benefit of the New ETF's shareholders; and (v) other benefits to the Advisor and/or its affiliates from the relationship to the New ETF. It was noted that certain of this information had been previously provided as part of the Annual 15c Response.
The Independent Trustees consulted with Independent Trustee Counsel concerning their responsibilities under state and federal law with respect to their consideration of the approval of the Unitary Fee Agreement and other agreements with respect to the New ETF. It was noted that the Independent Trustees requested, and received, information from the Advisor concerning the New ETF.
In response to the request from the Independent Trustees, the Advisor provided information and reports relevant to the approval of the Unitary Fee Agreement, including, among other things: (i) information about the advisory services to be provided by the Advisor with respect to the New ETF; (ii) the Advisor's Form ADV; (iii) biographies of the employees of the Advisor who are primarily responsible for providing investment advisory services to the New ETF; (iv) information regarding the proposed contractual fees with respect to the New ETF; (v) comparative industry fee data; (vi) information regarding the Advisor's trade allocation and best execution policies and procedures; (vii) information about the financial condition of the Advisor; (viii) information regarding how the Advisor expects to monitor the New ETF's compliance with regulatory requirements and Trust procedures; and (ix) the Advisor's reputation, expertise and resources.
In evaluating this information, the Board was advised by legal counsel to the New ETF, and the Independent Trustees were advised separately by Independent Trustee Counsel. In its deliberations, the Board did not identify any single factor as all-important or controlling and individual Trustees did not necessarily attribute the same weight or importance to each factor.
Nature, Extent and Quality of the Advisor's Services
The Board reviewed the nature, extent and quality of the investment advisory services to be performed by the Advisor with respect to the New ETF. The Board focused on the quality of the personnel and operations at the Advisor and the systems and processes required to manage the New ETF effectively. In particular, the Board considered the following:
• the investment objective of the New ETF and the Advisor's description of the skills needed to manage the New ETF;
• the key features of the New ETF, including investment strategies of the New ETF, as well as the possible employment of optimization/sampling techniques necessary to manage the New ETF and develop creation and redemption baskets;
• the size and experience of the Advisor's portfolio staff and the Advisor's ability to recruit, train and retain personnel with relevant experience and the specific expertise necessary to manage the New ETF;
• the structure of the portfolio staff compensation program and the incentives it is intended to provide;
• the collateral, credit and cash management functions at the Advisor;
• significant investment in personnel and state-of-the-art technology that the Advisor has made over the course of several years; and
• information regarding allocation of brokerage on behalf of other ETFs managed by the Advisor and the Advisor's practices regarding the selection of counterparties for the New ETF's portfolio transactions.
The Board considered that the Advisor will oversee the operations of the New ETF, including oversight of the New ETF's service providers, and will provide compliance services to the New ETF.
Based upon its review, the Board, including all of the Independent Trustees, concluded that (i) the investment advisory services to be provided by the Advisor with respect to the New ETF were expected to be of high quality, (ii) the Advisor has successfully achieved the investment goals of the existing operational Funds in the Trust, and (iii) it was generally satisfied with the nature, quality and extent of services expected to be provided to the New ETF.
Comparison of Services and Fees
The Advisor presented information about the fairness and reasonableness of the fees proposed to be payable to the Advisor in light of the services to be provided to the New ETF by or at the expense of the Advisor, the costs of these services and the comparability to the fees paid by other investment companies, including ETFs, offering strategies similar in nature and extent to the New ETF. The Board discussed the methodology used to prepare the comparative fee data for the New ETF and the potential limitations of such data. The Advisor presented information about the significant drivers of cost.
178 :: BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTSPROSHARES TRUST
The Board reviewed information prepared by the independent consultant comparing management and expense information for the New ETF to that of a peer groups of funds (the "Peer Group") determined by the consultant as well as to the relevant fund category determined by the consultant. The Board reviewed Peer Group and category information prepared by the consultant comparing the contractual advisory fee rate to be paid by the New ETF to other funds with investment objectives most similar to the New ETF. The Board noted the difficulty in compiling the Peer Group because, by design, the New ETF is unique and, therefore, few (if any) funds with substantially similar objectives and strategies may be available. It was noted that the index that the New ETF will track is also new. Notwithstanding this difficulty, the Board found the comparative information it received to be useful in its evaluation of the reasonableness of the Advisor's proposed fees. The Board noted that the proposed fees for the New ETF are the same as the universe average and are slightly below the universe median.
The Board recognized that it is difficult to make comparisons of fees across fund complexes because there may be variations in the services that are included in the fees paid by other funds. The Board concluded that the New ETF's unitary fee rate was reasonable given the services proposed to be provided and the fees charged by other funds in the Peer Group.
Profitability
The Board noted that the New ETF had not yet started operations, so that it could not yet evaluate the Advisor's profitability related to the New ETF. It was noted that each year, as part of its annual contract renewal process, the Trustees discuss the Advisor's profit margin, including the methodology used in the Advisor's profitability analysis, and receive information provided by the Advisor relating to its financial condition and overall profitability related to its management of the funds in the fund complex.
The Independent Trustees met in Executive Session with Independent Trustee Counsel to discuss and evaluate the information provided by the Advisor and the independent consultant.
The Board considered and discussed with representatives of the Advisor the significant drivers of cost incurred by or expected to be incurred by the Advisor in managing the New ETF, including, but not limited to, intellectual capital, regulatory compliance and entrepreneurial risk, and considered the costs that investors likely would incur if they independently sought to achieve the objectives of the New ETF.
Investment Performance of the Fund and the Advisor
The Trustees noted that the New ETF had not yet commenced operations and, therefore, there was no performance information for the New ETF to consider. The Trustees noted, however, the Advisor's performance record in managing other ETFs that seek to track the performance of a securities index.
Economies of Scale
The Board considered the New ETF's fee arrangements with the Advisor and noted that under the Unitary Fee Agreement the fee would stay the same as asset levels increased. The Board also noted that the Advisor was obligated to pay certain of the New ETF's operating expenses and that the Advisor would be contractually obligated to pay actual costs above the Unitary Fee (other than excluded costs) and that the Unitary Fee Agreement will provide an effective cap on the New ETF's normal operating expenses. The Board also noted the Advisor's representation that such an arrangement provided important distribution benefits for the New ETF and addressed competitive pressures within the ETF industry.
Other Benefits
The Board also considered any indirect, or "fall-out," benefits of the Advisor or its affiliates to be derived from the relationship to the New ETF but concluded that such benefits were not material to their considerations.
Conclusions
The Board, including all of the Independent Trustees, concluded that in light of all the circumstances, the terms of the Unitary Fee Agreement for the New ETF were fair and reasonable and approved the Unitary Fee Agreement.
PROSHARES TRUSTBOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS :: 179
At a meeting held on February 8, 2022, the Board of Trustees (the "Board") of ProShares Trust (the "Trust") considered the initial approval of the Investment Advisory and Management Agreement (the "Unitary Fee Agreement") between the Trust and ProShare Advisors LLC (the "Advisor") with respect to the ProShares Supply Chain Logistics ETF (the "New ETF").
In response to a request from the Independent Trustees, the Advisor provided information for the Board to consider relating to the approval of the Unitary Fee Agreement, including information that addressed, among other things: (i) the nature, extent, and quality of the services that were provided or proposed to be provided by the Advisor; (ii) the costs of the services to be provided and the profits realized by the Advisor; (iii) the investment performance of the Advisor in managing other index-based ETF portfolios; (iv) the extent to which economies of scale might be realized as the New ETF grows and whether fee levels reflect economies of scale, if any, for the benefit of the New ETF's shareholders; and (v) other benefits to the Advisor and/or its affiliates from the relationship to the New ETF. It was noted that certain of this information had been previously provided as part of the Annual 15c Response.
The Independent Trustees consulted with Independent Trustee Counsel concerning their responsibilities under state and federal law with respect to their consideration of the approval of the Unitary Fee Agreement and other agreements with respect to the New ETF. It was noted that the Independent Trustees requested, and received, information from the Advisor concerning the New ETF.
In response to the request from the Independent Trustees, the Advisor provided information and reports relevant to the approval of the Unitary Fee Agreement, including, among other things: (i) information about the advisory services to be provided by the Advisor with respect to the New ETF; (ii) the Advisor's Form ADV; (iii) biographies of the employees of the Advisor who are primarily responsible for providing investment advisory services to the New ETF; (iv) information regarding the proposed contractual fees with respect to the New ETF; (v) comparative industry fee data; (vi) information regarding the Advisor's trade allocation and best execution policies and procedures; (vii) information about the financial condition of the Advisor; (viii) information regarding how the Advisor expects to monitor the New ETF's compliance with regulatory requirements and Trust procedures; and (ix) the Advisor's reputation, expertise and resources.
In evaluating this information, the Board was advised by legal counsel to the New ETF, and the Independent Trustees were advised separately by Independent Trustee Counsel. In its deliberations, the Board did not identify any single factor as all-important or controlling and individual Trustees did not necessarily attribute the same weight or importance to each factor.
Nature, Extent and Quality of the Advisor's Services
The Board reviewed the nature, extent and quality of the investment advisory services to be performed by the Advisor with respect to the New ETF. The Board focused on the quality of the personnel and operations at the Advisor and the systems and processes required to manage the New ETF effectively. In particular, the Board considered the following:
• the investment objective of the New ETF and the Advisor's description of the skills needed to manage the New ETF;
• the key features of the New ETF, including investment strategies of the New ETF, as well as the possible employment of optimization/sampling techniques necessary to manage the New ETF and develop creation and redemption baskets;
• the size and experience of the Advisor's portfolio staff and the Advisor's ability to recruit, train and retain personnel with relevant experience and the specific expertise necessary to manage the New ETF;
• the structure of the portfolio staff compensation program and the incentives it is intended to provide;
• the collateral, credit and cash management functions at the Advisor;
• significant investment in personnel and state-of-the-art technology that the Advisor has made over the course of several years; and
• information regarding allocation of Existing Fund brokerage and the selection of counterparties for New ETF portfolio transactions.
The Board considered that the Advisor will oversee the operations of the New ETF, including oversight of the New ETF's service providers, and will provide compliance services to the New ETF.
Based upon its review, the Board, including all of the Independent Trustees, concluded that (i) the investment advisory services to be provided by the Advisor with respect to the New ETF were expected to be of high quality, (ii) the Advisor has successfully achieved the investment goals of the existing operational Funds in the Trust, and (iii) it was generally satisfied with the nature, quality and extent of services expected to be provided to the New ETF.
Comparison of Services and Fees
The Advisor presented information about the fairness and reasonableness of the fees proposed to be payable to the Advisor in light of the services to be provided to the New ETF by or at the expense of the Advisor, the costs of these services and the comparability to the fees paid by other investment companies, including ETFs, offering strategies similar in nature and extent to the New ETF. The Board discussed the methodology used to prepare the comparative fee data for the New ETF and the potential limitations of such data. The Advisor presented information about the significant drivers of cost.
The Board considered the structure of the proposed unitary advisory and management fee, including the nature of the services and costs that were included in the fee and those that were excluded. The Board reviewed information prepared by the independent consultant comparing
180 :: BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTSPROSHARES TRUST
management and expense information for the New ETF to that of a peer group (the "Peer Group") determined by the consultant as well as to the relevant fund category determined by the consultant. The Board reviewed Peer Group and category information prepared by the consultant comparing the contractual advisory fee rate to be paid by the New ETF to other funds with investment objectives most similar to the New ETF. The Board noted the difficulty in compiling the Peer Group because, by design, the New ETF is unique and, therefore, few (if any) funds with substantially similar objectives and strategies may be available. It was noted that the index that the New ETF will track is also new. Notwithstanding this difficulty, the Board found the comparative information it received to be useful in its evaluation of the reasonableness of the Advisor's proposed fees.
The Board recognized that it is difficult to make comparisons of fees across fund complexes because there may be variations in the services that are included in the fees paid by other ETFs. The Board concluded that the New ETF's unitary fee rates were reasonable given the services proposed to be provided and the fees charged by the Peer Group.
Profitability
The Board noted that the New ETF had not yet started operations, so that it could not yet evaluate the Advisor's profitability related to the New ETF. It was noted that each year, as part of its annual contract renewal process, the Trustees discuss the Advisor's profit margin, including the methodology used in the Advisor's profitability analysis.
The Independent Trustees met in Executive Session with Independent Trustee Counsel to discuss and evaluate the information provided by the Advisor and the independent consultant. Among other things, the Trustees received information provided by the Advisor regarding its financial condition and overall profitability related to its management of the Funds in the fund complex.
The Board considered and discussed with representatives of the Advisor the significant drivers of cost incurred by or expected to be incurred by the Advisor in managing the New ETF, including, but not limited to, intellectual capital, regulatory compliance and entrepreneurial risk, and considered the costs that investors likely would incur if they independently sought to achieve the objectives of the New ETF.
Investment Performance of the Fund and the Advisor
The Trustees noted that the New ETF had not yet commenced operations and, therefore, there was no performance information for the New ETF to consider. The Trustees noted, however, the Advisor's performance record in managing other ETFs that seek to track the performance of a securities index.
Economies of Scale
The Board considered the New ETF's fee arrangements with the Advisor and noted that under the Unitary Fee Agreement the advisory fee would stay the same as asset levels increased. The Board also noted that the Advisor was obligated to pay certain of the New ETF's operating expenses and that the Advisor would be contractually obligated to pay actual costs above the Unitary Fee (other than excluded costs) and that the Unitary Fee Agreement provided an effective cap on the New ETF's normal operating expenses. The Board also noted the Advisor's representation that such an arrangement provided important distribution benefits for the New ETF and addressed competitive pressures within the ETF industry, particularly with other "strategic" funds such as the New ETF.
Other Benefits
The Independent Trustees also considered any indirect, or "fall-out," benefits of the Advisor or its affiliates to be derived from the relationship to the New ETF but concluded that such benefits were relatively insignificant.
Conclusions
The Board, including all of the Independent Trustees, concluded that it was in the best interests of the New ETF and its prospective shareholders to approve the Unitary Fee Agreement and that the terms of the Unitary Fee Agreement for the New ETF were fair and reasonable.
PROSHARES TRUSTBOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS :: 181
Federal Tax Information
Pursuant to Section 853 of the Internal Revenue Code, the Funds may elect to pass through to shareholders the income tax credit for taxes paid to foreign countries. In addition, these funds have derived net income from foreign countries. For the tax year ended October 31, 2021, the following funds had foreign tax credit and foreign source income:
| Fund | | Foreign
Tax Credit | | Foreign
Source Income | |
| Global Listed Private Equity ETF | | $ | 16,667 | | | $ | 243,816 | | |
| MSCI EAFE Dividend Growers ETF | | | 290,838 | | | | 2,798,097 | | |
| MSCI Emerging Markets Dividend Growers ETF | | | 120,250 | | | | 319,115 | | |
| MSCI Europe Dividend Growers ETF | | | 17,896 | | | | 200,473 | | |
Funds with Short-Term Capital Gain Designation
For the tax year ended October 31, 2021, the Trust does not have any ordinary distributions paid during the Trust's tax year that are from qualified short-term capital gain. The funds designate up to the maximum amount of Qualified Short-Term Gains.
Funds with Equalization
For the tax year ended October 31, 2021, the following Funds utilized equalization to offset long-term capital gains with the amounts stated below:
| Fund | | Long-Term | |
| Hedge Replication ETF | | $ | 215,367 | | |
| Online Retail ETF | | | 122,958 | | |
| Pet Care ETF | | | 89,272 | | |
| S&P 500® Ex-Health Care ETF | | | 38,529 | | |
| S&P Technology Dividend Aristocrats ETF | | | 294,435 | | |
Proxy Voting Information
A description of the Trust's (1) proxy voting policies, (2) proxy voting procedures and (3) information regarding how the Trust voted any proxies related to portfolio securities for the prior twelve-month period ended June 30, is available by August 31 of each year, without charge, upon request by contacting the Fund directly at 1-866-PRO-5125 or on the Securities and Exchange Commission ("SEC") Website (http://www.sec.gov).
Quarterly Portfolio Holdings Information
The Funds will file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT (Form N-Q for filings prior to March 1, 2019). The Funds' Form N-PORT will be available on the SEC's Website at http://www.sec.gov. The Funds' Form N-PORT 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.
Premium/Discount Information
Information about the differences between the daily market price on the secondary markets for shares of a Fund and the Fund's net asset value may be found on the website at www.ProShares.com
182 :: MISC. INFORMATION (UNAUDITED)PROSHARES TRUST
Name, Address and Birth
Date | | Position(s)
Held with
the Trust | | Term of
Office and
Length of
Time Served | | Principal
Occupation(s)
During Past 5 Years | | Number of
Portfolios* in
Fund
Complex
Overseen by
Trustee | | Other
Directorships
Held by Trustee | |
| Independent Trustees | | | | | | | | | | | |
William D. Fertig
c/o ProFunds
7272 Wisconsin Avenue,
21st Floor
Bethesda, MD 20814
Birth Date: 9/56 | | Trustee | | Indefinite; June 2011 to present | | Context Capital Management (Alternative Asset Management): Chief Investment Officer (September 2002 to present) | | ProShares (119) ProFunds (116) | | Context Capital | |
Russell S. Reynolds, III
c/o ProFunds
7272 Wisconsin Avenue,
21st Floor
Bethesda, MD 20814
Birth Date: 7/57 | | Trustee | | Indefinite; November 2005 to present | | RSR Partners and predecessor company (Retained Executive Recruitment and Corporate Governance Consulting): Managing Director (February 1993 to present) | | ProShares (119) ProFunds (116) | | RSR Partners, Inc. | |
Michael C. Wachs
c/o ProFunds
7272 Wisconsin Avenue,
21st Floor
Bethesda, MD 20814
Birth Date: 10/61 | | Trustee | | Indefinite; November 2005 to present | | Linden Lane Capital Partners LLC (Real Estate Investment and Development): Managing Principal (2010 to present) | | ProShares (119) ProFunds (116) | | NAIOP (the Commercial Real Estate Development Association) | |
Interested Trustee and
Chairman of the Board | | | | | | | | | | | |
Michael L. Sapir**
7272 Wisconsin Avenue,
21st Floor
Bethesda, MD 20814
Birth Date: 5/58 | | Trustee and Chairman | | Indefinite; 2002 to present | | Chairman and Chief Executive Officer of the ProShare Advisors (November 2005 to present); ProFund Advisors LLC (April 1997 to present); and ProShare Capital Management LLC (August 2008 to present) | | ProShares (119) ProFunds (116) | | | |
* Represents number of operational portfolios in Fund complex overseen by Trustee.
** Mr. Sapir is an "interested person," as defined by the 1940 Act, because of his ownership interest in ProShare Advisors.
The Statement of Additional Information ("SAI") includes additional information about the Trust's Trustees and is available, without charge, upon request by contacting the Fund directly at 1-866-PRO-5125.
PROSHARES TRUST TRUSTEES AND EXECUTIVE OFFICERS OF PROSHARES TRUST (UNAUDITED) :: 183
Name, Address and Birth
Date | | Position(s)
Held with
the Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation(s) During Past 5 Years | |
| Officers | | | | | | | |
Todd B. Johnson
7272 Wisconsin Avenue,
21st Floor
Bethesda, MD 20814
Birth Date: 1/64 | | President | | Indefinite; January 2014 to present | | Chief Investment Officer of the Proshare Advisors (December 2008 to present); ProFund Advisors LLC (December 2008 to present); and ProShare Capital Management LLC (February 2009 to present) | |
Maria PC Sell
3 Canal Plaza,
Suite 100
Portland, ME 04101
Birth Date: 2/78 | | Treasurer | | Indefinite; June 2022 to present | | Director, Fund Officer Services, Foreside Financial Group, LLC (June 2021 to present); Assistant Treasurer, ProShares Trust (September 2021 to June 2022); Franklin Templeton: Director, Fund Administration and Reporting (April 2014 to April 2021) | |
Victor M. Frye, Esq.
7272 Wisconsin Avenue,
21st Floor
Bethesda, MD 20814
Birth Date: 10/58 | | Chief Compliance Officer and AML Officer | | Indefinite; November 2005 to present | | Counsel and Chief Compliance Officer of the ProShare Advisors (December 2004 to present) and ProFund Advisors LLC (October 2002 to present); Secretary of ProFunds Distributors, Inc. (April 2008 to present) | |
Richard F. Morris
7272 Wisconsin Avenue,
21st Floor
Bethesda, MD 20814
Birth Date: 8/67 | | Chief Legal Officer and Secretary | | Indefinite; December 2015 to present | | General Counsel of ProShareAdvisors; ProFund Advisors LLC; and ProShare Capital Management LLC (December 2015 to present); Chief Legal Officer of ProFunds Distributors, Inc. (December 2015 to present) | |
184 :: TRUSTEES AND EXECUTIVE OFFICERS OF PROSHARES TRUST (UNAUDITED) PROSHARES TRUST
ProShares Trust
7272 Wisconsin Avenue, 21st Floor, Bethesda, MD 20814
866.PRO.5125 866.776.5125
ProShares.com
Certain Strategic ETFs seek returns that are 1x the return of an index or other benchmark (target) for a single day and over time. Other Strategic ETFs seek returns that are -1x the return of an index or other benchmark (target) for a single day, as measured from one NAV calculation to the next. Due to the compounding of daily returns, those ETFs' returns over periods other than one day will likely differ in amount and possibly direction from the target return for the same period. These effects may be more pronounced in funds with inverse multiple and in funds with volatile benchmarks. Investors should monitor their holdings consistent with their strategies, as frequently as daily. For more on correlation, leverage and other risks, please read the prospectus.
This report is submitted for the general information of the shareholders of ProShares. It is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus. To obtain the most recent month end performance information for each ETF, visit ProShares.com.
"S&P Merger Arbitrage", "S&P 500® Dividend Aristocrats®", "S&P Strategic Futures Index", "S&P MidCap 400® Dividend Aristocrats®", "S&P Technology Dividend Aristocrats®", certain "S&P Select Industry Indices", "S&P 500® Ex-Energy Index", "S&P 500® Ex-Financials & Real Estate Index", "S&P 500® Ex-Health Care Index", "S&P 500® Ex-Information Technology Index" and "Dow Jones Brookfield Global Infrastructure Composite Index" are products of S&P Dow Jones Indices LLC and its affiliates. The "Russell 2000® Dividend Growth Index" and "Russell 3000® Dividend Elite Index" are a trademark of Russell Investment Group. "MSCI EAFE Dividend Masters Index", "MSCI Europe Dividend Masters Index" and "MSCI Emerging Markets Dividend Masters Index" are service marks of MSCI. "Credit Suisse 130/30 Large Cap IndexTM" is a trademark of Credit Suisse Securities (USA) LLC or one of its affiliates. "Merrill Lynch Factor Model — Exchange Series", "Merrill Lynch Factor Model®" and "Merrill Lynch InternationalTM" are intellectual property of Merrill Lynch, Pierce, Fenner & Smith IncorporatedTM or its affiliates ("BofAML"). "Solactive®" is a trademark of Solactive AG, "CITI" is a trademark and service mark of Citigroup Inc. or its affiliates, and is used and registered throughout the world. "LPX® Direct Listed Private Equity Index" and "LPX®" are registered trademarks of LPX GmbH. "Deutsche Bank" and "DBIQ Short Duration Emerging Market Bond IndexSM" are service marks of Deutsche Bank AG. "Bloomberg®", "Bloomberg Commodity IndexSM" and the names identifying each of the individual Bloomberg Commodity Subindexes are trademarks or service marks of Bloomberg Finance L.P. and its affiliates (collectively, "Bloomberg"). "FTSE Developed Europe All Cap Index" is a trademark of the FTSE International Limited ("FTSE"). All have been licensed for use by ProShares. "FTSE®" is a trademark of the London Stock Exchange plc and The Financial Times Limited and is used by FTSE International Limited ("FTSE") under license. ProShares have not been passed on by these entities or their subsidiaries or affiliates as to their legality or suitability. ProShares are not sponsored, endorsed, sold or promoted by these entities or their subsidiaries or affiliates, and they make no representation regarding the advisability of investing in ProShares. THESE ENTITIES AND THEIR SUBSIDIARIES AND AFFILIATES MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO PROSHARES.
© 2021 ProShare Advisors LLC. All rights reserved. PSSAN0522
ANNUAL REPORT
MAY 31, 2022
Geared
Short 7-10 Year Treasury TBX
Short 20+ Year Treasury TBF
Short Dow30SM DOG
Short Financials SEF
Short FTSE China 50 YXI
Short High Yield SJB
Short MidCap400 MYY
Short MSCI EAFE EFZ
Short MSCI Emerging Markets EUM
Short QQQ PSQ
Short Real Estate REK
Short Russell2000 RWM
Short S&P500® SH
Short SmallCap600 SBB
Ultra 7-10 Year Treasury UST
Ultra 20+ Year Treasury UBT
Ultra Basic Materials UYM
Ultra Consumer Goods UGE
Ultra Consumer Services UCC
Ultra Dow30SM DDM
Ultra Financials UYG
Ultra FTSE China 50 XPP
Ultra FTSE Europe UPV
Ultra Health Care RXL
Ultra High Yield UJB
Ultra Industrials UXI
Ultra MidCap400 MVV
Ultra MSCI Brazil Capped UBR
Ultra MSCI EAFE EFO
Ultra MSCI Emerging Markets EET
Ultra MSCI Japan EZJ
Ultra Nasdaq Biotechnology BIB
Ultra Nasdaq Cloud Computing SKYU
Ultra Nasdaq Cybersecurity UCYB
Ultra Oil & Gas DIG
Ultra QQQ QLD
Ultra Real Estate URE
Ultra Russell2000 UWM
Ultra S&P500® SSO
Ultra Semiconductors USD
Ultra SmallCap600 SAA
Ultra Technology ROM
Ultra Telecommunications LTL
Ultra Utilities UPW
UltraPro Dow30SM UDOW
UltraPro MidCap400 UMDD
UltraPro QQQ TQQQ
UltraPro Russell2000 URTY
UltraPro S&P500® UPRO
UltraPro Short 20+ Year Treasury TTT
UltraPro Short Dow30SM SDOW
UltraPro Short MidCap400 SMDD
UltraPro Short QQQ SQQQ
UltraPro Short Russell2000 SRTY
UltraPro Short S&P500® SPXU
UltraShort 7-10 Year Treasury PST
UltraShort 20+ Year Treasury TBT
UltraShort Basic Materials SMN
UltraShort Consumer Goods SZK
UltraShort Consumer Services SCC
UltraShort Dow30SM DXD
UltraShort Financials SKF
UltraShort FTSE China 50 FXP
UltraShort FTSE Europe EPV
UltraShort Health Care RXD
UltraShort Industrials SIJ
UltraShort MidCap400 MZZ
UltraShort MSCI Brazil Capped BZQ
UltraShort MSCI EAFE EFU
UltraShort MSCI Emerging Markets EEV
UltraShort MSCI Japan EWV
UltraShort Nasdaq Biotechnology BIS
UltraShort Oil & Gas DUG
UltraShort QQQ QID
UltraShort Real Estate SRS
UltraShort Russell2000 TWM
UltraShort S&P500® SDS
UltraShort Semiconductors SSG
UltraShort SmallCap600 SDD
UltraShort Technology REW
UltraShort Utilities SDP
PROSHARES TRUST Distributor: SEI Investments Distribution Co.
TABLE OF CONTENTS
| | I | | | Shareholder Letter | |
| II | | | Management Discussion of Fund Performance | |
| LXXXVII | | | Expense Examples | |
| 1 | | | Schedule of Portfolio Investments | |
| 174 | | | Statements of Assets and Liabilities | |
| 189 | | | Statements of Operations | |
| 204 | | | Statements of Changes in Net Assets | |
| | 232 | | | Financial Highlights | |
| 262 | | | Notes to Financial Statements | |
| 297 | | | Report of Independent Registered Public Accounting Firm | |
| 299 | | | Miscellaneous Information | |
| 300 | | | Trustees and Executive Officers of ProShares Trust | |
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DEAR SHAREHOLDER:
During these times of geopolitical and economic uncertainty, I want to reaffirm our commitment to providing you, our investors, with products and services to help you meet your investment objectives. ProShares remains focused on ensuring the effective management of our funds. The following is the ProShares Trust Annual Report for the 12 months ended May 31, 2022.
U.S. Stocks Decline Sharply After a Strong Year
U.S. stock performance during the reporting period could effectively be split into two parts. Buoyed by the federal stimulus packages, near-zero interest rates, the robust rollout of COVID-19 vaccines, and strong corporate earnings, U.S. stocks ended 2021 on a winning streak. The S&P 500® rose 28.7% for the year, clocking in its third-best yearly performance of the century. The Dow® and Nasdaq-100 Index® gained 20.95% and 27.51%, respectively. The first months of 2022, however, saw a sharp reversal of this trend as volatility returned amid mounting inflationary pressures, rising interest rates, tightening monetary policy, and Russia's invasion of Ukraine. The S&P 500 hit correction territory for the first time since the official declaration of a global pandemic by the World Health Organization in March 2020, declining by more than 10% at its lowest points in February relative to its January peak. With the notable exception of commodities like oil and gas, whose prices have surged amid sanctions against Russia, nearly all asset classes experienced selloffs in the past five months. The technology sector, in particular, has seen a sharp turnaround after its strong performance during the first half of the period.
The large-cap S&P 500 declined 0.3% over the reporting period, and the Dow lost 2.7%. The Nasdaq-100 declined 7.0%. The S&P MidCap 400® dropped 6.5%, and the small-cap Russell 2000® Index declined 17.0%. Of the 11 Dow Jones U.S. Industry Index sectors, four sectors rose. The best performers were oil & gas (72.8%), utilities (17.3%), and health care (4.6%). The biggest laggards were consumer services (-19.8%) and industrials (-12.8%), with technology, financials, and telecom also declining by over 3%.
Boom in International Equities Comes to an End
Equities in developed markets outside the United States followed a similar pattern, rising in the second half of 2021 before dropping as Russia's invasion of Ukraine sent shockwaves throughout the world economy. Emerging markets, however, largely declined throughout the 12 months, driven by a selloff in China amid a regulatory crackdown. Most major international indexes posted negative returns over the reporting period: The MSCI EAFE Index®, which tracks developed markets outside North America, fell 10.7%. The MSCI Europe Index® dropped 9.9%, while the MSCI Japan Index® lost 13.5%. The MSCI Emerging Markets Index® fell 18.9%, and the FTSE China 50 Index® declined 28.1%.
U.S. Fixed-Income Markets Decline Sharply
Bonds struggled in the latter half of 2021 as the market acknowledged the beginning of the Fed's tapering program and interest rates began to rise. In response to the fastest inflation in 40 years, the Fed raised interest rates by 25 basis points in March and 50 basis points in May. This spurred a selloff in the bond markets, overriding investors' typical flight-to-quality in times of geopolitical distress. Over the 12 months, the Barclays U.S. Aggregate Bond Index® declined 8.2%. The Ryan Labs Treasury 30-Year and 10-Year Indexes lost 18.7% and 10.8%, respectively. Investment-grade corporate bonds, as measured by the Markit iBoxx $ Liquid Investment Grade Index®, declined 11.5%, while their high-yield peers lost 4.9%, based on the Markit iBoxx $ Liquid High Yield Index®.
Economy Slows
Geopolitical headwinds jolted the world economy, adding to the mounting inflationary pressures and supply chain disruptions from the pandemic. After increasing at a steady clip in the second half of 2021, U.S. GDP contracted at an estimated annual rate of 1.5% in the first quarter of 2022. The labor market, however, remains strong, with a national unemployment rate of 3.6% for May. The U.S. dollar rose 9.7%, based on the Bloomberg Dollar Spot Index.
Investors Find Opportunities Amid Complex Markets
Investors in ProShares' leveraged ETFs based on the NASDAQ-100 Index saw broad opportunities during the first half of the period. Yet, when the market turned in 2022, ProShares investors were presented with opportunities across a number of inverse ETFs and in other funds designed to outperform amid rising rates or volatile environments.
In October, ProShares launched Bitcoin Strategy ETF (BITO), the industry's first U.S. bitcoin-linked ETF. BITO provides investors with a way to gain bitcoin futures exposure through their existing brokerage accounts — with the transparency, liquidity, and additional benefits of an ETF structure. Net flows into ProShares increased overall ($15.2 billion) over the reporting period.
During these uncertain times, many investors turn to ProShares ETFs because our strong lineup of funds offers short and leveraged market exposure across a broad array of market segments. This enables investors to choose the investments that most effectively align with their market views. We thank you for the trust and confidence you have placed in us by choosing ProShares and appreciate the opportunity to continue serving your investment needs.
Sincerely,
Michael L. Sapir
Chairman of the Board of Trustees
PROSHARES.COM :: I
MANAGEMENT DISCUSSION
OF FUND PERFORMANCE
II :: MAY 31, 2022 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
Investment Strategies and Techniques — Geared Funds:
Eighty one (81) ProShares Geared exchange-traded funds ("ETFs") were in existence for the entire period covered by this annual report (each ProShares Geared ETF, a "Fund" and, collectively, the "Funds").
Each Fund seeks daily investment results, before fees and expenses, that correspond to the performance of a daily benchmark such as the multiple (i.e., 3x or 2x), the inverse (-1x) or an inverse multiple (i.e., -3x or -2x) of an underlying index for a single day, not for any other period. This means the Funds seek investment results for a single day only, as measured from the time a Fund calculates its net asset value ("NAV") to the time of the Fund's next NAV calculation, not for longer periods. The return of a Fund for a period longer than a single day will be the result of each day's returns compounded over the period, which will very likely differ from the Fund's stated leveraged, inverse, or inverse leveraged multiple times the return of the Fund's index for that period. During periods of higher market volatility, the volatility of a Fund's index may affect the Fund's return as much as or more than the return of the index.
ProShare Advisors LLC ("PSA"), the Funds' investment adviser, uses a passive approach in seeking to achieve the investment objective of each Fund. Using this approach, PSA determines the type, quantity and mix of investment positions that a Fund should hold to approximate the daily performance of its index.
When managing the Funds, PSA does not invest the assets of the Funds in securities or financial instruments based on its view of the investment merit of a particular security, instrument, or company. In addition, PSA does not conduct conventional investment research or analysis, forecast market movements, trends or market conditions, or take defensive positions in managing assets of the Funds.
The Funds make significant use of investment techniques that may be considered aggressive, including the use of swap agreements, futures contracts, and similar instruments (collectively, "derivatives"). Funds using derivatives are exposed to risks different from, or possibly greater than, the risks associated with investing directly in securities, including one or more of the following: counterparty risk (i.e., the risk that a counterparty is unable or unwilling to make timely payments to meet its contractual obligations) on the amount a Fund expects to receive from a derivatives counterparty, liquidity risk (i.e., the risk that a Fund might not be able to acquire or dispose of certain holdings quickly or at prices that represent true market value in the judgment of PSA), and increased correlation risk (i.e., the risk that a Fund may not be able to achieve a high degree of correlation with its index or a multiple or inverse thereof). If a counterparty becomes bankrupt, or fails to perform its obligations, the value of an investment in a Fund may decline. With respect to swaps and forward contracts, the Funds seek to mitigate counterparty risk by generally requiring derivatives counterparties to post collateral for the benefit of each Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owes the Fund, subject to certain minimum thresholds.
The Funds primarily enter into derivatives with counterparties that are major global financial institutions. Any costs associated with using derivatives will have the effect of lowering a Fund's return.
Factors that Materially Affected the Performance of Each Fund during the Year Ended May 31, 20221:
Primary factors affecting Fund performance, before fees and expenses, include the following: the total return of the securities and derivatives (if any) held by a Fund, including the performance of the reference assets to which any derivatives are linked, financing rates paid or earned by a Fund associated with cash and, in certain cases, derivative positions; stock dividends, premiums and bond yields paid or earned by a Fund (including those included in the total return of derivatives contracts); the types of derivative contracts (if any) used by a Fund and their correlation to the relevant index or asset fees, expenses, and transaction costs; the volatility of a Fund's index (and its impact on compounding); and other miscellaneous factors.
• Index Performance: The performance of each Fund's index and, in turn, the factors and market conditions affecting that index are principal factors driving Fund performance.2
• Compounding of Daily Returns and Volatility: Each Fund seeks daily investment results, before fees and expenses, that correspond to the performance of a daily benchmark such as the multiple (i.e., 3x or 2x), the inverse (-1x) or an inverse multiple (i.e., -3x or -2x) of its underlying index for a single day only, not for any other period. For longer periods, performance may be greater than or less than a Fund's one-day multiple times the index performance over the period, before fees and expenses. This is due to the effects of compounding, which exists in all investments, but has a more significant impact on geared funds. In general, during periods of higher index volatility, compounding will cause Fund performance for periods longer than a single day to be more or less than the multiple of the return of the index. This effect becomes more pronounced as volatility increases. Conversely, in periods of lower index volatility (particularly when combined with higher index returns), Fund returns over longer periods can be higher than the multiple of the return of the index. Actual results for a particular period, before fees and expenses, are also dependent on the following factors: a) period of time; b) financing rates associated with derivatives; c) other Fund expenses; d) dividends and interest paid with respect to the securities in the index, e) the index's volatility; and f) the index's performance. Longer holding periods, higher index volatility, inverse exposure and/or greater leverage each exacerbates the impact of compounding on a Fund's performance. During periods of higher index volatility, the volatility of an index may affect a Fund's return as much as or more than the return of its index. Daily volatility for the U.S. equity markets increased from a year ago. The volatility for the S&P 500 for the year ended May 31, 2022, was 18.10%, which was slightly higher than the prior year's volatility of 17.28%. The volatility of each index utilized by a Fund is shown below.
1 Past performance is not a guarantee of future results.
2 Indexes do not actually hold a portfolio of securities and/or financial instruments. Indexes do not incur fees, expenses and transaction costs. Fees, expenses and transaction costs incurred by the Funds negatively impact the performance of the Funds relative to their respective indexes. Performance of each Fund will generally differ from the performance of the Fund's index.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: MAY 31, 2022 :: III
| Underlying Index | | One Year Index Volatility | |
| MSCI Brazil 25/50 Index® | | | 27.84 | % | |
| NASDAQ Biotechnology Index® | | | 25.44 | % | |
| FTSE China 50 Index® | | | 35.56 | % | |
| Dow Jones U.S. Oil & GasSM Index | | | 29.93 | % | |
| Dow Jones U.S. SemiconductorsSM Index | | | 37.53 | % | |
| Dow Jones U.S. Basic MaterialsSM Index | | | 20.95 | % | |
| ISE Cloud Computing Total Return Index | | | 33.15 | % | |
| Russell 2000® Index | | | 23.87 | % | |
| Dow Jones U.S. FinancialsSM Index | | | 19.40 | % | |
| S&P SmallCap 600® Index | | | 21.84 | % | |
| FTSE Developed Europe All-Cap Index® | | | 19.82 | % | |
| MSCI Japan Index® | | | 17.57 | % | |
| S&P MidCap 400® Index | | | 20.78 | % | |
| Dow Jones U.S. TechnologySM Index | | | 27.46 | % | |
| Dow Jones U.S. Real EstateSM Index | | | 18.45 | % | |
| Dow Jones U.S. IndustrialsSM Index | | | 18.10 | % | |
| NASDAQ-100® Index | | | 25.13 | % | |
| Dow Jones U.S. Select TelecommunicationsSM Index | | | 17.05 | % | |
| Dow Jones U.S. Health CareSM Index | | | 15.55 | % | |
| MSCI Emerging Markets Index® | | | 17.62 | % | |
| MSCI EAFE Index® | | | 15.65 | % | |
| S&P 500® Index | | | 18.10 | % | |
| Dow Jones U.S. Consumer ServicesSM Index | | | 22.86 | % | |
| Dow Jones Industrial AverageSM | | | 15.59 | % | |
| ICE U.S. Treasury 20+ Year Bond Index | | | 15.95 | % | |
| Dow Jones U.S. UtilitiesSM Index | | | 15.12 | % | |
| Dow Jones U.S. Consumer GoodsSM Index | | | 19.89 | % | |
| NASDAQ CTA Cybersecurity Index | | | 26.12 | % | |
| ICE U.S. Treasury 7-10 Year Bond Index | | | 7.14 | % | |
| Markit iBoxx® $ Liquid High Yield Index | | | 4.87 | % | |
• Financing Rates Associated with Derivatives: The performance of each Fund was impacted by the related financing costs. Financial instruments such as futures contracts carry implied financing costs. Swap financing rates are negotiated between the Funds and their counterparties, and are set at the Fed Funds rate ("FEDL01") plus or minus a negotiated spread. This rate was changed from the one week/one month London Interbank Offered Rate ("LIBOR") in the third and fourth quarters of 2021. The Fed Funds rate appreciated from 0.05% to 0.83% during the fiscal year. Each Fund with long exposure via derivatives was generally negatively affected by financing rates. Conversely, most Funds with short/inverse derivative exposure generally benefited from financing rates. However, in low interest rate environments, LIBOR adjusted by the spread may actually result in a Fund with short/inverse exposure also being negatively affected by financing rates.
• Stock Dividends and Bond Yields: The performance of Funds that provide long or leveraged long exposure was positively impacted by capturing the dividend, premium or income yield of the underlying assets to which they have exposure. The performance of Funds that provide inverse or leveraged inverse exposure was negatively impacted by virtue of effectively having to pay out the dividend, premium or income yield (or a multiple thereof, as applicable) associated with the assets to which they have short exposure.
• Fees, Expenses, and Transaction Costs: Fees and expenses are listed in the financial statements of each Fund and may generally be higher, and thus have a more negative impact on Fund performance compared to many traditional index-based funds. Daily repositioning of each Fund's portfolio to maintain exposure consistent with its investment objective, high levels of shareholder creation and redemption activity, and use of leverage may lead to commensurate increases in portfolio transactions and transaction costs, which negatively impact the daily NAV of each Fund. Transaction costs are not reflected in the Funds' expense ratio. Transaction costs are generally higher for Funds whose indexes are more volatile, that seek to return a larger daily multiple of its index's return, that seek to return an inverse or inverse multiple of its index's return, that invest in foreign securities, and for Funds that hold or have exposure to assets that are comparatively less liquid than assets held by other Funds.
• Miscellaneous factors: Each Fund holds a mix of securities and/or derivatives that is designed to provide returns that seek to achieve its investment objective. Certain Funds may obtain exposure to only a representative sample of the securities of their index and may not have investment exposure to all securities of the index or may have weightings that are different from that of its index. Certain Funds may also obtain exposure to securities not contained in their respective index or in financial instruments, with the intent of obtaining exposure with aggregate characteristics similar to those of the inverse or a multiple of the Index.
IV :: MAY 31, 2022 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
In addition, certain Funds invested in swap agreements that were based on ETFs that are designed to track the performance of the Fund's index rather than swap agreements that were based on the Fund's index. Because the closing price of an ETF may not perfectly track the performance of its index, there are deviations between the return of a swap whose reference asset is an ETF and the return of a swap based directly on the Fund's index. Thus, the performance of a Fund investing significantly in swap agreements based on an ETF may correlate less with its index than a Fund investing in swap agreements based directly on the Fund's index.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: MAY 31, 2022 :: V
ProShares Short 7-10 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the ICE U.S. Treasury 7-10 Year Bond Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 7.67%1. For the same period, the Index had a total return of –8.59%2 with a volatility of 7.14%. For the period, the Fund had an average daily volume of 145,860 shares and an average daily statistical correlation of over 0.99 the inverse of the return of the Index.3
The Fund invests in financial instruments that ProShare Advisors LLC (the "Advisor") believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by ICE Data Indices, LLC. The Index includes publicly-issued U.S. Treasury securities that have a remaining maturity of greater than or equal to seven years and less than or equal to ten years and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. In addition, the securities in the Underlying Index must be fixed-rate and denominated in U.S. dollars. Excluded from the Underlying Index are inflation-linked securities, Treasury bills, cash management bills, any government agency debt issued with or without a government guarantee and zero-coupon issues that have been stripped from coupon-paying bonds. The Underlying Index is weighted by market capitalization, and the securities in the Underlying Index are updated on the last business day of each month.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short 7-10 Year Treasury from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through October 13, 2016 reflects the performance of the Bloomberg Barclays U.S. 7-10 Year Treasury Bond Index. Index performance beginning on October 14, 2016 reflects the performance of the ICE U.S. Treasury 7-10 Year Bond Index.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Short 7-10 Year Treasury | | | 7.67 | % | | | -0.52 | % | | | -1.77 | % | |
ICE U.S. Treasury 7-10 Year Bond
Index | | | -8.59 | % | | | 0.96 | % | | | 1.33 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Short 7-10 Year Treasury | | | 1.10 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (99 | %) | |
| Futures Contracts | | | (1 | %) | |
| Total Exposure | | | (100 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
ICE U.S. Treasury 7-10 Year Bond Index – Composition
| | | % of Index | |
| 7-10 Year U.S. Treasury | | | 100 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
VI :: TBX SHORT 7-10 YEAR TREASURY :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short 20+ Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the ICE U.S. Treasury 20+ Year Bond Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 12.81%1. For the same period, the Index had a total return of –14.42%2 and a volatility of 15.95%. For the period, the Fund had an average daily volume of 2,063,782 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by ICE Data Indices, LLC. The Index includes publicly-issued U.S. Treasury securities that have a remaining maturity of greater than or equal to twenty years and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. In addition, the securities in the Underlying Index must be fixed-rate and denominated in U.S. dollars. Excluded from the Underlying Index are inflation-linked securities, Treasury bills, cash management bills, any government agency debt issued with or without a government guarantee and zero-coupon issues that have been stripped from coupon-paying bonds. The Underlying Index is weighted by market capitalization, and the securities in the Underlying Index are updated on the last business day of each month.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short 20+ Treasury from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through October 13, 2016 reflects the performance of the Bloomberg Barclays U.S. 20+ Year Treasury Bond Index. Index performance beginning on October 14, 2016 reflects the performance of the ICE U.S. Treasury 20+ Year Bond Index.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Short 20+ Year Treasury | | | 12.81 | % | | | -2.04 | % | | | -3.45 | % | |
ICE U.S. Treasury 20+ Year
Bond Index | | | -14.42 | % | | | 0.88 | % | | | 1.62 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Short 20+ Year Treasury | | | 0.92 | % | | | 0.92 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (100 | %) | |
| Futures Contracts | | | (2 | %) | |
| Total Exposure | | | (102 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
ICE U.S. Treasury 20+ Year Bond Index – Composition
| | | % of Index | |
| 20+ Year U.S. Treasury | | | 100 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT 20+ YEAR TREASURY TBF :: VII
ProShares Short Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the Dow Jones Industrial AverageSM (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –0.39%1. For the same period, the Index had a total return of –2.65%2 and a volatility of 15.59%. For the period, the Fund had an average daily volume of 1,231,112 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a price-weighted index and includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally negatively affected from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Dow30SM from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Short Dow30SM | | | -0.39 | % | | | -13.25 | % | | | -13.58 | % | |
| Dow Jones Industrial Average Index | | | -2.65 | % | | | 11.87 | % | | | 12.90 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Short Dow30SM | | | 0.96 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (94 | %) | |
| Futures Contracts | | | (6 | %) | |
| Total Exposure | | | (100 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average – Composition
| | | % of Index | |
| Health Care | | | 20.5 | % | |
| Information Technology | | | 20.4 | % | |
| Financials | | | 16.1 | % | |
| Industrials | | | 13.8 | % | |
| Consumer Discretionary | | | 13.5 | % | |
| Consumer Staples | | | 7.7 | % | |
| Energy | | | 3.4 | % | |
| Communication Services | | | 3.2 | % | |
| Materials | | | 1.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
VIII :: DOG SHORT DOW30SM :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –1.41%1. For the same period, the Index had a total return of –3.03%2 and a volatility of 19.40%. For the period, the Fund had an average daily volume of 42,260 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained S&P Dow Jones Indices LLC. The Index seeks to measure the performance of certain companies in the financial services sector of the U.S. equity market. Component companies include: among others, regional banks; major U.S. domiciled international banks; full line, life, and property and casualty insurance companies; companies that invest, directly or indirectly in real estate; diversified financial companies such as credit card issuers, check cashing companies, mortgage lenders and investment advisors; securities brokers and dealers including investment banks, merchant banks and online brokers; and publicly traded stock exchanges.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Financials from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Short Financials | | | -1.41 | % | | | -14.08 | % | | | -15.40 | % | |
| Dow Jones U.S. Financials Index | | | -3.03 | % | | | 11.08 | % | | | 13.82 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Short Financials | | | 1.29 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (100 | %) | |
| Total Exposure | | | (100 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Financials Index – Composition
| | | % of Index | |
| Diversified Financials | | | 32.4 | % | |
| Banks | | | 23.4 | % | |
| Real Estate | | | 20.0 | % | |
| Insurance | | | 13.8 | % | |
| Software & Services | | | 10.0 | % | |
| Commercial & Professional Services | | | 0.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT FINANCIALS SEF :: IX
ProShares Short FTSE China 50 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the FTSE China 50 Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 20.55%1. For the same period, the Index had a total return of –29.48%2 and a volatility of 35.56%. For the period, the Fund had an average daily volume of 18,077 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained FTSE International Limited. The Index consists of 50 of the largest and most liquid Chinese stocks listed and traded on the Stock Exchange of Hong Kong.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short FTSE China 50 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Short FTSE China 50 | | | 20.55 | % | | | -5.59 | % | | | -9.23 | % | |
| FTSE China 50 Index | | | -29.48 | % | | | -1.27 | % | | | 2.98 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Short FTSE China 50 | | | 2.34 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (100 | %) | |
| Total Exposure | | | (100 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE China 50 Index – Composition
| | | % of Index | |
| Consumer Discretionary | | | 33.7 | % | |
| Financials | | | 28.7 | % | |
| Communication Services | | | 17.9 | % | |
| Real Estate | | | 4.0 | % | |
| Energy | | | 3.8 | % | |
| Information Technology | | | 3.3 | % | |
| Health Care | | | 3.1 | % | |
| Consumer Staples | | | 2.6 | % | |
| Materials | | | 1.7 | % | |
| Industrials | | | 1.2 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
X :: YXI SHORT FTSE CHINA 50 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short High Yield (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the Markit iBoxx® $ Liquid High Yield Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 1.17%1. For the same period, the Index had a total return of –4.90%2 with a volatility of 4.87%. For the period, the Fund had an average daily volume of 240,395 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. IHS Markit Benchmark Administration Limited (IMBA) is the Index Administrator of the Index. The Index is a market-value weighted index designed to provide a balanced representation of U.S. dollar denominated high yield corporate bonds for sale within the United States by means of including the most liquid high yield corporate bonds available as determined by a set of transparent and objective Index rules. Currently, the bonds eligible for inclusion in the Index include U.S. dollar denominated, corporate bonds for sale in the United States that are issued by companies domiciled in developed countries; are rated sub-investment grade using an average of Moody's Investor Service, Fitch Ratings or S&P Global Ratings; are from issuers with at least $1 billion par outstanding; have at least $400 million of outstanding face value; and have at issuance an expected remaining life of 15 years of less, and at rebalancing minimum one year to expected maturity with new insertions minimum of at least one year and 6 months to maturity. There is no limit to the number of issues in the Index.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short High Yield from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Short High Yield | | | 1.17 | % | | | -4.41 | % | | | -6.40 | % | |
| Markit iBoxx $ Liquid High Yield Index | | | -4.90 | % | | | 3.14 | % | | | 4.74 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Short High Yield | | | 1.05 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (100 | %) | |
| Total Exposure | | | (100 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Markit iBoxx $ Liquid High Yield Index – Composition
| | | % of Index | |
| High Yield | | | 100 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT HIGH YIELD SJB :: XI
ProShares Short MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the S&P MidCap 400® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 1.68%1. For the same period, the Index had a total return of –6.52%2 and a volatility of 20.78%. For the period, the Fund had an average daily volume of 15,975 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of midsize company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability, and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short MidCap400 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Short MidCap400 | | | 1.68 | % | | | -12.83 | % | | | -14.09 | % | |
| S&P MidCap 400 Index | | | -6.52 | % | | | 9.56 | % | | | 12.23 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Short MidCap400 | | | 1.22 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (92 | %) | |
| Futures Contracts | | | (8 | %) | |
| Total Exposure | | | (100 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P MidCap 400 – Composition
| | | % of Index | |
| Industrials | | | 18.5 | % | |
| Financials | | | 14.7 | % | |
| Consumer Discretionary | | | 14.0 | % | |
| Information Technology | | | 13.1 | % | |
| Real Estate | | | 9.3 | % | |
| Health Care | | | 9.2 | % | |
| Materials | | | 7.6 | % | |
| Energy | | | 4.5 | % | |
| Consumer Staples | | | 3.8 | % | |
| Utilities | | | 3.7 | % | |
| Communication Services | | | 1.6 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XII :: MYY SHORT MIDCAP400 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short MSCI EAFE (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the MSCI EAFE Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 7.41%1. For the same period, the Index had a total return of –10.38%2 and a volatility of 15.65%. For the period, the Fund had an average daily volume of 94,903 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by MSCI Inc. The Index includes 85% of the free float-adjusted, market capitalization in each industry group in developed market countries, excluding the U.S. and Canada.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short MSCI EAFE from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Short MSCI EAFE | | | 7.41 | % | | | -6.46 | % | | | -9.23 | % | |
| MSCI EAFE Index | | | -10.38 | % | | | 4.17 | % | | | 7.15 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Short MSCI EAFE | | | 1.28 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (99 | %) | |
| Total Exposure | | | (99 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI EAFE Index – Country
| | | % of Index | |
| Japan | | | 22.1 | % | |
| United Kingdom | | | 15.9 | % | |
| France | | | 11.4 | % | |
| Others | | | 10.8 | % | |
| Switzerland | | | 10.1 | % | |
| Germany | | | 8.2 | % | |
| Australia | | | 8.1 | % | |
| Netherlands | | | 4.2 | % | |
| Sweden | | | 3.5 | % | |
| Hong Kong | | | 3.0 | % | |
| Denmark | | | 2.7 | % | |
MSCI EAFE Index – Composition
| | | % of Index | |
| Financials | | | 17.6 | % | |
| Industrials | | | 15.0 | % | |
| Health Care | | | 13.3 | % | |
| Consumer Discretionary | | | 11.2 | % | |
| Consumer Staples | | | 10.4 | % | |
| Materials | | | 8.2 | % | |
| Information Technology | | | 8.1 | % | |
| Communication Services | | | 5.0 | % | |
| Energy | | | 4.8 | % | |
| Utilities | | | 3.5 | % | |
| Real Estate | | | 2.9 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT MSCI EAFE EFZ :: XIII
ProShares Short MSCI Emerging Markets (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the MSCI Emerging Markets Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 19.04%1. For the same period, the Index had a total return of –19.83%2 and a volatility of 17.62%. For the period, the Fund had an average daily volume of 204,915 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by MSCI Inc. The Index includes 85% of the free float-adjusted, market capitalization in emerging market countries.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short MSCI Emerging Markets from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
ProShares Short MSCI
Emerging Markets | | | 19.04 | % | | | -7.28 | % | | | -7.90 | % | |
| MSCI Emerging Markets Index | | | -19.83 | % | | | 3.80 | % | | | 4.17 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares Short MSCI
Emerging Markets | | | 1.12 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (99 | %) | |
| Total Exposure | | | (99 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Emerging Markets Index – Country
| | | % of Index | |
| China | | | 30.8 | % | |
| Taiwan | | | 16.0 | % | |
| India | | | 12.8 | % | |
| Korea | | | 12.7 | % | |
| Others | | | 7.9 | % | |
| Brazil | | | 5.5 | % | |
| Saudi Arabia | | | 4.4 | % | |
| South Africa | | | 3.8 | % | |
| Mexico | | | 2.3 | % | |
| Thailand | | | 1.9 | % | |
| Indonesia | | | 1.9 | % | |
MSCI Emerging Markets Index – Composition
| | | % of Index | |
| Financials | | | 21.8 | % | |
| Information Technology | | | 21.1 | % | |
| Consumer Discretionary | | | 12.9 | % | |
| Communication Services | | | 10.2 | % | |
| Materials | | | 9.1 | % | |
| Consumer Staples | | | 6.0 | % | |
| Industrials | | | 5.5 | % | |
| Energy | | | 5.0 | % | |
| Health Care | | | 3.6 | % | |
| Utilities | | | 2.7 | % | |
| Real Estate | | | 2.1 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XIV :: EUM SHORT MSCI EMERGING MARKETS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short QQQ (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the NASDAQ-100® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 0.35%1. For the same period, the Index had a total return of –6.96%2 and a volatility of 25.13%. For the period, the Fund had an average daily volume of 15,948,162 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by Nasdaq Inc. The Index includes 100 of the largest domestic and international non-financial companies listed on The Nasdaq Stock Market based on market capitalization. The Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnology.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short QQQ from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Short QQQ | | | 0.35 | % | | | -19.18 | % | | | -18.91 | % | |
| NASDAQ-100 Index | | | -6.96 | % | | | 17.99 | % | | | 18.79 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Short QQQ | | | 1.00 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (98 | %) | |
| Futures Contracts | | | (2 | %) | |
| Total Exposure | | | (100 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ-100 Index – Composition
| | | % of Index | |
| Information Technology | | | 51.0 | % | |
| Communication Services | | | 16.9 | % | |
| Consumer Discretionary | | | 15.0 | % | |
| Health Care | | | 6.2 | % | |
| Consumer Staples | | | 6.1 | % | |
| Industrials | | | 3.4 | % | |
| Utilities | | | 1.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT QQQ PSQ :: XV
ProShares Short Real Estate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the Dow Jones U.S. Real EstateSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –5.60%1. For the same period, the Index had a total return of 1.53%2 and a volatility of 18.45%. For the period, the Fund had an average daily volume of 12,737 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to track the performance of real estate investment trusts ("REITs") and other companies that invest directly or indirectly in real estate through development management or ownership, including of the property agencies. Component companies include, among others, real estate holding and development and real estate services companies and REITs. REITs are passive investment vehicles that invest primarily in income producing real estate or real estate related loans or interests. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Real Estate from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Short Real Estate | | | -5.60 | % | | | -11.33 | % | | | -11.46 | % | |
| Dow Jones U.S. Real Estate Index | | | 1.53 | % | | | 8.16 | % | | | 9.08 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Short Real Estate | | | 1.37 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (100 | %) | |
| Total Exposure | | | (100 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Real Estate Index – Composition
| | | % of Index | |
| Equity Real Estate Investment Trusts (REITs) | | | 91.9 | % | |
| Real Estate Management & Development | | | 3.9 | % | |
| Mortgage Real Estate Investment Trusts (REITs) | | | 2.5 | % | |
| Professional Services | | | 1.7 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XVI :: REK SHORT REAL ESTATE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the Russell 2000® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 12.47%1. For the same period, the Index had a total return of –16.92%2 and a volatility of 23.87%. For the period, the Fund had an average daily volume of 2,391,253 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by FTSE Russell. The Index is a measure of small-cap U.S. stock market performance. It is a float adjusted, market capitalization-weighted index containing approximately 2,000 of the smallest companies in the Russell 3000® Index or approximately 10% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the U.S. equity market and includes approximately 3,000 of the largest companies in the U.S. The Russell 3000® Index includes large-, mid-, and small-capitalization companies..
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Russell2000 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Short Russell2000 | | | 12.47 | % | | | -12.39 | % | | | -14.05 | % | |
| Russell 2000 Index | | | -16.92 | % | | | 7.71 | % | | | 10.83 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Short Russell2000 | | | 1.02 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (95 | %) | |
| Futures Contracts | | | (5 | %) | |
| Total Exposure | | | (100 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Index – Composition
| | | % of Index | |
| Financials | | | 16.4 | % | |
| Industrials | | | 15.6 | % | |
| Health Care | | | 14.8 | % | |
| Information Technology | | | 12.9 | % | |
| Consumer Discretionary | | | 10.1 | % | |
| Energy | | | 8.3 | % | |
| Real Estate | | | 7.7 | % | |
| Materials | | | 4.2 | % | |
| Consumer Staples | | | 3.8 | % | |
| Utilities | | | 3.3 | % | |
| Communication Services | | | 2.9 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT RUSSELL2000 RWM :: XVII
ProShares Short S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the S&P 500® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –3.46%1. For the same period, the Index had a total return of –0.30%2 and a volatility of 18.10%. For the period, the Fund had an average daily volume of 18,551,048 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short S&P500® from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Short S&P500® | | | -3.46 | % | | | -14.20 | % | | | -14.63 | % | |
| S&P 500 Index | | | -0.30 | % | | | 13.38 | % | | | 14.39 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Short S&P500® | | | 0.88 | % | | | 0.88 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (99 | %) | |
| Futures Contracts | | | (1 | %) | |
| Total Exposure | | | (100 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P 500 – Composition
| | | % of Index | |
| Information Technology | | | 27.1 | % | |
| Health Care | | | 14.4 | % | |
| Financials | | | 11.2 | % | |
| Consumer Discretionary | | | 10.9 | % | |
| Communication Services | | | 8.8 | % | |
| Industrials | | | 7.7 | % | |
| Consumer Staples | | | 6.5 | % | |
| Energy | | | 4.8 | % | |
| Utilities | | | 3.0 | % | |
| Materials | | | 2.8 | % | |
| Real Estate | | | 2.8 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XVIII :: SH SHORT S&P500® :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short SmallCap600 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (–1x) of the daily performance of the S&P SmallCap 600® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 3.51%1. For the same period, the Index had a total return of –8.73%2 and a volatility of 21.84%. For the period, the Fund had an average daily volume of 7,225 shares and an average daily statistical correlation of over 0.99 to the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of small-cap company U.S. stock market performance. It is a float-adjusted, market capitalization weighted index of 600 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short SmallCap600 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Short SmallCap600 | | | 3.51 | % | | | -14.18 | % | | | -15.38 | % | |
| S&P SmallCap 600 Index | | | -8.73 | % | | | 9.78 | % | | | 12.71 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Short SmallCap600 | | | 1.66 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (100 | %) | |
| Total Exposure | | | (100 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P SmallCap 600 – Composition
| | | % of Index | |
| Financials | | | 17.8 | % | |
| Industrials | | | 16.4 | % | |
| Information Technology | | | 13.1 | % | |
| Consumer Discretionary | | | 12.0 | % | |
| Health Care | | | 11.5 | % | |
| Real Estate | | | 7.6 | % | |
| Energy | | | 7.0 | % | |
| Materials | | | 5.7 | % | |
| Consumer Staples | | | 5.1 | % | |
| Utilities | | | 2.0 | % | |
| Communication Services | | | 1.8 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT SMALLCAP600 SBB :: XIX
ProShares Ultra 7-10 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the ICE U.S. Treasury 7-10 Year Bond Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –17.88%1. For the same period, the Index had a total return of –8.59%2 and a volatility of 7.14%. For the period, the Fund had an average daily volume of 8,137 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by ICE Data Indices, LLC. The Index is part of a series of indices designed to measure the performance of the U.S. Treasury market. The Index includes publicly-issued U.S. Treasury securities that have a remaining maturity greater than or equal to seven years and less than or equal to ten years and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve System (the "Fed"). In addition, the securities in the Underlying Index must be fixed-rate and denominated in U.S. dollars. Excluded from the Underlying Index are inflation linked securities, Treasury bills, cash management bills, any government agency debt issued with or without a government guarantee and zero-coupon issues that have been stripped from coupon-paying bonds. The Underlying Index is weighted by market capitalization, and the securities in the Underlying Index are updated on the last business day of each month.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra 7-10 Year Treasury from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through October 13, 2016 reflects the performance of the Bloomberg Barclays U.S. 7-10 Year Treasury Bond Index. Index performance beginning on October 14, 2016 reflects the performance of the ICE U.S. Treasury 7-10 Year Bond Index.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra 7-10 Year Treasury | | | -17.88 | % | | | -0.45 | % | | | 0.80 | % | |
ICE U.S. Treasury 7-10 Year Bond
Index | | | -8.59 | % | | | 0.96 | % | | | 1.33 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra 7-10 Year Treasury | | | 1.25 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | 199 | % | |
| Futures Contracts | | | 1 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
ICE U.S. Treasury 7-10 Year Bond Index – Composition
| | | % of Index | |
| 7-10 Year U.S. Treasury | | | 100 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XX :: UST ULTRA 7-10 YEAR TREASURY :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra 20+ Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the ICE U.S. Treasury 20+ Year Bond Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –29.86%1. For the same period, the Index had a total return of –14.42%2 and a volatility of 15.95%. For the period, the Fund had an average daily volume of 52,277 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by ICE Data Indices, LLC. The Index is part of a series of indices designed to measure the performance of the U.S. Treasury market. The Index includes publicly-issued U.S. Treasury securities that have a remaining maturity greater than or equal to twenty years and has $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. In addition, the securities in the Underlying Index must be fixed-rate and denominated in U.S. dollars. Excluded from the Underlying Index are inflation linked securities, Treasury bills, cash management bills, any government agency debt issued with or without a government guarantee and zero-coupon issues that have been stripped from coupon-paying bonds. The Underlying Index is weighted by market capitalization, and the securities in the Underlying Index are updated on the last business day of each month.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra 20+ Year Treasury from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through October 13, 2016 reflects the performance of the Bloomberg Barclays U.S. 20+ Year Treasury Bond Index. Index performance beginning on October 14, 2016 reflects the performance of the ICE U.S. Treasury 20+ Year Bond Index.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra 20+ Year Treasury | | | -29.86 | % | | | -2.55 | % | | | -0.27 | % | |
ICE U.S. Treasury 20+ Year Bond
Index | | | -14.42 | % | | | 0.88 | % | | | 1.62 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra 20+ Year Treasury | | | 1.14 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | 199 | % | |
| Futures Contracts | | | 1 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
ICE U.S. Treasury 20+ Year Bond Index – Composition
| | | % of Index | |
| 20+ Year U.S. Treasury | | | 100 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA 20+ YEAR TREASURY UBT :: XXI
ProShares Ultra Basic Materials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Basic MaterialsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 0.54%1. For the same period, the Index had a total return of 3.41%2 and a volatility of 20.95%. For the period, the Fund had an average daily volume of 35,740 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index designed to measure the stock performance of U.S. companies in the basic materials industry. Component companies are involved in the production of aluminum, steel, non-ferrous metals, commodity chemicals, specialty chemicals, forest products, paper products, as well as the mining of precious metals and coal.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Basic Materials from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra Basic Materials | | | 0.54 | % | | | 15.14 | % | | | 14.77 | % | |
| Dow Jones U.S. Basic Materials Index | | | 3.41 | % | | | 12.09 | % | | | 10.82 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra Basic Materials | | | 1.15 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 77 | % | |
| Swap Agreements | | | 123 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Linde plc | | | 14.2 | % | |
| Freeport-McMoRan, Inc. | | | 4.9 | % | |
| Air Products and Chemicals, Inc. | | | 4.6 | % | |
| Newmont Corp. | | | 4.6 | % | |
| Dow, Inc. | | | 4.3 | % | |
Dow Jones U.S. Basic Materials
Index – Composition
| | | % of Index | |
| Chemicals | | | 75.4 | % | |
| Metals & Mining | | | 24.4 | % | |
| Paper & Forest Products | | | 0.2 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXII :: UYM ULTRA BASIC MATERIALS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Consumer Goods (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Consumer GoodsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –6.57%1. For the same period, the Index had a total return of –0.46%2 and a volatility of 19.89%. For the period, the Fund had an average daily volume of 6,576 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the consumer goods industry. Component companies include, among others, automobiles and auto parts and tires, brewers and distillers, farming and fishing, durable and non-durable household product manufacturers, cosmetic companies, food and tobacco products, clothing, accessories and footwear.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Consumer Goods from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra Consumer Goods | | | -6.57 | % | | | 13.81 | % | | | 20.16 | % | |
| Dow Jones U.S. Consumer Goods Index | | | -0.46 | % | | | 10.29 | % | | | 12.30 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra Consumer Goods | | | 1.94 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 85 | % | |
| Swap Agreements | | | 115 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Tesla, Inc. | | | 16.2 | % | |
| Procter & Gamble Co. (The) | | | 9.0 | % | |
| Coca-Cola Co. (The) | | | 6.3 | % | |
| PepsiCo, Inc. | | | 5.9 | % | |
| Philip Morris International, Inc. | | | 4.2 | % | |
Dow Jones U.S. Consumer Goods Index – Composition
| | | % of Index | |
| Food, Beverage & Tobacco | | | 38.9 | % | |
| Automobiles & Components | | | 25.2 | % | |
| Household & Personal Products | | | 17.2 | % | |
| Consumer Durables & Apparel | | | 12.9 | % | |
| Media & Entertainment | | | 3.7 | % | |
| Retailing | | | 1.1 | % | |
| Capital Goods | | | 0.6 | % | |
| Food & Staples Retailing | | | 0.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA CONSUMER GOODS UGE :: XXIII
ProShares Ultra Consumer Services (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Consumer ServicesSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –39.97%1. For the same period, the Index had a total return of –19.77%2 and a volatility of 22.86%. For the period, the Fund had an average daily volume of 4,724 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the consumer services industry. Component companies include, among others, airlines, broadcasting and entertainment, apparel and broadline retailers, food and drug retailers, media agencies, publishing, gambling, hotels, restaurants and bars, and travel and tourism. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares Ultra Consumer Services from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra Consumer Services | | | -39.97 | % | | | 10.71 | % | | | 22.16 | % | |
Dow Jones U.S. Consumer Services
Index | | | -19.77 | % | | | 9.23 | % | | | 13.57 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra Consumer Services | | | 1.40 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 89 | % | |
| Swap Agreements | | | 111 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Amazon.com, Inc. | | | 21.1 | % | |
| Home Depot, Inc. (The) | | | 6.3 | % | |
| Costco Wholesale Corp. | | | 4.2 | % | |
| Walt Disney Co. (The) | | | 4.0 | % | |
| Comcast Corp., Class A | | | 4.0 | % | |
Dow Jones U.S. Consumer Services Index – Composition
| | | % of Index | |
| Retailing | | | 46.7 | % | |
| Consumer Services | | | 18.4 | % | |
| Media & Entertainment | | | 18.3 | % | |
| Food & Staples Retailing | | | 11.7 | % | |
| Transportation | | | 3.2 | % | |
Health Care Equipment &
Services | | | 0.9 | % | |
Commercial & Professional
Services | | | 0.8 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXIV :: UCC ULTRA CONSUMER SERVICES :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones Industrial AverageSM (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –9.21%1. For the same period, the Index had a total return of –2.65%2 and a volatility of 15.59%. For the period, the Fund had an average daily volume of 538,172 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a price-weighted index and includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Dow30SM from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra Dow30SM | | | -9.21 | % | | | 16.29 | % | | | 21.05 | % | |
| Dow Jones Industrial Average Index | | | -2.65 | % | | | 11.87 | % | | | 12.90 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra Dow30SM | | | 0.96 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 87 | % | |
| Swap Agreements | | | 103 | % | |
| Futures Contracts | | | 10 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| UnitedHealth Group, Inc. | | | 8.7 | % | |
Goldman Sachs Group,
Inc. (The) | | | 5.7 | % | |
| Home Depot, Inc. (The) | | | 5.3 | % | |
| Microsoft Corp. | | | 4.7 | % | |
| Amgen, Inc. | | | 4.5 | % | |
Dow Jones Industrial
Average – Composition
| | | % of Index | |
| Health Care | | | 20.5 | % | |
| Information Technology | | | 20.4 | % | |
| Financials | | | 16.1 | % | |
| Industrials | | | 13.8 | % | |
| Consumer Discretionary | | | 13.5 | % | |
| Consumer Staples | | | 7.7 | % | |
| Energy | | | 3.4 | % | |
| Communication Services | | | 3.2 | % | |
| Materials | | | 1.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA DOW30SM DDM :: XXV
ProShares Ultra Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –11.16%1. For the same period, the Index had a total return of –3.03%2 and a volatility of 19.40%. For the period, the Fund had an average daily volume of 67,878 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the financials industry. Component companies include: among others, regional banks; major U.S. domiciled international banks; full line, life, and property and casualty insurance companies; companies that invest, directly or indirectly, in real estate; diversified financial companies such as credit card issuers, check cashing companies, mortgage lenders and investment advisors; securities brokers and dealers including investment banks, merchant banks and online brokers; and publicly traded stock exchanges.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Financials from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra Financials | | | -11.16 | % | | | 13.14 | % | | | 21.69 | % | |
| Dow Jones U.S. Financials Index | | | -3.03 | % | | | 11.08 | % | | | 13.82 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra Financials | | | 0.95 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 76 | % | |
| Swap Agreements | | | 124 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
Berkshire Hathaway, Inc.,
Class B | | | 6.7 | % | |
| JPMorgan Chase & Co. | | | 4.5 | % | |
| Visa, Inc., Class A | | | 4.0 | % | |
| Mastercard, Inc., Class A | | | 3.6 | % | |
| Bank of America Corp. | | | 3.0 | % | |
Dow Jones U.S. Financials Index – Composition
| | | % of Index | |
| Diversified Financials | | | 32.4 | % | |
| Banks | | | 23.4 | % | |
| Real Estate | | | 20.0 | % | |
| Insurance | | | 13.8 | % | |
| Software & Services | | | 10.0 | % | |
Commercial & Professional
Services | | | 0.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXVI :: UYG ULTRA FINANCIALS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra FTSE China 50 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the FTSE China 50 Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –57.59%1. For the same period, the Index had a total return of –29.48%2 and a volatility of 35.56%. For the period, the Fund had an average daily volume of 8,991 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by FTSE International Limited. The Index consists of 50 of the largest and most liquid Chinese stocks listed and traded on the Stock Exchange of Hong Kong.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra FTSE China 50 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra FTSE China 50 | | | -57.59 | % | | | -12.56 | % | | | -2.61 | % | |
| FTSE China 50 Index | | | -29.48 | % | | | -1.27 | % | | | 2.98 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra FTSE China 50 | | | 1.19 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | 201 | % | |
| Total Exposure | | | 201 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE China 50 Index – Composition
| | | % of Index | |
| Consumer Discretionary | | | 33.7 | % | |
| Financials | | | 28.7 | % | |
| Communication Services | | | 17.9 | % | |
| Real Estate | | | 4.0 | % | |
| Energy | | | 3.8 | % | |
| Information Technology | | | 3.3 | % | |
| Health Care | | | 3.1 | % | |
| Consumer Staples | | | 2.6 | % | |
| Materials | | | 1.7 | % | |
| Industrials | | | 1.2 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA FTSE CHINA 50 XPP :: XXVII
ProShares Ultra FTSE Europe (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the FTSE Developed Europe All Cap Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –24.25%1. For the same period, the Index had a total return of –10.85%2 and a volatility of 19.82%. For the period, the Fund had an average daily volume of 1,196 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by FTSE International Limited. The Index is a free float-adjusted market cap weighted index representing the performance of large, mid- and small cap companies in Developed European markets, including the United Kingdom.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra FTSE Europe from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through April 22, 2013 reflects the performance of the MSCI Europe Index. Index performance beginning on April 23, 2013 through August 31, 2016 reflects the performance of the FTSE Developed Europe Index. Index performance beginning on September 1, 2016 reflects the performance of the FTSE Developed Europe All Cap Index.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra FTSE Europe | | | -24.25 | % | | | 1.65 | % | | | 10.02 | % | |
| FTSE Developed Europe All Cap Index® | | | -10.85 | % | | | 4.34 | % | | | 7.57 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra FTSE Europe | | | 2.94 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | 200 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE Developed Europe All Cap
Index – Country
| | | % of Index | |
| United Kingdom | | | 23.9 | % | |
| Switzerland | | | 15.8 | % | |
| France | | | 15.4 | % | |
| Germany | | | 12.3 | % | |
| Others | | | 6.7 | % | |
| Netherlands | | | 6.6 | % | |
| Sweden | | | 5.8 | % | |
| Spain | | | 4.0 | % | |
| Denmark | | | 3.9 | % | |
| Italy | | | 3.5 | % | |
| Finland | | | 2.1 | % | |
FTSE Developed Europe All Cap
Index – Composition
| | | % of Index | |
| Financials | | | 16.2 | % | |
| Industrials | | | 15.3 | % | |
| Health Care | | | 14.5 | % | |
| Consumer Staples | | | 11.8 | % | |
| Consumer Discretionary | | | 9.8 | % | |
| Materials | | | 8.0 | % | |
| Information Technology | | | 7.4 | % | |
| Energy | | | 6.1 | % | |
| Utilities | | | 4.5 | % | |
| Communication Services | | | 4.1 | % | |
| Real Estate | | | 2.3 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXVIII :: UPV ULTRA FTSE EUROPE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Health Care (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Health CareSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 4.70%1. For the same period, the Index had a total return of 4.58%2 and a volatility of 15.55%. For the period, the Fund had an average daily volume of 16,287 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund takes positions in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the healthcare industry. Component companies include, among others, health care providers, biotechnology companies, medical supplies, advanced medical devices and pharmaceuticals.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Health Care from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra Health Care | | | 4.70 | % | | | 20.73 | % | | | 27.43 | % | |
| Dow Jones U.S. Health Care Index | | | 4.58 | % | | | 13.49 | % | | | 15.87 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra Health Care | | | 1.04 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 90 | % | |
| Swap Agreements | | | 110 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Johnson & Johnson | | | 7.9 | % | |
| UnitedHealth Group, Inc. | | | 7.8 | % | |
| Pfizer, Inc. | | | 5.0 | % | |
| AbbVie, Inc. | | | 4.4 | % | |
| Eli Lilly & Co. | | | 4.2 | % | |
Dow Jones U.S. Health Care
Index – Composition
| | | % of Index | |
| Pharmaceuticals | | | 29.4 | % | |
Health Care Providers &
Services | | | 21.5 | % | |
Health Care Equipment &
Supplies | | | 19.6 | % | |
| Biotechnology | | | 16.6 | % | |
| Life Sciences Tools & Services | | | 12.7 | % | |
| Health Care Technology | | | 0.2 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA HEALTH CARE RXL :: XXIX
ProShares Ultra High Yield (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Markit iBoxx® $ Liquid High Yield Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –10.74%1. For the same period, the Index had a total return of –4.90%2 and a volatility of 4.87%. For the period, the Fund had an average daily volume of 18,359 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. IHS Markit Benchmark Administration Limited (IMBA) is the Index Administrator of the Index. The Index is a market-value weighted index designed to provide a balanced representation of U.S. dollar denominated high yield corporate bonds for sale within the United States by means of including the most liquid high yield corporate bonds available as determined by a set of transparent and objective Index rules. Currently, the bonds eligible for inclusion in the Index include U.S. dollar denominated, corporate bonds for sale in the United States that are issued by companies domiciled in developed countries; are rated sub-investment grade using an average of Moody's Investor Service, Fitch Ratings or S&P Global Ratings; are from issuers with at least $1 billion par outstanding; have at least $400 million of outstanding face value; and have at issuance an expected remaining life of 15 years or less, and at rebalancing minimum one year to expected maturity with new insertions minimum of at least one year and 6 months to maturity. There is no limit to the number of issues in the Index.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra High Yield from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra High Yield | | | -10.74 | % | | | 3.30 | % | | | 7.06 | % | |
Markit iBoxx $ Liquid High
Yield Index | | | -4.90 | % | | | 3.14 | % | | | 4.74 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra High Yield | | | 1.94 | % | | | 0.96 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | 200 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
*The most recent annual and semi-annual reports can be found at www.ishares.com
Markit iBoxx $ Liquid High Yield
Index – Composition
| | | % of Index | |
| High Yield | | | 100 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXX :: UJB ULTRA HIGH YIELD :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Industrials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. IndustrialsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –27.77%1. For the same period, the Index had a total return of –12.82%2 and a volatility of 18.10%. For the period, the Fund had an average daily volume of 6,323 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the industrials industry. Component companies include, among others, building materials, heavy construction, factory equipment, heavy machinery, industrial services, pollution control, containers and packaging, industrial diversified, air freight, marine transportation, railroads, trucking, land-transportation equipment, shipbuilding, transportation services, advanced industrial equipment, electric components and equipment, and aerospace.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Industrials from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra Industrials | | | -27.77 | % | | | 11.39 | % | | | 20.94 | % | |
| Dow Jones U.S. Industrials Index | | | -12.82 | % | | | 9.89 | % | | | 13.31 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra Industrials | | | 1.55 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 93 | % | |
| Swap Agreements | | | 107 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Accenture plc, Class A | | | 4.0 | % | |
| Raytheon Technologies Corp. | | | 3.0 | % | |
| Union Pacific Corp. | | | 3.0 | % | |
United Parcel Service, Inc.,
Class B | | | 2.8 | % | |
| Honeywell International, Inc. | | | 2.8 | % | |
Dow Jones U.S. Industrials
Index – Composition
| | | % of Index | |
| Capital Goods | | | 49.6 | % | |
| Software & Services | | | 17.1 | % | |
| Transportation | | | 12.9 | % | |
Commercial & Professional
Services | | | 7.7 | % | |
| Materials | | | 6.4 | % | |
Technology Hardware &
Equipment | | | 5.9 | % | |
Pharmaceuticals,
Biotechnology & Life Sciences | | | 0.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA INDUSTRIALS UXI :: XXXI
ProShares Ultra MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P MidCap 400® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –17.73%1. For the same period, the Index had a total return of –6.52%2 and a volatility of 20.78%. For the period, the Fund had an average daily volume of 42,641 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra MidCap400 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra MidCap400 | | | -17.73 | % | | | 10.38 | % | | | 18.48 | % | |
| S&P MidCap 400 Index | | | -6.52 | % | | | 9.56 | % | | | 12.23 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra MidCap400 | | | 1.06 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 91 | % | |
| Swap Agreements | | | 100 | % | |
| Futures Contracts | | | 9 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Targa Resources Corp. | | | 0.7 | % | |
| Steel Dynamics, Inc. | | | 0.7 | % | |
| EQT Corp. | | | 0.6 | % | |
| Carlisle Cos., Inc. | | | 0.6 | % | |
| Darling Ingredients, Inc. | | | 0.5 | % | |
S&P MidCap 400 – Composition
| | | % of Index | |
| Industrials | | | 18.5 | % | |
| Financials | | | 14.7 | % | |
| Consumer Discretionary | | | 14.0 | % | |
| Information Technology | | | 13.1 | % | |
| Real Estate | | | 9.3 | % | |
| Health Care | | | 9.2 | % | |
| Materials | | | 7.6 | % | |
| Energy | | | 4.5 | % | |
| Consumer Staples | | | 3.8 | % | |
| Utilities | | | 3.7 | % | |
| Communication Services | | | 1.6 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXXII :: MVV ULTRA MIDCAP400 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra MSCI Brazil Capped (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Brazil 25/50 Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –12.21%1. For the same period, the Index had a total return of 0.22%2 and a volatility of 27.84%. For the period, the Fund had an average daily volume of 13,629 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by MSCI Inc. The MSCI Brazil 25/50 Index is designed to measure the performance of the large and mid cap segments of the Brazilian market. It applies certain investment limits that are imposed on regulated investment companies, or RICs, under the current US Internal Revenue Code. The Index covers approximately 85% of the free float-adjusted market capitalization in Brazil.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares Ultra MSCI Brazil Capped from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through February 10, 2013 reflects the performance of the MSCI Brazil Index. Index performance beginning on February 11, 2013 reflects the performance of the MSCI Brazil 25/50 Index.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra MSCI Brazil Capped | | | -12.21 | % | | | -11.05 | % | | | -15.55 | % | |
| MSCI Brazil 25/50 Index | | | 0.22 | % | | | 4.75 | % | | | 0.10 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra MSCI Brazil Capped | | | 2.00 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | 201 | % | |
| Total Exposure | | | 201 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Brazil 25/50 Index – Composition
| | | % of Index | |
| Materials | | | 25.9 | % | |
| Financials | | | 23.9 | % | |
| Energy | | | 17.3 | % | |
| Consumer Staples | | | 8.9 | % | |
| Industrials | | | 7.1 | % | |
| Utilities | | | 6.5 | % | |
| Consumer Discretionary | | | 4.3 | % | |
| Health Care | | | 3.1 | % | |
| Communication Services | | | 2.3 | % | |
| Information Technology | | | 0.7 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex- date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA MSCI BRAZIL CAPPED UBR :: XXXIII
ProShares Ultra MSCI EAFE (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI EAFE Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –23.76%1. For the same period, the Index had a total return of –10.38%2 and a volatility of 15.65%. For the period, the Fund had an average daily volume of 4,306 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by MSCI Inc. The Index includes 85% of the free float-adjusted, market capitalization in each industry group in developed market countries, excluding the U.S. and Canada.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra MSCI EAFE from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra MSCI EAFE | | | -23.76 | % | | | 1.44 | % | | | 8.53 | % | |
| MSCI EAFE Index | | | -10.38 | % | | | 4.17 | % | | | 7.15 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra MSCI EAFE | | | 1.56 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | 201 | % | |
| Total Exposure | | | 201 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI EAFE Index – Country
| | | % of Index | |
| Japan | | | 22.1 | % | |
| United Kingdom | | | 15.9 | % | |
| France | | | 11.4 | % | |
| Others | | | 10.8 | % | |
| Switzerland | | | 10.1 | % | |
| Germany | | | 8.2 | % | |
| Australia | | | 8.1 | % | |
| Netherlands | | | 4.2 | % | |
| Sweden | | | 3.5 | % | |
| Hong Kong | | | 3.0 | % | |
| Denmark | | | 2.7 | % | |
MSCI EAFE Index – Composition
| | | % of Index | |
| Financials | | | 17.6 | % | |
| Industrials | | | 15.0 | % | |
| Health Care | | | 13.3 | % | |
| Consumer Discretionary | | | 11.2 | % | |
| Consumer Staples | | | 10.4 | % | |
| Materials | | | 8.2 | % | |
| Information Technology | | | 8.1 | % | |
| Communication Services | | | 5.0 | % | |
| Energy | | | 4.8 | % | |
| Utilities | | | 3.5 | % | |
| Real Estate | | | 2.9 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXXIV :: EFO ULTRA MSCI EAFE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra MSCI Emerging Markets (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Emerging Markets Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –40.57%1. For the same period, the Index had a total return of –19.83%2 and a volatility of 17.62%. For the period, the Fund had an average daily volume of 7,357 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by MSCI Inc. The Index includes 85% of the free float-adjusted, market capitalization in emerging market countries.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra MSCI Emerging Markets from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
ProShares Ultra MSCI Emerging
Markets | | | -40.57 | % | | | -1.92 | % | | | 0.43 | % | |
| MSCI Emerging Markets Index | | | -19.83 | % | | | 3.80 | % | | | 4.17 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares Ultra MSCI
Emerging Markets | | | 1.09 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | 201 | % | |
| Total Exposure | | | 201 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Emerging Markets
Index – Country
| | | % of Index | |
| China | | | 30.8 | % | |
| Taiwan | | | 16.0 | % | |
| India | | | 12.8 | % | |
| Korea | | | 12.7 | % | |
| Others | | | 7.9 | % | |
| Brazil | | | 5.5 | % | |
| Saudi Arabia | | | 4.4 | % | |
| South Africa | | | 3.8 | % | |
| Mexico | | | 2.3 | % | |
| Thailand | | | 1.9 | % | |
| Indonesia | | | 1.9 | % | |
MSCI Emerging Markets
Index – Composition
| | | % of Index | |
| Financials | | | 21.8 | % | |
| Information Technology | | | 21.1 | % | |
| Consumer Discretionary | | | 12.9 | % | |
| Communication Services | | | 10.2 | % | |
| Materials | | | 9.1 | % | |
| Consumer Staples | | | 6.0 | % | |
| Industrials | | | 5.5 | % | |
| Energy | | | 5.0 | % | |
| Health Care | | | 3.6 | % | |
| Utilities | | | 2.7 | % | |
| Real Estate | | | 2.1 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA MSCI EMERGING MARKETS EET :: XXXV
ProShares Ultra MSCI Japan (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Japan Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –30.24%1. For the same period, the Index had a total return of –13.32%2 and a volatility of 17.57%. For the period, the Fund had an average daily volume of 3,494 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund take positions in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by MSCI Inc. The Index adjusts the market capitalization of Index constituents for free float and targets for Index inclusion 85% of the free float-adjusted market capitalization in each industry group in Japan.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra MSCI Japan from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra MSCI Japan | | | -30.24 | % | | | 0.17 | % | | | 7.71 | % | |
| MSCI Japan Index | | | -13.32 | % | | | 3.67 | % | | | 6.99 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra MSCI Japan | | | 2.55 | % | | | 1.16 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 50 | % | |
| Swap Agreements | | | 151 | % | |
| Total Exposure | | | 201 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Japan Index – Composition
| | | % of Index | |
| Industrials | | | 22.1 | % | |
| Consumer Discretionary | | | 18.7 | % | |
| Information Technology | | | 14.2 | % | |
| Financials | | | 10.2 | % | |
| Health Care | | | 9.4 | % | |
| Communication Services | | | 8.6 | % | |
| Consumer Staples | | | 6.4 | % | |
| Materials | | | 5.0 | % | |
| Real Estate | | | 3.5 | % | |
| Utilities | | | 1.0 | % | |
| Energy | | | 0.9 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXXVI :: EZJ ULTRA MSCI JAPAN :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Nasdaq Biotechnology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the NASDAQ Biotechnology® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –43.17%1. For the same period, the Index had a total return of –21.52%2 and a volatility of 25.44%. For the period, the Fund had an average daily volume of 62,302 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by Nasdaq Inc. (the "Index Provider"). The Index is a modified capitalization-weighted index that includes securities of Nasdaq listed companies that are classified as either biotechnology or pharmaceutical. The securities also meet other eligibility criteria determined by the Index Provider, including minimum market capitalization and liquidity requirements.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Nasdaq Biotechnology from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra Nasdaq Biotechnology | | | -43.17 | % | | | 1.05 | % | | | 14.99 | % | |
| NASDAQ Biotechnology Index | | | -21.52 | % | | | 5.04 | % | | | 11.72 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra Nasdaq Biotechnology | | | 1.08 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 86 | % | |
| Swap Agreements | | | 115 | % | |
| Total Exposure | | | 201 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Amgen, Inc. | | | 8.4 | % | |
| Gilead Sciences, Inc. | | | 7.3 | % | |
Regeneron Pharmaceuticals,
Inc. | | | 6.4 | % | |
| Vertex Pharmaceuticals, Inc. | | | 6.2 | % | |
| Moderna, Inc. | | | 5.3 | % | |
NASDAQ Biotechnology
Index – Composition
| | | % of Index | |
| Biotechnology | | | 78.7 | % | |
| Pharmaceuticals | | | 13.8 | % | |
| Life Sciences Tools & Services | | | 5.9 | % | |
Health Care Equipment &
Supplies | | | 1.0 | % | |
Health Care Providers &
Services | | | 0.6 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA NASDAQ BIOTECHNOLOGY BIB :: XXXVII
ProShares Ultra Nasdaq Cloud Computing (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the ISE CTA Cloud Computing Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –53.30%1. For the same period, the Index had a total return of –27.37%2 and a volatility of 33.15%. For the period, the Fund had an average daily volume of 1,702 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by Nasdaq Inc. (the "Index Provider"). The Index is comprised of companies classified as "cloud computing" companies by the Consumer Technology Association ("CTA"). CTA classifies companies as cloud computing if the company is engaged in one or more of the following activities: Infrastructure-as-a-Service, Platform-as-a-Service or Software-as-a-Service. The companies must also meet other eligibility criteria determined by the Index Provider, including minimum market capitalization and liquidity requirements. The Index includes large-, mid-, and small-capitalization companies.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Nasdaq Cloud Computing from January 19, 2021 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Since Inception (1/19/21) | |
ProShares Ultra Nasdaq Cloud
Computing | | | -53.30 | % | | | -43.69 | % | |
| ISE CTA Cloud Computing Index | | | -27.37 | % | | | -20.73 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares Ultra Nasdaq Cloud
Computing | | | 3.85 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 86 | % | |
| Swap Agreements | | | 115 | % | |
| Total Exposure | | | 201 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| VMware, Inc., Class A | | | 4.0 | % | |
| Lumen Technologies, Inc. | | | 3.6 | % | |
| Oracle Corp. | | | 3.5 | % | |
| Pure Storage, Inc., Class A | | | 3.3 | % | |
Alibaba Group Holding
Ltd. (ADR) | | | 3.3 | % | |
ISE CTA Cloud Computing
Index – Composition
| | | % of Index | |
| Software & Services | | | 70.9 | % | |
Technology Hardware &
Equipment | | | 13.7 | % | |
| Retailing | | | 7.2 | % | |
Commercial &
Telecommunication Services | | | 4.2 | % | |
| Media & Entertainment | | | 3.6 | % | |
Health Care Equipment &
Services | | | 0.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXXVIII :: SKYU ULTRA NASDAQ CLOUD COMPUTING :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Nasdaq Cybersecurity (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Nasdaq CTA Cybersecurity IndexSM (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –16.75%1. For the same period, the Index had a total return of –2.72%2 and a volatility of 26.12%. For the period, the Fund had an average daily volume of 3,435 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is maintained by Nasdaq Inc. (the "Index Provider"). The Index was jointly constructed by the Index Provider and Consumer Technology Association ("CTA"). The Index is a modified liquidity weighted index comprised of companies classified as "cybersecurity" companies by CTA. CTA classifies companies as cybersecurity if they meet one of three elements: (1)companies focused on developing technologies that are designed and implemented to protect computer and communication networks from attacks and other unauthorized use; (2) companies involved in the development of technologies for cybersecurity industry use including government, private and public corporations, financial institutions and various other industries; or (3) companies focused on the protection of priority data from being accessed and exploited by unauthorized external parties. The companies must also meet other eligibility criteria determined by the Index Provider, including minimum market capitalization and liquidity requirements. The Index includes large-, mid-, and small-capitalization companies.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Nasdaq Cybersecurity from January 19, 2021 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Since Inception (1/19/21) | |
ProShares Ultra Nasdaq
Cybersecurity | | | -16.75 | % | | | -16.58 | % | |
| Nasdaq CTA Cybersecurity Index | | | -2.72 | % | | | -3.09 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra Nasdaq Cybersecurity | | | 3.56 | % | | | 0.99 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 9 | % | |
| Swap Agreements | | | 192 | % | |
| Total Exposure | | | 201 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Nasdaq CTA Cybersecurity Index – Composition
| | | % of Index | |
| Software & Services | | | 75.6 | % | |
| Technology Hardware & Equipment | | | 12.4 | % | |
| Commercial & Professional Services | | | 10.0 | % | |
| Capital Goods | | | 2.0 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA NASDAQ CYBERSECURITY UCYB :: XXXIX
ProShares Ultra Oil & Gas (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Oil & GasSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 168.23%1. For the same period, the Index had a total return of 72.84%2 and a volatility of 29.93%. For the period, the Fund had an average daily volume of 324,544 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the oil and gas sector. Component companies typically are engaged in the following activities related to oil and gas sector, among others, exploration and production, integrated oil and gas, oil equipment and services, pipelines, renewable energy equipment companies and alternative fuel producers.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Oil & Gas from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra Oil & Gas | | | 168.23 | % | | | 4.33 | % | | | 1.18 | % | |
| Dow Jones U.S. Oil & Gas Index | | | 72.84 | % | | | 10.19 | % | | | 6.06 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra Oil & Gas | | | 1.03 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 48 | % | |
| Swap Agreements | | | 152 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Exxon Mobil Corp. | | | 10.7 | % | |
| Chevron Corp. | | | 8.8 | % | |
| ConocoPhillips | | | 3.8 | % | |
| EOG Resources, Inc. | | | 2.1 | % | |
| Schlumberger NV | | | 1.7 | % | |
Dow Jones U.S. Oil & Gas Index – Composition
| | | % of Index | |
| Oil, Gas & Consumable Fuels | | | 90.7 | % | |
| Energy Equipment & Services | | | 8.0 | % | |
| Electric Equipment | | | 0.5 | % | |
| Electric Utilities | | | 0.4 | % | |
Semiconductors &
Semiconductor Equipment | | | 0.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XL :: DIG ULTRA OIL & GAS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra QQQ (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the NASDAQ-100® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –20.35%1. For the same period, the Index had a total return of –6.96%2 and a volatility of 25.13%. For the period, the Fund had an average daily volume of 5,368,151 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by Nasdaq Inc. The Index includes 100 of the largest /domestic and international non-financial companies listed on the Nasdaq Stock Market based on market capitalization. The Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnology.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra QQQ from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra QQQ | | | -20.35 | % | | | 27.31 | % | | | 32.34 | % | |
| NASDAQ-100 Index | | | -6.96 | % | | | 17.99 | % | | | 18.79 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra QQQ | | | 0.97 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 85 | % | |
| Swap Agreements | | | 104 | % | |
| Futures Contracts | | | 11 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Apple, Inc. | | | 10.7 | % | |
| Microsoft Corp. | | | 9.0 | % | |
| Amazon.com, Inc. | | | 5.4 | % | |
| Tesla, Inc. | | | 3.4 | % | |
| Alphabet, Inc., Class C | | | 3.2 | % | |
NASDAQ-100 Index – Composition
| | | % of Index | |
| Information Technology | | | 51.0 | % | |
| Communication Services | | | 16.9 | % | |
| Consumer Discretionary | | | 15.0 | % | |
| Health Care | | | 6.2 | % | |
| Consumer Staples | | | 6.1 | % | |
| Industrials | | | 3.4 | % | |
| Utilities | | | 1.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA QQQ QLD :: XLI
ProShares Ultra Real Estate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Real EstateSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –1.39%1. For the same period, the Index had a total return of 1.53%2 and a volatility of 18.45%. For the period, the Fund had an average daily volume of 10,404 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to track the performance of real estate investment trusts ("REITs") and other companies that invest directly or indirectly in real estate through development, management or ownership including property agencies. Component companies include, among others, real estate holding and development and real estate services companies and REITs. REITs are passive investment vehicles that invest primarily in income producing real estate or real estate related loans or interests. The Index is a market cap weighted index that is updated in March, June, September, and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Real Estate from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra Real Estate | | | -1.39 | % | | | 7.61 | % | | | 11.95 | % | |
| Dow Jones U.S. Real Estate Index | | | 1.53 | % | | | 8.16 | % | | | 9.08 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra Real Estate | | | 1.07 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 91 | % | |
| Swap Agreements | | | 109 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| American Tower Corp. | | | 7.7 | % | |
| Prologis, Inc. | | | 6.2 | % | |
Crown Castle International
Corp. | | | 5.4 | % | |
| Equinix, Inc. | | | 4.1 | % | |
| Public Storage | | | 3.3 | % | |
Dow Jones U.S. Real Estate
Index – Composition
| | | % of Index | |
Equity Real Estate
Investment Trusts (REITs) | | | 91.9 | % | |
Real Estate Management &
Development | | | 3.9 | % | |
Mortgage Real Estate
Investment Trusts (REITs) | | | 2.5 | % | |
| Professional Services | | | 1.7 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XLII :: URE ULTRA REAL ESTATE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Russell 2000® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –35.82%1. For the same period, the Index had a total return of –16.92%2 and a volatility of 23.87%. For the period, the Fund had an average daily volume of 651,564 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by FTSE Russell. The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2,000 of the smallest companies in the Russell 3000® Index or approximately 10% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the U.S. equity market and includes approximately 3,000 of the largest companies in the U.S. The Russell 3000® Index includes large-, mid-, and small-capitalization companies.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Russell2000 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra Russell2000 | | | -35.82 | % | | | 5.87 | % | | | 15.19 | % | |
| Russell 2000 Index | | | -16.92 | % | | | 7.71 | % | | | 10.83 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra Russell2000 | | | 1.15 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 71 | % | |
| Swap Agreements | | | 121 | % | |
| Futures Contracts | | | 8 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Ovintiv, Inc. | | | 0.4 | % | |
| Antero Resources Corp. | | | 0.4 | % | |
| Chesapeake Energy Corp. | | | 0.3 | % | |
| Southwestern Energy Co. | | | 0.3 | % | |
| Range Resources Corp. | | | 0.2 | % | |
Russell 2000 Index – Composition
| | | % of Index | |
| Financials | | | 16.4 | % | |
| Industrials | | | 15.6 | % | |
| Health Care | | | 14.8 | % | |
| Information Technology | | | 12.9 | % | |
| Consumer Discretionary | | | 10.1 | % | |
| Energy | | | 8.3 | % | |
| Real Estate | | | 7.7 | % | |
| Materials | | | 4.2 | % | |
| Consumer Staples | | | 3.8 | % | |
| Utilities | | | 3.3 | % | |
| Communication Services | | | 2.9 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA RUSSELL2000 UWM :: XLIII
ProShares Ultra S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P 500® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –5.49%1. For the same period, the Index had a total return of –0.30%2 and a volatility of 18.10%. For the period, the Fund had an average daily volume of 5,524,052 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra S&P500® from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra S&P500® | | | -5.49 | % | | | 19.98 | % | | | 24.45 | % | |
| S&P 500 Index | | | -0.30 | % | | | 13.38 | % | | | 14.39 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra S&P500® | | | 0.89 | % | | | 0.89 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 91 | % | |
| Swap Agreements | | | 102 | % | |
| Futures Contracts | | | 7 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Apple, Inc. | | | 6.0 | % | |
| Microsoft Corp. | | | 5.3 | % | |
| Amazon.com, Inc. | | | 2.7 | % | |
| Alphabet, Inc., Class A | | | 1.8 | % | |
| Tesla, Inc. | | | 1.7 | % | |
S&P 500 – Composition
| | | % of Index | |
| Information Technology | | | 27.1 | % | |
| Health Care | | | 14.4 | % | |
| Financials | | | 11.2 | % | |
| Consumer Discretionary | | | 10.9 | % | |
| Communication Services | | | 8.8 | % | |
| Industrials | | | 7.7 | % | |
| Consumer Staples | | | 6.5 | % | |
| Energy | | | 4.8 | % | |
| Utilities | | | 3.0 | % | |
| Materials | | | 2.8 | % | |
| Real Estate | | | 2.8 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XLIV :: SSO ULTRA S&P500® :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Semiconductors (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. SemiconductorsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –9.81%1. For the same period, the Index had a total return of 2.84%2 and a volatility of 37.53%. For the period, the Fund had an average daily volume of 208,675 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the semiconductors subsector. Component companies are engaged in the production and distribution of semiconductors and other integrated chips, as well as other related products such as semiconductor capital equipment and mother-boards.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Semiconductors from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra Semiconductors | | | -9.81 | % | | | 31.01 | % | | | 35.85 | % | |
| Dow Jones U.S. Semiconductors Index | | | 2.84 | % | | | 23.18 | % | | | 22.66 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra Semiconductors | | | 1.01 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 66 | % | |
| Swap Agreements | | | 134 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| NVIDIA Corp. | | | 14.6 | % | |
| Broadcom, Inc. | | | 7.5 | % | |
| Intel Corp. | | | 5.7 | % | |
| Advanced Micro Devices, Inc. | | | 5.2 | % | |
| Texas Instruments, Inc. | | | 5.1 | % | |
Dow Jones U.S. Semiconductors
Index – Composition
| | | % of Index | |
Semiconductors &
Semiconductor Equipment | | | 100 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA SEMICONDUCTORS USD :: XLV
ProShares Ultra SmallCap600 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P SmallCap 600® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –21.84%1. For the same period, the Index had a total return of –8.73%2 and a volatility of 21.84%. For the period, the Fund had an average daily volume of 9,323 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of small-cap company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 600 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares Ultra SmallCap600 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra SmallCap600 | | | -21.84 | % | | | 9.61 | % | | | 18.89 | % | |
| S&P SmallCap 600 Index | | | -8.73 | % | | | 9.78 | % | | | 12.71 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra SmallCap600 | | | 1.35 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 90 | % | |
| Swap Agreements | | | 110 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Southwestern Energy Co. | | | 1.0 | % | |
| SM Energy Co. | | | 0.6 | % | |
| Civitas Resources, Inc. | | | 0.5 | % | |
| Helmerich & Payne, Inc. | | | 0.5 | % | |
| Livent Corp. | | | 0.5 | % | |
S&P SmallCap 600 – Composition
| | | % of Index | |
| Financials | | | 17.8 | % | |
| Industrials | | | 16.4 | % | |
| Information Technology | | | 13.1 | % | |
| Consumer Discretionary | | | 12.0 | % | |
| Health Care | | | 11.5 | % | |
| Real Estate | | | 7.6 | % | |
| Energy | | | 7.0 | % | |
| Materials | | | 5.7 | % | |
| Consumer Staples | | | 5.1 | % | |
| Utilities | | | 2.0 | % | |
| Communication Services | | | 1.8 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XLVI :: SAA ULTRA SMALLCAP600 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Technology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. TechnologySM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –16.16%1. For the same period, the Index had a total return of –4.05%2 and a volatility of 27.46%. For the period, the Fund had an average daily volume of 166,048 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the technology industry. Component companies include, among others, those involved in computers and office equipment, software, communications technology, semiconductors, diversified technology services and Internet services.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Technology from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra Technology | | | -16.16 | % | | | 32.29 | % | | | 32.25 | % | |
| Dow Jones U.S. Technology Index | | | -4.05 | % | | | 20.92 | % | | | 19.16 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra Technology | | | 0.95 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 89 | % | |
| Swap Agreements | | | 111 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Apple, Inc. | | | 19.0 | % | |
| Microsoft Corp. | | | 16.8 | % | |
| Alphabet, Inc., Class A | | | 5.6 | % | |
| Alphabet, Inc., Class C | | | 5.2 | % | |
| NVIDIA Corp. | | | 3.8 | % | |
Dow Jones U.S. Technology
Index – Composition
| | | % of Index | |
| Software & Services | | | 36.3 | % | |
Technology Hardware &
Equipment | | | 25.6 | % | |
Semiconductors &
Semiconductor Equipment | | | 19.7 | % | |
| Media & Entertainment | | | 17.1 | % | |
| Retailing | | | 0.5 | % | |
Health Care Equipment &
Services | | | 0.5 | % | |
| Telecommunication Services | | | 0.2 | % | |
| Consumer Durables & Apparel | | | 0.1 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA TECHNOLOGY ROM :: XLVII
ProShares Ultra Telecommunications (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Select TelecommunicationsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –16.64%1. For the same period, the Index had a total return of –6.48%2 and a volatility of 17.05%. For the period, the Fund had an average daily volume of 1,904 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the telecommunications sector.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Telecommunications from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra Telecommunications | | | -16.64 | % | | | -4.24 | % | | | 7.22 | % | |
Dow Jones U.S. Select
Telecommunications Index | | | -6.48 | % | | | 1.24 | % | | | 6.46 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra Telecommunications | | | 8.63 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 87 | % | |
| Swap Agreements | | | 113 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
Verizon Communications,
Inc. | | | 20.4 | % | |
| Cisco Systems, Inc. | | | 17.0 | % | |
| T-Mobile US, Inc. | | | 4.6 | % | |
| Motorola Solutions, Inc. | | | 4.2 | % | |
| Garmin Ltd. | | | 4.0 | % | |
Dow Jones U.S. Select Telecommunications
Index – Composition
| | | % of Index | |
| Communications Equipment | | | 46.6 | % | |
Diversified Telecommunication
Services | | | 42.3 | % | |
Wireless Telecommunication
Services | | | 6.5 | % | |
| Household Durables | | | 4.6 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XLVIII :: LTL ULTRA TELECOMMUNICATIONS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Utilities (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. UtilitiesSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 32.18%1. For the same period, the Index had a total return of 17.25%2 and a volatility of 15.12%. For the period, the Fund had an average daily volume of 5,980 shares and an average daily statistical correlation of over 0.99 to twice that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the utilities industry. Component companies include, among others, electric utilities, gas utilities, multi-utilities and water utilities. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Utilities from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares Ultra Utilities | | | 32.18 | % | | | 12.25 | % | | | 17.82 | % | |
| Dow Jones U.S. Utilities Index | | | 17.25 | % | | | 9.92 | % | | | 11.58 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares Ultra Utilities | | | 1.91 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 76 | % | |
| Swap Agreements | | | 124 | % | |
| Total Exposure | | | 200 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| NextEra Energy, Inc. | | | 9.7 | % | |
| Duke Energy Corp. | | | 5.7 | % | |
| Southern Co. (The) | | | 5.2 | % | |
| Dominion Energy, Inc. | | | 4.5 | % | |
| Sempra Energy | | | 3.4 | % | |
Dow Jones U.S. Utilities
Index – Composition
| | | % of Index | |
| Electric Utilities | | | 60.5 | % | |
| Multi-Utilities | | | 29.1 | % | |
| Gas Utilities | | | 4.4 | % | |
| Water Utilities | | | 3.3 | % | |
Independent Power and
Renewable Electricity
Producers | | | 2.7 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA UTILITIES UPW :: XLIX
ProShares UltraPro Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the Dow Jones Industrial AverageSM (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –16.40%1. For the same period, the Index had a total return of –2.65%2 and volatility of 15.59%. For the period, the Fund had an average daily volume of 5,061,890 shares and an average daily statistical correlation of over 0.99 to three times that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a price weighted index and includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Dow30SM from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraPro Dow30SM | | | -16.40 | % | | | 16.84 | % | | | 27.15 | % | |
| Dow Jones Industrial Average Index | | | -2.65 | % | | | 11.87 | % | | | 12.90 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraPro Dow30SM | | | 0.95 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 83 | % | |
| Swap Agreements | | | 209 | % | |
| Futures Contracts | | | 8 | % | |
| Total Exposure | | | 300 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| UnitedHealth Group, Inc. | | | 8.2 | % | |
Goldman Sachs Group, Inc.
(The) | | | 5.4 | % | |
| Home Depot, Inc. (The) | | | 5.0 | % | |
| Microsoft Corp. | | | 4.5 | % | |
| Amgen, Inc. | | | 4.2 | % | |
Dow Jones Industrial
Average – Composition
| | | % of Index | |
| Health Care | | | 20.5 | % | |
| Information Technology | | | 20.4 | % | |
| Financials | | | 16.1 | % | |
| Industrials | | | 13.8 | % | |
| Consumer Discretionary | | | 13.5 | % | |
| Consumer Staples | | | 7.7 | % | |
| Energy | | | 3.4 | % | |
| Communication Services | | | 3.2 | % | |
| Materials | | | 1.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
L :: UDOW ULTRAPRO DOW30SM :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the S&P MidCap 400® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –29.95%1. For the same period, the Index had a total return of –6.52%2 and a volatility of 20.78%. For the period, the Fund had an average daily volume of 25,202 shares and an average daily statistical correlation of over 0.99 to three times that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of midsize company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro MidCap400 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraPro MidCap400 | | | -29.95 | % | | | 5.64 | % | | | 21.50 | % | |
| S&P MidCap 400 Index | | | -6.52 | % | | | 9.56 | % | | | 12.23 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraPro MidCap400 | | | 1.23 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 85 | % | |
| Swap Agreements | | | 208 | % | |
| Futures Contracts | | | 7 | % | |
| Total Exposure | | | 300 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Targa Resources Corp. | | | 0.7 | % | |
| Steel Dynamics, Inc. | | | 0.6 | % | |
| EQT Corp. | | | 0.6 | % | |
| Carlisle Cos., Inc. | | | 0.5 | % | |
| Darling Ingredients, Inc. | | | 0.5 | % | |
S&P MidCap 400 – Composition
| | | % of Index | |
| Industrials | | | 18.5 | % | |
| Financials | | | 14.7 | % | |
| Consumer Discretionary | | | 14.0 | % | |
| Information Technology | | | 13.1 | % | |
| Real Estate | | | 9.3 | % | |
| Health Care | | | 9.2 | % | |
| Materials | | | 7.6 | % | |
| Energy | | | 4.5 | % | |
| Consumer Staples | | | 3.8 | % | |
| Utilities | | | 3.7 | % | |
| Communication Services | | | 1.6 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO MIDCAP400 UMDD :: LI
ProShares UltraPro QQQ (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the NASDAQ-100® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –35.44%1. For the same period, the Index had a total return of –6.96%2 and a volatility of 25.13%. For the period, the Fund had an average daily volume of 97,208,818 shares and an average daily statistical correlation of over 0.99 to three times that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by Nasdaq Inc. The Index includes 100 of the largest domestic and international non-financial companies listed on The Nasdaq Stock Market based on market capitalization. The Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnology.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro QQQ from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraPro QQQ | | | -35.44 | % | | | 30.20 | % | | | 42.66 | % | |
| NASDAQ-100 Index | | | -6.96 | % | | | 17.99 | % | | | 18.79 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraPro QQQ | | | 1.01 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 81 | % | |
| Swap Agreements | | | 208 | % | |
| Futures Contracts | | | 11 | % | |
| Total Exposure | | | 300 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Apple, Inc. | | | 10.2 | % | |
| Microsoft Corp. | | | 8.5 | % | |
| Amazon.com, Inc. | | | 5.1 | % | |
| Tesla, Inc. | | | 3.3 | % | |
| Alphabet, Inc., Class C | | | 3.0 | % | |
NASDAQ-100 Index – Composition
| | | % of Index | |
| Information Technology | | | 51.0 | % | |
| Communication Services | | | 16.9 | % | |
| Consumer Discretionary | | | 15.0 | % | |
| Health Care | | | 6.2 | % | |
| Consumer Staples | | | 6.1 | % | |
| Industrials | | | 3.4 | % | |
| Utilities | | | 1.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm
LII :: TQQQ ULTRAPRO QQQ :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the Russell 2000® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –52.76%1. For the same period, the Index had a total return of –16.92%2 and a volatility of 23.87%. For the period, the Fund had an average daily volume of 631,063 shares and an average daily statistical correlation of over 0.99 to three times that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by FTSE Russell. The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2,000 of the smallest companies in the Russell 3000® Index or approximately 10% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the U.S. equity market and approximately 3,000 of the largest companies in the US. The Russell 3000® Index includes large-, mid-, and small-capitalization companies.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Russell2000 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraPro Russell2000 | | | -52.76 | % | | | -2.46 | % | | | 14.86 | % | |
| Russell 2000 Index | | | -16.92 | % | | | 7.71 | % | | | 10.83 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraPro Russell2000 | | | 1.26 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 82 | % | |
| Swap Agreements | | | 208 | % | |
| Futures Contracts | | | 10 | % | |
| Total Exposure | | | 300 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Ovintiv, Inc. | | | 0.5 | % | |
| Antero Resources Corp. | | | 0.4 | % | |
| Chesapeake Energy Corp. | | | 0.4 | % | |
| Southwestern Energy Co. | | | 0.3 | % | |
| Range Resources Corp. | | | 0.3 | % | |
Russell 2000 Index – Composition
| | | % of Index | |
| Financials | | | 16.4 | % | |
| Industrials | | | 15.6 | % | |
| Health Care | | | 14.8 | % | |
| Information Technology | | | 12.9 | % | |
| Consumer Discretionary | | | 10.1 | % | |
| Energy | | | 8.3 | % | |
| Real Estate | | | 7.7 | % | |
| Materials | | | 4.2 | % | |
| Consumer Staples | | | 3.8 | % | |
| Utilities | | | 3.3 | % | |
| Communication Services | | | 2.9 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO RUSSELL2000 URTY :: LIII
ProShares UltraPro S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the S&P 500® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –12.57%1. For the same period, the Index had a total return of –0.30%2 and a volatility of 18.10%. For the period, the Fund had an average daily volume of 10,726,039 shares and an average daily statistical correlation of over 0.99 to three times that of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro S&P500® from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraPro S&P500® | | | -12.57 | % | | | 22.50 | % | | | 32.48 | % | |
| S&P 500 Index | | | -0.30 | % | | | 13.38 | % | | | 14.39 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraPro S&P500® | | | 0.91 | % | | | 0.91 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Equity Securities | | | 82 | % | |
| Swap Agreements | | | 211 | % | |
| Futures Contracts | | | 7 | % | |
| Total Exposure | | | 300 | % | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
| Company | | % of Net Assets | |
| Apple, Inc. | | | 5.5 | % | |
| Microsoft Corp. | | | 4.8 | % | |
| Amazon.com, Inc. | | | 2.5 | % | |
| Alphabet, Inc., Class A | | | 1.6 | % | |
| Tesla, Inc. | | | 1.5 | % | |
S&P 500 – Composition
| | | % of Index | |
| Information Technology | | | 27.1 | % | |
| Health Care | | | 14.4 | % | |
| Financials | | | 11.2 | % | |
| Consumer Discretionary | | | 10.9 | % | |
| Communication Services | | | 8.8 | % | |
| Industrials | | | 7.7 | % | |
| Consumer Staples | | | 6.5 | % | |
| Energy | | | 4.8 | % | |
| Utilities | | | 3.0 | % | |
| Materials | | | 2.8 | % | |
| Real Estate | | | 2.8 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LIV :: UPRO ULTRAPRO S&P500® :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro Short 20+ Year Treasury (the "Fund") seeks investment results, before fees and expenses, that correspond to three times the inverse (–3x) of the daily performance of the ICE U.S. Treasury 20+ Year Bond Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 35.27%1. For the same period, the Index had a total return of –14.42%2 and a volatility of 15.95%. For the period, the Fund had an average daily volume of 180,251 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by ICE Data Indices, LLC. The Index is part of a series of indices designed to measure the performance of the U.S. Treasury market. The Index includes publicly issued U.S. Treasury securities that have a remaining maturity greater than or equal to twenty years and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. In addition, the securities in the Underlying Index must be fixed-rate and denominated in U.S. dollars. Excluded-from the Underlying Index are inflation-linked securities, Treasury bills, cash management bills, any government agency debt issued with or without a government guarantee and zero-coupon issues that have been stripped from coupon paying bonds. The Underlying Index is weighted by market capitalization, and the securities in the Underlying Index are updated on the last business day of each month.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short 20+ Year Treasury from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through October 13, 2016 reflects the performance of the Bloomberg Barclays U.S. 20+ Year Treasury Bond Index. Index performance beginning on October 14, 2016 reflects the performance of the ICE U.S. Treasury 20+ Year Bond Index.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
ProShares UltraPro Short 20+ Year
Treasury | | | 35.27 | % | | | -11.99 | % | | | -14.34 | % | |
ICE U.S. Treasury 20+ Year Bond
Index | | | -14.42 | % | | | 0.88 | % | | | 1.62 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares UltraPro Short 20+ Year
Treasury | | | 1.07 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (299 | %) | |
| Futures Contracts | | | (3 | %) | |
| Total Exposure | | | (302 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
ICE U.S. Treasury 20+ Year Bond Index – Composition
| | | % of Index | |
| 20+ Year U.S. Treasury | | | 100 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO SHORT 20+ YEAR TREASURY TTT :: LV
ProShares UltraPro Short Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (–3x) of the daily performance of the Dow Jones Industrial AverageSM (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –6.45%1. For the same period, the Index had a total return of –2.65%2 and a volatility 15.59%. For the period, the Fund had an average daily volume of 7,184,879 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a price-weighted index and includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short Dow30SM from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraPro Short Dow30SM | | | -6.45 | % | | | -42.88 | % | | | -40.52 | % | |
| Dow Jones Industrial Average Index | | | -2.65 | % | | | 11.87 | % | | | 12.90 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraPro Short Dow30SM | | | 0.96 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (298 | %) | |
| Futures Contracts | | | (2 | %) | |
| Total Exposure | | | (300 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average – Composition
| | | % of Index | |
| Health Care | | | 20.5 | % | |
| Information Technology | | | 20.4 | % | |
| Financials | | | 16.1 | % | |
| Industrials | | | 13.8 | % | |
| Consumer Discretionary | | | 13.5 | % | |
| Consumer Staples | | | 7.7 | % | |
| Energy | | | 3.4 | % | |
| Communication Services | | | 3.2 | % | |
| Materials | | | 1.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LVI :: SDOW ULTRAPRO SHORT DOW30SM :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro Short MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (–3x) of the daily performance of the S&P MidCap 400® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –6.05%1. For the same period, the Index had a total return of –6.52%2 and a volatility of 20.78%. For the period, the Fund had an average daily volume of 15,793 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short MidCap400 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraPro Short MidCap400 | | | -6.05 | % | | | -43.94 | % | | | -43.04 | % | |
| S&P MidCap 400 Index | | | -6.52 | % | | | 9.56 | % | | | 12.23 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraPro Short MidCap400 | | | 1.67 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (293 | %) | |
| Futures Contracts | | | (7 | %) | |
| Total Exposure | | | (300 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P MidCap 400 – Composition
| | | % of Index | |
| Industrials | | | 18.5 | % | |
| Financials | | | 14.7 | % | |
| Consumer Discretionary | | | 14.0 | % | |
| Information Technology | | | 13.1 | % | |
| Real Estate | | | 9.3 | % | |
| Health Care | | | 9.2 | % | |
| Materials | | | 7.6 | % | |
| Energy | | | 4.5 | % | |
| Consumer Staples | | | 3.8 | % | |
| Utilities | | | 3.7 | % | |
| Communication Services | | | 1.6 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO SHORT MIDCAP400 SMDD :: LVII
ProShares UltraPro Short QQQ (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (–3x) of the daily performance of the NASDAQ-100® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –14.62%1. For the same period, the Index had a total return of –6.96%2 and a volatility of 25.13%. For the period, the Fund had an average daily volume of 53,049,820 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by Nasdaq Inc. The Index includes 100 of the largest domestic and international non-financial companies listed on The Nasdaq Stock Market based on market capitalization. The Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnology.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short QQQ from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraPro Short QQQ | | | -14.62 | % | | | -56.12 | % | | | -52.59 | % | |
| NASDAQ-100 Index | | | -6.96 | % | | | 17.99 | % | | | 18.79 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraPro Short QQQ | | | 1.00 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (300 | %) | |
| Total Exposure | | | (300 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ-100 Index – Composition
| | | % of Index | |
| Information Technology | | | 51.0 | % | |
| Communication Services | | | 16.9 | % | |
| Consumer Discretionary | | | 15.0 | % | |
| Health Care | | | 6.2 | % | |
| Consumer Staples | | | 6.1 | % | |
| Industrials | | | 3.4 | % | |
| Utilities | | | 1.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LVIII :: SQQQ ULTRAPRO SHORT QQQ :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro Short Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (–3x) of the daily performance of the Russell 2000® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 21.80%1. For the same period, the Index had a total return of –16.92%2 and a volatility of 23.87%. For the period, the Fund had an average daily volume of 1,320,375 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by FTSE Russell. The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2,000 of the smallest companies in the Russell 3000® Index or approximately 10% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the U.S. equity market and includes approximately 3,000 of the largest companies in the U.S. The Russell 3000® Index includes large-, mid-, and small-capitalization companies.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short Russell2000 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraPro Short Russell2000 | | | 21.80 | % | | | -45.03 | % | | | -44.48 | % | |
| Russell 2000 Index | | | -16.92 | % | | | 7.71 | % | | | 10.83 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraPro Short Russell2000 | | | 1.08 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (298 | %) | |
| Futures Contracts | | | (2 | %) | |
| Total Exposure | | | (300 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Index – Composition
| | | % of Index | |
| Financials | | | 16.4 | % | |
| Industrials | | | 15.6 | % | |
| Health Care | | | 14.8 | % | |
| Information Technology | | | 12.9 | % | |
| Consumer Discretionary | | | 10.1 | % | |
| Energy | | | 8.3 | % | |
| Real Estate | | | 7.7 | % | |
| Materials | | | 4.2 | % | |
| Consumer Staples | | | 3.8 | % | |
| Utilities | | | 3.3 | % | |
| Communication Services | | | 2.9 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO SHORT RUSSELL2000 SRTY :: LIX
ProShares UltraPro Short S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (–3x) of the daily performance of the S&P 500® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –16.96%1. For the same period, the Index had a total return of –0.30%2 and a volatility of 18.10%. For the period, the Fund had an average daily volume of 18,102,815 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short S&P500® from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraPro Short S&P500® | | | -16.96 | % | | | -44.46 | % | | | -42.62 | % | |
| S&P 500 Index | | | -0.30 | % | | | 13.38 | % | | | 14.39 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraPro Short S&P500® | | | 0.90 | % | | | 0.90 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (299 | %) | |
| Futures Contracts | | | (1 | %) | |
| Total Exposure | | | (300 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P 500 – Composition
| | | % of Index | |
| Information Technology | | | 27.1 | % | |
| Health Care | | | 14.4 | % | |
| Financials | | | 11.2 | % | |
| Consumer Discretionary | | | 10.9 | % | |
| Communication Services | | | 8.8 | % | |
| Industrials | | | 7.7 | % | |
| Consumer Staples | | | 6.5 | % | |
| Energy | | | 4.8 | % | |
| Utilities | | | 3.0 | % | |
| Materials | | | 2.8 | % | |
| Real Estate | | | 2.8 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LX :: SPXU ULTRAPRO SHORT S&P500® :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort 7-10 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the ICE U.S. Treasury 7-10 Year Bond Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 16.48%1. For the same period, the Index had a total return of –8.59%2 and a volatility of 7.14%. For the period, the Fund had an average daily volume of 159,179 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by ICE Data Indices, LLC. The Index includes publicly issued U.S. Treasury securities that have a remaining maturity greater than or equal to seven years and less than or equal to ten years and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. In addition, the securities in the Underlying Index must be fixed-rate and denominated in U.S. dollars. Excluded from the Underlying Index are inflation-linked securities, Treasury bills, cash management bills, any government agency debt issued with or without a government guarantee and zero-coupon issues that have been stripped from coupon-paying bonds. The Underlying Index is weighted by market capitalization, and the securities in the Underlying Index are updated on the last business day of each month.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort 7-10 Year Treasury from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through October 13, 2016 reflects the performance of the Bloomberg Barclays U.S. 7-10 Year Treasury Bond Index. Index performance beginning on October 14, 2016 reflects the performance of the ICE U.S. Treasury 7-10 Year Bond Index.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
ProShares UltraShort 7-10 Year
Treasury | | | 16.48 | % | | | -1.20 | % | | | -3.36 | % | |
| ICE U.S. Treasury 7-10 Year Bond Index | | | -8.59 | % | | | 0.96 | % | | | 1.33 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares UltraShort 7-10 Year
Treasury | | | 1.10 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (199 | %) | |
| Futures Contracts | | | (1 | %) | |
| Total Exposure | | | (200 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
ICE U.S. Treasury 7-10 Year Bond Index – Composition
| | | % of Index | |
| 7-10 Year U.S. Treasury | | | 100 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT 7-10 YEAR TREASURY PST :: LXI
ProShares UltraShort 20+ Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the ICE U.S. Treasury 20+ Year Bond Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 25.29%1. For the same period, the Index had a total return of –14.42%2 and a volatility of 15.95%. For the period, the Fund had an average daily volume of 6,888,505 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by ICE Data Indices, LLC. The Index is part of a series of indices designed to measure the performance of the U.S. Treasury market. The Index includes publicly-issued U.S. Treasury securities that have a remaining maturity greater than or equal to twenty years and have $300 million or more of outstanding face value, excluding amounts held by the Federal Reserve. In addition, the securities in the Underlying Index must be fixed-rate and denominated in U.S. dollars. Excluded from the Underlying Index are inflation-linked securities, Treasury bills, cash management bills, any government agency debt issued with or without a government guarantee and zero-coupon issues that have been stripped from coupon-paying bonds. The Underlying Index is weighted by market capitalization, and the securities in the Underlying Index are updated on the last business day of each month.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort 20+ Year Treasury from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through October 13, 2016 reflects the performance of the Bloomberg Barclays U.S. 20+ Year Treasury Bond Index. Index performance beginning on October 14, 2016 reflects the performance of the ICE U.S. Treasury 20+ Year Bond Index.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraShort 20+ Year Treasury | | | 25.29 | % | | | -6.09 | % | | | -8.17 | % | |
| ICE U.S. Treasury 20+ Year Bond Index | | | -14.42 | % | | | 0.88 | % | | | 1.62 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraShort 20+ Year Treasury | | | 0.90 | % | | | 0.90 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (200 | %) | |
| Futures Contracts | | | (2 | %) | |
| Total Exposure | | | (202 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
ICE U.S. Treasury 20+ Year Bond Index – Composition
| | | % of Index | |
| 20+ Year U.S. Treasury | | | 100 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXII :: TBT ULTRASHORT 20+ YEAR TREASURY :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Basic Materials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. Basic MaterialsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –18.55%1. For the same period, the Index had a total return of 3.41%2 and a volatility of 20.95%. For the period, the Fund had an average daily volume of 11,377 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the basic materials industry. Component companies are involved in the production of aluminum, steel, non-ferrous metals, commodity chemicals, specialty chemicals, forest products, paper products, as well as the mining of precious metals and coal. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Basic Materials from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraShort Basic Materials | | | -18.55 | % | | | -32.35 | % | | | -28.40 | % | |
| Dow Jones U.S. Basic Materials Index | | | 3.41 | % | | | 12.09 | % | | | 10.82 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraShort Basic Materials | | | 3.84 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (200 | %) | |
| Total Exposure | | | (200 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Basic Materials Index – Composition
| | | % of Index | |
| Chemicals | | | 75.4 | % | |
| Metals & Mining | | | 24.4 | % | |
| Paper & Forest Products | | | 0.2 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT BASIC MATERIALS SMN :: LXIII
ProShares UltraShort Consumer Goods (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. Consumer GoodsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –10.88%1. For the same period, the Index had a total return of –0.46%2 and a volatility of 19.89%. For the period, the Fund had an average daily volume of 4,413 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the consumer goods industry. Component companies include, among others, automobiles and auto parts and tires, brewers and distillers, farming and fishing, durable and non-durable household product manufacturers, cosmetic companies, food and tobacco products, clothing, accessories and footwear. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Consumer Goods from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraShort Consumer Goods | | | -10.88 | % | | | -25.18 | % | | | -26.20 | % | |
| Dow Jones U.S. Consumer Goods Index | | | -0.46 | % | | | 10.29 | % | | | 12.30 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraShort Consumer Goods | | | 7.90 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (200 | %) | |
| Total Exposure | | | (200 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Consumer Goods Index – Composition
| | | % of Index | |
| Food, Beverage & Tobacco | | | 38.9 | % | |
| Automobiles & Components | | | 25.2 | % | |
| Household & Personal Products | | | 17.2 | % | |
| Consumer Durables & Apparel | | | 12.9 | % | |
| Media & Entertainment | | | 3.7 | % | |
| Retailing | | | 1.1 | % | |
| Capital Goods | | | 0.6 | % | |
| Food & Staples Retailing | | | 0.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXIV :: SZK ULTRASHORT CONSUMER GOODS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Consumer Services (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. Consumer ServicesSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 32.36%1. For the same period, the Index had a total return of –19.77%2 and a volatility of 22.86%. For the period, the Fund had an average daily volume of 3,358 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the consumer services industry. Component companies include, among others, airlines, broadcasting and entertainment, apparel and broadline retailers, food and drug retailers, media agencies, publishing, gambling, hotels, restaurants and bars, and travel and tourism. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Consumer Services from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraShort Consumer Services | | | 32.36 | % | | | -24.77 | % | | | -28.73 | % | |
| Dow Jones U.S. Consumer Services Index | | | -19.77 | % | | | 9.23 | % | | | 13.57 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares UltraShort Consumer
Services | | | 7.25 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (200 | %) | |
| Total Exposure | | | (200 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Consumer Services Index – Composition
| | | % of Index | |
| Retailing | | | 46.7 | % | |
| Consumer Services | | | 18.4 | % | |
| Media & Entertainment | | | 18.3 | % | |
| Food & Staples Retailing | | | 11.7 | % | |
| Transportation | | | 3.2 | % | |
| Health Care Equipment & Services | | | 0.9 | % | |
| Commercial & Professional Services | | | 0.8 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT CONSUMER SERVICES SCC :: LXV
ProShares UltraShort Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones Industrial AverageSM (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –2.01%1. For the same period, the Index had a total return of –2.65%2 and a volatility of 15.59%. For the period, the Fund had an average daily volume of 809,824 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a price-weighted index and includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Dow30SM from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraShort Dow30SM | | | -2.01 | % | | | -27.99 | % | | | -27.22 | % | |
| Dow Jones Industrial Average Index | | | -2.65 | % | | | 11.87 | % | | | 12.90 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraShort Dow30SM | | | 1.00 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (194 | %) | |
| Futures Contracts | | | (6 | %) | |
| Total Exposure | | | (200 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average – Composition
| | | % of Index | |
| Health Care | | | 20.5 | % | |
| Information Technology | | | 20.4 | % | |
| Financials | | | 16.1 | % | |
| Industrials | | | 13.8 | % | |
| Consumer Discretionary | | | 13.5 | % | |
| Consumer Staples | | | 7.7 | % | |
| Energy | | | 3.4 | % | |
| Communication Services | | | 3.2 | % | |
| Materials | | | 1.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXVI :: DXD ULTRASHORT DOW30SM :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –5.18%1. For the same period, the Index had a total return of –3.03%2 and a volatility of 19.40%. For the period, the Fund had an average daily volume of 36,749 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the financials industry. Component companies include: among others, regional banks; major U.S. domiciled international banks; full line, life, and property and casualty insurance companies; companies that invest, directly or indirectly in real estate; diversified financial companies such as credit card issuers, check cashing companies, mortgage lenders and investment advisors; securities brokers and dealers including investment banks, merchant banks and online brokers; and publicly traded stock exchanges. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Financials from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraShort Financials | | | -5.18 | % | | | -30.30 | % | | | -30.94 | % | |
| Dow Jones U.S. Financials Index | | | -3.03 | % | | | 11.08 | % | | | 13.82 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraShort Financials | | | 1.21 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (200 | %) | |
| Total Exposure | | | (200 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Financials Index – Composition
| | | % of Index | |
| Diversified Financials | | | 32.4 | % | |
| Banks | | | 23.4 | % | |
| Real Estate | | | 20.0 | % | |
| Insurance | | | 13.8 | % | |
| Software & Services | | | 10.0 | % | |
| Commercial & Professional Services | | | 0.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT FINANCIALS SKF :: LXVII
ProShares UltraShort FTSE China 50 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the FTSE China 50 Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 24.57%1. For the same period, the Index had a total return of –29.48%2 and a volatility of 35.56%. For the period, the Fund had an average daily volume of 27,970 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by FTSE International Limited. The Index consists of 50 of the largest and most liquid Chinese stocks listed and traded on the Stock Exchange of Hong Kong.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares UltraShort FTSE China 50 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraShort FTSE China 50 | | | 24.57 | % | | | -17.54 | % | | | -22.45 | % | |
| FTSE China 50 Index | | | -29.48 | % | | | -1.27 | % | | | 2.98 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraShort FTSE China 50 | | | 1.26 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (200 | %) | |
| Total Exposure | | | (200 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE China 50 Index – Composition
| | | % of Index | |
| Consumer Discretionary | | | 33.7 | % | |
| Financials | | | 28.7 | % | |
| Communication Services | | | 17.9 | % | |
| Real Estate | | | 4.0 | % | |
| Energy | | | 3.8 | % | |
| Information Technology | | | 3.3 | % | |
| Health Care | | | 3.1 | % | |
| Consumer Staples | | | 2.6 | % | |
| Materials | | | 1.7 | % | |
| Industrials | | | 1.2 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXVIII :: FXP ULTRASHORT FTSE CHINA 50 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort FTSE Europe (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the FTSE Developed Europe All Cap Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 9.93%1. For the same period, the Index had a total return of –10.85%2 and a volatility of 19.82%. For the period, the Fund had an average daily volume of 103,374 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by FTSE International Limited. The Index is a free float-adjusted market cap weighted index representing the performance of large-, mid- and small-cap companies in Developed European markets, including the United Kingdom.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort FTSE Europe from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through April 22, 2013 reflects the performance of the MSCI Europe Index. Index performance beginning on April 23, 2013 through August 31, 2016 reflects the performance of the FTSE Developed Europe Index. Index performance beginning on September 1, 2016 reflects the performance of the FTSE Developed Europe All Cap Index.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraShort FTSE Europe | | | 9.93 | % | | | -18.26 | % | | | -23.27 | % | |
| FTSE Developed Europe All Cap Index® | | | -10.85 | % | | | 4.34 | % | | | 7.57 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraShort FTSE Europe | | | 1.48 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (199 | %) | |
| Total Exposure | | | (199 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE Developed Europe All Cap
Index – Country
| | | % of Index | |
| United Kingdom | | | 23.9 | % | |
| Switzerland | | | 15.8 | % | |
| France | | | 15.4 | % | |
| Germany | | | 12.3 | % | |
| Others | | | 6.7 | % | |
| Netherlands | | | 6.6 | % | |
| Sweden | | | 5.8 | % | |
| Spain | | | 4.0 | % | |
| Denmark | | | 3.9 | % | |
| Italy | | | 3.5 | % | |
| Finland | | | 2.1 | % | |
FTSE Developed Europe All Cap
Index – Composition
| | | % of Index | |
| Financials | | | 16.2 | % | |
| Industrials | | | 15.3 | % | |
| Health Care | | | 14.5 | % | |
| Consumer Staples | | | 11.8 | % | |
| Consumer Discretionary | | | 9.8 | % | |
| Materials | | | 8.0 | % | |
| Information Technology | | | 7.4 | % | |
| Energy | | | 6.1 | % | |
| Utilities | | | 4.5 | % | |
| Communication Services | | | 4.1 | % | |
| Real Estate | | | 2.3 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT FTSE EUROPE EPV :: LXIX
ProShares UltraShort Health Care (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. Health CareSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –15.65%1. For the same period, the Index had a total return of 4.58%2 and a volatility of 15.55%. For the period, the Fund had an average daily volume of 8,979 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the healthcare industry. Component companies include, among others, health care providers, biotechnology companies, medical supplies, advanced medical devices and pharmaceuticals.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Health Care from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraShort Health Care | | | -15.65 | % | | | -29.04 | % | | | -31.32 | % | |
| Dow Jones U.S. Health Care Index | | | 4.58 | % | | | 13.49 | % | | | 15.87 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraShort Health Care | | | 4.61 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (200 | %) | |
| Total Exposure | | | (200 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Health Care Index – Composition
| | | % of Index | |
| Pharmaceuticals | | | 29.4 | % | |
| Health Care Providers & Services | | | 21.5 | % | |
| Health Care Equipment & Supplies | | | 19.6 | % | |
| Biotechnology | | | 16.6 | % | |
| Life Sciences Tools & Services | | | 12.7 | % | |
| Health Care Technology | | | 0.2 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXX :: RXD ULTRASHORT HEALTH CARE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Industrials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. IndustrialsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 18.18%1. For the same period, the Index had a total return of –12.82%2 and a volatility of 18.10%. For the period, the Fund had an average daily volume of 9,155 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the industrials industry. Component companies include, among others, building materials, heavy construction, factory equipment, heavy machinery, industrial services, pollution control, containers and packaging, industrial diversified, air freight, marine transportation, railroads, trucking, land-transportation equipment, shipbuilding, transportation services, advanced industrial equipment, electric components and equipment, and aerospace. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Industrials from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraShort Industrials | | | 18.18 | % | | | -27.75 | % | | | -29.72 | % | |
| Dow Jones U.S. Industrials Index | | | -12.82 | % | | | 9.89 | % | | | 13.31 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraShort Industrials | | | 5.16 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (200 | %) | |
| Total Exposure | | | (200 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Industrials Index – Composition
| | | % of Index | |
| Capital Goods | | | 49.6 | % | |
| Software & Services | | | 17.1 | % | |
| Transportation | | | 12.9 | % | |
| Commercial & Professional Services | | | 7.7 | % | |
| Materials | | | 6.4 | % | |
| Technology Hardware & Equipment | | | 5.9 | % | |
| Pharmaceuticals, Biotechnology & Life Sciences | | | 0.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT INDUSTRIALS SIJ :: LXXI
ProShares UltraShort MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the S&P MidCap 400® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 0.30%1. For the same period, the Index had a total return of –6.52%2 and a volatility of 20.78%. For the period, the Fund had an average daily volume of 3,134 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort MidCap400 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraShort MidCap400 | | | 0.30 | % | | | -28.03 | % | | | -28.63 | % | |
| S&P MidCap 400 Index | | | -6.52 | % | | | 9.56 | % | | | 12.23 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraShort MidCap400 | | | 2.78 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (191 | %) | |
| Futures Contracts | | | (9 | %) | |
| Total Exposure | | | (200 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P MidCap 400 – Composition
| | | % of Index | |
| Industrials | | | 18.5 | % | |
| Financials | | | 14.7 | % | |
| Consumer Discretionary | | | 14.0 | % | |
| Information Technology | | | 13.1 | % | |
| Real Estate | | | 9.3 | % | |
| Health Care | | | 9.2 | % | |
| Materials | | | 7.6 | % | |
| Energy | | | 4.5 | % | |
| Consumer Staples | | | 3.8 | % | |
| Utilities | | | 3.7 | % | |
| Communication Services | | | 1.6 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXII :: MZZ ULTRASHORT MIDCAP400 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort MSCI Brazil Capped (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the MSCI Brazil 25/50 Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –24.45%1. For the same period, the Index had a total return 0.22%2 and a volatility of 27.84%. For the period, the Fund had an average daily volume of 102,075 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by MSCI Inc. The MSCI Brazil 25/50 Index is designed to measure the performance of the large and mid cap segments of the Brazilian market. It applies certain investment limits that are imposed on regulated investment companies, or RICs, under the current US Internal Revenue Code. The Index covers approximately 85% of the free float-adjusted market capitalization in Brazil.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares UltraShort MSCI Brazil Capped from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Index performance through February 10, 2013 reflects the performance of the MSCI Brazil Index. Index performance beginning on February 11, 2013 reflects the performance of the MSCI Brazil 25/50 Index.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
ProShares UltraShort MSCI Brazil
Capped | | | -24.45 | % | | | -40.19 | % | | | -31.00 | % | |
| MSCI Brazil 25/50 Index | | | 0.22 | % | | | 4.75 | % | | | 0.10 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares UltraShort MSCI Brazil
Capped | | | 1.27 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (199 | %) | |
| Total Exposure | | | (199 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Brazil 25/50 Index – Composition
| | | % of Index | |
| Materials | | | 25.9 | % | |
| Financials | | | 23.9 | % | |
| Energy | | | 17.3 | % | |
| Consumer Staples | | | 8.9 | % | |
| Industrials | | | 7.1 | % | |
| Utilities | | | 6.5 | % | |
| Consumer Discretionary | | | 4.3 | % | |
| Health Care | | | 3.1 | % | |
| Communication Services | | | 2.3 | % | |
| Information Technology | | | 0.7 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT MSCI BRAZIL CAPPED BZQ :: LXXIII
ProShares UltraShort MSCI EAFE (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the MSCI EAFE Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 15.16%1. For the same period, the Index had a total return of –10.38%2 and a volatility of 15.65%. For the period, the Fund had an average daily volume of 5,394 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by MSCI Inc. The Index includes 85% of the free float-adjusted, market capitalization in each industry group in developed market countries, excluding the U.S. and Canada.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort MSCI EAFE from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraShort MSCI EAFE | | | 15.16 | % | | | -15.25 | % | | | -19.65 | % | |
| MSCI EAFE Index | | | -10.38 | % | | | 4.17 | % | | | 7.15 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraShort MSCI EAFE | | | 4.29 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (200 | %) | |
| Total Exposure | | | (200 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI EAFE Index – Country
| | | % of Index | |
| Japan | | | 22.1 | % | |
| United Kingdom | | | 15.9 | % | |
| France | | | 11.4 | % | |
| Others | | | 10.8 | % | |
| Switzerland | | | 10.1 | % | |
| Germany | | | 8.2 | % | |
| Australia | | | 8.1 | % | |
| Netherlands | | | 4.2 | % | |
| Sweden | | | 3.5 | % | |
| Hong Kong | | | 3.0 | % | |
| Denmark | | | 2.7 | % | |
MSCI EAFE Index – Composition
| | | % of Index | |
| Financials | | | 17.6 | % | |
| Industrials | | | 15.0 | % | |
| Health Care | | | 13.3 | % | |
| Consumer Discretionary | | | 11.2 | % | |
| Consumer Staples | | | 10.4 | % | |
| Materials | | | 8.2 | % | |
| Information Technology | | | 8.1 | % | |
| Communication Services | | | 5.0 | % | |
| Energy | | | 4.8 | % | |
| Utilities | | | 3.5 | % | |
| Real Estate | | | 2.9 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXIV :: EFU ULTRASHORT MSCI EAFE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort MSCI Emerging Markets (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the MSCI Emerging Markets Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 37.43%1. For the same period, the Index had a total return of –19.83%2 and a volatility of 17.62%. For the period, the Fund had an average daily volume of 16,930 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by MSCI Inc. The Index includes 85% of the free float-adjusted market capitalization in emerging market countries.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort MSCI Emerging Markets from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
ProShares UltraShort MSCI
Emerging Markets | | | 37.43 | % | | | -18.41 | % | | | -18.58 | % | |
| MSCI Emerging Markets Index | | | -19.83 | % | | | 3.80 | % | | | 4.17 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares UltraShort MSCI
Emerging Markets | | | 1.71 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (199 | %) | |
| Total Exposure | | | (199 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Emerging Markets Index – Country
| | | % of Index | |
| China | | | 30.8 | % | |
| Taiwan | | | 16.0 | % | |
| India | | | 12.8 | % | |
| Korea | | | 12.7 | % | |
| Others | | | 7.9 | % | |
| Brazil | | | 5.5 | % | |
| Saudi Arabia | | | 4.4 | % | |
| South Africa | | | 3.8 | % | |
| Mexico | | | 2.3 | % | |
| Thailand | | | 1.9 | % | |
| Indonesia | | | 1.9 | % | |
MSCI Emerging Markets
Index – Composition
| | | % of Index | |
| Financials | | | 21.8 | % | |
| Information Technology | | | 21.1 | % | |
| Consumer Discretionary | | | 12.9 | % | |
| Communication Services | | | 10.2 | % | |
| Materials | | | 9.1 | % | |
| Consumer Staples | | | 6.0 | % | |
| Industrials | | | 5.5 | % | |
| Energy | | | 5.0 | % | |
| Health Care | | | 3.6 | % | |
| Utilities | | | 2.7 | % | |
| Real Estate | | | 2.1 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT MSCI EMERGING MARKETS EEV :: LXXV
ProShares UltraShort MSCI Japan (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the MSCI Japan Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 22.67%1. For the same period, the Index had a total return of –13.32%2 and a volatility of 17.57%. For the period, the Fund had an average daily volume of 12,689 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by MSCI Inc. The Index adjusts the market capitalization of Index constituents for free float and targets for Index inclusion 85% of the free float-adjusted market capitalization in Japan.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort MSCI Japan from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraShort MSCI Japan | | | 22.67 | % | | | -13.36 | % | | | -19.84 | % | |
| MSCI Japan Index | | | -13.32 | % | | | 3.67 | % | | | 6.99 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraShort MSCI Japan | | | 1.98 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (199 | %) | |
| Total Exposure | | | (199 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Japan Index – Composition
| | | % of Index | |
| Industrials | | | 22.1 | % | |
| Consumer Discretionary | | | 18.7 | % | |
| Information Technology | | | 14.2 | % | |
| Financials | | | 10.2 | % | |
| Health Care | | | 9.4 | % | |
| Communication Services | | | 8.6 | % | |
| Consumer Staples | | | 6.4 | % | |
| Materials | | | 5.0 | % | |
| Real Estate | | | 3.5 | % | |
| Utilities | | | 1.0 | % | |
| Energy | | | 0.9 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXVI :: EWV ULTRASHORT MSCI JAPAN :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Nasdaq Biotechnology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the NASDAQ Biotechnology® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 31.29%1. For the same period, the Index had a total return of –21.52%2 and a volatility of 25.44%. For the period, the Fund had an average daily volume of 18,450 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by Nasdaq Inc. (the "Index Provider"). The Index is a modified capitalization-weighted index that includes securities of Nasdaq listed companies that are classified as either biotechnology or pharmaceutical. The securities also meet other eligibility criteria determined by the Index Provider, including minimum market capitalization and liquidity requirements.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Nasdaq Biotechnology from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
ProShares UltraShort Nasdaq
Biotechnology | | | 31.29 | % | | | -24.18 | % | | | -33.76 | % | |
| NASDAQ Biotechnology Index | | | -21.52 | % | | | 5.04 | % | | | 11.72 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
ProShares UltraShort Nasdaq
Biotechnology | | | 1.55 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (200 | %) | |
| Total Exposure | | | (200 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ Biotechnology Index – Composition
| | | % of Index | |
| Biotechnology | | | 78.7 | % | |
| Pharmaceuticals | | | 13.8 | % | |
| Life Sciences Tools & Services | | | 5.9 | % | |
| Health Care Equipment & Suppli | | | 1.0 | % | |
| Health Care Providers & Servic | | | 0.6 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT NASDAQ BIOTECHNOLOGY BIS :: LXXVII
ProShares UltraShort Oil & Gas (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. Oil & GasSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –74.73%1. For the same period, the Index had a total return of 72.84 %2 and a volatility of 29.93 %. For the period, the Fund had an average daily volume of 136,650 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the oil and gas sector. Component companies typically are engaged in the following activities related to the oil and gas sector, among others, exploration and production, integrated oil and gas, oil equipment and services, pipelines, renewable energy equipment companies and alternative fuel producers. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Oil & Gas from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraShort Oil & Gas | | | -74.73 | % | | | -41.41 | % | | | -29.82 | % | |
| Dow Jones U.S. Oil & Gas Index | | | 72.84 | % | | | 10.19 | % | | | 6.06 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraShort Oil & Gas | | | 1.32 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (200 | %) | |
| Total Exposure | | | (200 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Oil & Gas Index – Composition
| | | % of Index | |
| Oil, Gas & Consumable Fuels | | | 90.7 | % | |
| Energy Equipment & Services | | | 8.0 | % | |
| Electric Equipment | | | 0.5 | % | |
| Electric Utilities | | | 0.4 | % | |
| Semiconductors & Semiconductor Equipment | | | 0.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXVIII :: DUG ULTRASHORT OIL & GAS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort QQQ (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the NASDAQ-100® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –4.49%1. For the same period, the Index had a total return of –6.96%2 and a volatility of 25.13%. For the period, the Fund had an average daily volume of 13,620,985 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by Nasdaq Inc. The Index includes 100 of the largest domestic and international non-financial companies listed on The Nasdaq Stock Market based on market capitalization. The Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnology.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort QQQ from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraShort QQQ | | | -4.49 | % | | | -38.61 | % | | | -36.71 | % | |
| NASDAQ-100 Index | | | -6.96 | % | | | 17.99 | % | | | 18.79 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraShort QQQ | | | 1.03 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (198 | %) | |
| Futures Contracts | | | (2 | %) | |
| Total Exposure | | | (200 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ-100 Index – Composition
| | | % of Index | |
| Information Technology | | | 51.0 | % | |
| Communication Services | | | 16.9 | % | |
| Consumer Discretionary | | | 15.0 | % | |
| Health Care | | | 6.2 | % | |
| Consumer Staples | | | 6.1 | % | |
| Industrials | | | 3.4 | % | |
| Utilities | | | 1.4 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT QQQ QID :: LXXIX
ProShares UltraShort Real Estate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. Real EstateSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –12.78%1. For the same period, the Index had a total return of 1.53%2 and a volatility of 18.45%. For the period, the Fund had an average daily volume of 61,123 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to track the performance of real estate investment trusts ("REITs") and other companies that invest directly or indirectly in real estate through development, management or ownership, including property agencies. Component companies include, among others, real estate holding and development and real estate services companies and REITs. REITs are passive investment vehicles that invest primarily in income producing real estate or real estate related loans or interests. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Real Estate from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraShort Real Estate | | | -12.78 | % | | | -25.14 | % | | | -23.98 | % | |
| Dow Jones U.S. Real Estate Index | | | 1.53 | % | | | 8.16 | % | | | 9.08 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraShort Real Estate | | | 1.20 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (200 | %) | |
| Total Exposure | | | (200 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Real Estate Index – Composition
| | | % of Index | |
| Equity Real Estate Investment Trusts (REITs) | | | 91.9 | % | |
| Real Estate Management & Development | | | 3.9 | % | |
| Mortgage Real Estate Investment Trusts (REITs) | | | 2.5 | % | |
| Professional Services | | | 1.7 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXX :: SRS ULTRASHORT REAL ESTATE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Russell 2000® Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 20.54%1. For the same period, the Index had a total return of –16.92%2 and a volatility of 23.87%. For the period, the Fund had an average daily volume of 2,901,008 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by FTSE Russell. The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2,000 of the smallest companies in the Russell 3000® Index or approximately 10% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the U.S. equity market and includes approximately 3,000 of the largest companies in the U.S. The Russell 3000® Index includes large-, mid-, and small-capitalization companies.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Russell2000 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraShort Russell2000 | | | 20.54 | % | | | -28.29 | % | | | -29.29 | % | |
| Russell 2000 Index | | | -16.92 | % | | | 7.71 | % | | | 10.83 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraShort Russell2000 | | | 1.09 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (196 | %) | |
| Futures Contracts | | | (4 | %) | |
| Total Exposure | | | (200 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Index – Composition
| | | % of Index | |
| Financials | | | 16.4 | % | |
| Industrials | | | 15.6 | % | |
| Health Care | | | 14.8 | % | |
| Information Technology | | | 12.9 | % | |
| Consumer Discretionary | | | 10.1 | % | |
| Energy | | | 8.3 | % | |
| Real Estate | | | 7.7 | % | |
| Materials | | | 4.2 | % | |
| Consumer Staples | | | 3.8 | % | |
| Utilities | | | 3.3 | % | |
| Communication Services | | | 2.9 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT RUSSELL2000 TWM :: LXXXI
ProShares UltraShort S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the S&P 500® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –8.93%1. For the same period, the Index had a total return of –0.30%2 and a volatility of 18.10%. For the period, the Fund had an average daily volume of 7,922,607 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort S&P500® from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraShort S&P500® | | | -8.93 | % | | | -29.50 | % | | | -28.98 | % | |
| S&P 500 Index | | | -0.30 | % | | | 13.38 | % | | | 14.39 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraShort S&P500® | | | 0.90 | % | | | 0.90 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (199 | %) | |
| Futures Contracts | | | (1 | %) | |
| Total Exposure | | | (200 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P 500 – Composition
| | | % of Index | |
| Information Technology | | | 27.1 | % | |
| Health Care | | | 14.4 | % | |
| Financials | | | 11.2 | % | |
| Consumer Discretionary | | | 10.9 | % | |
| Communication Services | | | 8.8 | % | |
| Industrials | | | 7.7 | % | |
| Consumer Staples | | | 6.5 | % | |
| Energy | | | 4.8 | % | |
| Utilities | | | 3.0 | % | |
| Materials | | | 2.8 | % | |
| Real Estate | | | 2.8 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXXII :: SDS ULTRASHORT S&P500® :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Semiconductors (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. SemiconductorsSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –38.73%1. For the same period, the Index had a total return of 2.84%2 and a volatility of 37.53%. For the period, the Fund had an average daily volume of 18,171 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the semiconductors sub-sector. Component companies are engaged in the production and distribution of semiconductors and other integrated chips, as well as other related products such as semiconductor capital equipment and mother-boards. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Semiconductors from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
ProShares UltraShort
Semiconductors | | | -38.73 | % | | | -52.89 | % | | | -47.26 | % | |
Dow Jones U.S.
Semiconductors Index | | | 2.84 | % | | | 23.18 | % | | | 22.66 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraShort Semiconductors | | | 2.52 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (200 | %) | |
| Total Exposure | | | (200 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Semiconductors Index – Composition
| | | % of Index | |
| Semiconductors & Semiconductor Equipment | | | 100 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT SEMICONDUCTORS SSG :: LXXXIII
ProShares UltraShort SmallCap600 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the S&P SmallCap 600® (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of 2.81%1. For the same period, the Index had a total return of –8.73%2 and a volatility of 21.84%. For the period, the Fund had an average daily volume of 4,462 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is a measure of small-cap company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 600 U.S. operating companies selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counter party becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort SmallCap600 from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraShort SmallCap600 | | | 2.81 | % | | | -31.07 | % | | | -31.36 | % | |
| S&P SmallCap 600 Index | | | -8.73 | % | | | 9.78 | % | | | 12.71 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraShort SmallCap600 | | | 2.41 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (200 | %) | |
| Total Exposure | | | (200 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P SmallCap 600 – Composition
| | | % of Index | |
| Financials | | | 17.8 | % | |
| Industrials | | | 16.4 | % | |
| Information Technology | | | 13.1 | % | |
| Consumer Discretionary | | | 12.0 | % | |
| Health Care | | | 11.5 | % | |
| Real Estate | | | 7.6 | % | |
| Energy | | | 7.0 | % | |
| Materials | | | 5.7 | % | |
| Consumer Staples | | | 5.1 | % | |
| Utilities | | | 2.0 | % | |
| Communication Services | | | 1.8 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXXIV :: SDD ULTRASHORT SMALLCAP600 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Technology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. TechnologySM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –14.02%1. For the same period, the Index had a total return of –4.05%2 and a volatility of 27.46%. For the period, the Fund had an average daily volume of 27,989 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the technology industry. Component companies include, among others, those involved in computers and office equipment, software, communications technology, semiconductors, diversified technology services and Internet services. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Technology from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraShort Technology | | | -14.02 | % | | | -43.95 | % | | | -38.78 | % | |
Dow Jones U.S. Technology
Index | | | -4.05 | % | | | 20.92 | % | | | 19.16 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraShort Technology | | | 2.18 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (200 | %) | |
| Total Exposure | | | (200 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Technology Index – Composition
| | | % of Index | |
| Software & Services | | | 36.3 | % | |
| Technology Hardware & Equipment | | | 25.6 | % | |
| Semiconductors & Semiconductor Equipment | | | 19.7 | % | |
| Media & Entertainment | | | 17.1 | % | |
| Retailing | | | 0.5 | % | |
| Health Care Equipment & Services | | | 0.5 | % | |
| Telecommunication Services | | | 0.2 | % | |
| Consumer Durables & Apparel | | | 0.1 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT TECHNOLOGY REW :: LXXXV
ProShares UltraShort Utilities (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (–2x) of the daily performance of the Dow Jones U.S. UtilitiesSM Index (the "Index"). The Fund does not seek to achieve its stated investment objective over a period of time greater than a single day. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for any other period. The return of the Fund for longer periods will be the result of its return for each day compounded over the period. The Fund's returns for periods longer than a single day will very likely differ in amount, and possibly even direction, from the Fund's stated multiple times the return of the Fund's Index for the same period. For the year ended May 31, 2022, the Fund had a total return of –32.77%1. For the same period, the Index had a total return of 17.25%2 and a volatility of 15.12%. For the period, the Fund had an average daily volume of 7,544 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the return of the Index.3
The Fund invests in financial instruments that the Advisor believes, in combination, should produce daily returns consistent with the Fund's investment objective. The Index is constructed and maintained by S&P Dow Jones Indices LLC. The Index is designed to measure the stock performance of U.S. companies in the utilities industry. Component companies include, among others, electric utilities, gas utilities, multi-utilities and water utilities. The Index is a market cap weighted index that is updated in March, June, September and December.
During the year ended May 31, 2022, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Utilities from May 31, 2012 to May 31, 2022, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/22
| | | One Year | | Five Years | | Ten Years | |
| ProShares UltraShort Utilities | | | -32.77 | % | | | -26.54 | % | | | -26.69 | % | |
| Dow Jones U.S. Utilities Index | | | 17.25 | % | | | 9.92 | % | | | 11.58 | % | |
Expense Ratios**
| Fund | | Gross | | Net | |
| ProShares UltraShort Utilities | | | 4.17 | % | | | 0.95 | % | |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2021. Contractual fee waivers are in effect through September 30, 2022. See Financial Highlights for effective expense ratios.
Allocation of Portfolio Holdings & Index Composition as of 5/31/22
Market Exposure
| Investment Type | | % of Net Assets | |
| Swap Agreements | | | (200 | %) | |
| Total Exposure | | | (200 | %) | |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Utilities Index – Composition
| | | % of Index | |
| Electric Utilities | | | 60.5 | % | |
| Multi-Utilities | | | 29.1 | % | |
| Gas Utilities | | | 4.4 | % | |
| Water Utilities | | | 3.3 | % | |
Independent Power and Renewable Electricity
Producers | | | 2.7 | % | |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXXVI :: SDP ULTRASHORT UTILITIES :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
EXPENSE EXAMPLES
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: LXXXVII
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 other funds.
Actual Expenses
The actual expense examples are based on an investment of $1,000 invested at the beginning of a six-month period and held through the period ended, May 31, 2022.
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 a six month period and held through the period ended, May 31, 2022.
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 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 transaction costs were included, your costs would have been higher.
| | | Beginning
Account
Value
12/1/2021 | | Ending
Account
Value
05/31/22 | | Expenses Paid
During the
Period* | | Annualized
Expense Ratio
During Period | |
| Short 7-10 Year Treasury | |
| Actual | | $ | 1,000.00 | | | $ | 1,103.40 | | | $ | 4.98 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Short 20+ Year Treasury | |
| Actual | | $ | 1,000.00 | | | $ | 1,261.80 | | | $ | 5.08 | | | | 0.90 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.44 | | | $ | 4.53 | | | | 0.90 | % | |
| Short Dow30SM | |
| Actual | | $ | 1,000.00 | | | $ | 1,014.10 | | | $ | 4.77 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Short Financials | |
| Actual | | $ | 1,000.00 | | | $ | 1,018.00 | | | $ | 4.78 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Short FTSE China 50 | |
| Actual | | $ | 1,000.00 | | | $ | 1,048.80 | | | $ | 4.85 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Short High Yield | |
| Actual | | $ | 1,000.00 | | | $ | 1,031.70 | | | $ | 4.81 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Short MidCap400 | |
| Actual | | $ | 1,000.00 | | | $ | 1,033.60 | | | $ | 4.82 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Short MSCI EAFE | |
| Actual | | $ | 1,000.00 | | | $ | 1,048.70 | | | $ | 4.85 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
LXXXVIII :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
| | | Beginning
Account
Value
12/1/2021 | | Ending
Account
Value
05/31/22 | | Expenses Paid
During the
Period* | | Annualized
Expense Ratio
During Period | |
| Short MSCI Emerging Markets | |
| Actual | | $ | 1,000.00 | | | $ | 1,088.00 | | | $ | 4.95 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Short QQQ | |
| Actual | | $ | 1,000.00 | | | $ | 1,202.60 | | | $ | 5.22 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Short Real Estate | |
| Actual | | $ | 1,000.00 | | | $ | 1,035.20 | | | $ | 4.82 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Short Russell2000 | |
| Actual | | $ | 1,000.00 | | | $ | 1,121.30 | | | $ | 5.02 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Short S&P500® | |
| Actual | | $ | 1,000.00 | | | $ | 1,066.40 | | | $ | 4.53 | | | | 0.88 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.54 | | | $ | 4.43 | | | | 0.88 | % | |
| Short SmallCap600 | |
| Actual | | $ | 1,000.00 | | | $ | 1,044.30 | | | $ | 4.84 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra 7-10 Year Treasury | |
| Actual | | $ | 1,000.00 | | | $ | 799.90 | | | $ | 4.26 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra 20+ Year Treasury | |
| Actual | | $ | 1,000.00 | | | $ | 587.60 | | | $ | 3.76 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra Basic Materials | |
| Actual | | $ | 1,000.00 | | | $ | 1,118.90 | | | $ | 5.02 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra Consumer Goods | |
| Actual | | $ | 1,000.00 | | | $ | 765.10 | | | $ | 4.18 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra Consumer Services | |
| Actual | | $ | 1,000.00 | | | $ | 571.20 | | | $ | 3.72 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra Dow30SM | |
| Actual | | $ | 1,000.00 | | | $ | 908.60 | | | $ | 4.52 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra Financials | |
| Actual | | $ | 1,000.00 | | | $ | 878.50 | | | $ | 4.45 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra FTSE China 50 | |
| Actual | | $ | 1,000.00 | | | $ | 642.30 | | | $ | 3.93 | | | | 0.96 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.14 | | | $ | 4.84 | | | | 0.96 | % | |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: LXXXIX
| | | Beginning
Account
Value
12/1/2021 | | Ending
Account
Value
05/31/22 | | Expenses Paid
During the
Period* | | Annualized
Expense Ratio
During Period | |
| Ultra FTSE Europe | |
| Actual | | $ | 1,000.00 | | | $ | 822.90 | | | $ | 4.32 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra Health Care | |
| Actual | | $ | 1,000.00 | | | $ | 961.90 | | | $ | 4.65 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra High Yield | |
| Actual | | $ | 1,000.00 | | | $ | 894.60 | | | $ | 4.49 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra Industrials | |
| Actual | | $ | 1,000.00 | | | $ | 778.80 | | | $ | 4.21 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra MidCap400 | |
| Actual | | $ | 1,000.00 | | | $ | 840.50 | | | $ | 4.36 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra MSCI Brazil Capped | |
| Actual | | $ | 1,000.00 | | | $ | 1,622.30 | | | $ | 6.21 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra MSCI EAFE | |
| Actual | | $ | 1,000.00 | | | $ | 834.70 | | | $ | 4.35 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra MSCI Emerging Markets | |
| Actual | | $ | 1,000.00 | | | $ | 757.10 | | | $ | 4.16 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra MSCI Japan | |
| Actual | | $ | 1,000.00 | | | $ | 752.50 | | | $ | 4.19 | | | | 0.96 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.14 | | | $ | 4.84 | | | | 0.96 | % | |
| Ultra Nasdaq Biotechnology | |
| Actual | | $ | 1,000.00 | | | $ | 573.80 | | | $ | 3.73 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra Nasdaq Cloud Computing | |
| Actual | | $ | 1,000.00 | | | $ | 388.70 | | | $ | 3.29 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra Nasdaq Cybersecurity | |
| Actual | | $ | 1,000.00 | | | $ | 627.20 | | | $ | 3.85 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra Oil & Gas | |
| Actual | | $ | 1,000.00 | | | $ | 2,386.40 | | | $ | 8.02 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra QQQ | |
| Actual | | $ | 1,000.00 | | | $ | 579.60 | | | $ | 3.74 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
XC :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
| | | Beginning
Account
Value
12/1/2021 | | Ending
Account
Value
05/31/22 | | Expenses Paid
During the
Period* | | Annualized
Expense Ratio
During Period | |
| Ultra Real Estate | |
| Actual | | $ | 1,000.00 | | | $ | 852.70 | | | $ | 4.39 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra Russell2000 | |
| Actual | | $ | 1,000.00 | | | $ | 692.80 | | | $ | 4.01 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra S&P500® | |
| Actual | | $ | 1,000.00 | | | $ | 801.50 | | | $ | 4.04 | | | | 0.90 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.44 | | | $ | 4.53 | | | | 0.90 | % | |
| Ultra Semiconductors | |
| Actual | | $ | 1,000.00 | | | $ | 524.70 | | | $ | 3.61 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra SmallCap600 | |
| Actual | | $ | 1,000.00 | | | $ | 825.50 | | | $ | 4.32 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra Technology | |
| Actual | | $ | 1,000.00 | | | $ | 563.40 | | | $ | 3.70 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra Telecommunications | |
| Actual | | $ | 1,000.00 | | | $ | 853.60 | | | $ | 4.39 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| Ultra Utilities | |
| Actual | | $ | 1,000.00 | | | $ | 1,283.70 | | | $ | 5.41 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraPro Dow30SM | |
| Actual | | $ | 1,000.00 | | | $ | 843.90 | | | $ | 4.37 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraPro MidCap400 | |
| Actual | | $ | 1,000.00 | | | $ | 734.40 | | | $ | 4.11 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraPro QQQ | |
| Actual | | $ | 1,000.00 | | | $ | 405.90 | | | $ | 3.01 | | | | 0.86 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.64 | | | $ | 4.33 | | | | 0.86 | % | |
| UltraPro Russell2000 | |
| Actual | | $ | 1,000.00 | | | $ | 542.70 | | | $ | 3.65 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraPro S&P500® | |
| Actual | | $ | 1,000.00 | | | $ | 688.30 | | | $ | 3.87 | | | | 0.92 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.34 | | | $ | 4.63 | | | | 0.92 | % | |
| UltraPro Short 20+ Year Treasury | |
| Actual | | $ | 1,000.00 | | | $ | 1,934.40 | | | $ | 6.95 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: XCI
| | | Beginning
Account
Value
12/1/2021 | | Ending
Account
Value
05/31/22 | | Expenses Paid
During the
Period* | | Annualized
Expense Ratio
During Period | |
| UltraPro Short Dow30SM | |
| Actual | | $ | 1,000.00 | | | $ | 999.90 | | | $ | 4.74 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraPro Short MidCap400 | |
| Actual | | $ | 1,000.00 | | | $ | 1,012.40 | | | $ | 4.77 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraPro Short QQQ | |
| Actual | | $ | 1,000.00 | | | $ | 1,496.40 | | | $ | 5.91 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraPro Short Russell2000 | |
| Actual | | $ | 1,000.00 | | | $ | 1,262.00 | | | $ | 5.36 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraPro Short S&P500® | |
| Actual | | $ | 1,000.00 | | | $ | 1,129.90 | | | $ | 4.78 | | | | 0.90 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.44 | | | $ | 4.53 | | | | 0.90 | % | |
| UltraShort 7-10 Year Treasury | |
| Actual | | $ | 1,000.00 | | | $ | 1,218.60 | | | $ | 5.25 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraShort 20+ Year Treasury | |
| Actual | | $ | 1,000.00 | | | $ | 1,576.20 | | | $ | 5.72 | | | | 0.89 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.49 | | | $ | 4.48 | | | | 0.89 | % | |
| UltraShort Basic Materials | |
| Actual | | $ | 1,000.00 | | | $ | 790.30 | | | $ | 4.24 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraShort Consumer Goods | |
| Actual | | $ | 1,000.00 | | | $ | 1,141.80 | | | $ | 5.07 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraShort Consumer Services | |
| Actual | | $ | 1,000.00 | | | $ | 1,454.20 | | | $ | 5.81 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraShort Dow30SM | |
| Actual | | $ | 1,000.00 | | | $ | 1,017.50 | | | $ | 4.78 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraShort Financials | |
| Actual | | $ | 1,000.00 | | | $ | 1,017.90 | | | $ | 4.78 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraShort FTSE China 50 | |
| Actual | | $ | 1,000.00 | | | $ | 970.80 | | | $ | 4.67 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraShort FTSE Europe | |
| Actual | | $ | 1,000.00 | | | $ | 1,062.80 | | | $ | 4.89 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
XCII :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
| | | Beginning
Account
Value
12/1/2021 | | Ending
Account
Value
05/31/22 | | Expenses Paid
During the
Period* | | Annualized
Expense Ratio
During Period | |
| UltraShort Health Care | |
| Actual | | $ | 1,000.00 | | | $ | 956.50 | | | $ | 4.63 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraShort Industrials | |
| Actual | | $ | 1,000.00 | | | $ | 1,154.30 | | | $ | 5.10 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraShort MidCap400 | |
| Actual | | $ | 1,000.00 | | | $ | 1,043.90 | | | $ | 4.84 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraShort MSCI Brazil Capped | |
| Actual | | $ | 1,000.00 | | | $ | 504.30 | | | $ | 3.56 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraShort MSCI EAFE | |
| Actual | | $ | 1,000.00 | | | $ | 1,100.20 | | | $ | 4.97 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraShort MSCI Emerging Markets | |
| Actual | | $ | 1,000.00 | | | $ | 1,157.70 | | | $ | 5.11 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraShort MSCI Japan | |
| Actual | | $ | 1,000.00 | | | $ | 1,214.90 | | | $ | 5.25 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraShort Nasdaq Biotechnology | |
| Actual | | $ | 1,000.00 | | | $ | 1,424.50 | | | $ | 5.74 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraShort Oil & Gas | |
| Actual | | $ | 1,000.00 | | | $ | 339.30 | | | $ | 3.17 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraShort QQQ | |
| Actual | | $ | 1,000.00 | | | $ | 1,377.70 | | | $ | 5.63 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraShort Real Estate | |
| Actual | | $ | 1,000.00 | | | $ | 1,052.70 | | | $ | 4.86 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraShort Russell2000 | |
| Actual | | $ | 1,000.00 | | | $ | 1,214.00 | | | $ | 5.24 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraShort S&P500® | |
| Actual | | $ | 1,000.00 | | | $ | 1,112.90 | | | $ | 4.74 | | | | 0.90 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.44 | | | $ | 4.53 | | | | 0.90 | % | |
| UltraShort Semiconductors | |
| Actual | | $ | 1,000.00 | | | $ | 1,199.90 | | | $ | 5.21 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: XCIII
| | | Beginning
Account
Value
12/1/2021 | | Ending
Account
Value
05/31/22 | | Expenses Paid
During the
Period* | | Annualized
Expense Ratio
During Period | |
| UltraShort SmallCap600 | |
| Actual | | $ | 1,000.00 | | | $ | 1,061.80 | | | $ | 4.88 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraShort Technology | |
| Actual | | $ | 1,000.00 | | | $ | 1,362.20 | | | $ | 5.59 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
| UltraShort Utilities | |
| Actual | | $ | 1,000.00 | | | $ | 731.00 | | | $ | 4.10 | | | | 0.95 | % | |
| Hypothetical | | $ | 1,000.00 | | | $ | 1,020.19 | | | $ | 4.78 | | | | 0.95 | % | |
* Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 182/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).
XCIV :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
SCHEDULE OF PORTFOLIO INVESTMENTS
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: 1
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 79.4% | |
| Repurchase Agreements (a) — 35.7% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $61,356,691
(Cost $61,355,455) | | $ | 61,355,455 | | | $ | 61,355,455 | | |
| U.S. Treasury Obligations — 43.7% | |
| U.S. Treasury Bills | |
| 0.35%, 6/2/2022 (b) | | | 50,000,000 | | | | 49,999,283 | | |
| 1.00%, 8/18/2022 (b) | | | 25,000,000 | | | | 24,943,464 | | |
Total U.S. Treasury Obligations
(Cost $74,945,482) | | | | | 74,942,747 | | |
Total Short-Term Investments
(Cost $136,300,937) | | | | | 136,298,202 | | |
Total Investments — 79.4%
(Cost $136,300,937) | | | | | 136,298,202 | | |
| Other assets less liabilities — 20.6% | | | | | 35,418,452 | | |
| Net Assets — 100.0% | | | | $ | 171,716,654 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 2,651,665 | | |
| Aggregate gross unrealized depreciation | | | (3,107,678 | ) | |
| Net unrealized depreciation | | $ | (456,013 | ) | |
| Federal income tax cost | | $ | 136,300,937 | | |
Futures Contracts Sold
Short 7-10 Year Treasury had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| U.S. Treasury 10 Year Note | | | 13 | | | 9/21/2022 | | USD | | | | $ | 1,552,078 | | | $ | 11,352 | | |
Swap Agreementsa
Short 7-10 Year Treasury had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (24,359,919 | ) | | 11/7/2022 | | Bank of
America NA | | | (0.34 | )% | | ICE U.S.
Treasury 7-10
Year Bond Index | | | 2,640,313 | | | | (2,640,313 | ) | | | — | | | | — | | |
| (145,880,177 | ) | | 2/17/2023 | | Citibank NA | | | (0.36 | )% | | ICE U.S.
Treasury 7-10
Year Bond Index | | | (3,104,943 | ) | | | — | | | | 3,104,943 | | | | — | | |
| (170,240,096 | ) | | | | | | | | | | | | | | | | | | | (464,630 | ) | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Appreciation | | | 2,640,313 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (3,104,943 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
See accompanying notes to the financial statements.
2 :: TBX SHORT 7-10 YEAR TREASURY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT 7-10 YEAR TREASURY TBX :: 3
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 100.5% | |
| Repurchase Agreements (a) — 11.8% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $79,738,792
(Cost $79,737,186) | | $ | 79,737,186 | | | $ | 79,737,186 | | |
| U.S. Treasury Obligations (b) — 88.7% | |
| U.S. Treasury Bills | |
| 0.36%, 6/2/2022 (c) | | | 110,000,000 | | | | 109,998,426 | | |
| 0.35%, 6/9/2022 (c) | | | 10,000,000 | | | | 9,998,822 | | |
| 0.28%, 6/16/2022 (c) | | | 100,000,000 | | | | 99,975,885 | | |
| 0.53%, 6/21/2022 (c) | | | 100,000,000 | | | | 99,967,222 | | |
| 0.64%, 6/30/2022 (c) | | | 50,000,000 | | | | 49,972,611 | | |
| 0.10%, 8/11/2022 (c) | | | 140,000,000 | | | | 139,715,606 | | |
| 0.08%, 9/8/2022 (c) | | | 30,000,000 | | | | 29,907,342 | | |
| 0.51%, 11/3/2022 (c) | | | 35,000,000 | | | | 34,786,240 | | |
| 0.69%, 12/29/2022 (c) | | | 25,000,000 | | | | 24,768,472 | | |
Total U.S. Treasury Obligations
(Cost $599,721,195) | | | | | 599,090,626 | | |
Total Short-Term Investments
(Cost $679,458,381) | | | | | 678,827,812 | | |
Total Investments — 100.5%
(Cost $679,458,381) | | | | | 678,827,812 | | |
| Liabilities in excess of other assets — (0.5%) | | | | | (3,664,877 | ) | |
| Net Assets — 100.0% | | | | $ | 675,162,935 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $75,855,520.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 8,462,131 | | |
| Aggregate gross unrealized depreciation | | | (8,001,351 | ) | |
| Net unrealized appreciation | | $ | 460,780 | | |
| Federal income tax cost | | $ | 679,458,381 | | |
Futures Contracts Sold
Short 20+ Year Treasury had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| U.S. Treasury Long Bond | | | 90 | | | 9/21/2022 | | USD | | | | $ | 12,540,938 | | | $ | 136,935 | | |
See accompanying notes to the financial statements.
4 :: TBF SHORT 20+ YEAR TREASURY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
Short 20+ Year Treasury had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (290,397,121 | ) | | 2/17/2023 | | Citibank NA | | | (0.38 | )% | | ICE U.S.
Treasury 20+
Year Bond Index | | | (7,370,782 | ) | | | 7,370,782 | | | | — | | | | — | | |
| (193,549,892 | ) | | 1/16/2023 | | Goldman Sachs
International | | | (0.41 | )% | | ICE U.S.
Treasury 20+
Year Bond Index | | | 2,824,366 | | | | — | | | | — | | | | 2,824,366 | | |
| (188,935,475 | ) | | 1/16/2024 | | Societe
Generale | | | (0.55 | )% | | ICE U.S.
Treasury 20+
Year Bond Index | | | 5,500,830 | | | | (2,110,603 | ) | | | (5,505 | ) | | | 3,384,722 | | |
| (672,882,488 | ) | | | | | | | | | | | | | | | | | | | 954,414 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Appreciation | | | 8,325,196 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (7,370,782 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT 20+ YEAR TREASURY TBF :: 5
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 95.3% | |
| Repurchase Agreements (a) — 17.3% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $44,245,372
(Cost $44,244,479) | | $ | 44,244,479 | | | $ | 44,244,479 | | |
| U.S. Treasury Obligations (b) — 78.0% | |
| U.S. Treasury Bills | |
| 0.34%, 6/2/2022 (c) | | | 35,000,000 | | | | 34,999,499 | | |
| 0.37%, 6/7/2022 (c) | | | 5,000,000 | | | | 4,999,592 | | |
| 0.35%, 6/9/2022 (c) | | | 10,000,000 | | | | 9,998,822 | | |
| 0.55%, 6/23/2022 (c) | | | 10,000,000 | | | | 9,996,524 | | |
| 0.58%, 6/30/2022 (c) | | | 10,000,000 | | | | 9,994,522 | | |
| 0.07%, 8/11/2022 (c) | | | 50,000,000 | | | | 49,898,431 | | |
| 0.09%, 9/8/2022 (c) | | | 45,000,000 | | | | 44,861,013 | | |
| 0.51%, 11/3/2022 (c) | | | 35,000,000 | | | | 34,786,240 | | |
Total U.S. Treasury Obligations
(Cost $199,897,107) | | | | | 199,534,643 | | |
Total Short-Term Investments
(Cost $244,141,586) | | | | | 243,779,122 | | |
Total Investments — 95.3%
(Cost $244,141,586) | | | | | 243,779,122 | | |
| Other assets less liabilities — 4.7% | | | | | 11,957,753 | | |
| Net Assets — 100.0% | | | | $ | 255,736,875 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $9,440,776.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 10,908,993 | | |
| Aggregate gross unrealized depreciation | | | (475,339 | ) | |
| Net unrealized appreciation | | $ | 10,433,654 | | |
| Federal income tax cost | | $ | 244,141,586 | | |
Futures Contracts Sold
Short Dow30SM had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| DJIA CBOT E-Mini Index | | | 99 | | | 6/17/2022 | | USD | | | | $ | 16,320,645 | | | $ | 818,524 | | |
See accompanying notes to the financial statements.
6 :: DOG SHORT DOW30SM :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
Short Dow30SM had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (84,058,826 | ) | | 5/8/2023 | | Bank of
America NA | | | (1.03 | )% | | Dow Jones
Industrial
AverageSM | | | 388,006 | | | | (6,031 | ) | | | — | | | |
381,975 | | |
| (3,496,953 | ) | | 11/6/2023 | | Barclays Capital | | | (1.03 | )% | | Dow Jones
Industrial
AverageSM | | | (17,535 | ) | | | — | | | | — | | | | (17,535 | ) | |
| (75,613,355 | ) | | 5/8/2023 | | BNP Paribas SA | | | (1.13 | )% | | Dow Jones
Industrial
AverageSM | | | 4,675,016 | | | | (4,253,181 | ) | | | (1,856 | ) | | | 419,979 | | |
| (9,699,095 | ) | | 4/10/2023 | | Citibank NA | | | (1.31 | )% | | Dow Jones
Industrial
AverageSM | | | (95,340 | ) | | | 95,340 | | | | — | | | | — | | |
| (9,930,026 | ) | | 3/7/2023 | | Goldman Sachs
International | | | (1.18 | )% | | Dow Jones
Industrial
AverageSM | | | 945,888 | | | | (945,888 | ) | | | — | | | | — | | |
| (3,562,933 | ) | | 3/7/2023 | | Societe Generale | | | (0.93 | )% | | Dow Jones
Industrial
AverageSM | | | 76,148 | | | | (73,696 | ) | | | (2,452 | ) | | | — | | |
| (52,978,900 | ) | | 3/7/2023 | | UBS AG | | | (1.03 | )% | | Dow Jones
Industrial
AverageSM | | | 4,005,411 | | | | — | | | | (3,670,000 | ) | | | 335,411 | | |
| (239,340,088 | ) | | | | | | | | | | | | | | | | | | | 9,977,594 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Appreciation | | | 10,090,469 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (112,875 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT DOW30SM DOG :: 7
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 85.8% | |
| Repurchase Agreements (a) — 85.8% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $15,866,330
(Cost $15,866,010) | | $ | 15,866,010 | | | $ | 15,866,010 | | |
Total Investments — 85.8%
(Cost $15,866,010) | | | | | 15,866,010 | | |
| Other assets less liabilities — 14.2% | | | | | 2,627,805 | | |
| Net Assets — 100.0% | | | | $ | 18,493,815 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 661,249 | | |
| Aggregate gross unrealized depreciation | | | (372,033 | ) | |
| Net unrealized appreciation | | $ | 289,216 | | |
| Federal income tax cost | | $ | 15,866,010 | | |
Swap Agreementsa
Short Financials had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (3,622,384 | ) | | 5/8/2023 | | Bank of
America NA | | | (0.73 | )% | | Dow Jones U.S.
FinancialsSM
Indexf | | | (28,223 | ) | | | — | | | | 28,223 | | | | — | | |
| (7,244,768 | ) | | 5/8/2023 | | BNP Paribas SA | | | (1.03 | )% | | Dow Jones
U.S. FinancialsSM
Indexf | | | 464,934 | | | | (464,934 | ) | | | — | | | | — | | |
| (1,050,491 | ) | | 4/10/2023 | | Citibank NA | | | (0.98 | )% | | Dow Jones U.S.
FinancialsSM
Indexf | | | 95,464 | | | | — | | | | — | | | | 95,464 | | |
| (726,789 | ) | | 3/7/2023 | | Goldman Sachs
International | | | (0.93 | )% | | Dow Jones U.S.
FinancialsSM
Indexf | | | 82,879 | | | | — | | | | — | | | | 82,879 | | |
| (891,723 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.48 | )% | | Dow Jones U.S.
FinancialsSM
Indexf | | | (309,542 | ) | | | — | | | | 293,000 | | | | (16,542 | ) | |
| (939,508 | ) | | 3/7/2023 | | Societe Generale | | | (0.93 | )% | | Dow Jones U.S.
FinancialsSM
Indexf | | | 17,972 | | | | — | | | | — | | | | 17,972 | | |
| (4,013,139 | ) | | 3/7/2023 | | UBS AG | | | (0.93 | )% | | Dow Jones U.S.
FinancialsSM
Indexf | | | (34,268 | ) | | | — | | | | 34,268 | | | | — | | |
| (18,488,802 | ) | | | | | | | | | | | | | | | | | | | 289,216 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Appreciation | | | 661,249 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (372,033 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
See accompanying notes to the financial statements.
8 :: SEF SHORT FINANCIALS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the Summary Schedule of Portfolio Investments of ProShares Ultra Financials for the components of the underlying reference instrument and their relative weightings.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT FINANCIALS SEF :: 9
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 83.4% | |
| Repurchase Agreements (a) — 83.4% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $5,704,356
(Cost $5,704,241) | | $ | 5,704,241 | | | $ | 5,704,241 | | |
Total Investments — 83.4%
(Cost $5,704,241) | | | | | 5,704,241 | | |
| Other assets less liabilities — 16.6% | | | | | 1,132,182 | | |
| Net Assets — 100.0% | | | | $ | 6,836,423 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 243,135 | | |
| Aggregate gross unrealized depreciation | | | (748,096 | ) | |
| Net unrealized depreciation | | $ | (504,961 | ) | |
| Federal income tax cost | | $ | 5,704,241 | | |
Swap Agreementsa,f
Short FTSE China 50 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (1,322,870 | ) | | 4/10/2023 | | Bank of
America NA | | | 0.67 | % | | iShares® China
Large-Cap ETF | | | (498,146 | ) | | | — | | | | 498,146 | | | | — | | |
| (2,706,456 | ) | | 4/10/2023 | |
Citibank NA | | | 1.92 | % | | iShares® China
Large-Cap ETF | | | (234,853 | ) | | | — | | | | 234,853 | | | | — | | |
| (1,172,210 | ) | | 3/7/2023 | | Goldman Sachs
International | | | (0.33 | )% | | iShares® China
Large-Cap ETF | | | 207,599 | | | | (207,599 | ) | | | — | | | | — | | |
| (313,222 | ) | | 3/7/2023 | |
Societe Generale | | | 0.82 | % | | iShares® China
Large-Cap ETF | | | 35,536 | | | | (884 | ) | | | — | | | | 34,652 | | |
| (1,315,940 | ) | | 4/10/2023 | |
UBS AG | | | 0.92 | % | | iShares® China
Large-Cap ETF | | | (15,097 | ) | | | — | | | | 15,097 | | | | — | | |
| (6,830,698 | ) | | | | | | | | | | | | | | | | | | | (504,961 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 243,135 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (748,096 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
10 :: YXI SHORT FTSE CHINA 50 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 86.4% | |
| Repurchase Agreements (a) — 20.8% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $71,482,831
(Cost $71,481,391) | | $ | 71,481,391 | | | $ | 71,481,391 | | |
| U.S. Treasury Obligations — 65.6% | |
| U.S. Treasury Bills | |
| 0.34%, 6/2/2022 (b) | | | 45,000,000 | | | | 44,999,356 | | |
| 0.37%, 6/7/2022 (b) | | | 25,000,000 | | | | 24,997,958 | | |
| 0.35%, 6/9/2022 (b) | | | 10,000,000 | | | | 9,998,822 | | |
| 0.63%, 6/30/2022 (b) | | | 70,000,000 | | | | 69,961,655 | | |
| 0.71%, 7/5/2022 (b) | | | 75,000,000 | | | | 74,952,188 | | |
Total U.S. Treasury Obligations
(Cost $224,911,266) | | | | | 224,909,979 | | |
Total Short-Term Investments
(Cost $296,392,657) | | | | | 296,391,370 | | |
Total Investments — 86.4%
(Cost $296,392,657) | | | | | 296,391,370 | | |
| Other assets less liabilities — 13.6% | | | | | 46,650,451 | | |
| Net Assets — 100.0% | | | | $ | 343,041,821 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 2,518,852 | | |
| Aggregate gross unrealized depreciation | | | (592,662 | ) | |
| Net unrealized appreciation | | $ | 1,926,190 | | |
| Federal income tax cost | | $ | 296,392,657 | | |
Swap Agreementsa,f
Short High Yield had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (153,898,804 | ) | | 4/10/2023 | | Citibank NA | | | 1.92 | % | | iShares® iBoxx $
High Yield Corporate
Bond ETF | | | (588,720 | ) | | | — | | | | 588,720 | | | | — | | |
| (90,213,388 | ) | | 3/7/2023 | | Goldman Sachs
International | | | 3.42 | % | | iShares® iBoxx $
High Yield Corporate
Bond ETF | | | 376,657 | | | | — | | | | (1,843 | ) | | | 374,814 | | |
| (98,904,250 | ) | | 11/7/2022 | | UBS AG | | | 2.17 | % | | iShares® iBoxx $
High Yield Corporate
Bond ETF | | | 2,139,540 | | | | — | | | | (2,030,000 | ) | | | 109,540 | | |
| (343,016,442 | ) | | | | | | | | | | | 1,927,477 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Appreciation | | | 2,516,197 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (588,720 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT HIGH YIELD SJB :: 11
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation and final settlement of these swap transactions as of the time the Fund calculates its NAV, which differs from the time the Fund's underlying index is calculated, one or more exchange-traded financial products are used as the reference entity, as a surrogate for the respective underlying index.
See accompanying notes to the financial statements.
12 :: SJB SHORT HIGH YIELD :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 87.9% | |
| Repurchase Agreements (a) — 87.9% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $10,726,330
(Cost $10,726,113) | | $ | 10,726,113 | | | $ | 10,726,113 | | |
Total Investments — 87.9%
(Cost $10,726,113) | | | | | 10,726,113 | | |
| Other assets less liabilities — 12.1% | | | | | 1,480,272 | | |
| Net Assets — 100.0% | | | | $ | 12,206,385 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 756,159 | | |
| Aggregate gross unrealized depreciation | | | (212,953 | ) | |
| Net unrealized appreciation | | $ | 543,206 | | |
| Federal income tax cost | | $ | 10,726,113 | | |
Futures Contracts Sold
Short MidCap400 had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| S&P Midcap 400 E-Mini Index | | | 4 | | | 6/17/2022 | | USD | | | | $ | 1,005,280 | | | $ | 4,582 | | |
Swap Agreementsa
Short MidCap400 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (3,998,532 | ) | | 5/8/2023 | | Bank of
America NA | | | (0.93 | )% | | S&P
MidCap 400® | | | 60,343 | | | | (30,705 | ) | | | — | | | | 29,638 | | |
| (1,438,465 | ) | | 5/8/2023 | |
BNP Paribas SA | | | (0.98 | )% | | S&P
MidCap 400® | | | 130,359 | | | | — | | | | — | | | | 130,359 | | |
| (1,395,714 | ) | | 4/10/2023 | |
Citibank NA | | | (1.03 | )% | | S&P
MidCap 400® | | | 202,209 | | | | — | | | | (202,209 | ) | | | — | | |
| (1,269,974 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.63 | )% | |
S&P
MidCap 400® | | | (212,953 | ) | | | — | | | | 212,953 | | | | — | | |
| (3,095,719 | ) | | 3/7/2023 | |
Societe Generale | | | (0.56 | )% | | S&P
MidCap 400® | | | 358,666 | | | | (358,666 | ) | | | — | | | | — | | |
| (11,198,404 | ) | | | | | | | | | | | | | | | | | | | 538,624 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Appreciation | | | 751,577 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (212,953 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT MIDCAP400 MYY :: 13
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
14 :: MYY SHORT MIDCAP400 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 109.1% | |
| Repurchase Agreements (a) — 55.2% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $35,848,086
(Cost $35,847,364) | | $ | 35,847,364 | | | $ | 35,847,364 | | |
| U.S. Treasury Obligations — 53.9% | |
| U.S. Treasury Bills | |
| 0.35%, 6/9/2022 (b) | | | 10,000,000 | | | | 9,998,822 | | |
| 0.55%, 6/21/2022 (b) | | | 25,000,000 | | | | 24,991,806 | | |
Total U.S. Treasury Obligations
(Cost $34,991,549) | | | | | 34,990,628 | | |
Total Short-Term Investments
(Cost $70,838,913) | | | | | 70,837,992 | | |
Total Investments — 109.1%
(Cost $70,838,913) | | | | | 70,837,992 | | |
| Liabilities in excess of other assets — (9.1%) | | | | | (5,879,578 | ) | |
| Net Assets — 100.0% | | | | $ | 64,958,414 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 1,225,695 | | |
| Aggregate gross unrealized depreciation | | | (1,381,559 | ) | |
| Net unrealized depreciation | | $ | (155,864 | ) | |
| Federal income tax cost | | $ | 70,838,913 | | |
Swap Agreementsa,f
Short MSCI EAFE had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (11,912,841 | ) | | 4/10/2023 | |
Citibank NA | | | (0.43 | )% | | iShares® MSCI
EAFE ETF | | | 259,939 | | | | — | | | | (190,000 | ) | | | 69,939 | | |
| (18,237,411 | ) | | 3/7/2023 | | Goldman Sachs
International | | | (0.88 | )% | | iShares® MSCI
EAFE ETF | | | 965,756 | | | | (845,091 | ) | | | (756 | ) | | | 119,909 | | |
| (2,858,873 | ) | | 3/7/2023 | |
Societe Generale | | | (0.03 | )% | | iShares® MSCI
EAFE ETF | | | (575,452 | ) | | | — | | | | 575,452 | | | | — | | |
| (31,537,838 | ) | | 3/7/2023 | |
UBS AG | | | (0.43 | )% | | iShares® MSCI
EAFE ETF | | | (805,186 | ) | | | — | | | | 805,186 | | | | — | | |
| (64,546,963 | ) | | | | | | | | | | | | | | | | | | | (154,943 | ) | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Appreciation | | | 1,225,695 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (1,380,638 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT MSCI EAFE EFZ :: 15
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
16 :: EFZ SHORT MSCI EAFE :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 84.9% | |
| Repurchase Agreements (a) — 84.9% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $36,553,215
(Cost $36,552,480) | | $ | 36,552,480 | | | $ | 36,552,480 | | |
Total Investments — 84.9%
(Cost $36,552,480) | | | | | 36,552,480 | | |
| Other assets less liabilities — 15.1% | | | | | 6,493,083 | | |
| Net Assets — 100.0% | | | | $ | 43,045,563 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 3,921,247 | | |
| Aggregate gross unrealized depreciation | | | (756,433 | ) | |
| Net unrealized appreciation | | $ | 3,164,814 | | |
| Federal income tax cost | | $ | 36,552,480 | | |
Swap Agreementsa,f
Short MSCI Emerging Markets had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (2,184,036 | ) | | 5/8/2023 | | Bank of
America NA | | | (0.03 | )% | | iShares® MSCI
Emerging
Markets ETF | | | 684,612 | | | | (684,612 | ) | | | — | | | | — | | |
| (9,655,573 | ) | | 4/10/2023 | | Citibank NA | | | (0.28 | )% | | iShares® MSCI
Emerging
Markets ETF | | | 1,949,712 | | | | — | | | | (1,949,712 | ) | | | — | | |
| (10,698,506 | ) | | 3/7/2023 | | Goldman Sachs
International | | | (0.33 | )% | | iShares® MSCI
Emerging
Markets ETF | | | 532,413 | | | | (530,357 | ) | | | (2,056 | ) | | | — | | |
| (492,965 | ) | | 4/10/2023 | | Morgan
Stanley & Co.
International plc | | | (0.28 | )% | | iShares® MSCI
Emerging
Markets ETF | | | 89,793 | | | | — | | | | (89,793 | ) | | | — | | |
| (8,181,956 | ) | | 3/7/2023 | | Societe
Generale | | | 0.87 | % | | iShares® MSCI
Emerging
Markets ETF | | | (756,433 | ) | | | — | | | | 756,433 | | | | — | | |
| (11,485,984 | ) | | 11/9/2022 | | UBS AG | | | 0.27 | % | | iShares® MSCI
Emerging
Markets ETF | | | 664,717 | | | | — | | | | (664,717 | ) | | | — | | |
| (42,699,020 | ) | | | | | | | | | | | | | | | | | | | 3,164,814 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Appreciation | | | 3,921,247 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (756,433 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT MSCI EMERGING MARKETS EUM :: 17
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
18 :: EUM SHORT MSCI EMERGING MARKETS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 92.7% | |
| Repurchase Agreements (a) — 11.1% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $120,638,978
(Cost $120,636,549) | | $ | 120,636,549 | | | $ | 120,636,549 | | |
| U.S. Treasury Obligations (b) — 81.6% | |
| U.S. Treasury Bills | |
| 0.34%, 6/2/2022 (c) | | | 335,000,000 | | | | 334,995,206 | | |
| 0.37%, 6/7/2022 (c) | | | 5,000,000 | | | | 4,999,592 | | |
| 0.47%, 6/9/2022 (c) | | | 110,000,000 | | | | 109,987,044 | | |
| 0.14%, 6/16/2022 (c) | | | 55,000,000 | | | | 54,986,737 | | |
| 0.52%, 6/21/2022 (c) | | | 35,000,000 | | | | 34,988,528 | | |
| 0.57%, 6/23/2022 (c) | | | 60,000,000 | | | | 59,979,146 | | |
| 0.63%, 6/30/2022 (c) | | | 85,000,000 | | | | 84,953,439 | | |
| 0.07%, 7/14/2022 (c) | | | 20,000,000 | | | | 19,980,228 | | |
| 0.09%, 8/11/2022 (c) | | | 20,000,000 | | | | 19,959,372 | | |
| 0.65%, 8/18/2022 (c) | | | 25,000,000 | | | | 24,943,464 | | |
| 0.14%, 9/8/2022 (c) | | | 45,000,000 | | | | 44,861,013 | | |
| 0.51%, 11/3/2022 (c) | | | 50,000,000 | | | | 49,694,628 | | |
| 0.69%, 12/29/2022 (c) | | | 40,000,000 | | | | 39,629,554 | | |
Total U.S. Treasury Obligations
(Cost $884,580,043) | | | | | 883,957,951 | | |
Total Short-Term Investments
(Cost $1,005,216,592) | | | | | 1,004,594,500 | | |
Total Investments — 92.7%
(Cost $1,005,216,592) | | | | | 1,004,594,500 | | |
| Other assets less liabilities — 7.3% | | | | | 79,165,920 | | |
| Net Assets — 100.0% | | | | $ | 1,083,760,420 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $87,699,879.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 134,573,076 | | |
| Aggregate gross unrealized depreciation | | | (1,861,310 | ) | |
| Net unrealized appreciation | | $ | 132,711,766 | | |
| Federal income tax cost | | $ | 1,005,216,592 | | |
Futures Contracts Sold
Short QQQ had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| NASDAQ 100 E-Mini Index | | | 70 | | | 6/17/2022 | | USD | | | | $ | 17,705,100 | | | $ | 3,143,700 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT QQQ PSQ :: 19
Swap Agreementsa
Short QQQ had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (146,155,318 | ) | | 5/8/2023 | | Bank of
America NA | | | (1.13 | )% | | NASDAQ-100
Index® | | | 12,801,722 | | | | (12,801,722 | ) | | | — | | | | — | | |
| (10,796,353 | ) | | 11/6/2023 | | Barclays Capital | | | (1.03 | )% | | NASDAQ-100
Index® | | | (744,885 | ) | | | — | | | | — | | | | (744,885 | ) | |
| (292,032,510 | ) | | 5/8/2023 | | BNP Paribas SA | | | (1.18 | )% | | NASDAQ-100
Index® | | | 37,159,323 | | | | (30,645,714 | ) | | | (8,353 | ) | | | 6,505,256 | | |
| (253,689,021 | ) | | 4/10/2023 | | Citibank NA | | | (1.31 | )% | | NASDAQ-100
Index® | | | 17,449,953 | | | | — | | | | (16,660,000 | ) | | | 789,953 | | |
| (138,860,826 | ) | | 3/7/2023 | | Goldman Sachs
International | | | (1.18 | )% | | NASDAQ-100
Index® | | | 24,528,524 | | | | (24,506,574 | ) | | | (21,950 | ) | | | — | | |
| (60,543,017 | ) | | 5/8/2023 | | J.P. Morgan
Securities | | | (0.98 | )% | | NASDAQ-100
Index® | | | 18,475,791 | | | | — | | | | (18,291,000 | ) | | | 184,791 | | |
| (75,953,737 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.63 | )% | |
NASDAQ-100
Index® | | |
(494,333) | | | | 494,333 | | | | — | | | | — | | |
| (47,471,086 | ) | | 3/7/2023 | | Societe
Generale | | | (1.38 | )% | | NASDAQ-100
Index® | | | 5,273,396 | | | | (5,273,396 | ) | | | — | | | | — | | |
| (40,514,492 | ) | | 3/7/2023 | | UBS AG | | | (0.98 | )% | | NASDAQ-100
Index® | | | 15,740,667 | | | | — | | | | (15,740,667 | ) | | | — | | |
| (1,066,016,360 | ) | | | | | | | | | | | | | | | | | | | 130,190,158 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Appreciation | | | 131,429,376 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (1,239,218 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
20 :: PSQ SHORT QQQ :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 92.0% | |
| Repurchase Agreements (a) — 92.0% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $14,964,542
(Cost $14,964,240) | | $ | 14,964,240 | | | $ | 14,964,240 | | |
Total Investments — 92.0%
(Cost $14,964,240) | | | | | 14,964,240 | | |
| Other assets less liabilities — 8.0% | | | | | 1,294,898 | | |
| Net Assets — 100.0% | | | | $ | 16,259,138 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 326,028 | | |
| Aggregate gross unrealized depreciation | | | (425,896 | ) | |
| Net unrealized depreciation | | $ | (99,868 | ) | |
| Federal income tax cost | | $ | 14,964,240 | | |
Swap Agreementsa
Short Real Estate had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (3,506,261 | ) | | 5/8/2023 | | Bank of
America NA | | | (1.18 | )% | | Dow Jones U.S.
Real EstateSM
Index | | | 178,899 | | | | (178,899 | ) | | | — | | | | — | | |
| (6,251,733 | ) | | 5/8/2023 | | BNP Paribas SA | | | (1.03 | )% | | Dow Jones U.S.
Real EstateSM
Index | | | 13,444 | | | | — | | | | — | | | | 13,444 | | |
| (1,999,721 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.48 | )% | | Dow Jones U.S.
Real EstateSM
Index | | | (404,789 | ) | | | — | | | | 404,789 | | | | — | | |
| (2,204,475 | ) | | 3/7/2023 | | Societe
Generale | | | (0.88 | )% | | Dow Jones U.S.
Real EstateSM
Index | | | 133,685 | | | | (133,685 | ) | | | — | | | | — | | |
| (2,222,984 | ) | | 3/7/2023 | | UBS AG | | | (0.58 | )% | | Dow Jones U.S.
Real EstateSM
Index | | | (21,107 | ) | | | — | | | | 21,107 | | | | — | | |
| (16,185,174 | ) | | | | | | | | | | | | | | | | | | | (99,868 | ) | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Appreciation | | | 326,028 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (425,896 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT REAL ESTATE REK :: 21
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 89.2% | |
| Repurchase Agreements (a) — 14.3% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $65,008,160
(Cost $65,006,851) | | $ | 65,006,851 | | | $ | 65,006,851 | | |
| U.S. Treasury Obligations (b) — 74.9% | |
| U.S. Treasury Bills | |
| 0.34%, 6/2/2022 (c) | | | 60,000,000 | | | | 59,999,142 | | |
| 0.35%, 6/9/2022 (c) | | | 50,000,000 | | | | 49,994,111 | | |
| 0.51%, 6/21/2022 (c) | | | 25,000,000 | | | | 24,991,806 | | |
| 0.64%, 6/30/2022 (c) | | | 50,000,000 | | | | 49,972,611 | | |
| 0.39%, 7/21/2022 (c) | | | 25,000,000 | | | | 24,970,833 | | |
| 0.07%, 8/11/2022 (c) | | | 30,000,000 | | | | 29,939,058 | | |
| 0.83%, 8/18/2022 (c) | | | 50,000,000 | | | | 49,886,927 | | |
| 0.51%, 11/3/2022 (c) | | | 25,000,000 | | | | 24,847,314 | | |
| 0.69%, 12/29/2022 (c) | | | 25,000,000 | | | | 24,768,472 | | |
Total U.S. Treasury Obligations
(Cost $339,700,903) | | | | | 339,370,274 | | |
Total Short-Term Investments
(Cost $404,707,754) | | | | | 404,377,125 | | |
Total Investments — 89.2%
(Cost $404,707,754) | | | | | 404,377,125 | | |
| Other assets less liabilities — 10.8% | | | | | 48,906,490 | | |
| Net Assets — 100.0% | | | | $ | 453,283,615 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $43,959,308.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 48,950,569 | | |
| Aggregate gross unrealized depreciation | | | (1,177,109 | ) | |
| Net unrealized appreciation | | $ | 47,773,460 | | |
| Federal income tax cost | | $ | 404,707,754 | | |
Futures Contracts Sold
Short Russell2000 had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| Russell 2000 E-Mini Index | | | 236 | | | 6/17/2022 | | USD | | | | $ | 21,970,420 | | | $ | 2,224,738 | | |
See accompanying notes to the financial statements.
22 :: RWM SHORT RUSSELL2000 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
Short Russell2000 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (138,697,624 | ) | | 11/7/2022 | | Bank of
America NA | | | (0.63 | )% | | Russell 2000®
Index | | | 3,226,954 | | | | (1,576,578 | ) | | | — | | | | 1,650,376 | | |
| (8,494,430 | ) | | 11/6/2023 | | Barclays Capital | | | (0.93 | )% | | Russell 2000®
Index | | | (29,383 | ) | | | — | | | | — | | | | (29,383 | ) | |
| (62,562,775 | ) | | 5/8/2023 | | BNP Paribas SA | | | (0.68 | )% | | Russell 2000®
Index | | | 7,888,935 | | | | (7,151,625 | ) | | | — | | | | 737,310 | | |
| (52,951,784 | ) | | 4/10/2023 | | Citibank NA | | | (0.64 | )% | | Russell 2000®
Index | | | 5,132,039 | | | | — | | | | (4,470,000 | ) | | | 662,039 | | |
| (102,176,294 | ) | | 3/7/2023 | | Goldman Sachs
International | | | (0.83 | )% | | Russell 2000®
Index | | | 18,844,621 | | | | (18,050,062 | ) | | | (27,419 | ) | | | 767,140 | | |
| (28,898,212 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.53 | )% | |
Russell 2000®
Index | | | 2,752,650 | | | | — | | | | (2,462,000 | ) | | | 290,650 | | |
| (22,202,581 | ) | | 3/7/2023 | | Societe
Generale | | | (0.48 | )% | | Russell 2000®
Index | | | (817,097 | ) | | | 817,097 | | | | — | | | | — | | |
| (15,336,689 | ) | | 3/7/2023 | | UBS AG | | | (0.33 | )% | | Russell 2000®
Index | | | 8,880,632 | | | | — | | | | (8,800,000 | ) | | | 80,632 | | |
| (431,320,389 | ) | | | | | | | | | | | | | | | | | | | 45,879,351 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Appreciation | | | 46,725,831 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (846,480 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT RUSSELL2000 RWM :: 23
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 100.5% | |
| Repurchase Agreements (a) — 8.9% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $208,768,069
(Cost $208,763,865) | | $ | 208,763,865 | | | $ | 208,763,865 | | |
| U.S. Treasury Obligations (b) — 91.6% | |
| U.S. Treasury Bills | |
| 0.33%, 6/2/2022 (c) | | | 290,000,000 | | | | 289,995,850 | | |
| 0.37%, 6/7/2022 (c) | | | 75,000,000 | | | | 74,993,875 | | |
| 0.44%, 6/9/2022 (c) | | | 175,000,000 | | | | 174,979,388 | | |
| 0.32%, 6/16/2022 (c) | | | 255,000,000 | | | | 254,938,507 | | |
| 0.51%, 6/21/2022 (c) | | | 100,000,000 | | | | 99,967,222 | | |
| 0.56%, 6/23/2022 (c) | | | 175,000,000 | | | | 174,939,175 | | |
| 0.55%, 6/28/2022 (c) | | | 200,000,000 | | | | 199,893,124 | | |
| 0.60%, 6/30/2022 (c) | | | 150,000,000 | | | | 149,917,833 | | |
| 0.71%, 7/5/2022 (c) | | | 100,000,000 | | | | 99,936,250 | | |
| 0.07%, 7/14/2022 (c) | | | 85,000,000 | | | | 84,915,969 | | |
| 0.39%, 7/21/2022 (c) | | | 100,000,000 | | | | 99,883,333 | | |
| 0.10%, 8/11/2022 (c) | | | 100,000,000 | | | | 99,796,861 | | |
| 0.78%, 8/18/2022 (c) | | | 200,000,000 | | | | 199,547,708 | | |
| 0.11%, 9/8/2022 (c) | | | 50,000,000 | | | | 49,845,570 | | |
| 0.51%, 11/3/2022 (c) | | | 75,000,000 | | | | 74,541,943 | | |
| 0.69%, 12/29/2022 (c) | | | 25,000,000 | | | | 24,768,472 | | |
Total U.S. Treasury Obligations
(Cost $2,153,933,050) | | | | | 2,152,861,080 | | |
Total Short-Term Investments
(Cost $2,362,696,915) | | | | | 2,361,624,945 | | |
Total Investments — 100.5%
(Cost $2,362,696,915) | | | | | 2,361,624,945 | | |
| Liabilities in excess of other assets — (0.5%) | | | | | (11,166,217 | ) | |
| Net Assets — 100.0% | | | | $ | 2,350,458,728 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $188,822,211.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 108,734,598 | | |
| Aggregate gross unrealized depreciation | | | (6,107,731 | ) | |
| Net unrealized appreciation | | $ | 102,626,867 | | |
| Federal income tax cost | | $ | 2,362,696,915 | | |
Futures Contracts Sold
Short S&P500® had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| S&P 500 E-Mini Index | | | 124 | | | 6/17/2022 | | USD | | | | $ | 25,613,750 | | | $ | 2,095,719 | | |
See accompanying notes to the financial statements.
24 :: SH SHORT S&P500® :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
Short S&P500® had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (538,803,435 | ) | | 5/8/2023 | | Bank of
America NA | | | (1.08 | )% | |
S&P 500® | | | 46,174,945 | | | | (44,653,486 | ) | | | — | | | | 1,521,459 | | |
| (565,711,996 | ) | | 5/8/2023 | | BNP Paribas SA | | | (1.13 | )% | | S&P 500® | | | 1,889,364 | | | | (52,926 | ) | | | — | | | | 1,836,438 | | |
| (222,425,370 | ) | | 4/10/2023 | | Citibank NA | | | (1.31 | )% | | S&P 500® | | | 13,227,423 | | | | — | | | | (11,844,133 | ) | | | 1,383,290 | | |
| (351,943,480 | ) | | 3/7/2023 | | Goldman Sachs
International | | | (1.18 | )% | |
S&P 500® | | | 18,882,077 | | | | (17,103,699 | ) | | | (35,175 | ) | | | 1,743,203 | | |
| (219,991,534 | ) | | 5/8/2023 | | J.P. Morgan
Securities | | | (0.98 | )% | |
S&P 500® | | | 14,703,642 | | | | — | | | | (13,329,000 | ) | | | 1,374,642 | | |
| (100,969,085 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.63 | )% | |
S&P 500® | | | (5,032,219 | ) | | | 3,832,219 | | | | 1,200,000 | | | | — | | |
| (255,709,838 | ) | | 3/7/2023 | | Societe
Generale | | | (1.03 | )% | |
S&P 500® | | | 5,884,916 | | | | (4,690,060 | ) | | | — | | | | 1,194,856 | | |
| (69,365,196 | ) | | 3/7/2023 | | UBS AG | | | (0.98 | )% | | S&P 500® | | | 5,872,970 | | | | — | | | | (5,440,000 | ) | | | 432,970 | | |
| (2,324,919,934 | ) | | | | | | | | | | | | | | | | | | | 101,603,118 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Appreciation | | | 106,635,337 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (5,032,219 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: SHORT S&P500® SH :: 25
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 89.2% | |
| Repurchase Agreements (a) — 89.2% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $6,309,642
(Cost $6,309,515) | | $ | 6,309,515 | | | $ | 6,309,515 | | |
Total Investments — 89.2%
(Cost $6,309,515) | | | | | 6,309,515 | | |
| Other assets less liabilities — 10.8% | | | | | 761,676 | | |
| Net Assets — 100.0% | | | | $ | 7,071,191 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 287,375 | | |
| Aggregate gross unrealized depreciation | | | (332,228 | ) | |
| Net unrealized depreciation | | $ | (44,853 | ) | |
| Federal income tax cost | | $ | 6,309,515 | | |
Swap Agreementsa
Short SmallCap600 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (2,389,670 | ) | | 11/7/2022 | | Bank of
America NA | | | (0.83 | )% | | S&P
SmallCap 600® | | | (48,866 | ) | | | — | | | | 48,866 | | | | — | | |
| (1,159,002 | ) | | 4/10/2023 | | Citibank NA | | | (0.98 | )% | | S&P
SmallCap 600® | | | 184,563 | | | | — | | | | — | | | | 184,563 | | |
| (2,224,098 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.48 | )% | |
S&P
SmallCap 600® | | | (127,270 | ) | | | — | | | | 127,270 | | | | — | | |
| (913,116 | ) | | 3/7/2023 | | Societe
Generale | | | (0.48 | )% | | S&P
SmallCap 600® | | | 102,812 | | | | — | | | | — | | | | 102,812 | | |
| (384,274 | ) | | 11/7/2022 | | UBS AG | | | (0.68 | )% | | S&P
SmallCap 600® | | | (156,092 | ) | | | — | | | | 117,000 | | | | (39,092 | ) | |
| (7,070,160 | ) | | | | | | | | | | | | | | | | | | | (44,853 | ) | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Appreciation | | | 287,375 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (332,228 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
26 :: SBB SHORT SMALLCAP600 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 97.2% | |
| Repurchase Agreements (a) — 97.2% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $17,385,220
(Cost $17,384,871) | | $ | 17,384,871 | | | $ | 17,384,871 | | |
Total Investments — 97.2%
(Cost $17,384,871) | | | | | 17,384,871 | | |
| Other assets less liabilities — 2.8% | | | | | 497,461 | | |
| Net Assets — 100.0% | | | | $ | 17,882,332 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | — | | |
| Aggregate gross unrealized depreciation | | | (3,261,171 | ) | |
| Net unrealized depreciation | | $ | (3,261,171 | ) | |
| Federal income tax cost | | $ | 17,384,871 | | |
Futures Contracts Purchased
Ultra 7-10 Year Treasury had the following open long futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Depreciation | |
| U.S. Treasury 10 Year Note | | | 1 | | | 9/21/2022 | | USD | | | | $ | 119,391 | | | $ | (877 | ) | |
Swap Agreementsa
Ultra 7-10 Year Treasury had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 21,015,314 | | | 8/8/2022 | | Citibank NA | | | 0.68 | % | | ICE U.S.
Treasury 7-10
Year Bond Index | | | (1,671,361 | ) | | | — | | | | 1,671,361 | | | | — | | |
| 14,718,178 | | | 11/6/2023 | | Goldman Sachs
International | | | 0.61 | % | | ICE U.S.
Treasury 7-10
Year Bond Index | | | (1,588,933 | ) | | | — | | | | 1,588,933 | | | | — | | |
| 35,733,492 | | | | | | | | | | | | | | | | | | | | (3,260,294 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (3,260,294 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA 7-10 YEAR TREASURY UST :: 27
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
28 :: UST ULTRA 7-10 YEAR TREASURY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 97.0% | |
| Repurchase Agreements (a) — 97.0% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $35,089,298
(Cost $35,088,590) | | $ | 35,088,590 | | | $ | 35,088,590 | | |
Total Investments — 97.0%
(Cost $35,088,590) | | | | | 35,088,590 | | |
| Other assets less liabilities — 3.0% | | | | | 1,100,084 | | |
| Net Assets — 100.0% | | | | $ | 36,188,674 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | — | | |
| Aggregate gross unrealized depreciation | | | (376,108 | ) | |
| Net unrealized depreciation | | $ | (376,108 | ) | |
| Federal income tax cost | | $ | 35,088,590 | | |
Futures Contracts Purchased
Ultra 20+ Year Treasury had the following open long futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Depreciation | |
| U.S. Treasury Long Bond | | | 2 | | | 9/21/2022 | | USD | | | | $ | 278,688 | | | $ | (3,004 | ) | |
Swap Agreementsa
Ultra 20+ Year Treasury had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 15,500,805 | | | 1/16/2023 | | Bank of
America NA | | | 0.53 | % | | ICE U.S.
Treasury 20+
Year Bond Index | | | (68,213 | ) | | | — | | | | 68,213 | | | | — | | |
| 35,443,306 | | | 2/17/2023 | | Citibank NA | | | 0.75 | % | | ICE U.S.
Treasury 20+
Year Bond Index | | | (209,152 | ) | | | — | | | | 209,152 | | | | — | | |
| 21,051,171 | | | 1/16/2024 | | Societe Generale | | | 0.97 | % | | ICE U.S.
Treasury 20+
Year Bond Index | | | (95,739 | ) | | | — | | | | 95,739 | | | | — | | |
| 71,995,282 | | | | | | | | | | | | | | | | | | | | (373,104 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (373,104 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA 20+ YEAR TREASURY UBT :: 29
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
30 :: UBT ULTRA 20+ YEAR TREASURY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks (a) — 76.7% | |
| Chemicals — 57.9% | |
| Air Products and Chemicals, Inc. | | | 11,735 | | | $ | 2,888,688 | | |
| Albemarle Corp. | | | 6,198 | | | | 1,614,083 | | |
| Ashland Global Holdings, Inc. | | | 2,802 | | | | 299,870 | | |
| Axalta Coating Systems Ltd.* | | | 11,361 | | | | 308,565 | | |
| Celanese Corp. | | | 5,719 | | | | 895,138 | | |
| CF Industries Holdings, Inc. | | | 11,353 | | | | 1,121,336 | | |
| Chemours Co. (The) | | | 8,469 | | | | 364,929 | | |
| Corteva, Inc. | | | 38,491 | | | | 2,410,306 | | |
| Dow, Inc. | | | 38,937 | | | | 2,646,937 | | |
| DuPont de Nemours, Inc. | | | 27,159 | | | | 1,842,738 | | |
| Eastman Chemical Co. | | | 6,831 | | | | 752,503 | | |
| Ecolab, Inc. | | | 13,195 | | | | 2,162,793 | | |
| Element Solutions, Inc. | | | 11,535 | | | | 245,580 | | |
| FMC Corp. | | | 6,709 | | | | 822,389 | | |
| Ginkgo Bioworks Holdings, Inc.*(b) | | | 61,053 | | | | 188,043 | | |
| Huntsman Corp. | | | 10,961 | | | | 397,336 | | |
| Ingevity Corp.* | | | 2,082 | | | | 145,074 | | |
International Flavors &
Fragrances, Inc. | | | 13,480 | | | | 1,781,652 | | |
| Linde plc | | | 27,130 | | | | 8,808,569 | | |
| LyondellBasell Industries NV, Class A | | | 13,917 | | | | 1,590,017 | | |
| Mosaic Co. (The) | | | 19,615 | | | | 1,228,880 | | |
| NewMarket Corp. | | | 362 | | | | 119,286 | | |
| Olin Corp. | | | 7,475 | | | | 491,780 | | |
| PPG Industries, Inc. | | | 12,566 | | | | 1,589,473 | | |
| RPM International, Inc. | | | 6,863 | | | | 604,630 | | |
| Scotts Miracle-Gro Co. (The) (b) | | | 2,146 | | | | 203,055 | | |
| Valvoline, Inc. | | | 9,494 | | | | 317,669 | | |
| Westlake Corp. | | | 1,759 | | | | 232,382 | | |
| | | 36,073,701 | | |
| Metals & Mining — 18.7% | |
| Alcoa Corp. | | | 9,744 | | | | 601,400 | | |
| Cleveland-Cliffs, Inc.* | | | 25,308 | | | | 586,639 | | |
| Commercial Metals Co. | | | 6,434 | | | | 255,623 | | |
| Freeport-McMoRan, Inc. | | | 77,693 | | | | 3,036,242 | | |
| MP Materials Corp.* | | | 3,955 | | | | 155,946 | | |
| Newmont Corp. | | | 42,213 | | | | 2,864,152 | | |
| Nucor Corp. | | | 14,407 | | | | 1,908,351 | | |
| Reliance Steel & Aluminum Co. | | | 3,317 | | | | 644,825 | | |
| Royal Gold, Inc. | | | 3,475 | | | | 392,953 | | |
| Steel Dynamics, Inc. | | | 9,996 | | | | 853,459 | | |
| United States Steel Corp. | | | 13,833 | | | | 346,793 | | |
| | | 11,646,383 | | |
| Paper & Forest Products — 0.1% | |
| Sylvamo Corp.* | | | 1,866 | | | | 94,681 | | |
Total Common Stocks
(Cost $47,781,090) | | | | | 47,814,765 | | |
| Investments | | Shares | | Value | |
| Securities Lending Reinvestments (c) — 0.4% | |
| Investment Companies — 0.4% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $221,659) | | | 221,659 | | | $ | 221,659 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 13.6% | |
| Repurchase Agreements (d) — 13.6% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $8,434,379
(Cost $8,434,210) | | $ | 8,434,210 | | | | 8,434,210 | | |
Total Investments — 90.7%
(Cost $56,436,959) | | | | | 56,470,634 | | |
| Other assets less liabilities — 9.3% | | | | | 5,758,160 | | |
| Net Assets — 100.0% | | | | $ | 62,228,794 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $20,089,068.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $193,247, collateralized in the form of cash with a value of $221,659 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $5,975 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 3.00%, and maturity dates ranging from August 11, 2022 - May 15, 2049. The total value of collateral is $227,634.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $221,659.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 4,482,732 | | |
| Aggregate gross unrealized depreciation | | | (5,425,095 | ) | |
| Net unrealized depreciation | | $ | (942,363 | ) | |
| Federal income tax cost | | $ | 56,619,660 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA BASIC MATERIALS UYM :: 31
Swap Agreementsa
Ultra Basic Materials had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 15,512,705 | | | 5/8/2023 | | Bank of
America NA | | | 1.18 | % | | Dow Jones U.S.
Basic MaterialsSM
Index | | | 323,207 | | | | (323,207 | ) | | | — | | | | — | | |
| 10,215,226 | | | 4/10/2023 | | Citibank NA | | | 1.13 | % | | Dow Jones U.S.
Basic MaterialsSM
Index | | | 350,892 | | | | — | | | | (269,999 | ) | | | 80,893 | | |
| 15,682,674 | | | 3/7/2023 | | Goldman Sachs
International | | | 1.43 | % | | Dow Jones U.S.
Basic MaterialsSM
Index | | | (50,291 | ) | | | — | | | | 50,291 | | | | — | | |
| 119,945 | | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | 1.43 | % | | Dow Jones U.S.
Basic MaterialsSM
Index | | | 23,053 | | | | — | | | | (8,000 | ) | | | 15,053 | | |
| 9,580,825 | | | 3/7/2023 | | Societe Generale | | | 1.38 | % | | Dow Jones U.S.
Basic MaterialsSM
Index | | | (680,936 | ) | | | 676,050 | | | | 4,886 | | | | — | | |
| 25,528,402 | | | 3/7/2023 | | UBS AG | | | 1.18 | % | | Dow Jones U.S.
Basic MaterialsSM
Index | | | (759,262 | ) | | | 504,960 | | | | 254,302 | | | | — | | |
| 76,639,777 | | | | | | | | | | | | | | | | | | | | (793,337 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 697,152 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (1,490,489 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
32 :: UYM ULTRA BASIC MATERIALS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks (a) — 84.9% | |
| Auto Components — 1.8% | |
| Aptiv plc* | | | 575 | | | $ | 61,088 | | |
| Autoliv, Inc. | | | 165 | | | | 13,213 | | |
| BorgWarner, Inc. | | | 513 | | | | 20,684 | | |
| Fox Factory Holding Corp.* | | | 91 | | | | 7,464 | | |
| Gentex Corp. | | | 503 | | | | 15,633 | | |
| Lear Corp. | | | 126 | | | | 17,761 | | |
| Luminar Technologies, Inc.*(b) | | | 484 | | | | 5,005 | | |
| QuantumScape Corp.*(b) | | | 545 | | | | 6,971 | | |
| | | 147,819 | | |
| Automobiles — 19.6% | |
| Ford Motor Co. | | | 8,383 | | | | 114,680 | | |
| General Motors Co.* | | | 3,095 | | | | 119,715 | | |
| Harley-Davidson, Inc. | | | 327 | | | | 11,504 | | |
| Lucid Group, Inc.*(b) | | | 1,195 | | | | 24,115 | | |
| Rivian Automotive, Inc., Class A* | | | 341 | | | | 10,707 | | |
| Tesla, Inc.* | | | 1,784 | | | | 1,352,736 | | |
| Thor Industries, Inc. | | | 119 | | | | 9,040 | | |
| | | 1,642,497 | | |
| Beverages — 15.4% | |
| Boston Beer Co., Inc. (The), Class A* | | | 24 | | | | 8,527 | | |
| Brown-Forman Corp., Class B | | | 387 | | | | 25,589 | | |
| Coca-Cola Co. (The) | | | 8,269 | | | | 524,089 | | |
| Constellation Brands, Inc., Class A | | | 351 | | | | 86,160 | | |
| Keurig Dr Pepper, Inc. | | | 1,568 | | | | 54,472 | | |
| Molson Coors Beverage Co., Class B | | | 399 | | | | 22,280 | | |
| Monster Beverage Corp.* | | | 802 | | | | 71,474 | | |
| National Beverage Corp. | | | 53 | | | | 2,630 | | |
| PepsiCo, Inc. | | | 2,946 | | | | 494,192 | | |
| | | 1,289,413 | | |
| Distributors — 0.9% | |
| Genuine Parts Co. | | | 303 | | | | 41,429 | | |
| Pool Corp. | | | 85 | | | | 33,883 | | |
| | | 75,312 | | |
| Entertainment — 3.1% | |
| Activision Blizzard, Inc. | | | 1,656 | | | | 128,969 | | |
| Electronic Arts, Inc. | | | 601 | | | | 83,329 | | |
| Playtika Holding Corp.* | | | 219 | | | | 3,243 | | |
| ROBLOX Corp., Class A* | | | 92 | | | | 2,755 | | |
| Take-Two Interactive Software, Inc.* | | | 339 | | | | 42,216 | | |
| | | 260,512 | | |
| Food & Staples Retailing — 0.4% | |
| Performance Food Group Co.* | | | 330 | | | | 14,302 | | |
| US Foods Holding Corp.* | | | 474 | | | | 15,699 | | |
| | | 30,001 | | |
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| Food Products — 10.9% | |
| Archer-Daniels-Midland Co. | | | 1,193 | | | $ | 108,348 | | |
| Beyond Meat, Inc.*(b) | | | 128 | | | | 3,386 | | |
| Bunge Ltd. | | | 297 | | | | 35,141 | | |
| Campbell Soup Co. | | | 430 | | | | 20,601 | | |
| Conagra Brands, Inc. | | | 1,020 | | | | 33,548 | | |
| Darling Ingredients, Inc.* | | | 343 | | | | 27,464 | | |
| Flowers Foods, Inc. | | | 426 | | | | 11,758 | | |
| Freshpet, Inc.* | | | 102 | | | | 7,341 | | |
| General Mills, Inc. | | | 1,284 | | | | 89,687 | | |
| Hain Celestial Group, Inc. (The)* | | | 198 | | | | 5,217 | | |
| Hershey Co. (The) | | | 312 | | | | 66,054 | | |
| Hormel Foods Corp. | | | 598 | | | | 29,105 | | |
| Ingredion, Inc. | | | 140 | | | | 13,257 | | |
| J M Smucker Co. (The) | | | 230 | | | | 28,835 | | |
| Kellogg Co. | | | 543 | | | | 37,869 | | |
| Kraft Heinz Co. (The) | | | 1,508 | | | | 57,048 | | |
| Lamb Weston Holdings, Inc. | | | 311 | | | | 21,017 | | |
| Lancaster Colony Corp. | | | 41 | | | | 4,998 | | |
| McCormick & Co., Inc. (Non-Voting) | | | 531 | | | | 49,234 | | |
| Mondelez International, Inc., Class A | | | 2,958 | | | | 188,010 | | |
| Pilgrim's Pride Corp.* | | | 106 | | | | 3,532 | | |
| Post Holdings, Inc.* | | | 123 | | | | 10,114 | | |
| Seaboard Corp. | | | 1 | | | | 4,139 | | |
| Tyson Foods, Inc., Class A | | | 623 | | | | 55,827 | | |
| | | 911,530 | | |
| Household Durables — 3.2% | |
| Cricut, Inc., Class A*(b) | | | 80 | | | | 651 | | |
| DR Horton, Inc. | | | 690 | | | | 51,854 | | |
| Helen of Troy Ltd.* | | | 48 | | | | 8,889 | | |
| Leggett & Platt, Inc. | | | 283 | | | | 11,085 | | |
| Lennar Corp., Class A | | | 560 | | | | 44,940 | | |
| Lennar Corp., Class B | | | 36 | | | | 2,418 | | |
| Mohawk Industries, Inc.* | | | 117 | | | | 16,551 | | |
| Newell Brands, Inc. | | | 805 | | | | 17,259 | | |
| NVR, Inc.* | | | 7 | | | | 31,154 | | |
| PulteGroup, Inc. | | | 527 | | | | 23,852 | | |
| Tempur Sealy International, Inc. | | | 413 | | | | 10,891 | | |
| Toll Brothers, Inc. | | | 238 | | | | 12,012 | | |
| TopBuild Corp.* | | | 68 | | | | 13,414 | | |
| Whirlpool Corp. | | | 124 | | | | 22,846 | | |
| | | 267,816 | | |
| Household Products — 13.0% | |
| Church & Dwight Co., Inc. | | | 512 | | | | 46,111 | | |
| Clorox Co. (The) | | | 263 | | | | 38,230 | | |
| Colgate-Palmolive Co. | | | 1,795 | | | | 141,464 | | |
| Energizer Holdings, Inc. | | | 139 | | | | 4,168 | | |
| Kimberly-Clark Corp. | | | 714 | | | | 94,976 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA CONSUMER GOODS UGE :: 33
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| Procter & Gamble Co. (The) | | | 5,102 | | | $ | 754,484 | | |
| Reynolds Consumer Products, Inc. (b) | | | 117 | | | | 3,185 | | |
| | | 1,082,618 | | |
| Leisure Products — 1.1% | |
| Brunswick Corp. | | | 166 | | | | 12,488 | | |
| Callaway Golf Co.* | | | 253 | | | | 5,493 | | |
| Hasbro, Inc. | | | 277 | | | | 24,861 | | |
| Mattel, Inc.* | | | 743 | | | | 18,664 | | |
| Peloton Interactive, Inc., Class A*(b) | | | 644 | | | | 8,990 | | |
| Polaris, Inc. | | | 124 | | | | 13,212 | | |
| YETI Holdings, Inc.* | | | 187 | | | | 8,555 | | |
| | | 92,263 | | |
| Machinery — 0.5% | |
| Stanley Black & Decker, Inc. | | | 347 | | | | 41,185 | | |
| Personal Products — 1.7% | |
| Coty, Inc., Class A* | | | 731 | | | | 5,183 | | |
| Estee Lauder Cos., Inc. (The), Class A | | | 496 | | | | 126,306 | | |
| Herbalife Nutrition Ltd.* | | | 206 | | | | 4,489 | | |
| Olaplex Holdings, Inc.* | | | 150 | | | | 2,418 | | |
| | | 138,396 | | |
| Textiles, Apparel & Luxury Goods — 6.6% | |
| Capri Holdings Ltd.* | | | 314 | | | | 15,304 | | |
| Carter's, Inc. | | | 92 | | | | 7,089 | | |
| Columbia Sportswear Co. | | | 75 | | | | 5,833 | | |
| Crocs, Inc.* | | | 124 | | | | 6,914 | | |
| Deckers Outdoor Corp.* | | | 59 | | | | 15,845 | | |
| Hanesbrands, Inc. | | | 747 | | | | 8,867 | | |
| Levi Strauss & Co., Class A | | | 212 | | | | 3,850 | | |
| Lululemon Athletica, Inc.* | | | 253 | | | | 74,051 | | |
| NIKE, Inc., Class B | | | 2,718 | | | | 323,034 | | |
| PVH Corp. | | | 152 | | | | 10,772 | | |
| Ralph Lauren Corp. | | | 98 | | | | 9,907 | | |
| Skechers USA, Inc., Class A* | | | 286 | | | | 11,268 | | |
| Tapestry, Inc. | | | 563 | | | | 19,424 | | |
| Under Armour, Inc., Class A* | | | 400 | | | | 4,232 | | |
| Under Armour, Inc., Class C* | | | 457 | | | | 4,433 | | |
| VF Corp. | | | 685 | | | | 34,565 | | |
| | | 555,388 | | |
| Tobacco — 6.7% | |
| Altria Group, Inc. | | | 3,879 | | | | 209,815 | | |
| Philip Morris International, Inc. | | | 3,299 | | | | 350,519 | | |
| | | 560,334 | | |
Total Common Stocks
(Cost $8,301,008) | | | | | 7,095,084 | | |
| Investments | | Shares | | Value | |
| Securities Lending Reinvestments (c) — 0.6% | |
| Investment Companies — 0.6% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $48,530) | | | 48,530 | | | $ | 48,530 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 25.4% | |
| Repurchase Agreements (d) — 25.4% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $2,127,410
(Cost $2,127,367) | | $ | 2,127,367 | | | | 2,127,367 | | |
Total Investments — 110.9%
(Cost $10,476,905) | | | | | 9,270,981 | | |
| Liabilities in excess of other assets — (10.9%) | | | | | (909,195 | ) | |
| Net Assets — 100.0% | | | | $ | 8,361,786 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $5,713,834.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $34,576, collateralized in the form of cash with a value of $48,530 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $9,065 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 30, 2022 - August 15, 2050. The total value of collateral is $57,595.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $48,530.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 1,067,639 | | |
| Aggregate gross unrealized depreciation | | | (3,695,806 | ) | |
| Net unrealized depreciation | | $ | (2,628,167 | ) | |
| Federal income tax cost | | $ | 10,482,064 | | |
See accompanying notes to the financial statements.
34 :: UGE ULTRA CONSUMER GOODS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
Ultra Consumer Goods had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 996,858 | | | 5/8/2023 | | Bank of
America NA | | | 1.08 | % | | Dow Jones U.S.
Consumer GoodsSM
Index | | | (456,064 | ) | | | 456,064 | | | | — | | | | — | | |
| 3,443,110 | | | 11/7/2022 | | Citibank NA | | | 1.13 | % | | Dow Jones U.S.
Consumer GoodsSM
Index | | | 736,392 | | | | — | | | | (600,000 | ) | | | 136,392 | | |
| 596,198 | | | 11/6/2023 | | Credit Suisse
International | | | 1.38 | % | | Dow Jones U.S.
Consumer GoodsSM
Index | | | (81,353 | ) | | | — | | | | 81,353 | | | | — | | |
| 1,563,344 | | | 3/7/2023 | | Goldman Sachs
International | | | 1.43 | % | | Dow Jones U.S.
Consumer GoodsSM
Index | | | (340,825 | ) | | | 309,512 | | | | 31,313 | | | | — | | |
| 1,799,320 | | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | 1.43 | % | | Dow Jones U.S.
Consumer GoodsSM
Index | | | (15,937 | ) | | | 4,137 | | | | 11,800 | | | | — | | |
| 747,259 | | | 3/7/2023 | | Societe Generale | | | 1.38 | % | | Dow Jones U.S.
Consumer GoodsSM
Index | | | (592,087 | ) | | | 590,070 | | | | 2,017 | | | | — | | |
| 475,528 | | | 3/7/2023 | | UBS AG | | | 1.18 | % | | Dow Jones U.S.
Consumer GoodsSM
Index | | | (667,210 | ) | | | 300,847 | | | | 366,363 | | | | — | | |
| 9,621,617 | | | | | | | | | | | | | | | | | | | | (1,417,084 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 736,392 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (2,153,476 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA CONSUMER GOODS UGE :: 35
| Investments | | Shares | | Value | |
| Common Stocks (a) — 89.4% | |
| Airlines — 1.8% | |
| Alaska Air Group, Inc.* | | | 351 | | | $ | 16,939 | | |
| American Airlines Group, Inc.* | | | 1,805 | | | | 32,256 | | |
| Delta Air Lines, Inc.* | | | 1,783 | | | | 74,333 | | |
| JetBlue Airways Corp.* | | | 886 | | | | 9,516 | | |
| Joby Aviation, Inc.*(b) | | | 739 | | | | 4,360 | | |
| Southwest Airlines Co.* | | | 1,651 | | | | 75,715 | | |
| United Airlines Holdings, Inc.* | | | 902 | | | | 42,962 | | |
| | | 256,081 | | |
| Commercial Services & Supplies — 0.8% | |
| Copart, Inc.* | | | 595 | | | | 68,146 | | |
| IAA, Inc.* | | | 375 | | | | 14,636 | | |
| Rollins, Inc. | | | 631 | | | | 22,375 | | |
| | | 105,157 | | |
| Distributors — 0.3% | |
| LKQ Corp. | | | 747 | | | | 38,388 | | |
| Diversified Consumer Services — 0.8% | |
| ADT, Inc. | | | 406 | | | | 3,037 | | |
Bright Horizons Family
Solutions, Inc.* | | | 168 | | | | 15,212 | | |
| Chegg, Inc.* | | | 381 | | | | 7,414 | | |
| Frontdoor, Inc.* | | | 236 | | | | 5,839 | | |
| Grand Canyon Education, Inc.* | | | 110 | | | | 9,809 | | |
| H&R Block, Inc. | | | 458 | | | | 16,140 | | |
| Service Corp. International | | | 459 | | | | 32,144 | | |
| Terminix Global Holdings, Inc.* | | | 339 | | | | 14,716 | | |
| | | 104,311 | | |
| Entertainment — 7.7% | |
AMC Entertainment Holdings, Inc.,
Class A*(b) | | | 1,430 | | | | 20,506 | | |
Endeavor Group Holdings, Inc.,
Class A* | | | 58 | | | | 1,318 | | |
Liberty Media Corp.-Liberty
Formula One, Class A* | | | 62 | | | | 3,535 | | |
Liberty Media Corp.-Liberty
Formula One, Class C* | | | 568 | | | | 35,381 | | |
| Live Nation Entertainment, Inc.*(b) | | | 376 | | | | 35,739 | | |
Madison Square Garden Sports
Corp.* | | | 47 | | | | 7,701 | | |
| Netflix, Inc.* | | | 1,237 | | | | 244,233 | | |
| Roku, Inc.*(b) | | | 328 | | | | 31,127 | | |
| Walt Disney Co. (The)* | | | 5,073 | | | | 560,262 | | |
| Warner Bros Discovery, Inc.* | | | 6,162 | | | | 113,689 | | |
| Warner Music Group Corp., Class A | | | 320 | | | | 9,501 | | |
World Wrestling Entertainment, Inc.,
Class A | | | 122 | | | | 8,146 | | |
| | | 1,071,138 | | |
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| Food & Staples Retailing — 10.4% | |
| Albertsons Cos., Inc., Class A | | | 282 | | | $ | 8,615 | | |
| BJ's Wholesale Club Holdings, Inc.* | | | 379 | | | | 21,933 | | |
| Casey's General Stores, Inc. | | | 104 | | | | 21,792 | | |
| Costco Wholesale Corp. | | | 1,236 | | | | 576,248 | | |
| Kroger Co. (The) | | | 1,864 | | | | 98,736 | | |
| Sprouts Farmers Market, Inc.* | | | 312 | | | | 8,452 | | |
| Sysco Corp. | | | 1,414 | | | | 119,031 | | |
| Walgreens Boots Alliance, Inc. | | | 1,996 | | | | 87,485 | | |
| Walmart, Inc. | | | 3,942 | | | | 507,059 | | |
| | | 1,449,351 | | |
| Health Care Providers & Services — 0.8% | |
| AmerisourceBergen Corp. | | | 420 | | | | 65,012 | | |
| Cardinal Health, Inc. | | | 771 | | | | 43,422 | | |
| | | 108,434 | | |
| Hotels, Restaurants & Leisure — 15.7% | |
| Airbnb, Inc., Class A* | | | 966 | | | | 116,760 | | |
| Aramark | | | 716 | | | | 24,680 | | |
| Booking Holdings, Inc.* | | | 114 | | | | 255,766 | | |
| Boyd Gaming Corp. | | | 228 | | | | 13,400 | | |
| Caesars Entertainment, Inc.* | | | 596 | | | | 29,901 | | |
| Carnival Corp.* | | | 2,254 | | | | 31,286 | | |
| Chipotle Mexican Grill, Inc.* | | | 78 | | | | 109,399 | | |
| Choice Hotels International, Inc. | | | 92 | | | | 11,766 | | |
| Churchill Downs, Inc. | | | 96 | | | | 19,433 | | |
Cracker Barrel Old Country
Store, Inc. (b) | | | 65 | | | | 6,631 | | |
| Darden Restaurants, Inc. | | | 356 | | | | 44,500 | | |
| Domino's Pizza, Inc. | | | 101 | | | | 36,680 | | |
| DraftKings, Inc., Class A*(b) | | | 968 | | | | 13,116 | | |
| Dutch Bros, Inc., Class A*(b) | | | 66 | | | | 2,478 | | |
| Expedia Group, Inc.* | | | 419 | | | | 54,189 | | |
| Hilton Worldwide Holdings, Inc. | | | 777 | | | | 109,448 | | |
| Hyatt Hotels Corp., Class A* | | | 140 | | | | 12,375 | | |
| Las Vegas Sands Corp.* | | | 957 | | | | 33,935 | | |
| Light & Wonder, Inc.* | | | 269 | | | | 14,203 | | |
| Marriott International, Inc., Class A | | | 763 | | | | 130,916 | | |
| Marriott Vacations Worldwide Corp. | | | 119 | | | | 17,579 | | |
| McDonald's Corp. | | | 2,082 | | | | 525,101 | | |
| MGM Resorts International | | | 1,049 | | | | 36,684 | | |
Norwegian Cruise Line
Holdings Ltd.*(b) | | | 1,161 | | | | 18,588 | | |
| Penn National Gaming, Inc.* | | | 463 | | | | 14,797 | | |
| Planet Fitness, Inc., Class A* | | | 232 | | | | 16,326 | | |
| Royal Caribbean Cruises Ltd.* | | | 625 | | | | 36,294 | | |
| Starbucks Corp. | | | 3,206 | | | | 251,671 | | |
| Texas Roadhouse, Inc. | | | 195 | | | | 15,204 | | |
| Vail Resorts, Inc. | | | 112 | | | | 28,247 | | |
See accompanying notes to the financial statements.
36 :: UCC ULTRA CONSUMER SERVICES :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| Wendy's Co. (The) | | | 492 | | | $ | 9,171 | | |
| Wyndham Hotels & Resorts, Inc. | | | 260 | | | | 20,834 | | |
| Wynn Resorts Ltd.* | | | 293 | | | | 19,367 | | |
| Yum! Brands, Inc. | | | 806 | | | | 97,905 | | |
| | | 2,178,630 | | |
| Interactive Media & Services — 0.5% | |
| Pinterest, Inc., Class A* | | | 1,586 | | | | 31,165 | | |
| TripAdvisor, Inc.* | | | 276 | | | | 6,856 | | |
ZoomInfo Technologies, Inc.,
Class A* | | | 842 | | | | 34,008 | | |
| | | 72,029 | | |
| Internet & Direct Marketing Retail — 21.3% | |
| Amazon.com, Inc.* | | | 1,220 | | | | 2,933,112 | | |
| ContextLogic, Inc., Class A* | | | 928 | | | | 1,633 | | |
| Qurate Retail, Inc., Series A | | | 995 | | | | 3,592 | | |
| Stitch Fix, Inc., Class A* | | | 231 | | | | 1,956 | | |
| Wayfair, Inc., Class A*(b) | | | 217 | | | | 12,888 | | |
| | | 2,953,181 | | |
| Media — 8.1% | |
| Altice USA, Inc., Class A* | | | 628 | | | | 7,147 | | |
| Cable One, Inc. | | | 13 | | | | 16,940 | | |
Charter Communications, Inc.,
Class A* | | | 332 | | | | 168,301 | | |
| Comcast Corp., Class A | | | 12,605 | | | | 558,149 | | |
| DISH Network Corp., Class A*(b) | | | 695 | | | | 15,867 | | |
| Fox Corp., Class A | | | 879 | | | | 31,213 | | |
| Fox Corp., Class B | | | 406 | | | | 13,280 | | |
| Interpublic Group of Cos., Inc. (The) | | | 1,097 | | | | 35,356 | | |
| Liberty Broadband Corp., Class A* | | | 65 | | | | 7,931 | | |
| Liberty Broadband Corp., Class C* | | | 394 | | | | 49,317 | | |
Liberty Media Corp.-Liberty
SiriusXM, Class A* | | | 219 | | | | 9,047 | | |
Liberty Media Corp.-Liberty
SiriusXM, Class C* | | | 443 | | | | 18,207 | | |
| New York Times Co. (The), Class A | | | 465 | | | | 16,038 | | |
| News Corp., Class A | | | 1,089 | | | | 18,949 | | |
| News Corp., Class B | | | 337 | | | | 5,925 | | |
| Nexstar Media Group, Inc., Class A | | | 113 | | | | 19,800 | | |
| Omnicom Group, Inc. | | | 582 | | | | 43,423 | | |
| Paramount Global, Class A (b) | | | 24 | | | | 885 | | |
| Paramount Global, Class B | | | 1,691 | | | | 58,052 | | |
| Sirius XM Holdings, Inc. (b) | | | 2,528 | | | | 16,179 | | |
| TEGNA, Inc. | | | 616 | | | | 13,490 | | |
| | | 1,123,496 | | |
| Multiline Retail — 3.5% | |
| Dollar General Corp. | | | 646 | | | | 142,340 | | |
| Dollar Tree, Inc.* | | | 627 | | | | 100,527 | | |
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| Kohl's Corp. | | | 388 | | | $ | 15,644 | | |
| Ollie's Bargain Outlet Holdings, Inc.* | | | 164 | | | | 7,703 | | |
| Target Corp. | | | 1,335 | | | | 216,110 | | |
| | | 482,324 | | |
| Road & Rail — 1.0% | |
| AMERCO (b) | | | 27 | | | | 13,229 | | |
| Lyft, Inc., Class A* | | | 834 | | | | 14,745 | | |
| Uber Technologies, Inc.* | | | 4,649 | | | | 107,857 | | |
| | | 135,831 | | |
| Specialty Retail — 16.7% | |
| Advance Auto Parts, Inc. | | | 175 | | | | 33,226 | | |
| American Eagle Outfitters, Inc. | | | 427 | | | | 5,171 | | |
| AutoNation, Inc.* | | | 111 | | | | 13,271 | | |
| AutoZone, Inc.* | | | 59 | | | | 121,519 | | |
| Bath & Body Works, Inc. | | | 718 | | | | 29,452 | | |
| Best Buy Co., Inc. | | | 602 | | | | 49,400 | | |
| Burlington Stores, Inc.* | | | 186 | | | | 31,304 | | |
| CarMax, Inc.* | | | 451 | | | | 44,771 | | |
| Carvana Co.*(b) | | | 276 | | | | 8,125 | | |
| Dick's Sporting Goods, Inc. (b) | | | 175 | | | | 14,215 | | |
| Five Below, Inc.* | | | 156 | | | | 20,372 | | |
Floor & Decor Holdings, Inc.,
Class A* | | | 294 | | | | 22,179 | | |
| Foot Locker, Inc. | | | 243 | | | | 8,014 | | |
| GameStop Corp., Class A*(b) | | | 173 | | | | 21,580 | | |
| Gap, Inc. (The) | | | 592 | | | | 6,530 | | |
| Home Depot, Inc. (The) | | | 2,909 | | | | 880,700 | | |
| Lithia Motors, Inc. | | | 84 | | | | 25,576 | | |
| Lowe's Cos., Inc. | | | 1,878 | | | | 366,773 | | |
| Murphy USA, Inc. | | | 63 | | | | 15,695 | | |
| National Vision Holdings, Inc.* | | | 230 | | | | 6,472 | | |
| O'Reilly Automotive, Inc.* | | | 188 | | | | 119,788 | | |
| Penske Automotive Group, Inc. | | | 84 | | | | 9,672 | | |
| Petco Health & Wellness Co., Inc.*(b) | | | 227 | | | | 3,623 | | |
| RH* | | | 48 | | | | 13,924 | | |
| Ross Stores, Inc. | | | 984 | | | | 83,660 | | |
| TJX Cos., Inc. (The) | | | 3,324 | | | | 211,307 | | |
| Tractor Supply Co. | | | 317 | | | | 59,393 | | |
| Ulta Beauty, Inc.* | | | 151 | | | | 63,888 | | |
| Victoria's Secret & Co.* | | | 201 | | | | 8,283 | | |
| Williams-Sonoma, Inc. | | | 202 | | | | 25,840 | | |
| | | 2,323,723 | | |
Total Common Stocks
(Cost $16,538,445) | | | | | 12,402,074 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA CONSUMER SERVICES UCC :: 37
| Investments | | Shares | | Value | |
| Securities Lending Reinvestments (c) — 0.2% | |
| Investment Companies — 0.2% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $26,435) | | | 26,435 | | | $ | 26,435 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 28.1% | |
| Repurchase Agreements (d) — 28.1% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $3,904,123
(Cost $3,904,044) | | $ | 3,904,044 | | | | 3,904,044 | | |
Total Investments — 117.7%
(Cost $20,468,924) | | | | | 16,332,553 | | |
| Liabilities in excess of other assets — (17.7%) | | | | | (2,458,808 | ) | |
| Net Assets — 100.0% | | | | $ | 13,873,745 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $9,005,647.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $116,228, collateralized in the form of cash with a value of $26,435 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $97,748 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 4.75%, and maturity dates ranging from June 9, 2022 - November 15, 2051. The total value of collateral is $124,183.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $26,435.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 238,110 | | |
| Aggregate gross unrealized depreciation | | | (11,810,077 | ) | |
| Net unrealized depreciation | | $ | (11,571,967 | ) | |
| Federal income tax cost | | $ | 20,509,763 | | |
Swap Agreementsa
Ultra Consumer Services had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 3,658,070 | | | 5/8/2023 | | Bank of
America NA | | | 1.13 | % | | Dow Jones U.S.
Consumer ServicesSM
Index | | | (1,994,991 | ) | | | 1,453,849 | | | | 541,142 | | | | — | | |
| 2,572,159 | | | 5/8/2023 | | BNP Paribas SA | | | 1.33 | % | | Dow Jones U.S.
Consumer ServicesSM
Index | | | (728,677 | ) | | | 235,737 | | | | 492,940 | | | | — | | |
| 2,384,501 | | | 11/7/2022 | | Citibank NA | | | 1.13 | % | | Dow Jones U.S.
Consumer ServicesSM
Index | | | (834,020 | ) | | | — | | | | 834,020 | | | | — | | |
| 287,741 | | | 3/7/2023 | | Goldman Sachs
International | | | 1.43 | % | | Dow Jones U.S.
Consumer ServicesSM
Index | | | (1,211,377 | ) | | | 1,084,996 | | | | 126,381 | | | | — | | |
| 372,813 | | | 11/6/2023 | | Morgan
Stanley & Co.
International plc | | | 1.43 | % | | Dow Jones U.S.
Consumer ServicesSM
Index | | | (219,541 | ) | | | — | | | | 201,617 | | | | (17,924 | ) | |
| 4,829,053 | | | 3/7/2023 | | Societe Generale | | | 1.38 | % | | Dow Jones U.S.
Consumer ServicesSM
Index | | | (1,306,926 | ) | | | 752,076 | | | | 554,850 | | | | — | | |
See accompanying notes to the financial statements.
38 :: UCC ULTRA CONSUMER SERVICES :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 1,244,795 | | | 3/7/2023 | | UBS AG | | | 1.18 | % | | Dow Jones U.S.
Consumer ServicesSM
Index | | | (1,099,225 | ) | | | — | | | | 1,099,225 | | | | — | | |
| 15,349,132 | | | | | | | | | | | | | | | | | | | | (7,394,757 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (7,394,757 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA CONSUMER SERVICES UCC :: 39
| Investments | | Shares | | Value | |
| Common Stocks (a) — 87.3% | |
| Aerospace & Defense — 2.3% | |
| Boeing Co. (The)* | | | 67,228 | | | $ | 8,833,759 | | |
| Banks — 2.3% | |
| JPMorgan Chase & Co. | | | 67,231 | | | | 8,889,955 | | |
| Beverages — 1.1% | |
| Coca-Cola Co. (The) | | | 67,224 | | | | 4,260,657 | | |
| Biotechnology — 4.5% | |
| Amgen, Inc. | | | 67,229 | | | | 17,260,373 | | |
| Capital Markets — 5.7% | |
| Goldman Sachs Group, Inc. (The) | | | 67,229 | | | | 21,973,799 | | |
| Chemicals — 1.2% | |
| Dow, Inc. | | | 67,217 | | | | 4,569,412 | | |
| Communications Equipment — 0.8% | |
| Cisco Systems, Inc. | | | 67,223 | | | | 3,028,396 | | |
| Consumer Finance — 2.9% | |
| American Express Co. | | | 67,232 | | | | 11,350,106 | | |
| Diversified Telecommunication Services — 0.9% | |
| Verizon Communications, Inc. | | | 67,223 | | | | 3,447,868 | | |
| Entertainment — 1.9% | |
| Walt Disney Co. (The)* | | | 67,220 | | | | 7,423,777 | | |
| Food & Staples Retailing — 3.0% | |
| Walgreens Boots Alliance, Inc. | | | 67,230 | | | | 2,946,691 | | |
| Walmart, Inc. | | | 67,225 | | | | 8,647,152 | | |
| | | 11,593,843 | | |
| Health Care Providers & Services — 8.7% | |
| UnitedHealth Group, Inc. | | | 67,229 | | | | 33,398,023 | | |
| Hotels, Restaurants & Leisure — 4.4% | |
| McDonald's Corp. | | | 67,229 | | | | 16,955,826 | | |
| Household Products — 2.6% | |
| Procter & Gamble Co. (The) | | | 67,222 | | | | 9,940,789 | | |
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| Industrial Conglomerates — 6.0% | |
| 3M Co. | | | 67,224 | | | $ | 10,035,871 | | |
| Honeywell International, Inc. | | | 67,231 | | | | 13,017,266 | | |
| | | 23,053,137 | | |
| Insurance — 3.1% | |
| Travelers Cos., Inc. (The) | | | 67,231 | | | | 12,037,038 | | |
| IT Services — 6.1% | |
International Business Machines
Corp. (b) | | | 67,222 | | | | 9,333,102 | | |
| Visa, Inc., Class A | | | 67,227 | | | | 14,263,553 | | |
| | | 23,596,655 | | |
| Machinery — 3.8% | |
| Caterpillar, Inc. | | | 67,235 | | | | 14,512,675 | | |
| Oil, Gas & Consumable Fuels — 3.0% | |
| Chevron Corp. | | | 67,221 | | | | 11,740,820 | | |
| Pharmaceuticals — 4.7% | |
| Johnson & Johnson | | | 67,225 | | | | 12,068,904 | | |
| Merck & Co., Inc. | | | 67,219 | | | | 6,186,165 | | |
| | | 18,255,069 | | |
| Semiconductors & Semiconductor Equipment — 0.8% | |
| Intel Corp. | | | 67,216 | | | | 2,985,735 | | |
| Software — 7.5% | |
| Microsoft Corp. | | | 67,229 | | | | 18,277,548 | | |
| Salesforce, Inc.* | | | 67,227 | | | | 10,772,455 | | |
| | | 29,050,003 | | |
| Specialty Retail — 5.3% | |
| Home Depot, Inc. (The) | | | 67,229 | | | | 20,353,580 | | |
| Technology Hardware, Storage & Peripherals — 2.6% | |
| Apple, Inc. | | | 67,227 | | | | 10,006,067 | | |
| Textiles, Apparel & Luxury Goods — 2.1% | |
| NIKE, Inc., Class B | | | 67,223 | | | | 7,989,453 | | |
Total Common Stocks
(Cost $363,790,759) | | | | | 336,506,815 | | |
See accompanying notes to the financial statements.
40 :: DDM ULTRA DOW30SM :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 23.2% | |
| Repurchase Agreements (c) — 23.2% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $89,651,654
(Cost $89,649,849) | | $ | 89,649,849 | | | $ | 89,649,849 | | |
Total Investments — 110.5%
(Cost $453,440,608) | | | | | 426,156,664 | | |
| Liabilities in excess of other assets — (10.5%) | | | | | (40,564,566 | ) | |
| Net Assets — 100.0% | | | | $ | 385,592,098 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $111,302,099.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $1,130,296, collateralized in the form of U.S. Government Treasury Securities, interest rate 0.00%, and maturity dates ranging from June 9, 2022 - November 3, 2022. The total value of collateral is $1,158,448.
(c) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 15,827,536 | | |
| Aggregate gross unrealized depreciation | | | (86,278,993 | ) | |
| Net unrealized depreciation | | $ | (70,451,457 | ) | |
| Federal income tax cost | | $ | 454,668,841 | | |
Futures Contracts Purchased
Ultra Dow30SM had the following open long futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Depreciation | |
| DJIA CBOT E-Mini Index | | | 220 | | | 6/17/2022 | | USD | | | | $ | 36,268,100 | | | $ | (18,976 | ) | |
Swap Agreementsa
Ultra Dow30SM had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 67,002,934 | | | 5/8/2023 | |
Bank of
America NA | | | 1.23 | % | | Dow Jones
Industrial
AverageSM | | | (11,331,549 | ) | | | 11,124,435 | | | | 207,114 | | | | — | | |
| 2,507,249 | | | 11/6/2023 | | Barclays Capital | | | 1.43 | % | | Dow Jones
Industrial
AverageSM | | | 4,217 | | | | — | | | | — | | | | 4,217 | | |
| 43,480,978 | | | 5/8/2023 | | BNP Paribas SA | | | 1.43 | % | | Dow Jones
Industrial
AverageSM | | | (7,649,499 | ) | | | 7,618,614 | | | | 30,885 | | | | — | | |
| 79,638,150 | | | 11/7/2022 | | Citibank NA | | | 1.49 | % | | Dow Jones
Industrial
AverageSM | | | (608,193 | ) | | | 604,759 | | | | 3,434 | | | | — | | |
| 85,345,440 | | | 4/10/2023 | |
Credit Suisse
International | | | 1.43 | % | | Dow Jones
Industrial
AverageSM | | | (7,609,147 | ) | | | 4,299,075 | | | | 3,310,072 | | | | — | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA DOW30SM DDM :: 41
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 52,809,822 | | | 11/6/2023 | | Morgan
Stanley & Co.
International plc | | | 1.38 | % | | SPDR® Dow Jones
Industrial
AverageSM ETF Trust | | | (7,350,939 | ) | | | 7,339,408 | | | | 11,531 | | | | — | | |
| 48,297,536 | | | 3/7/2023 | | Societe Generale | | | 1.23 | % | | Dow Jones
Industrial
AverageSM | | | (5,010,314 | ) | | | 5,004,383 | | | | 5,931 | | | | — | | |
| 19,332,210 | | | 3/7/2023 | | UBS AG | | | 1.33 | % | | Dow Jones
Industrial
AverageSM | | | (2,364,880 | ) | | | 2,364,417 | | | | 463 | | | | — | | |
| 398,414,319 | | | | | | | | | | | | | | | | | | | | (41,920,304 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 4,217 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (41,924,521 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
42 :: DDM ULTRA DOW30SM :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) — 75.9% | |
| Aflac, Inc. (Insurance) | | | 0.4 | % | | | 46,425 | | | $ | 2,811,962 | | |
| Allstate Corp. (The) (Insurance) | | | 0.4 | % | | | 21,711 | | | | 2,967,677 | | |
American Express Co.
(Consumer Finance) | | | 1.2 | % | | | 47,595 | | | | 8,034,988 | | |
American International
Group, Inc. (Insurance) | | | 0.6 | % | | | 64,257 | | | | 3,770,601 | | |
American Tower Corp.
(Equity Real Estate
Investment Trusts (REITs)) | | | 1.3 | % | | | 35,237 | | | | 9,025,253 | | |
Ameriprise Financial, Inc.
(Capital Markets) | | | 0.4 | % | | | 8,582 | | | | 2,370,949 | | |
| Aon plc, Class A (Insurance) | | | 0.7 | % | | | 16,619 | | | | 4,581,360 | | |
Arthur J Gallagher & Co.
(Insurance) | | | 0.4 | % | | | 16,131 | | | | 2,612,254 | | |
Bank of America Corp.
(Banks) | | | 3.0 | % | | | 550,241 | | | | 20,468,965 | | |
Bank of New York Mellon
Corp. (The) (Capital Markets) | | | 0.4 | % | | | 57,245 | | | | 2,668,189 | | |
Berkshire Hathaway, Inc.,
Class B* (Diversified
Financial Services) | | | 6.7 | % | | | 141,709 | | | | 44,777,210 | | |
BlackRock, Inc. (Capital
Markets) | | | 1.1 | % | | | 11,031 | | | | 7,380,622 | | |
Blackstone, Inc. (Capital
Markets) | | | 1.0 | % | | | 54,506 | | | | 6,420,262 | | |
Capital One Financial Corp.
(Consumer Finance) | | | 0.6 | % | | | 32,027 | | | | 4,094,972 | | |
Charles Schwab Corp. (The)
(Capital Markets) | | | 1.2 | % | | | 116,373 | | | | 8,157,747 | | |
| Chubb Ltd. (Insurance) | | | 1.1 | % | | | 33,330 | | | | 7,042,296 | | |
| Citigroup, Inc. (Banks) | | | 1.2 | % | | | 153,581 | | | | 8,202,761 | | |
CME Group, Inc. (Capital
Markets) | | | 0.8 | % | | | 27,811 | | | | 5,529,661 | | |
Crown Castle International
Corp. (Equity Real Estate
Investment Trusts (REITs)) | | | 0.9 | % | | | 33,444 | | | | 6,342,655 | | |
Digital Realty Trust, Inc.
(Equity Real Estate
Investment Trusts (REITs)) | | | 0.5 | % | | | 21,961 | | | | 3,065,536 | | |
Discover Financial Services
(Consumer Finance) | | | 0.4 | % | | | 22,299 | | | | 2,530,713 | | |
Equinix, Inc. (Equity Real
Estate Investment Trusts
(REITs)) | | | 0.7 | % | | | 6,966 | | | | 4,786,269 | | |
Goldman Sachs Group, Inc.
(The) (Capital Markets) | | | 1.3 | % | | | 26,267 | | | | 8,585,369 | | |
Intercontinental Exchange,
Inc. (Capital Markets) | | | 0.7 | % | | | 43,475 | | | | 4,451,405 | | |
JPMorgan Chase & Co.
(Banks) | | | 4.5 | % | | | 228,673 | | | | 30,237,431 | | |
KKR & Co., Inc. (Capital
Markets) | | | 0.4 | % | | | 45,265 | | | | 2,480,975 | | |
| M&T Bank Corp. (Banks) | | | 0.4 | % | | | 13,865 | | | | 2,495,284 | | |
Marsh & McLennan Cos.,
Inc. (Insurance) | | | 0.9 | % | | | 39,069 | | | | 6,249,087 | | |
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) (continued) | |
Mastercard, Inc., Class A
(IT Services) | | | 3.6 | % | | | 66,783 | | | $ | 23,899,632 | | |
| MetLife, Inc. (Insurance) | | | 0.5 | % | | | 54,296 | | | | 3,659,007 | | |
Moody's Corp. (Capital
Markets) | | | 0.6 | % | | | 12,516 | | | | 3,774,450 | | |
Morgan Stanley (Capital
Markets) | | | 1.4 | % | | | 109,692 | | | | 9,448,869 | | |
| MSCI, Inc. (Capital Markets) | | | 0.4 | % | | | 6,289 | | | | 2,781,939 | | |
PNC Financial Services
Group, Inc. (The) (Banks) | | | 0.9 | % | | | 32,505 | | | | 5,701,702 | | |
Progressive Corp. (The)
(Insurance) | | | 0.8 | % | | | 45,221 | | | | 5,398,483 | | |
Prologis, Inc. (Equity Real
Estate Investment Trusts
(REITs)) | | | 1.1 | % | | | 57,262 | | | | 7,299,760 | | |
Prudential Financial, Inc.
(Insurance) | | | 0.5 | % | | | 29,248 | | | | 3,107,600 | | |
Public Storage (Equity Real
Estate Investment Trusts
(REITs)) | | | 0.6 | % | | | 11,804 | | | | 3,902,875 | | |
Realty Income Corp. (Equity
Real Estate Investment
Trusts (REITs)) | | | 0.4 | % | | | 43,779 | | | | 2,986,603 | | |
S&P Global, Inc. (Capital
Markets) | | | 1.4 | % | | | 27,407 | | | | 9,578,198 | | |
SBA Communications Corp.
(Equity Real Estate
Investment Trusts (REITs)) | | | 0.4 | % | | | 8,416 | | | | 2,832,910 | | |
Simon Property Group, Inc.
(Equity Real Estate
Investment Trusts (REITs)) | | | 0.4 | % | | | 25,428 | | | | 2,915,320 | | |
T. Rowe Price Group, Inc.
(Capital Markets) | | | 0.3 | % | | | 17,734 | | | | 2,253,814 | | |
Travelers Cos., Inc. (The)
(Insurance) | | | 0.5 | % | | | 18,665 | | | | 3,341,782 | | |
| Truist Financial Corp. (Banks) | | | 0.8 | % | | | 103,290 | | | | 5,137,645 | | |
| US Bancorp (Banks) | | | 0.8 | % | | | 104,492 | | | | 5,545,390 | | |
| Visa, Inc., Class A (IT Services) | | | 4.0 | % | | | 128,326 | | | | 27,226,928 | | |
| Wells Fargo & Co. (Banks) | | | 2.1 | % | | | 300,675 | | | | 13,761,895 | | |
Welltower, Inc. (Equity Real
Estate Investment Trusts
(REITs)) | | | 0.4 | % | | | 33,680 | | | | 3,000,551 | | |
Weyerhaeuser Co. (Equity
Real Estate Investment
Trusts (REITs)) | | | 0.3 | % | | | 57,824 | | | | 2,285,205 | | |
| Other Common Stocks (b) | | | 20.5 | % | | | 2,925,137 | | | | 137,094,155 | | |
Total Common Stocks
(Cost $559,634,392) | | | | | | | 509,077,166 | | |
| Securities Lending Reinvestments (c) — 0.1% | |
| Investment Companies — 0.1% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $687,211) | | | 0.1 | % | | | 687,211 | | | | 687,211 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA FINANCIALS UYG :: 43
| | Principal
Amount | | Value | |
| Short-Term Investments — 2.0% | |
| Repurchase Agreements (d) — 2.0% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $13,710,523
(Cost $13,710,246) | | $ | 13,710,246 | | | $ | 13,710,246 | | |
Total Investments — 78.0%
(Cost $574,031,849) | | | | | 523,474,623 | | |
| Other assets less liabilities — 22.0% | | | | | 148,048,054 | | |
| Net Assets — 100.0% | | | | $ | 671,522,677 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $72,813,856.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $4,056,340, collateralized in the form of cash with a value of $687,211 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $3,522,213 of collateral in the form of
U.S. Government Treasury Securities, interest rates ranging from 0.00% - 4.75%, and maturity dates ranging from June 9, 2022 - November 15, 2051. The total value of collateral is $4,209,424.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $687,211.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 157,002,074 | | |
| Aggregate gross unrealized depreciation | | | (61,669,363 | ) | |
| Net unrealized appreciation | | $ | 95,332,711 | | |
| Federal income tax cost | | $ | 574,284,503 | | |
Swap Agreementsa
Ultra Financials had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 39,567,223 | | | 11/7/2022 | | Bank of
America NA | | | 1.38 | % | | Dow Jones U.S.
FinancialsSM Indexf | | | 48,899,207 | | | | (48,899,207 | ) | | | — | | | | — | | |
| 112,808,745 | | | 11/7/2022 | |
BNP Paribas SA | | | 1.43 | % | | Dow Jones U.S.
FinancialsSM Indexf | | | 16,459,474 | | | | (16,354,146 | ) | | | (105,328 | ) | | | — | | |
| 33,084,697 | | | 11/6/2023 | |
Citibank NA | | | 1.53 | % | | Dow Jones U.S.
FinancialsSM Indexf | | | 25,017,836 | | | | — | | | | (25,017,836 | ) | | | — | | |
| 63,698,467 | | | 4/10/2023 | | Credit Suisse
International | | | 1.38 | % | | Dow Jones U.S.
FinancialsSM Indexf | | | 4,146,042 | | | | — | | | | (4,146,042 | ) | | | — | | |
| 102,789,385 | | | 4/10/2023 | | Goldman Sachs
International | | | 1.43 | % | | Dow Jones U.S.
FinancialsSM Indexf | | | 6,134,590 | | | | (6,134,590 | ) | | | — | | | | — | | |
| 38,779,548 | | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | 1.43 | % | |
Dow Jones U.S.
FinancialsSM Indexf | | | 5,175,410 | | | | — | | | | (5,041,000 | ) | | | 134,410 | | |
| 381,990,412 | | | 4/10/2023 | |
Societe Generale | | | 1.58 | % | | Dow Jones U.S.
FinancialsSM Indexf | | | 24,823,514 | | | | (24,770,361 | ) | | | (53,153 | ) | | | — | | |
| 61,062,604 | | | 11/7/2022 | |
UBS AG | | | 1.48 | % | | Dow Jones U.S.
FinancialsSM Indexf | | | 15,486,518 | | | | (9,756,518 | ) | | | (5,730,000 | ) | | | — | | |
| 833,781,081 | | | | | | | | | | | | | | | | | | | | 146,142,591 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 146,142,591 | | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
See accompanying notes to the financial statements.
44 :: UYG ULTRA FINANCIALS :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the preceding Schedule of Portfolio Investments for the representative components of the underlying reference instrument and their relative weightings.
Ultra Financials invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
| Banks | | | 17.5 | % | |
| Capital Markets | | | 14.1 | % | |
| Consumer Finance | | | 2.9 | % | |
| Diversified Financial Services | | | 7.2 | % | |
| Equity Real Estate Investment Trusts (REITs) | | | 14.6 | % | |
| Insurance | | | 10.5 | % | |
| IT Services | | | 7.6 | % | |
| Mortgage Real Estate Investment Trusts (REITs) | | | 0.4 | % | |
| Professional Services | | | 0.3 | % | |
| Real Estate Management & Development | | | 0.6 | % | |
| Thrifts & Mortgage Finance | | | 0.2 | % | |
| Othera | | | 24.1 | % | |
| | | 100.0 | % | |
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA FINANCIALS UYG :: 45
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 39.1% | |
| Repurchase Agreements (a) — 39.1% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $4,077,177
(Cost $4,077,094) | | $ | 4,077,094 | | | $ | 4,077,094 | | |
Total Investments — 39.1%
(Cost $4,077,094) | | | | | 4,077,094 | | |
| Other assets less liabilities — 60.9% | | | | | 6,346,982 | | |
| Net Assets — 100.0% | | | | $ | 10,424,076 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | — | | |
| Aggregate gross unrealized depreciation | | | (12,060,166 | ) | |
| Net unrealized depreciation | | $ | (12,060,166 | ) | |
| Federal income tax cost | | $ | 4,077,094 | | |
Swap Agreementsa,f
Ultra FTSE China 50 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 3,361,268 | | | 11/9/2022 | | Bank of
America NA | | | 1.03 | % | | iShares® China
Large-Cap ETF | | | (6,583,858 | ) | | | — | | | | 6,583,858 | | | | — | | |
| 2,108,487 | | | 4/10/2023 | | Citibank NA | | | 0.08 | % | | iShares® China
Large-Cap ETF | | | (366,466 | ) | | | — | | | | 366,466 | | | | — | | |
| 5,383,752 | | | 3/7/2023 | | Goldman Sachs
International | | | 1.13 | % | | iShares® China
Large-Cap ETF | | | (1,501,943 | ) | | | — | | | | 1,501,943 | | | | — | | |
| 72,543 | | | 4/10/2023 | | Morgan
Stanley & Co.
International plc | | | 1.28 | % | |
iShares® China
Large-Cap ETF | | | (16,704 | ) | | | — | | | | 16,704 | | | | — | | |
| 7,596,654 | | | 3/7/2023 | | Societe Generale | | | 0.48 | % | | iShares® China
Large-Cap ETF | | | (1,685,496 | ) | | | — | | | | 1,685,496 | | | | — | | |
| 2,384,420 | | | 3/7/2023 | | UBS AG | | | (0.17 | )% | | iShares® China
Large-Cap ETF | | | (1,905,699 | ) | | | — | | | | 1,905,699 | | | | — | | |
| 20,907,124 | | | | | | | | | | | | | | | | | | | | (12,060,166 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (12,060,166 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
46 :: XPP ULTRA FTSE CHINA 50 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 67.9% | |
| Repurchase Agreements (a) — 67.9% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $2,695,844
(Cost $2,695,790) | | $ | 2,695,790 | | | $ | 2,695,790 | | |
Total Investments — 67.9%
(Cost $2,695,790) | | | | | 2,695,790 | | |
| Other assets less liabilities — 32.1% | | | | | 1,273,660 | | |
| Net Assets — 100.0% | | | | $ | 3,969,450 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 56,204 | | |
| Aggregate gross unrealized depreciation | | | (1,147,564 | ) | |
| Net unrealized depreciation | | $ | (1,091,360 | ) | |
| Federal income tax cost | | $ | 2,695,790 | | |
Swap Agreementsa,f
Ultra FTSE Europe had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 490,431 | | | 11/9/2022 | | Bank of
America NA | | | 1.13 | % | | Vanguard® FTSE
Europe ETF Shares | | | (84,671 | ) | | | — | | | | 84,671 | | | | — | | |
| 2,450,145 | | | 4/10/2023 | | Citibank NA | | | 1.03 | % | | Vanguard® FTSE
Europe ETF Shares | | | 56,204 | | | | — | | | | — | | | | 56,204 | | |
| 1,287,806 | | | 3/7/2023 | | Goldman Sachs
International | | | 0.68 | % | | Vanguard® FTSE
Europe ETF Shares | | | (220,438 | ) | | | — | | | | 220,438 | | | | — | | |
| 21,306 | | | 11/9/2023 | | Morgan
Stanley & Co.
International plc | | | 1.28 | % | |
Vanguard® FTSE
Europe ETF Shares | | | (3,239 | ) | | | — | | | | — | | | | (3,239 | ) | |
| 3,098,783 | | | 3/7/2023 | | Societe Generale | | | 0.88 | % | | Vanguard® FTSE
Europe ETF Shares | | | (675,992 | ) | | | — | | | | 675,992 | | | | — | | |
| 598,924 | | | 3/7/2023 | | UBS AG | | | 0.83 | % | | Vanguard® FTSE
Europe ETF Shares | | | (163,224 | ) | | | — | | | | 163,224 | | | | — | | |
| 7,947,395 | | | | | | | | | | | | | | | | | | | | (1,091,360 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 56,204 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (1,147,564 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA FTSE EUROPE UPV :: 47
| Investments | | Shares | | Value | |
| Common Stocks (a) — 90.2% | |
| Biotechnology — 15.0% | |
| AbbVie, Inc. | | | 34,916 | | | $ | 5,145,571 | | |
| ACADIA Pharmaceuticals, Inc.* | | | 2,313 | | | | 37,355 | | |
| Agios Pharmaceuticals, Inc.* | | | 1,072 | | | | 20,872 | | |
| Alkermes plc* | | | 3,193 | | | | 95,311 | | |
| Allogene Therapeutics, Inc.* | | | 1,461 | | | | 11,586 | | |
| Alnylam Pharmaceuticals, Inc.* | | | 2,375 | | | | 298,775 | | |
| Amgen, Inc. | | | 11,123 | | | | 2,855,719 | | |
| Arrowhead Pharmaceuticals, Inc.* | | | 2,082 | | | | 69,455 | | |
| Beam Therapeutics, Inc.* | | | 890 | | | | 31,310 | | |
| Biogen, Inc.* | | | 2,903 | | | | 580,600 | | |
Biohaven Pharmaceutical Holding
Co. Ltd.* | | | 1,213 | | | | 174,344 | | |
| BioMarin Pharmaceutical, Inc.* | | | 3,626 | | | | 272,421 | | |
| Blueprint Medicines Corp.* | | | 1,164 | | | | 64,020 | | |
| Bridgebio Pharma, Inc.* | | | 2,123 | | | | 14,500 | | |
| CRISPR Therapeutics AG* | | | 1,391 | | | | 80,748 | | |
| Denali Therapeutics, Inc.*(b) | | | 1,830 | | | | 44,451 | | |
| Emergent BioSolutions, Inc.* | | | 947 | | | | 31,213 | | |
| Exact Sciences Corp.*(b) | | | 3,430 | | | | 170,848 | | |
| Exelixis, Inc.* | | | 6,247 | | | | 114,507 | | |
| Fate Therapeutics, Inc.* | | | 1,601 | | | | 36,983 | | |
| Gilead Sciences, Inc. | | | 24,776 | | | | 1,606,724 | | |
| Halozyme Therapeutics, Inc.*(b) | | | 2,781 | | | | 127,870 | | |
| Horizon Therapeutics plc* | | | 4,478 | | | | 401,632 | | |
| Incyte Corp.* | | | 3,716 | | | | 282,007 | | |
| Intellia Therapeutics, Inc.* | | | 1,369 | | | | 63,166 | | |
| Ionis Pharmaceuticals, Inc.* | | | 2,791 | | | | 101,927 | | |
| Mirati Therapeutics, Inc.* | | | 981 | | | | 38,416 | | |
| Moderna, Inc.* | | | 6,969 | | | | 1,012,805 | | |
| Natera, Inc.* | | | 1,740 | | | | 63,841 | | |
| Neurocrine Biosciences, Inc.* | | | 1,875 | | | | 175,294 | | |
| Novavax, Inc.*(b) | | | 1,493 | | | | 82,608 | | |
| Regeneron Pharmaceuticals, Inc.* | | | 2,112 | | | | 1,403,931 | | |
| Sarepta Therapeutics, Inc.* | | | 1,720 | | | | 125,250 | | |
| Seagen, Inc.* | | | 2,647 | | | | 359,145 | | |
| Twist Bioscience Corp.* | | | 1,065 | | | | 36,253 | | |
| Ultragenyx Pharmaceutical, Inc.* | | | 1,346 | | | | 63,127 | | |
| United Therapeutics Corp.* | | | 890 | | | | 205,003 | | |
| Vertex Pharmaceuticals, Inc.* | | | 5,029 | | | | 1,351,041 | | |
| Vir Biotechnology, Inc.* | | | 1,447 | | | | 37,347 | | |
| | | 17,687,976 | | |
| Health Care Equipment & Supplies — 17.7% | |
| Abbott Laboratories | | | 34,919 | | | | 4,101,586 | | |
| ABIOMED, Inc.* | | | 900 | | | | 237,330 | | |
| Align Technology, Inc.* | | | 1,449 | | | | 402,300 | | |
| Baxter International, Inc. | | | 9,892 | | | | 752,287 | | |
| Becton Dickinson and Co. | | | 5,624 | | | | 1,438,619 | | |
| Boston Scientific Corp.* | | | 28,143 | | | | 1,154,144 | | |
| Cooper Cos., Inc. (The) (b) | | | 974 | | | | 341,621 | | |
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| DENTSPLY SIRONA, Inc. | | | 4,316 | | | $ | 170,741 | | |
| Dexcom, Inc.* | | | 1,917 | | | | 571,151 | | |
| Edwards Lifesciences Corp.* | | | 12,339 | | | | 1,244,388 | | |
| Embecta Corp.* | | | 1,124 | | | | 27,853 | | |
| Enovis Corp.* | | | 895 | | | | 59,374 | | |
| Envista Holdings Corp.* | | | 3,186 | | | | 137,125 | | |
| Globus Medical, Inc., Class A* | | | 1,559 | | | | 103,829 | | |
| Haemonetics Corp.* | | | 1,008 | | | | 63,766 | | |
| Hologic, Inc.* | | | 4,939 | | | | 371,759 | | |
| ICU Medical, Inc.* | | | 396 | | | | 71,929 | | |
| IDEXX Laboratories, Inc.* | | | 1,675 | | | | 655,964 | | |
| Insulet Corp.*(b) | | | 1,364 | | | | 291,187 | | |
| Integra LifeSciences Holdings Corp.* | | | 1,438 | | | | 90,076 | | |
| Intuitive Surgical, Inc.* | | | 7,067 | | | | 1,608,732 | | |
| Masimo Corp.* | | | 1,002 | | | | 140,711 | | |
| Medtronic plc | | | 26,553 | | | | 2,659,283 | | |
| Neogen Corp.* | | | 2,127 | | | | 56,280 | | |
| Novocure Ltd.*(b) | | | 1,763 | | | | 141,710 | | |
| NuVasive, Inc.* | | | 1,023 | | | | 58,730 | | |
| Omnicell, Inc.* | | | 866 | | | | 96,265 | | |
| Penumbra, Inc.* | | | 694 | | | | 101,963 | | |
| QuidelOrtho Corp.* | | | 988 | | | | 93,890 | | |
| ResMed, Inc. | | | 2,890 | | | | 587,999 | | |
| Shockwave Medical, Inc.* | | | 698 | | | | 114,619 | | |
| STAAR Surgical Co.* | | | 940 | | | | 61,984 | | |
| STERIS plc | | | 1,977 | | | | 451,151 | | |
| Stryker Corp. | | | 6,632 | | | | 1,555,204 | | |
| Tandem Diabetes Care, Inc.* | | | 1,255 | | | | 85,553 | | |
| Teleflex, Inc. | | | 926 | | | | 266,447 | | |
| Zimmer Biomet Holdings, Inc. | | | 4,127 | | | | 496,107 | | |
| Zimvie, Inc.* | | | 412 | | | | 8,969 | | |
| | | 20,872,626 | | |
| Health Care Providers & Services — 19.4% | |
| 1Life Healthcare, Inc.* | | | 3,355 | | | | 28,417 | | |
| Acadia Healthcare Co., Inc.* | | | 1,777 | | | | 126,469 | | |
| agilon health, Inc.* | | | 933 | | | | 17,820 | | |
| Amedisys, Inc.* | | | 643 | | | | 74,530 | | |
| Anthem, Inc. | | | 4,795 | | | | 2,443,580 | | |
| Centene Corp.* | | | 11,535 | | | | 939,410 | | |
| Chemed Corp. | | | 302 | | | | 146,289 | | |
| Cigna Corp. | | | 6,377 | | | | 1,710,885 | | |
| Covetrus, Inc.* | | | 2,040 | | | | 42,473 | | |
| CVS Health Corp. | | | 25,922 | | | | 2,507,954 | | |
| DaVita, Inc.* | | | 1,218 | | | | 118,743 | | |
| Encompass Health Corp. | | | 1,968 | | | | 128,983 | | |
| Guardant Health, Inc.* | | | 2,008 | | | | 82,288 | | |
| HCA Healthcare, Inc. | | | 4,733 | | | | 995,823 | | |
| HealthEquity, Inc.* | | | 1,650 | | | | 103,257 | | |
| Henry Schein, Inc.* | | | 2,740 | | | | 234,654 | | |
| Humana, Inc. | | | 2,537 | | | | 1,152,382 | | |
| Invitae Corp.* | | | 4,110 | | | | 15,084 | | |
See accompanying notes to the financial statements.
48 :: RXL ULTRA HEALTH CARE :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
Laboratory Corp. of America
Holdings | | | 1,838 | | | $ | 453,471 | | |
| LHC Group, Inc.* | | | 628 | | | | 104,662 | | |
| McKesson Corp. | | | 2,958 | | | | 972,265 | | |
| Molina Healthcare, Inc.* | | | 1,152 | | | | 334,333 | | |
| Oak Street Health, Inc.*(b) | | | 2,757 | | | | 52,052 | | |
| Premier, Inc., Class A | | | 2,351 | | | | 87,951 | | |
| Quest Diagnostics, Inc. | | | 2,349 | | | | 331,256 | | |
| R1 RCM, Inc.* | | | 2,637 | | | | 56,616 | | |
| Signify Health, Inc., Class A*(b) | | | 473 | | | | 6,447 | | |
| Tenet Healthcare Corp.* | | | 2,116 | | | | 136,926 | | |
| UnitedHealth Group, Inc. | | | 18,601 | | | | 9,240,605 | | |
| Universal Health Services, Inc., Class B | | | 1,444 | | | | 179,937 | | |
| | | 22,825,562 | | |
| Health Care Technology — 0.2% | |
| American Well Corp., Class A*(b) | | | 3,864 | | | | 14,606 | | |
| Doximity, Inc., Class A*(b) | | | 1,832 | | | | 64,102 | | |
| GoodRx Holdings, Inc., Class A* | | | 1,355 | | | | 10,799 | | |
| Teladoc Health, Inc.*(b) | | | 3,162 | | | | 107,793 | | |
| | | 197,300 | | |
| Life Sciences Tools & Services — 11.4% | |
| 10X Genomics, Inc., Class A*(b) | | | 1,807 | | | | 92,500 | | |
| Agilent Technologies, Inc. | | | 5,932 | | | | 756,686 | | |
| Avantor, Inc.* | | | 12,030 | | | | 385,441 | | |
| Azenta, Inc. (b) | | | 1,479 | | | | 113,351 | | |
| Berkeley Lights, Inc.* | | | 824 | | | | 3,939 | | |
| Bio-Rad Laboratories, Inc., Class A* | | | 428 | | | | 230,174 | | |
| Bio-Techne Corp. | | | 775 | | | | 286,541 | | |
| Bruker Corp. | | | 2,008 | | | | 125,460 | | |
Charles River Laboratories
International, Inc.* | | | 994 | | | | 232,675 | | |
| Danaher Corp. | | | 12,575 | | | | 3,317,536 | | |
| Illumina, Inc.* | | | 3,085 | | | | 738,796 | | |
| IQVIA Holdings, Inc.* | | | 3,774 | | | | 812,353 | | |
Maravai LifeSciences Holdings, Inc.,
Class A* | | | 2,156 | | | | 67,159 | | |
| Medpace Holdings, Inc.* | | | 569 | | | | 81,504 | | |
| Mettler-Toledo International, Inc.* | | | 456 | | | | 586,471 | | |
| NeoGenomics, Inc.* | | | 2,433 | | | | 20,486 | | |
| Pacific Biosciences of California, Inc.* | | | 4,351 | | | | 24,496 | | |
| Repligen Corp.* | | | 1,016 | | | | 167,102 | | |
| Sotera Health Co.* | | | 1,956 | | | | 41,663 | | |
| Syneos Health, Inc.* | | | 2,049 | | | | 151,401 | | |
| Thermo Fisher Scientific, Inc. | | | 7,781 | | | | 4,416,262 | | |
| Waters Corp.* | | | 1,206 | | | | 395,508 | | |
| West Pharmaceutical Services, Inc. | | | 1,461 | | | | 453,465 | | |
| | | 13,500,969 | | |
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| Pharmaceuticals — 26.5% | |
| Bristol-Myers Squibb Co. | | | 43,045 | | | $ | 3,247,745 | | |
| Catalent, Inc.* | | | 3,538 | | | | 364,626 | | |
| Elanco Animal Health, Inc.* | | | 9,338 | | | | 221,311 | | |
| Eli Lilly & Co. | | | 15,681 | | | | 4,915,053 | | |
| Jazz Pharmaceuticals plc*(b) | | | 1,214 | | | | 181,711 | | |
| Johnson & Johnson | | | 52,002 | | | | 9,335,918 | | |
| Merck & Co., Inc. | | | 49,884 | | | | 4,590,824 | | |
| Nektar Therapeutics*(b) | | | 3,643 | | | | 12,678 | | |
| Organon & Co. | | | 5,010 | | | | 190,180 | | |
| Perrigo Co. plc | | | 2,641 | | | | 105,270 | | |
| Pfizer, Inc. | | | 110,924 | | | | 5,883,409 | | |
| Royalty Pharma plc, Class A | | | 7,040 | | | | 289,626 | | |
| Viatris, Inc. | | | 23,883 | | | | 293,044 | | |
| Zoetis, Inc. | | | 9,346 | | | | 1,597,512 | | |
| | | 31,228,907 | | |
Total Common Stocks
(Cost $116,378,255) | | | | | 106,313,340 | | |
| Securities Lending Reinvestments (c) — 0.0% (d) | |
| Investment Companies — 0.0% (d) | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $51,462) | | | 51,462 | | | | 51,462 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 18.3% | |
| Repurchase Agreements (e) — 18.3% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $21,513,130
(Cost $21,512,698) | | $ | 21,512,698 | | | | 21,512,698 | | |
Total Investments — 108.5%
(Cost $137,942,415) | | | | | 127,877,500 | | |
| Liabilities in excess of other assets — (8.5%) | | | | | (10,034,845 | ) | |
| Net Assets — 100.0% | | | | $ | 117,842,655 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $49,927,581.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $906,626, collateralized in the form of cash with a value of $51,462 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $927,680 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 5.50%, and maturity dates ranging from June 15, 2022 - November 15, 2051. The total value of collateral is $979,142.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA HEALTH CARE RXL :: 49
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $51,462.
(d) Represents less than 0.05% of net assets.
(e) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 7,052,373 | | |
| Aggregate gross unrealized depreciation | | | (28,368,044 | ) | |
| Net unrealized depreciation | | $ | (21,315,671 | ) | |
| Federal income tax cost | | $ | 137,989,087 | | |
Swap Agreementsa
Ultra Health Care had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 23,003,077 | | | 5/8/2023 | |
Bank of
America NA | | | 1.28 | % | | Dow Jones U.S.
Health CareSM
Indexf | | | (772,278 | ) | | | 763,369 | | | | 8,909 | | | | — | | |
| 28,521,627 | | | 4/10/2023 | | Citibank NA | | | 1.13 | % | | Dow Jones U.S.
Health CareSM
Indexf | | | (1,971,693 | ) | | | 1,963,073 | | | | 8,620 | | | | — | | |
| 27,131,115 | | | 3/7/2023 | |
Goldman Sachs
International | | | 1.43 | % | | Dow Jones U.S.
Health CareSM
Indexf | | | (1,779,337 | ) | | | 676,886 | | | | 1,102,451 | | | | — | | |
| 496,712 | | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | 1.43 | % | | Dow Jones U.S.
Health CareSM
Indexf | | | 48,645 | | | | — | | | | (48,645 | ) | | | — | | |
| 20,353,949 | | | 3/7/2023 | | Societe Generale | | | 1.48 | % | | Dow Jones U.S.
Health CareSM
Indexf | | | (3,789,102 | ) | | | 3,781,660 | | | | 7,442 | | | | — | | |
| 30,241,876 | | | 11/6/2023 | | UBS AG | | | 1.18 | % | | Dow Jones U.S.
Health CareSM
Indexf | | | (2,940,319 | ) | | | 2,904,729 | | | | 35,590 | | | | — | | |
| 129,748,356 | | | | | | | | | | | | | | | | | | | | (11,204,084 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 48,645 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (11,252,729 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the preceding Schedule of Portfolio Investments for the representative components of the underlying reference instrument and their relative weightings.
See accompanying notes to the financial statements.
50 :: RXL ULTRA HEALTH CARE :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 24.5% | |
| Repurchase Agreements (a) — 24.5% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $4,957,780
(Cost $4,957,679) | | $ | 4,957,679 | | | $ | 4,957,679 | | |
Total Investments — 24.5%
(Cost $4,957,679) | | | | | 4,957,679 | | |
| Other assets less liabilities — 75.5% | | | | | 15,268,907 | | |
| Net Assets — 100.0% | | | | $ | 20,226,586 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | — | | |
| Aggregate gross unrealized depreciation | | | (2,571,284 | ) | |
| Net unrealized depreciation | | $ | (2,571,284 | ) | |
| Federal income tax cost | | $ | 4,957,679 | | |
Swap Agreementsa,f
Ultra High Yield had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 8,915,349 | | | 4/10/2023 | |
Citibank NA | | | 0.58 | % | | iShares® iBoxx $
High Yield Corporate
Bond ETF | | | (630,073 | ) | | | — | | | | 630,073 | | | | — | | |
| 1,499,254 | | | 4/10/2023 | |
Credit Suisse
International | | | 1.33 | % | | iShares® iBoxx $
High Yield Corporate
Bond ETF | | | (344,288 | ) | | | — | | | | 344,288 | | | | — | | |
| 22,496,824 | | | 3/7/2023 | |
Goldman Sachs
International | | | (1.42 | )% | | iShares® iBoxx $
High Yield Corporate
Bond ETF | | | (716,121 | ) | | | — | | | | 716,121 | | | | — | | |
| 7,475,424 | | | 11/7/2022 | |
UBS AG | | | (0.67 | )% | | iShares® iBoxx $
High Yield Corporate
Bond ETF | | | (880,802 | ) | | | — | | | | 880,802 | | | | — | | |
| 40,386,851 | | | | | | | | | | | | | | | | | | | | (2,571,284 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (2,571,284 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation and final settlement of these swap transactions as of the time the Fund calculates its NAV, which differs from the time the Fund's underlying index is calculated, one or more exchange-traded financial products are used as the reference entity, as a surrogate for the respective underlying index.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA HIGH YIELD UJB :: 51
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) — 92.9% | |
3M Co. (Industrial
Conglomerates) | | | 1.8 | % | | | 2,038 | | | $ | 304,253 | | |
Accenture plc, Class A
(IT Services) | | | 4.0 | % | | | 2,257 | | | | 673,624 | | |
AMETEK, Inc. (Electrical
Equipment) | | | 0.6 | % | | | 826 | | | | 100,334 | | |
Amphenol Corp., Class A
(Electronic Equipment,
Instruments & Components) | | | 0.9 | % | | | 2,137 | | | | 151,428 | | |
Automatic Data
Processing, Inc. (IT Services) | | | 2.0 | % | | | 1,500 | | | | 334,410 | | |
Ball Corp. (Containers &
Packaging) | | | 0.5 | % | | | 1,155 | | | | 81,878 | | |
Block, Inc., Class A*
(IT Services) | | | 0.9 | % | | | 1,788 | | | | 156,468 | | |
Boeing Co. (The)*
(Aerospace & Defense) | | | 1.5 | % | | | 1,957 | | | | 257,150 | | |
Carrier Global Corp. (Building
Products) | | | 0.7 | % | | | 3,053 | | | | 120,013 | | |
| Caterpillar, Inc. (Machinery) | | | 2.5 | % | | | 1,931 | | | | 416,806 | | |
Cintas Corp. (Commercial
Services & Supplies) | | | 0.8 | % | | | 316 | | | | 125,872 | | |
Corning, Inc. (Electronic
Equipment, Instruments &
Components) | | | 0.6 | % | | | 2,666 | | | | 95,496 | | |
| CSX Corp. (Road & Rail) | | | 1.5 | % | | | 7,920 | | | | 251,777 | | |
| Cummins, Inc. (Machinery) | | | 0.6 | % | | | 508 | | | | 106,233 | | |
| Deere & Co. (Machinery) | | | 2.1 | % | | | 1,001 | | | | 358,138 | | |
Eaton Corp. plc (Electrical
Equipment) | | | 1.2 | % | | | 1,424 | | | | 197,366 | | |
Emerson Electric Co.
(Electrical Equipment) | | | 1.1 | % | | | 2,123 | | | | 188,225 | | |
Equifax, Inc. (Professional
Services) | | | 0.5 | % | | | 436 | | | | 88,325 | | |
Fastenal Co. (Trading
Companies & Distributors) | | | 0.7 | % | | | 2,054 | | | | 110,012 | | |
FedEx Corp. (Air Freight &
Logistics) | | | 1.2 | % | | | 870 | | | | 195,385 | | |
Fidelity National Information
Services, Inc. (IT Services) | | | 1.4 | % | | | 2,173 | | | | 227,078 | | |
| Fiserv, Inc.* (IT Services) | | | 1.3 | % | | | 2,123 | | | | 212,682 | | |
General Dynamics Corp.
(Aerospace & Defense) | | | 1.1 | % | | | 822 | | | | 184,876 | | |
General Electric Co.
(Industrial Conglomerates) | | | 1.9 | % | | | 3,924 | | | | 307,210 | | |
Global Payments, Inc.
(IT Services) | | | 0.8 | % | | | 1,015 | | | | 133,006 | | |
Honeywell International, Inc.
(Industrial Conglomerates) | | | 2.8 | % | | | 2,448 | | | | 473,982 | | |
Illinois Tool Works, Inc.
(Machinery) | | | 1.3 | % | | | 1,019 | | | | 212,023 | | |
Johnson Controls
International plc (Building
Products) | | | 0.8 | % | | | 2,506 | | | | 136,602 | | |
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) (continued) | |
Keysight Technologies, Inc.*
(Electronic Equipment,
Instruments & Components) | | | 0.6 | % | | | 654 | | | $ | 95,222 | | |
L3Harris Technologies, Inc.
(Aerospace & Defense) | | | 1.0 | % | | | 702 | | | | 169,112 | | |
Lockheed Martin Corp.
(Aerospace & Defense) | | | 2.3 | % | | | 864 | | | | 380,255 | | |
Norfolk Southern Corp.
(Road & Rail) | | | 1.3 | % | | | 857 | | | | 205,389 | | |
Northrop Grumman Corp.
(Aerospace & Defense) | | | 1.5 | % | | | 524 | | | | 245,216 | | |
Old Dominion Freight Line,
Inc. (Road & Rail) | | | 0.5 | % | | | 333 | | | | 85,994 | | |
Otis Worldwide Corp.
(Machinery) | | | 0.7 | % | | | 1,518 | | | | 112,939 | | |
| PACCAR, Inc. (Machinery) | | | 0.6 | % | | | 1,239 | | | | 107,595 | | |
Parker-Hannifin Corp.
(Machinery) | | | 0.8 | % | | | 458 | | | | 124,654 | | |
| Paychex, Inc. (IT Services) | | | 0.9 | % | | | 1,144 | | | | 141,662 | | |
PayPal Holdings, Inc.*
(IT Services) | | | 2.1 | % | | | 4,160 | | | | 354,474 | | |
Raytheon Technologies Corp.
(Aerospace & Defense) | | | 3.0 | % | | | 5,327 | | | | 506,704 | | |
Republic Services, Inc.
(Commercial Services &
Supplies) | | | 0.6 | % | | | 746 | | | | 99,845 | | |
Rockwell Automation, Inc.
(Electrical Equipment) | | | 0.5 | % | | | 415 | | | | 88,478 | | |
Sherwin-Williams Co. (The)
(Chemicals) | | | 1.4 | % | | | 861 | | | | 230,782 | | |
TE Connectivity Ltd.
(Electronic Equipment,
Instruments & Components) | | | 0.9 | % | | | 1,164 | | | | 150,610 | | |
Trane Technologies plc
(Building Products) | | | 0.7 | % | | | 834 | | | | 115,142 | | |
TransDigm Group, Inc.*
(Aerospace & Defense) | | | 0.7 | % | | | 187 | | | | 113,204 | | |
Union Pacific Corp.
(Road & Rail) | | | 3.0 | % | | | 2,274 | | | | 499,780 | | |
United Parcel Service, Inc.,
Class B (Air Freight &
Logistics) | | | 2.8 | % | | | 2,603 | | | | 474,397 | | |
Verisk Analytics, Inc.
(Professional Services) | | | 0.6 | % | | | 576 | | | | 100,754 | | |
Waste Management, Inc.
(Commercial Services &
Supplies) | | | 1.3 | % | | | 1,375 | | | | 217,951 | | |
| Other Common Stocks (b) | | | 28.0 | % | | | 68,975 | | | | 4,669,677 | | |
Total Common Stocks
(Cost $19,657,799) | | | | | | | 15,490,488 | | |
| Securities Lending Reinvestments (c) — 0.1% | |
| Investment Companies — 0.1% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $20,871) | | | 0.1 | % | | | 20,871 | | | | 20,871 | | |
See accompanying notes to the financial statements.
52 :: UXI ULTRA INDUSTRIALS :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| | | Principal
Amount | | Value | |
| Short-Term Investments — 18.9% | |
| Repurchase Agreements (d) — 18.9% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $3,162,194
(Cost $3,162,129) | | $ | 3,162,129 | | | $ | 3,162,129 | | |
Total Investments — 111.9%
(Cost $22,840,799) | | | | | 18,673,488 | | |
| Liabilities in excess of other assets — (11.9%) | | | | | (1,979,686 | ) | |
| Net Assets — 100.0% | | | | $ | 16,693,802 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $11,320,626.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $60,891, collateralized in the form of cash with a value of $20,871 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $43,217 of collateral in the form of U.S. Government
Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 30, 2022 - August 15, 2050. The total value of collateral is $64,088.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $20,871.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 262,357 | | |
| Aggregate gross unrealized depreciation | | | (9,399,564 | ) | |
| Net unrealized depreciation | | $ | (9,137,207 | ) | |
| Federal income tax cost | | $ | 22,844,286 | | |
Swap Agreementsa
Ultra Industrials had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Underlying
Instrument | |
Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 5,123,654 | | | 5/8/2023 | |
Bank of
America NA | | | 1.13 | % | | Dow Jones U.S.
IndustrialsSM
Index | | | (1,339,485 | ) | | | 1,339,391 | | | | 94 | | | | — | | |
| 5,292,014 | | | 11/7/2022 | |
Citibank NA | | | 1.13 | % | | Dow Jones U.S.
IndustrialsSM
Index | | | (1,105,837 | ) | | | 1,102,160 | | | | 3,677 | | | | — | | |
| 4,114,455 | | | 3/7/2023 | |
Goldman Sachs
International | | | 1.43 | % | | Dow Jones U.S.
IndustrialsSM
Index | | | (1,507,066 | ) | | | — | | | | 1,507,066 | | | | — | | |
| 468,783 | | | 4/10/2023 | | Morgan
Stanley & Co.
International plc | | | 1.43 | % | | Dow Jones U.S.
IndustrialsSM
Index | | | (83,633 | ) | | | 80,660 | | | | 2,973 | | | | — | | |
| 1,911,550 | | | 3/7/2023 | |
Societe
Generale | | | 1.38 | % | | Dow Jones U.S.
IndustrialsSM
Index | | | (533,853 | ) | | | 449,915 | | | | 83,938 | | | | — | | |
| 1,006,669 | | | 3/7/2023 | |
UBS AG | | | 1.18 | % | | Dow Jones U.S.
IndustrialsSM
Index | | | (396,535 | ) | | | 260,160 | | | | 136,375 | | | | — | | |
| 17,917,125 | | | | | | | | | | | | | | | | | | | | (4,966,409 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (4,966,409 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA INDUSTRIALS UXI :: 53
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Ultra Industrials invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
| Aerospace & Defense | | | 12.9 | % | |
| Air Freight & Logistics | | | 4.8 | % | |
| Building Products | | | 4.5 | % | |
| Chemicals | | | 1.4 | % | |
| Commercial Services & Supplies | | | 3.2 | % | |
| Construction & Engineering | | | 1.2 | % | |
| Construction Materials | | | 1.0 | % | |
| Containers & Packaging | | | 3.4 | % | |
| Electrical Equipment | | | 4.9 | % | |
| Electronic Equipment, Instruments & Components | | | 5.5 | % | |
| Industrial Conglomerates | | | 6.5 | % | |
| IT Services | | | 15.9 | % | |
| Life Sciences Tools & Services | | | 0.4 | % | |
| Machinery | | | 13.7 | % | |
| Marine | | | 0.1 | % | |
| Paper & Forest Products | | | 0.1 | % | |
| Professional Services | | | 4.0 | % | |
| Road & Rail | | | 7.1 | % | |
| Trading Companies & Distributors | | | 2.3 | % | |
| Othera | | | 7.1 | % | |
| | | 100.0 | % | |
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
54 :: UXI ULTRA INDUSTRIALS :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) — 91.4% | |
AECOM (Construction &
Engineering) | | | 0.4 | % | | | 7,381 | | | $ | 515,563 | | |
| Alcoa Corp. (Metals & Mining) | | | 0.5 | % | | | 9,614 | | | | 593,376 | | |
| Alleghany Corp.* (Insurance) | | | 0.5 | % | | | 715 | | | | 596,153 | | |
American Campus
Communities, Inc.
(Equity Real Estate
Investment Trusts (REITs)) | | | 0.4 | % | | | 7,267 | | | | 472,355 | | |
American Financial Group,
Inc. (Insurance) | | | 0.4 | % | | | 3,458 | | | | 488,615 | | |
Arrow Electronics, Inc.*
(Electronic Equipment,
Instruments & Components) | | | 0.3 | % | | | 3,554 | | | | 428,790 | | |
Builders FirstSource, Inc.*
(Building Products) | | | 0.5 | % | | | 10,000 | | | | 650,900 | | |
Carlisle Cos., Inc. (Building
Products) | | | 0.6 | % | | | 2,730 | | | | 694,594 | | |
Cleveland-Cliffs, Inc.*
(Metals & Mining) | | | 0.5 | % | | | 24,967 | | | | 578,735 | | |
Cognex Corp. (Electronic
Equipment, Instruments &
Components) | | | 0.4 | % | | | 9,232 | | | | 447,014 | | |
Darling Ingredients, Inc.*
(Food Products) | | | 0.5 | % | | | 8,450 | | | | 676,591 | | |
East West Bancorp, Inc.
(Banks) | | | 0.4 | % | | | 7,411 | | | | 545,005 | | |
EQT Corp. (Oil, Gas &
Consumable Fuels) | | | 0.6 | % | | | 15,709 | | | | 749,634 | | |
Essential Utilities, Inc. (Water
Utilities) | | | 0.4 | % | | | 12,012 | | | | 555,675 | | |
| Fair Isaac Corp.* (Software) | | | 0.5 | % | | | 1,372 | | | | 561,903 | | |
| First Horizon Corp. (Banks) | | | 0.5 | % | | | 27,886 | | | | 636,637 | | |
| Graco, Inc. (Machinery) | | | 0.5 | % | | | 8,876 | | | | 561,851 | | |
Hubbell, Inc. (Electrical
Equipment) | | | 0.4 | % | | | 2,841 | | | | 539,392 | | |
Jabil, Inc. (Electronic
Equipment, Instruments &
Components) | | | 0.4 | % | | | 7,493 | | | | 460,969 | | |
Jazz Pharmaceuticals plc*(b)
(Pharmaceuticals) | | | 0.4 | % | | | 3,210 | | | | 480,473 | | |
Jones Lang LaSalle, Inc.*
(Real Estate Management &
Development) | | | 0.4 | % | | | 2,635 | | | | 519,938 | | |
Knight-Swift Transportation
Holdings, Inc. (Road & Rail) | | | 0.3 | % | | | 8,666 | | | | 421,514 | | |
Lamar Advertising Co.,
Class A (Equity Real Estate
Investment Trusts (REITs)) | | | 0.4 | % | | | 4,534 | | | | 444,105 | | |
| Lear Corp. (Auto Components) | | | 0.3 | % | | | 3,117 | | | | 439,372 | | |
Life Storage, Inc. (Equity
Real Estate Investment
Trusts (REITs)) | | | 0.4 | % | | | 4,283 | | | | 500,083 | | |
Lithia Motors, Inc. (Specialty
Retail) | | | 0.4 | % | | | 1,581 | | | | 481,367 | | |
| Mattel, Inc.* (Leisure Products) | | | 0.4 | % | | | 18,295 | | | | 459,570 | | |
Medical Properties Trust, Inc.
(Equity Real Estate
Investment Trusts (REITs)) | | | 0.5 | % | | | 31,165 | | | | 579,046 | | |
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) (continued) | |
Middleby Corp. (The)*(b)
(Machinery) | | | 0.3 | % | | | 2,905 | | | $ | 439,991 | | |
Neurocrine Biosciences,
Inc.*(b) (Biotechnology) | | | 0.4 | % | | | 4,954 | | | | 463,149 | | |
OGE Energy Corp. (Electric
Utilities) | | | 0.3 | % | | | 10,453 | | | | 431,709 | | |
| Olin Corp. (Chemicals) | | | 0.4 | % | | | 7,369 | | | | 484,807 | | |
Owens Corning (Building
Products) | | | 0.4 | % | | | 5,247 | | | | 501,508 | | |
Range Resources Corp.* (Oil,
Gas & Consumable Fuels) | | | 0.4 | % | | | 13,045 | | | | 442,878 | | |
Regal Rexnord Corp. (Electrical
Equipment) | | | 0.4 | % | | | 3,539 | | | | 442,198 | | |
Reinsurance Group of
America, Inc. (Insurance) | | | 0.4 | % | | | 3,508 | | | | 441,482 | | |
Reliance Steel & Aluminum
Co. (Metals & Mining) | | | 0.5 | % | | | 3,272 | | | | 636,077 | | |
Repligen Corp.* (Life Sciences
Tools & Services) | | | 0.4 | % | | | 2,686 | | | | 441,766 | | |
Rexford Industrial Realty, Inc.
(Equity Real Estate
Investment Trusts (REITs)) | | | 0.4 | % | | | 8,369 | | | | 534,528 | | |
RPM International, Inc.
(Chemicals) | | | 0.5 | % | | | 6,773 | | | | 596,701 | | |
Service Corp. International
(Diversified Consumer
Services) | | | 0.5 | % | | | 8,611 | | | | 603,028 | | |
Steel Dynamics, Inc.
(Metals & Mining) | | | 0.7 | % | | | 9,845 | | | | 840,566 | | |
Targa Resources Corp. (Oil,
Gas & Consumable Fuels) | | | 0.7 | % | | | 11,958 | | | | 861,215 | | |
| Toro Co. (The) (Machinery) | | | 0.4 | % | | | 5,478 | | | | 451,880 | | |
| UGI Corp. (Gas Utilities) | | | 0.4 | % | | | 10,956 | | | | 468,259 | | |
United Therapeutics Corp.*
(Biotechnology) | | | 0.4 | % | | | 2,353 | | | | 541,990 | | |
Watsco, Inc.(b) (Trading
Companies & Distributors) | | | 0.3 | % | | | 1,725 | | | | 440,962 | | |
Webster Financial Corp.
(Banks) | | | 0.4 | % | | | 9,389 | | | | 460,906 | | |
Williams-Sonoma, Inc.
(Specialty Retail) | | | 0.4 | % | | | 3,809 | | | | 487,247 | | |
Wolfspeed, Inc.*(b)
(Semiconductors &
Semiconductor Equipment) | | | 0.4 | % | | | 6,453 | | | | 485,459 | | |
| Other Common Stocks (b) | | | 69.8 | % | | | 1,845,356 | | | | 85,738,948 | | |
Total Common Stocks
(Cost $109,928,309) | | | | | | | 112,316,474 | | |
| Securities Lending Reinvestments (c) — 0.2% | |
| Investment Companies — 0.2% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $246,710) | | | 0.2 | % | | | 246,710 | | | | 246,710 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA MIDCAP400 MVV :: 55
| | | Principal
Amount | | Value | |
| Short-Term Investments — 30.4% | |
| Repurchase Agreements (d) — 30.4% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $37,349,036
(Cost $37,348,285) | | $ | 37,348,285 | | | $ | 37,348,285 | | |
Total Investments — 122.0%
(Cost $147,523,304) | | | | | 149,911,469 | | |
| Liabilities in excess of other assets — (22.0%) | | | | | (26,997,137 | ) | |
| Net Assets — 100.0% | | | | $ | 122,914,332 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $71,368,912.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $1,025,179, collateralized in the form of cash with a value of $246,710 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $829,608 of collateral in the form of
U.S. Government Treasury Securities, interest rates ranging from 0.00% - 5.50%, and maturity dates ranging from June 15, 2022 - May 15, 2051. The total value of collateral is $1,076,318.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $246,710.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 13,078,196 | | |
| Aggregate gross unrealized depreciation | | | (40,224,142 | ) | |
| Net unrealized depreciation | | $ | (27,145,946 | ) | |
| Federal income tax cost | | $ | 150,765,718 | | |
Futures Contracts Purchased
Ultra MidCap400 had the following open long futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| S&P Midcap 400 E-Mini Index | | | 45 | | | 6/17/2022 | | USD | | | | $ | 11,309,400 | | | $ | 111,178 | | |
Swap Agreementsa
Ultra MidCap400 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 15,156,700 | | | 5/8/2023 | | Bank of
America NA | | | 1.23 | % | | S&P
MidCap 400® | | | (2,482,114 | ) | | | 2,386,301 | | | | 95,813 | | | | — | | |
| 28,628,483 | | | 5/8/2023 | |
BNP Paribas SA | | | 1.28 | % | | S&P
MidCap 400® | | | (7,239,855 | ) | | | 7,132,301 | | | | 107,554 | | | | — | | |
| 10,018,963 | | | 4/10/2023 | |
Citibank NA | | | 1.23 | % | | S&P
MidCap 400® | | | (3,151,499 | ) | | | 3,119,808 | | | | 31,691 | | | | — | | |
| 12,689,859 | | | 3/7/2023 | |
Goldman Sachs
International | | | 1.10 | % | | SPDR® S&P
MidCap 400®
ETF Trust | | | (4,429,808 | ) | | | | | | | | | | | | | |
| 15,476,079 | | | 3/7/2023 | | Goldman Sachs
International | | | 1.33 | % | | S&P
MidCap 400® | | | (2,381,366 | ) | | | | | | | | | | | | | |
| 28,165,938 | | | | | | | | | | | | | | | | (6,811,174 | ) | | | 6,701,299 | | | | 109,875 | | | | — | | |
| 2,197,935 | | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | 1.38 | % | |
S&P
MidCap 400® | | | (40,433 | ) | | | 36,127 | | | | 4,306 | | | | — | | |
See accompanying notes to the financial statements.
56 :: MVV ULTRA MIDCAP400 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 15,868,388 | | | 3/7/2023 | |
Societe Generale | | | 1.10 | % | | S&P
MidCap 400® | | | (3,602,639 | ) | | | 3,573,171 | | | | 29,468 | | | | — | | |
| 22,205,684 | | | 3/7/2023 | |
UBS AG | | | 1.18 | % | | S&P
MidCap 400® | | | (3,075,161 | ) | | | 3,068,997 | | | | 6,164 | | | | — | | |
| 122,242,091 | | | | | | | | | | | | | | | | | | | | (26,402,875 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (26,402,875 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
Ultra MidCap400 invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
| Aerospace & Defense | | | 1.2 | % | |
| Air Freight & Logistics | | | 0.2 | % | |
| Airlines | | | 0.1 | % | |
| Auto Components | | | 1.3 | % | |
| Automobiles | | | 0.4 | % | |
| Banks | | | 6.3 | % | |
| Beverages | | | 0.1 | % | |
| Biotechnology | | | 1.5 | % | |
| Building Products | | | 2.3 | % | |
| Capital Markets | | | 1.8 | % | |
| Chemicals | | | 2.7 | % | |
| Commercial Services & Supplies | | | 1.4 | % | |
| Communications Equipment | | | 0.8 | % | |
| Construction & Engineering | | | 1.6 | % | |
| Construction Materials | | | 0.2 | % | |
| Consumer Finance | | | 0.5 | % | |
| Containers & Packaging | | | 0.8 | % | |
| Diversified Consumer Services | | | 1.0 | % | |
| Diversified Financial Services | | | 0.3 | % | |
| Diversified Telecommunication Services | | | 0.2 | % | |
| Electric Utilities | | | 1.1 | % | |
| Electrical Equipment | | | 1.7 | % | |
| Electronic Equipment, Instruments & Components | | | 2.9 | % | |
| Energy Equipment & Services | | | 0.5 | % | |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA MIDCAP400 MVV :: 57
| Entertainment | | | 0.1 | % | |
| Equity Real Estate Investment Trusts (REITs) | | | 8.1 | % | |
| Food & Staples Retailing | | | 1.2 | % | |
| Food Products | | | 1.7 | % | |
| Gas Utilities | | | 1.5 | % | |
| Health Care Equipment & Supplies | | | 2.7 | % | |
| Health Care Providers & Services | | | 2.3 | % | |
| Hotels, Restaurants & Leisure | | | 2.5 | % | |
| Household Durables | | | 1.4 | % | |
| Household Products | | | 0.1 | % | |
| Insurance | | | 3.9 | % | |
| Interactive Media & Services | | | 0.3 | % | |
| IT Services | | | 2.1 | % | |
| Leisure Products | | | 1.2 | % | |
| Life Sciences Tools & Services | | | 1.4 | % | |
| Machinery | | | 4.0 | % | |
| Marine | | | 0.2 | % | |
| Media | | | 0.8 | % | |
| Metals & Mining | | | 3.0 | % | |
| Multiline Retail | | | 0.8 | % | |
| Multi-Utilities | | | 0.4 | % | |
| Oil, Gas & Consumable Fuels | | | 3.6 | % | |
| Paper & Forest Products | | | 0.3 | % | |
| Personal Products | | | 0.3 | % | |
| Pharmaceuticals | | | 0.6 | % | |
| Professional Services | | | 1.6 | % | |
| Real Estate Management & Development | | | 0.4 | % | |
| Road & Rail | | | 1.6 | % | |
| Semiconductors & Semiconductor Equipment | | | 3.1 | % | |
| Software | | | 3.0 | % | |
| Specialty Retail | | | 2.8 | % | |
| Technology Hardware, Storage & Peripherals | | | 0.1 | % | |
| Textiles, Apparel & Luxury Goods | | | 1.4 | % | |
| Thrifts & Mortgage Finance | | | 0.6 | % | |
| Trading Companies & Distributors | | | 0.9 | % | |
| Water Utilities | | | 0.5 | % | |
| Othera | | | 8.6 | % | |
| | | 100.0 | % | |
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
58 :: MVV ULTRA MIDCAP400 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 60.3% | |
| Repurchase Agreements (a) — 60.3% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $5,752,259
(Cost $5,752,142) | | $ | 5,752,142 | | | $ | 5,752,142 | | |
Total Investments — 60.3%
(Cost $5,752,142) | | | | | 5,752,142 | | |
| Other assets less liabilities — 39.7% | | | | | 3,790,371 | | |
| Net Assets — 100.0% | | | | $ | 9,542,513 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 19,592 | | |
| Aggregate gross unrealized depreciation | | | (2,292,805 | ) | |
| Net unrealized depreciation | | $ | (2,273,213 | ) | |
| Federal income tax cost | | $ | 5,752,142 | | |
Swap Agreementsa,f
Ultra MSCI Brazil Capped had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 271,009 | | | 11/9/2022 | | Bank of
America NA | | | 1.13 | % | | iShares® MSCI
Brazil Capped ETF | | | (1,138,355 | ) | | | — | | | | 1,138,355 | | | | — | | |
| 7,106,320 | | | 4/10/2023 | |
Citibank NA | | | 1.13 | % | | iShares® MSCI
Brazil Capped ETF | | | (115,343 | ) | | | — | | | | 115,343 | | | | — | | |
| 4,518,410 | | | 4/10/2023 | | Goldman Sachs
International | | | (0.17 | )% | | iShares® MSCI
Brazil Capped ETF | | | (630,289 | ) | | | — | | | | 630,289 | | | | — | | |
| 100,748 | | | 4/10/2023 | | Morgan
Stanley & Co.
International plc | | | 1.28 | % | |
iShares® MSCI
Brazil Capped ETF | | | 19,592 | | | | — | | | | — | | | | 19,592 | | |
| 2,658,128 | | | 4/10/2023 | |
Societe Generale | | | 0.83 | % | | iShares® MSCI
Brazil Capped ETF | | | (195,256 | ) | | | — | | | | 195,256 | | | | — | | |
| 4,522,481 | | | 4/10/2023 | |
UBS AG | | | 0.83 | % | | iShares® MSCI
Brazil Capped ETF | | | (213,562 | ) | | | — | | | | 213,562 | | | | — | | |
| 19,177,096 | | | | | | | | | | | | | | | | | | | | (2,273,213 | ) | | | | | | | | | | | | | |
| | | | | | | | | | Total Unrealized
Appreciation | | | 19,592 | | | | | | | | | | | | | | |
| | | | | | | | | | Total Unrealized
Depreciation | | | (2,292,805 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA MSCI BRAZIL CAPPED UBR :: 59
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 60.4% | |
| Repurchase Agreements (a) — 60.4% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $5,476,590
(Cost $5,476,481) | | $ | 5,476,481 | | | $ | 5,476,481 | | |
Total Investments — 60.4%
(Cost $5,476,481) | | | | | 5,476,481 | | |
| Other assets less liabilities — 39.6% | | | | | 3,587,280 | | |
| Net Assets — 100.0% | | | | $ | 9,063,761 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | — | | |
| Aggregate gross unrealized depreciation | | | (3,028,732 | ) | |
| Net unrealized depreciation | | $ | (3,028,732 | ) | |
| Federal income tax cost | | $ | 5,476,481 | | |
Swap Agreementsa,f
Ultra MSCI EAFE had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
|
8,262,328 | | |
11/9/2022 | | Bank of
America NA | | | 1.13 | % | | iShares® MSCI
EAFE ETF | | | (535,618 | ) | | | — | | | | 535,618 | | | | — | | |
|
3,456,542 | | |
4/10/2023 | |
Citibank NA | | | 1.23 | % | | iShares® MSCI
EAFE ETF | | | (913,949 | ) | | | — | | | | 913,949 | | | | — | | |
|
1,602,067 | | |
3/7/2023 | | Goldman Sachs
International | | | 1.43 | % | | iShares® MSCI
EAFE ETF | | | (120,713 | ) | | | — | | | | 120,713 | | | | — | | |
| 2,616 | | | 11/9/2023 | | Morgan
Stanley & Co.
International plc | | | 1.28 | % | |
iShares® MSCI
EAFE ETF | | | (367 | ) | | | — | | | | 367 | | | | — | | |
|
564,974 | | |
3/7/2023 | |
Societe Generale | | | 1.33 | % | | iShares® MSCI
EAFE ETF | | | (928,162 | ) | | | — | | | | 900,005 | | | | (28,157 | ) | |
|
4,284,385 | | |
3/7/2023 | |
UBS AG | | | 1.03 | % | | iShares® MSCI
EAFE ETF | | | (529,923 | ) | | | — | | | | 529,923 | | | | — | | |
| 18,172,912 | | | | | | | | | | | | | | | | | | | | (3,028,732 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (3,028,732 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
60 :: EFO ULTRA MSCI EAFE :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 65.7% | |
| Repurchase Agreements (a) — 65.7% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $17,574,305
(Cost $17,573,951) | | $ | 17,573,951 | | | $ | 17,573,951 | | |
Total Investments — 65.7%
(Cost $17,573,951) | | | | | 17,573,951 | | |
| Other assets less liabilities — 34.3% | | | | | 9,156,734 | | |
| Net Assets — 100.0% | | | | $ | 26,730,685 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | — | | |
| Aggregate gross unrealized depreciation | | | (19,799,735 | ) | |
| Net unrealized depreciation | | $ | (19,799,735 | ) | |
| Federal income tax cost | | $ | 17,573,951 | | |
Swap Agreementsa,f
Ultra MSCI Emerging Markets had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/ the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/ the
Counterparty
($) | | Net
Amounte
($) | |
| 20,097,568 | | | 5/8/2023 | |
Bank of
America NA | | | 1.08 | % | | iShares® MSCI
Emerging
Markets ETF | | | (4,319,985 | ) | | | — | | | | 4,319,985 | | | | — | | |
| 1,368,058 | | | 4/10/2023 | |
Citibank NA | | | 0.98 | % | | iShares® MSCI
Emerging
Markets ETF | | | (441,191 | ) | | | — | | | | 441,191 | | | | — | | |
| 4,048,226 | | | 3/7/2023 | |
Goldman Sachs
International | | | 1.13 | % | | iShares® MSCI
Emerging
Markets ETF | | | (408,139 | ) | | | — | | | | 408,139 | | | | — | | |
| 103,449 | | | 4/10/2023 | | Morgan
Stanley & Co.
International plc | | | 1.28 | % | | iShares® MSCI
Emerging
Markets ETF | | | (19,514 | ) | | | — | | | | 19,514 | | | | — | | |
| 2,680,168 | | | 3/7/2023 | |
Societe Generale | | | 0.58 | % | | iShares® MSCI
Emerging
Markets ETF | | | (1,761,926 | ) | | | — | | | | 1,735,007 | | | | (26,919 | ) | |
| 25,422,015 | | | 11/9/2022 | |
UBS AG | | | 0.63 | % | | iShares® MSCI
Emerging
Markets ETF | | | (12,848,980 | ) | | | — | | | | 12,848,980 | | | | — | | |
| 53,719,484 | | | | | | | | | | | | | | | | | | | | (19,799,735 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized
Depreciation | | | (19,799,735 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA MSCI EMERGING MARKETS EET :: 61
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
62 :: EET ULTRA MSCI EMERGING MARKETS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Exchange Traded Funds — 49.5% | |
iShares MSCI Japan ETF
(Cost $3,349,571) | | | 49,500 | | | $ | 2,851,199 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 18.8% | |
| Repurchase Agreements (a) — 18.8% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $1,081,727
(Cost $1,081,705) | | $ | 1,081,705 | | | | 1,081,705 | | |
Total Investments — 68.3%
(Cost $4,431,276) | | | | | 3,932,904 | | |
| Other assets less liabilities — 31.7% | | | | | 1,826,897 | | |
| Net Assets — 100.0% | | | | $ | 5,759,801 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | — | | |
| Aggregate gross unrealized depreciation | | | (2,853,963 | ) | |
| Net unrealized depreciation | | $ | (2,853,963 | ) | |
| Federal income tax cost | | $ | 4,511,090 | | |
Swap Agreementsa,f
Ultra MSCI Japan had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/ the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/ the
Counterparty
($) | | Net
Amounte
($) | |
| 907,778 | | | 12/14/2023 | | Bank of
America NA | | | 1.18 | % | | iShares® MSCI
Japan ETF | | | (102,025 | ) | | | — | | | | 7,000 | | | | (95,025 | ) | |
| 4,387,394 | | | 12/12/2022 | |
Citibank NA | | | 1.33 | % | | iShares® MSCI
Japan ETF | | | (1,244,607 | ) | | | — | | | | 1,244,607 | | | | — | | |
| 94,311 | | | 12/14/2023 | | Credit Suisse
International | | | 1.53 | % | | iShares® MSCI
Japan ETF | | | (16,939 | ) | | | — | | | | 16,939 | | | | — | | |
| 2,100,678 | | | 3/7/2023 | | Goldman Sachs
International | | | 1.33 | % | | iShares® MSCI
Japan ETF | | | (746,291 | ) | | | — | | | | 746,291 | | | | — | | |
| 166,659 | | | 11/9/2023 | | Morgan
Stanley & Co.
International plc | | | 1.28 | % | |
iShares® MSCI
Japan ETF | | | (30,006 | ) | | | — | | | | 30,006 | | | | — | | |
| 520,648 | | | 3/7/2023 | |
Societe Generale | | | 0.98 | % | | iShares® MSCI
Japan ETF | | | (85,384 | ) | | | — | | | | 17,000 | | | | (68,384 | ) | |
| 542,704 | | | 12/14/2023 | |
UBS AG | | | 0.83 | % | | iShares® MSCI
Japan ETF | | | (50,525 | ) | | | — | | | | 50,525 | | | | — | | |
| 8,720,172 | | | | | | | | | | | | | | | | | | | | (2,275,777 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized
Depreciation | | | (2,275,777 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA MSCI JAPAN EZJ :: 63
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
64 :: EZJ ULTRA MSCI JAPAN :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) — 86.1% | |
ACADIA Pharmaceuticals,
Inc.* (Biotechnology) | | | 0.2 | % | | | 13,746 | | | $ | 221,998 | | |
| Alkermes plc* (Biotechnology) | | | 0.4 | % | | | 13,855 | | | | 413,572 | | |
Alnylam Pharmaceuticals,
Inc.* (Biotechnology) | | | 1.4 | % | | | 10,279 | | | | 1,293,098 | | |
| Amgen, Inc. (Biotechnology) | | | 8.4 | % | | | 30,591 | | | | 7,853,933 | | |
Apellis Pharmaceuticals,
Inc.* (Biotechnology) | | | 0.4 | % | | | 8,357 | | | | 346,398 | | |
Argenx SE, ADR*
(Biotechnology) | | | 0.8 | % | | | 2,360 | | | | 729,948 | | |
Arrowhead Pharmaceuticals,
Inc.* (Biotechnology) | | | 0.3 | % | | | 9,018 | | | | 300,840 | | |
Ascendis Pharma A/S,
ADR* (Biotechnology) | | | 0.4 | % | | | 4,742 | | | | 400,746 | | |
AstraZeneca plc, ADR
(Pharmaceuticals) | | | 3.6 | % | | | 50,254 | | | | 3,340,886 | | |
Beam Therapeutics, Inc.*
(Biotechnology) | | | 0.2 | % | | | 5,888 | | | | 207,140 | | |
BeiGene Ltd., ADR*
(Biotechnology) | | | 0.6 | % | | | 4,257 | | | | 584,146 | | |
| Biogen, Inc.* (Biotechnology) | | | 2.6 | % | | | 12,567 | | | | 2,513,400 | | |
BioMarin Pharmaceutical,
Inc.* (Biotechnology) | | | 1.3 | % | | | 15,733 | | | | 1,182,020 | | |
BioNTech SE, ADR*
(Biotechnology) | | | 1.3 | % | | | 7,535 | | | | 1,230,918 | | |
Blueprint Medicines Corp.*
(Biotechnology) | | | 0.3 | % | | | 5,063 | | | | 278,465 | | |
CRISPR Therapeutics AG*
(Biotechnology) | | | 0.4 | % | | | 6,593 | | | | 382,724 | | |
CureVac NV*(b)
(Biotechnology) | | | 0.3 | % | | | 15,995 | | | | 300,706 | | |
Cytokinetics, Inc.*(b)
(Biotechnology) | | | 0.3 | % | | | 7,256 | | | | 289,514 | | |
Denali Therapeutics, Inc.*
(Biotechnology) | | | 0.3 | % | | | 10,504 | | | | 255,142 | | |
| Exelixis, Inc.* (Biotechnology) | | | 0.5 | % | | | 27,330 | | | | 500,959 | | |
Gilead Sciences, Inc.
(Biotechnology) | | | 7.3 | % | | | 105,535 | | | | 6,843,945 | | |
Guardant Health, Inc.*
(Health Care Providers &
Services) | | | 0.4 | % | | | 8,708 | | | | 356,854 | | |
Halozyme Therapeutics,
Inc.*(b) (Biotechnology) | | | 0.6 | % | | | 11,775 | | | | 541,414 | | |
Harmony Biosciences
Holdings, Inc.*
(Pharmaceuticals) | | | 0.2 | % | | | 5,034 | | | | 219,482 | | |
Horizon Therapeutics plc*
(Biotechnology) | | | 1.9 | % | | | 19,400 | | | | 1,739,986 | | |
Illumina, Inc.* (Life Sciences
Tools & Services) | | | 2.6 | % | | | 10,601 | | | | 2,538,727 | | |
| Incyte Corp.* (Biotechnology) | | | 1.5 | % | | | 18,941 | | | | 1,437,432 | | |
Intellia Therapeutics, Inc.*
(Biotechnology) | | | 0.3 | % | | | 6,384 | | | | 294,558 | | |
Intra-Cellular Therapies, Inc.*
(Pharmaceuticals) | | | 0.5 | % | | | 7,903 | | | | 453,632 | | |
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) (continued) | |
Ionis Pharmaceuticals, Inc.*
(Biotechnology) | | | 0.5 | % | | | 12,116 | | | $ | 442,476 | | |
Jazz Pharmaceuticals plc*
(Pharmaceuticals) | | | 0.8 | % | | | 5,256 | | | | 786,718 | | |
Karuna Therapeutics, Inc.*
(Biotechnology) | | | 0.3 | % | | | 2,549 | | | | 265,912 | | |
Maravai LifeSciences
Holdings, Inc., Class A*
(Life Sciences Tools &
Services) | | | 0.4 | % | | | 11,252 | | | | 350,500 | | |
Medpace Holdings, Inc.* (Life
Sciences Tools & Services) | | | 0.5 | % | | | 3,012 | | | | 431,439 | | |
Moderna, Inc.*
(Biotechnology) | | | 5.3 | % | | | 33,920 | | | | 4,929,594 | | |
Neurocrine Biosciences, Inc.*
(Biotechnology) | | | 0.8 | % | | | 8,144 | | | | 761,383 | | |
Novavax, Inc.*(b)
(Biotechnology) | | | 0.4 | % | | | 6,465 | | | | 357,708 | | |
Novocure Ltd.*(b)
(Health Care Equipment &
Supplies) | | | 0.8 | % | | | 8,929 | | | | 717,713 | | |
Pacira BioSciences, Inc.*
(Pharmaceuticals) | | | 0.3 | % | | | 3,835 | | | | 242,564 | | |
Regeneron Pharmaceuticals,
Inc.* (Biotechnology) | | | 6.4 | % | | | 8,982 | | | | 5,970,695 | | |
Royalty Pharma plc, Class A
(Pharmaceuticals) | | | 1.6 | % | | | 37,023 | | | | 1,523,126 | | |
Sanofi, ADR (b)
(Pharmaceuticals) | | | 1.3 | % | | | 23,655 | | | | 1,259,629 | | |
Sarepta Therapeutics, Inc.*
(Biotechnology) | | | 0.6 | % | | | 7,446 | | | | 542,218 | | |
| Seagen, Inc.* (Biotechnology) | | | 2.3 | % | | | 15,702 | | | | 2,130,447 | | |
Syneos Health, Inc.* (Life
Sciences Tools & Services) | | | 0.7 | % | | | 8,912 | | | | 658,508 | | |
Ultragenyx Pharmaceutical,
Inc.* (Biotechnology) | | | 0.3 | % | | | 5,933 | | | | 278,258 | | |
United Therapeutics Corp.*
(Biotechnology) | | | 0.9 | % | | | 3,859 | | | | 888,882 | | |
Vertex Pharmaceuticals, Inc.*
(Biotechnology) | | | 6.2 | % | | | 21,427 | | | | 5,756,364 | | |
| Viatris, Inc. (Pharmaceuticals) | | | 1.4 | % | | | 103,432 | | | | 1,269,111 | | |
Vir Biotechnology, Inc.*
(Biotechnology) | | | 0.3 | % | | | 11,313 | | | | 291,989 | | |
| Other Common Stocks (b) | | | 14.7 | % | | | 1,929,209 | | | | 13,731,181 | | |
Total Common Stocks
(Cost $118,471,815) | | | | | | | 80,638,998 | | |
| | | | No. of
Rights | | | |
| Right — 0.0% (c) | |
Achillion Pharmaceuticals,
Inc., CVR*(d)(e)
(Cost $11,641) | | | 0.0 | % | | | 25,307 | | | | 11,641 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA NASDAQ BIOTECHNOLOGY BIB :: 65
| | | Percentage of
Net Assets | | Shares | | Value | |
| Securities Lending Reinvestments (f) — 2.5% | |
| Investment Companies — 2.5% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $2,366,248) | | | 2.5 | % | | | 2,366,248 | | | $ | 2,366,248 | | |
| | | | Principal
Amount | | | |
| Short-Term Investments — 9.3% | |
| Repurchase Agreements (g) — 9.3% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $8,683,637
(Cost $8,683,464) | | | | $ | 8,683,464 | | | | 8,683,464 | | |
Total Investments — 97.9%
(Cost $129,533,168) | | | | | | | 91,700,351 | | |
| Other assets less liabilities — 2.1% | | | | | | | 1,984,742 | | |
| Net Assets — 100.0% | | | | | | $ | 93,685,093 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $33,127,644.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $3,413,879, collateralized in the form of cash with a value of $2,366,248 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $1,292,500 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 15, 2022 - May 15, 2052. The total value of collateral is $3,658,748.
(c) Represents less than 0.05% of net assets.
(d) Illiquid security.
(e) Security fair valued as of May 31, 2022 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at May 31, 2022 amounted to $11,641, which represents approximately 0.01% of net assets of the Fund.
(f) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $2,366,248.
(g) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
Abbreviations
ADR American Depositary Receipt
CVR Contingent Value Rights — No defined expiration
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 3,586,698 | | |
| Aggregate gross unrealized depreciation | | | (94,764,936 | ) | |
| Net unrealized depreciation | | $ | (91,178,238 | ) | |
| Federal income tax cost | | $ | 130,490,481 | | |
Swap Agreementsa
Ultra Nasdaq Biotechnology had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 16,807,255 | | | 5/8/2023 | |
Bank of
America NA | | | 0.98 | % | | NASDAQ
Biotechnology
Index® | | | (10,819,012 | ) | | | — | | | | 10,819,012 | | | | — | | |
| 13,612,058 | | | 11/6/2023 | |
BNP Paribas SA | | | 1.13 | % | | NASDAQ
Biotechnology
Index® | | | (119,111 | ) | | | 119,111 | | | | — | | | | — | | |
| 16,766,433 | | | 4/10/2023 | |
Citibank NA | | | 0.98 | % | | NASDAQ
Biotechnology
Index® | | | (11,346,311 | ) | | | — | | | | 11,346,311 | | | | — | | |
| 18,878,010 | | | 3/7/2023 | |
Goldman Sachs
International | | | 1.43 | % | | NASDAQ
Biotechnology
Index® | | | (10,086,401 | ) | | | 2,108,500 | | | | 7,977,901 | | | | — | | |
See accompanying notes to the financial statements.
66 :: BIB ULTRA NASDAQ BIOTECHNOLOGY :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 3,733,296 | | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | 1.28 | % | | NASDAQ
Biotechnology
Index® | | | (1,476,525 | ) | | | 329,744 | | | | 1,146,781 | | | | — | | |
| 24,823,080 | | | 3/7/2023 | |
Societe Generale | | | 1.18 | % | | NASDAQ
Biotechnology
Index® | | | (9,083,315 | ) | | | — | | | | 9,083,315 | | | | — | | |
| 12,662,034 | | | 3/7/2023 | |
UBS AG | | | 0.83 | % | | NASDAQ
Biotechnology
Index® | | | (9,457,433 | ) | | | — | | | | 9,457,433 | | | | — | | |
| 107,282,166 | | | | | | | | | | | | | | | | | | | | (52,388,108 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized
Depreciation | | | (52,388,108 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Ultra Nasdaq Biotechnology invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
| Biotechnology | | | 67.7 | % | |
| Health Care Equipment & Supplies | | | 0.8 | % | |
| Health Care Providers & Services | | | 0.6 | % | |
| Life Sciences Tools & Services | | | 5.1 | % | |
| Pharmaceuticals | | | 11.9 | % | |
| Othera | | | 13.9 | % | |
| | | 100.0 | % | |
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA NASDAQ BIOTECHNOLOGY BIB :: 67
| Investments | | Shares | | Value | |
| Common Stocks (a) — 86.2% | |
| Communications Equipment — 5.0% | |
| Arista Networks, Inc.* | | | 543 | | | $ | 55,538 | | |
| Cisco Systems, Inc. | | | 798 | | | | 35,950 | | |
| | | 91,488 | | |
| Diversified Telecommunication Services — 3.6% | |
| Lumen Technologies, Inc. | | | 5,369 | | | | 65,716 | | |
| Health Care Technology — 0.5% | |
| Veeva Systems, Inc., Class A* | | | 49 | | | | 8,343 | | |
| Interactive Media & Services — 3.0% | |
| Alphabet, Inc., Class A* | | | 24 | | | | 54,606 | | |
| Internet & Direct Marketing Retail — 6.2% | |
| Alibaba Group Holding Ltd., ADR* | | | 634 | | | | 60,896 | | |
| Amazon.com, Inc.* | | | 22 | | | | 52,892 | | |
| | | 113,788 | | |
| IT Services — 18.8% | |
| Akamai Technologies, Inc.* | | | 411 | | | | 41,528 | | |
| Cloudflare, Inc., Class A* | | | 382 | | | | 21,392 | | |
| DigitalOcean Holdings, Inc.* | | | 1,125 | | | | 54,956 | | |
| Fastly, Inc., Class A* | | | 1,793 | | | | 23,399 | | |
| International Business Machines Corp. | | | 272 | | | | 37,765 | | |
| MongoDB, Inc.* | | | 145 | | | | 34,387 | | |
| Rackspace Technology, Inc.* | | | 5,992 | | | | 55,306 | | |
| Shopify, Inc., Class A* | | | 48 | | | | 18,006 | | |
| Snowflake, Inc., Class A* | | | 42 | | | | 5,361 | | |
| Squarespace, Inc., Class A* | | | 377 | | | | 7,762 | | |
| Toast, Inc., Class A* | | | 543 | | | | 8,818 | | |
| Twilio, Inc., Class A* | | | 190 | | | | 19,982 | | |
| Wix.com Ltd.* | | | 242 | | | | 15,248 | | |
| | | 343,910 | | |
| Software — 42.3% | |
| Adobe, Inc.* | | | 71 | | | | 29,570 | | |
| Anaplan, Inc.* | | | 236 | | | | 15,482 | | |
| Appfolio, Inc., Class A* | | | 98 | | | | 9,818 | | |
| Appian Corp.* | | | 365 | | | | 17,436 | | |
| AppLovin Corp., Class A* | | | 575 | | | | 21,913 | | |
| Asana, Inc., Class A* | | | 204 | | | | 4,435 | | |
| Atlassian Corp. plc, Class A* | | | 109 | | | | 19,328 | | |
| Avalara, Inc.* | | | 108 | | | | 9,144 | | |
| Blackbaud, Inc.* | | | 178 | | | | 11,330 | | |
| Blackline, Inc.* | | | 148 | | | | 10,837 | | |
| Box, Inc., Class A* | | | 435 | | | | 11,358 | | |
| Confluent, Inc., Class A* | | | 781 | | | | 16,502 | | |
| Couchbase, Inc.* | | | 529 | | | | 7,501 | | |
| Coupa Software, Inc.* | | | 91 | | | | 6,260 | | |
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| Crowdstrike Holdings, Inc., Class A* | | | 56 | | | $ | 8,959 | | |
| Datadog, Inc., Class A* | | | 69 | | | | 6,582 | | |
| DocuSign, Inc.* | | | 94 | | | | 7,887 | | |
| Domo, Inc., Class B* | | | 501 | | | | 15,972 | | |
| Dropbox, Inc., Class A* | | | 492 | | | | 10,253 | | |
| Elastic NV* | | | 129 | | | | 7,953 | | |
| Everbridge, Inc.* | | | 282 | | | | 11,649 | | |
| HubSpot, Inc.* | | | 63 | | | | 21,274 | | |
| Intuit, Inc. | | | 23 | | | | 9,533 | | |
| Microsoft Corp. | | | 223 | | | | 60,627 | | |
| MicroStrategy, Inc., Class A* | | | 75 | | | | 19,852 | | |
| Open Text Corp. | | | 257 | | | | 10,540 | | |
| Oracle Corp. | | | 878 | | | | 63,146 | | |
| Palo Alto Networks, Inc.* | | | 19 | | | | 9,553 | | |
| Paycom Software, Inc.* | | | 33 | | | | 9,383 | | |
| Paylocity Holding Corp.* | | | 53 | | | | 9,268 | | |
| Q2 Holdings, Inc.* | | | 172 | | | | 9,070 | | |
| Qualtrics International, Inc., Class A* | | | 368 | | | | 5,226 | | |
| Qualys, Inc.* | | | 89 | | | | 11,630 | | |
| RingCentral, Inc., Class A* | | | 255 | | | | 16,101 | | |
| Salesforce, Inc.* | | | 158 | | | | 25,318 | | |
| SAP SE, ADR | | | 197 | | | | 19,668 | | |
| ServiceNow, Inc.* | | | 57 | | | | 26,646 | | |
| Smartsheet, Inc., Class A* | | | 210 | | | | 7,486 | | |
| Splunk, Inc.* | | | 282 | | | | 28,922 | | |
| Sprout Social, Inc., Class A* | | | 172 | | | | 8,760 | | |
| Trade Desk, Inc. (The), Class A* | | | 131 | | | | 6,818 | | |
| VMware, Inc., Class A | | | 568 | | | | 72,761 | | |
| Workday, Inc., Class A* | | | 49 | | | | 7,659 | | |
| Workiva, Inc.* | | | 316 | | | | 23,071 | | |
| Zendesk, Inc.* | | | 96 | | | | 8,779 | | |
| Zoom Video Communications, Inc., Class A* | | | 84 | | | | 9,026 | | |
| Zscaler, Inc.* | | | 46 | | | | 7,042 | | |
| Zuora, Inc., Class A* | | | 734 | | | | 7,443 | | |
| | | 774,771 | | |
| Technology Hardware, Storage & Peripherals — 6.8% | |
| Hewlett Packard Enterprise Co. | | | 2,097 | | | | 32,713 | | |
| NetApp, Inc. | | | 426 | | | | 30,651 | | |
| Pure Storage, Inc., Class A* | | | 2,572 | | | | 61,033 | | |
| | | 124,397 | | |
Total Common Stocks
(Cost $2,035,310) | | | | | 1,577,019 | | |
See accompanying notes to the financial statements.
68 :: SKYU ULTRA NASDAQ CLOUD COMPUTING :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 17.1% | |
| Repurchase Agreements (b) — 17.1% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $312,768
(Cost $312,760) | | $ | 312,760 | | | $ | 312,760 | | |
Total Investments — 103.3%
(Cost $2,348,070) | | | | | 1,889,779 | | |
| Liabilities in excess of other assets — (3.3%) | | | | | (59,811 | ) | |
| Net Assets — 100.0% | | | | $ | 1,829,968 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $344,372.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
Abbreviations
ADR American Depositary Receipt
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 39,859 | | |
| Aggregate gross unrealized depreciation | | | (1,819,356 | ) | |
| Net unrealized depreciation | | $ | (1,779,497 | ) | |
| Federal income tax cost | | $ | 2,458,328 | | |
Swap Agreementsa
Ultra Nasdaq Cloud Computing had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 747,503 | | | 11/7/2022 | | Bank of
America NA | | | 0.93 | % | | ISE Cloud
Computing Index | | | (129,121 | ) | | | — | | | | 129,121 | | | | — | | |
| 517,082 | | | 11/6/2023 | |
BNP Paribas SA | | | 1.28 | % | | ISE Cloud
Computing Index | | | (307,419 | ) | | | — | | | | 215,000 | | | | (92,419 | ) | |
| 367,112 | | | 3/7/2023 | | Goldman Sachs
International | | | 1.43 | % | | ISE Cloud
Computing Index | | | (325,269 | ) | | | 14,828 | | | | 310,441 | | | | — | | |
| 461,624 | | | 11/7/2022 | |
UBS AG | | | 1.38 | % | | ISE Cloud
Computing Index | | | (449,139 | ) | | | — | | | | 415,000 | | | | (34,139 | ) | |
| 2,093,321 | | | | | | | | | | | | | | | | | | | | (1,210,948 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized
Depreciation | | | (1,210,948 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA NASDAQ CLOUD COMPUTING SKYU :: 69
| Investments | | Shares | | Value | |
| Exchange Traded Funds — 9.1% | |
First Trust NASDAQ Cybersecurity ETF
(Cost $244,592) | | | 4,974 | | | $ | 210,848 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 32.2% | |
| Repurchase Agreements (a) — 32.2% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $752,276
(Cost $752,261) | | $ | 752,261 | | | | 752,261 | | |
Total Investments — 41.3%
(Cost $996,853) | | | | | 963,109 | | |
| Other assets less liabilities — 58.7% | | | | | 1,370,040 | | |
| Net Assets — 100.0% | | | | $ | 2,333,149 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | — | | |
| Aggregate gross unrealized depreciation | | | (1,520,899 | ) | |
| Net unrealized depreciation | | $ | (1,520,899 | ) | |
| Federal income tax cost | | $ | 996,853 | | |
Swap Agreementsa
Ultra Nasdaq Cybersecurity had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 1,960,820 | | | 11/7/2022 | | Bank of
America NA | | | 1.08 | % | | First Trust Nasdaq
Cybersecurity ETF | | | (131,587 | ) | | | — | | | | 131,587 | | | | — | | |
| 843,707 | | | 11/6/2023 | |
BNP Paribas SA | | | 1.33 | % | | First Trust Nasdaq
Cybersecurity ETF | | | (403,155 | ) | | | — | | | | 403,155 | | | | — | | |
| 1,396,156 | | | 3/7/2023 | | Goldman Sachs
International | | | 1.43 | % | | First Trust Nasdaq
Cybersecurity ETF | | | (637,442 | ) | | | — | | | | 637,442 | | | | — | | |
| 270,588 | | | 11/7/2022 | |
UBS AG | | | 1.33 | % | | First Trust Nasdaq
Cybersecurity ETF | | | (314,971 | ) | | | — | | | | 314,971 | | | | — | | |
| 4,471,271 | | | | | | | | | | | | | | | | | | | | (1,487,155 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized
Depreciation | | | (1,487,155 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
70 :: UCYB ULTRA NASDAQ CYBERSECURITY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks (a) — 47.8% | |
| Electric Utilities — 0.2% | |
| OGE Energy Corp. | | | 11,488 | | | $ | 474,454 | | |
| Electrical Equipment — 0.3% | |
| Plug Power, Inc.*(b) | | | 29,767 | | | | 550,094 | | |
| Energy Equipment & Services — 3.8% | |
| Baker Hughes Co. | | | 51,975 | | | | 1,870,061 | | |
| Halliburton Co. | | | 51,565 | | | | 2,088,382 | | |
| NOV, Inc. | | | 22,534 | | | | 450,680 | | |
| Schlumberger NV | | | 80,535 | | | | 3,701,389 | | |
| TechnipFMC plc* | | | 24,313 | | | | 200,339 | | |
| | | 8,310,851 | | |
| Oil, Gas & Consumable Fuels — 43.3% | |
| APA Corp. | | | 20,849 | | | | 980,111 | | |
| Cheniere Energy, Inc. | | | 13,531 | | | | 1,850,635 | | |
| Chevron Corp. | | | 110,619 | | | | 19,320,715 | | |
| ConocoPhillips | | | 74,729 | | | | 8,396,550 | | |
| Continental Resources, Inc. | | | 3,358 | | | | 228,579 | | |
| Coterra Energy, Inc. (b) | | | 46,689 | | | | 1,602,833 | | |
| Devon Energy Corp. | | | 36,130 | | | | 2,706,137 | | |
| Diamondback Energy, Inc. | | | 9,772 | | | | 1,485,539 | | |
| DT Midstream, Inc. | | | 5,551 | | | | 322,513 | | |
| EOG Resources, Inc. | | | 33,577 | | | | 4,598,706 | | |
| EQT Corp. | | | 17,262 | | | | 823,743 | | |
| Equitrans Midstream Corp. | | | 23,332 | | | | 183,623 | | |
| Exxon Mobil Corp. | | | 242,944 | | | | 23,322,624 | | |
| Hess Corp. | | | 15,820 | | | | 1,946,967 | | |
| HF Sinclair Corp. | | | 8,581 | | | | 421,327 | | |
| Kinder Morgan, Inc. | | | 111,904 | | | | 2,203,390 | | |
| Marathon Oil Corp. | | | 44,678 | | | | 1,404,230 | | |
| Marathon Petroleum Corp. | | | 33,226 | | | | 3,382,075 | | |
| New Fortress Energy, Inc. | | | 2,376 | | | | 110,698 | | |
| Occidental Petroleum Corp. | | | 50,917 | | | | 3,529,057 | | |
| ONEOK, Inc. | | | 25,590 | | | | 1,685,102 | | |
| Ovintiv, Inc. | | | 14,984 | | | | 838,954 | | |
| Phillips 66 | | | 26,846 | | | | 2,706,345 | | |
| Pioneer Natural Resources Co. | | | 13,029 | | | | 3,621,280 | | |
| Targa Resources Corp. | | | 13,140 | | | | 946,343 | | |
| Texas Pacific Land Corp. | | | 353 | | | | 552,794 | | |
| Valero Energy Corp. | | | 23,461 | | | | 3,040,546 | | |
| Williams Cos., Inc. (The) | | | 69,725 | | | | 2,584,009 | | |
| | | 94,795,425 | | |
| Semiconductors & Semiconductor Equipment — 0.2% | |
| First Solar, Inc.* | | | 5,674 | | | | 400,641 | | |
Total Common Stocks
(Cost $70,495,008) | | | | | 104,531,465 | | |
| Investments | | Shares | | Value | |
| Securities Lending Reinvestments (c) — 0.1% | |
| Investment Companies — 0.1% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $242,444) | | | 242,444 | | | $ | 242,444 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 0.3% | |
| Repurchase Agreements (d) — 0.3% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $694,312
(Cost $694,298) | | $ | 694,298 | | | | 694,298 | | |
Total Investments — 48.2%
(Cost $71,431,750) | | | | | 105,468,207 | | |
| Other assets less liabilities — 51.8% | | | | | 113,233,124 | | |
| Net Assets — 100.0% | | | | $ | 218,701,331 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $37,641,752.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $1,517,994, collateralized in the form of cash with a value of $242,444 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $1,441,539 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 15, 2022 - February 15, 2051. The total value of collateral is $1,683,983.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $242,444.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 132,063,007 | | |
| Aggregate gross unrealized depreciation | | | (756,850 | ) | |
| Net unrealized appreciation | | $ | 131,306,157 | | |
| Federal income tax cost | | $ | 72,399,619 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA OIL & GAS DIG :: 71
Swap Agreementsa
Ultra Oil & Gas had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 36,919,395 | | | 5/8/2023 | |
Bank of
America NA | | | 1.13 | % | | Dow Jones
U.S. Oil &
GasSM Index | | | 13,217,766 | | | | (13,217,766 | ) | | | — | | | | — | | |
| 43,225,697 | | | 11/6/2023 | |
BNP Paribas SA | | | 1.33 | % | | Dow Jones
U.S. Oil &
GasSM Index | | | 754,605 | | | | (754,605 | ) | | | — | | | | — | | |
| 21,296,963 | | | 11/6/2023 | |
Citibank NA | | | 1.13 | % | | Dow Jones
U.S. Oil &
GasSM Index | | | 17,063,805 | | | | — | | | | (17,063,805 | ) | | | — | | |
| 35,474,022 | | | 3/7/2023 | |
Goldman Sachs
International | | | 1.43 | % | | Dow Jones
U.S. Oil &
GasSM Index | | | 7,648,810 | | | | (7,644,760 | ) | | | (4,050 | ) | | | — | | |
| 9,941,483 | | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | 1.43 | % | | Dow Jones
U.S. Oil &
GasSM Index | | | 7,342,783 | | | | — | | | | (7,342,783 | ) | | | — | | |
| 51,400,217 | | | 3/7/2023 | |
Societe Generale | | | 1.38 | % | | Dow Jones
U.S. Oil &
GasSM Index | | | 13,502,619 | | | | (13,488,744 | ) | | | (13,875 | ) | | | — | | |
| 134,593,640 | | | 3/7/2023 | |
UBS AG | | | 0.83 | % | | Dow Jones
U.S. Oil &
GasSM Index | | | 38,707,181 | | | | (16,087,181 | ) | | | (22,620,000 | ) | | | — | | |
| 332,851,417 | | | | | | | | | | | | | | | | | | | | 98,237,569 | | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized
Appreciation | | | 98,237,569 | | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
72 :: DIG ULTRA OIL & GAS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks (a) — 85.4% | |
| Automobiles — 3.7% | |
| Lucid Group, Inc.*(b) | | | 444,143 | | | $ | 8,962,806 | | |
| Tesla, Inc.* | | | 167,390 | | | | 126,925,141 | | |
| | | 135,887,947 | | |
| Beverages — 2.4% | |
| Keurig Dr Pepper, Inc. | | | 380,919 | | | | 13,233,126 | | |
| Monster Beverage Corp.* | | | 142,231 | | | | 12,675,627 | | |
| PepsiCo, Inc. | | | 371,635 | | | | 62,341,771 | | |
| | | 88,250,524 | | |
| Biotechnology — 3.5% | |
| Amgen, Inc. | | | 149,618 | | | | 38,412,925 | | |
| Biogen, Inc.* | | | 39,467 | | | | 7,893,400 | | |
| Gilead Sciences, Inc. | | | 336,740 | | | | 21,837,589 | | |
| Moderna, Inc.* | | | 108,235 | | | | 15,729,793 | | |
| Regeneron Pharmaceuticals, Inc.* | | | 28,652 | | | | 19,046,130 | | |
| Seagen, Inc.* | | | 49,338 | | | | 6,694,180 | | |
| Vertex Pharmaceuticals, Inc.* | | | 68,398 | | | | 18,375,123 | | |
| | | 127,989,140 | | |
| Commercial Services & Supplies — 0.5% | |
| Cintas Corp. | | | 27,892 | | | | 11,110,221 | | |
| Copart, Inc.* | | | 63,738 | | | | 7,299,913 | | |
| | | 18,410,134 | | |
| Communications Equipment — 1.4% | |
| Cisco Systems, Inc. | | | 1,116,068 | | | | 50,278,863 | | |
| Electric Utilities — 1.2% | |
| American Electric Power Co., Inc. | | | 135,442 | | | | 13,819,147 | | |
| Constellation Energy Corp. | | | 87,722 | | | | 5,445,760 | | |
| Exelon Corp. | | | 263,331 | | | | 12,942,719 | | |
| Xcel Energy, Inc. | | | 146,168 | | | | 11,012,297 | | |
| | | 43,219,923 | | |
| Entertainment — 1.5% | |
| Activision Blizzard, Inc. | | | 209,369 | | | | 16,305,658 | | |
| Electronic Arts, Inc. | | | 75,518 | | | | 10,470,571 | | |
| NetEase, Inc., ADR | | | 56,282 | | | | 5,838,132 | | |
| Netflix, Inc.* | | | 119,296 | | | | 23,553,802 | | |
| | | 56,168,163 | | |
| Food & Staples Retailing — 1.8% | |
| Costco Wholesale Corp. | | | 119,141 | | | | 55,545,917 | | |
| Walgreens Boots Alliance, Inc. | | | 231,931 | | | | 10,165,536 | | |
| | | 65,711,453 | | |
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| Food Products — 1.0% | |
| Kraft Heinz Co. (The) | | | 328,734 | | | $ | 12,436,007 | | |
| Mondelez International, Inc., Class A | | | 372,946 | | | | 23,704,448 | | |
| | | 36,140,455 | | |
| Health Care Equipment & Supplies — 1.2% | |
| Align Technology, Inc.* | | | 21,161 | | | | 5,875,140 | | |
| Dexcom, Inc.* | | | 26,048 | | | | 7,760,741 | | |
| IDEXX Laboratories, Inc.* | | | 22,632 | | | | 8,863,144 | | |
| Intuitive Surgical, Inc.* | | | 96,108 | | | | 21,878,025 | | |
| | | 44,377,050 | | |
| Hotels, Restaurants & Leisure — 2.1% | |
| Airbnb, Inc., Class A* | | | 99,682 | | | | 12,048,564 | | |
| Booking Holdings, Inc.* | | | 11,022 | | | | 24,728,518 | | |
| Marriott International, Inc., Class A | | | 87,685 | | | | 15,044,992 | | |
| Starbucks Corp. | | | 309,009 | | | | 24,257,207 | | |
| | | 76,079,281 | | |
| Industrial Conglomerates — 1.0% | |
| Honeywell International, Inc. | | | 184,281 | | | | 35,680,487 | | |
| Interactive Media & Services — 9.5% | |
| Alphabet, Inc., Class A* | | | 48,669 | | | | 110,733,656 | | |
| Alphabet, Inc., Class C* | | | 51,094 | | | | 116,534,173 | | |
| Baidu, Inc., ADR* | | | 64,947 | | | | 9,115,312 | | |
| Match Group, Inc.* | | | 76,585 | | | | 6,033,366 | | |
| Meta Platforms, Inc., Class A* | | | 559,958 | | | | 108,430,267 | | |
| | | 350,846,774 | | |
| Internet & Direct Marketing Retail — 6.3% | |
| Amazon.com, Inc.* | | | 82,376 | | | | 198,047,555 | | |
| eBay, Inc. | | | 157,891 | | | | 7,684,555 | | |
| JD.com, Inc., ADR | | | 160,294 | | | | 8,995,699 | | |
| MercadoLibre, Inc.* | | | 13,562 | | | | 10,658,105 | | |
| Pinduoduo, Inc., ADR* | | | 118,745 | | | | 5,978,811 | | |
| | | 231,364,725 | | |
| IT Services — 2.7% | |
| Automatic Data Processing, Inc. | | | 112,848 | | | | 25,158,333 | | |
Cognizant Technology Solutions Corp.,
Class A | | | 140,941 | | | | 10,528,293 | | |
| Fiserv, Inc.* | | | 175,134 | | | | 17,544,924 | | |
| Okta, Inc.* | | | 39,928 | | | | 3,316,020 | | |
| Paychex, Inc. | | | 96,884 | | | | 11,997,146 | | |
| PayPal Holdings, Inc.* | | | 312,892 | | | | 26,661,527 | | |
| VeriSign, Inc.* | | | 29,580 | | | | 5,163,189 | | |
| | | 100,369,432 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA QQQ QLD :: 73
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| Life Sciences Tools & Services — 0.3% | |
| Illumina, Inc.* | | | 42,198 | | | $ | 10,105,577 | | |
| Machinery — 0.2% | |
| PACCAR, Inc. | | | 93,351 | | | | 8,106,601 | | |
| Media — 2.3% | |
Charter Communications, Inc.,
Class A* | | | 46,390 | | | | 23,516,483 | | |
| Comcast Corp., Class A | | | 1,215,219 | | | | 53,809,897 | | |
| Sirius XM Holdings, Inc. (b) | | | 1,060,693 | | | | 6,788,435 | | |
| | | 84,114,815 | | |
| Multiline Retail — 0.3% | |
| Dollar Tree, Inc.* | | | 60,473 | | | | 9,695,636 | | |
| Pharmaceuticals — 0.3% | |
| AstraZeneca plc, ADR | | | 153,239 | | | | 10,187,329 | | |
| Professional Services — 0.2% | |
| Verisk Analytics, Inc. | | | 43,333 | | | | 7,579,808 | | |
| Road & Rail — 0.7% | |
| CSX Corp. | | | 589,238 | | | | 18,731,876 | | |
| Old Dominion Freight Line, Inc. | | | 30,825 | | | | 7,960,248 | | |
| | | 26,692,124 | | |
| Semiconductors & Semiconductor Equipment — 13.9% | |
| Advanced Micro Devices, Inc.* | | | 437,205 | | | | 44,533,701 | | |
| Analog Devices, Inc. | | | 140,621 | | | | 23,680,576 | | |
| Applied Materials, Inc. | | | 237,320 | | | | 27,835,263 | | |
| ASML Holding NV, NYRS | | | 22,245 | | | | 12,819,571 | | |
| Broadcom, Inc. | | | 110,026 | | | | 63,829,383 | | |
| Intel Corp. | | | 1,093,977 | | | | 48,594,458 | | |
| KLA Corp. | | | 40,486 | | | | 14,771,317 | | |
| Lam Research Corp. | | | 37,463 | | | | 19,481,884 | | |
| Marvell Technology, Inc. | | | 226,670 | | | | 13,407,531 | | |
| Microchip Technology, Inc. | | | 149,386 | | | | 10,852,893 | | |
| Micron Technology, Inc. | | | 300,837 | | | | 22,213,804 | | |
| NVIDIA Corp. | | | 569,280 | | | | 106,295,962 | | |
| NXP Semiconductors NV | | | 70,532 | | | | 13,384,152 | | |
| QUALCOMM, Inc. | | | 302,791 | | | | 43,365,727 | | |
| Skyworks Solutions, Inc. | | | 44,043 | | | | 4,794,962 | | |
| Texas Instruments, Inc. | | | 248,121 | | | | 43,857,868 | | |
| | | 513,719,052 | | |
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| Software — 14.5% | |
| Adobe, Inc.* | | | 126,822 | | | $ | 52,818,827 | | |
| ANSYS, Inc.* | | | 23,397 | | | | 6,091,643 | | |
| Atlassian Corp. plc, Class A* | | | 37,889 | | | | 6,718,477 | | |
| Autodesk, Inc.* | | | 59,123 | | | | 12,282,803 | | |
| Cadence Design Systems, Inc.* | | | 74,491 | | | | 11,451,501 | | |
| Crowdstrike Holdings, Inc., Class A* | | | 55,886 | | | | 8,941,201 | | |
| Datadog, Inc., Class A* | | | 71,061 | | | | 6,778,509 | | |
| DocuSign, Inc.* | | | 53,207 | | | | 4,464,599 | | |
| Fortinet, Inc.* | | | 43,196 | | | | 12,705,671 | | |
| Intuit, Inc. | | | 76,117 | | | | 31,547,452 | | |
| Microsoft Corp. | | | 1,213,978 | | | | 330,044,199 | | |
| Palo Alto Networks, Inc.* | | | 26,464 | | | | 13,305,570 | | |
| Splunk, Inc.*(b) | | | 42,602 | | | | 4,369,261 | | |
| Synopsys, Inc.* | | | 41,158 | | | | 13,137,634 | | |
| Workday, Inc., Class A* | | | 52,631 | | | | 8,226,225 | | |
Zoom Video Communications, Inc.,
Class A* | | | 65,070 | | | | 6,991,772 | | |
| Zscaler, Inc.* | | | 37,686 | | | | 5,769,350 | | |
| | | 535,644,694 | | |
| Specialty Retail — 0.5% | |
| O'Reilly Automotive, Inc.* | | | 17,868 | | | | 11,384,953 | | |
| Ross Stores, Inc. | | | 94,935 | | | | 8,071,374 | | |
| | | 19,456,327 | | |
| Technology Hardware, Storage & Peripherals — 10.7% | |
| Apple, Inc. | | | 2,642,540 | | | | 393,315,654 | | |
| Textiles, Apparel & Luxury Goods — 0.3% | |
| Lululemon Athletica, Inc.* | | | 33,131 | | | | 9,697,112 | | |
| Trading Companies & Distributors — 0.2% | |
| Fastenal Co. | | | 154,609 | | | | 8,280,858 | | |
| Wireless Telecommunication Services — 1.2% | |
| T-Mobile US, Inc.* | | | 335,672 | | | | 44,741,721 | | |
Total Common Stocks
(Cost $3,690,450,664) | | | | | 3,142,111,659 | | |
| Securities Lending Reinvestments (c) — 0.4% | |
| Investment Companies — 0.4% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $13,789,342) | | | 13,789,342 | | | | 13,789,342 | | |
See accompanying notes to the financial statements.
74 :: QLD ULTRA QQQ :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 30.4% | |
| Repurchase Agreements (d) — 6.1% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $224,180,215
(Cost $224,175,700) | | $ | 224,175,700 | | | $ | 224,175,700 | | |
| U.S. Treasury Obligations — 24.3% | |
| U.S. Treasury Bills | |
| 0.28%, 6/2/2022 (e) | | | 245,000,000 | | | | 244,996,494 | | |
| 0.51%, 6/21/2022 (e) | | | 75,000,000 | | | | 74,975,417 | | |
| 0.64%, 6/30/2022 (e) | | | 75,000,000 | | | | 74,958,916 | | |
| 0.07%, 7/14/2022 (e) | | | 400,000,000 | | | | 399,604,560 | | |
| 0.74%, 8/18/2022 (e) | | | 100,000,000 | | | | 99,773,854 | | |
Total U.S. Treasury Obligations
(Cost $894,746,826) | | | | | 894,309,241 | | |
Total Short-Term Investments
(Cost $1,118,922,526) | | | | | 1,118,484,941 | | |
Total Investments — 116.2%
(Cost $4,823,162,532) | | | | | 4,274,385,942 | | |
| Liabilities in excess of other assets — (16.2%) | | | | | (595,061,809 | ) | |
| Net Assets — 100.0% | | | | $ | 3,679,324,133 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $1,914,125,704.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $18,465,573, collateralized in the form of cash with a value of $13,789,342 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $5,355,903 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 15, 2022 - February 15, 2051. The total value of collateral is $19,145,245.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $13,789,342.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(e) The rate shown was the current yield as of May 31, 2022.
Abbreviations
ADR American Depositary Receipt
NYRS New York Registry Shares
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 156,309,944 | | |
| Aggregate gross unrealized depreciation | | | (1,625,262,070 | ) | |
| Net unrealized depreciation | | $ | (1,468,952,126 | ) | |
| Federal income tax cost | | $ | 4,842,567,071 | | |
Futures Contracts Purchased
Ultra QQQ had the following open long futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional
Amount | | Value and
Unrealized
Depreciation | |
| NASDAQ 100 E-Mini Index | | | 1,526 | | | 6/17/2022 | | USD | | | | $ | 385,971,180 | | | $ | (9,618,580 | ) | |
Swap Agreementsa
Ultra QQQ had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 119,783,897 | | | 11/6/2023 | | Bank of
America NA | | | 1.43 | % | | NASDAQ-100
Index® | | | (60,930,713 | ) | | | 37,330,572 | | | | 23,600,141 | | | | — | | |
| 256,166,872 | | | 11/6/2023 | |
Barclays Capital | | | 1.43 | % | | NASDAQ-100
Index® | | | (56,144 | ) | | | — | | | | — | | | | (56,144 | ) | |
| 313,701,069 | | | 5/8/2023 | |
BNP Paribas SA | | | 1.48 | % | | NASDAQ-100
Index® | | | (194,143,428 | ) | | | 164,463,887 | | | | 29,679,541 | | | | — | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA QQQ QLD :: 75
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 154,435,894 | | | 4/10/2023 | |
Citibank NA | | | 1.49 | % | | NASDAQ-100
Index® | | | (119,050,423 | ) | | | 117,132,075 | | | | 1,918,348 | | | | — | | |
| 494,141,763 | | | 4/10/2023 | | Credit Suisse
International | | | 1.43 | % | | NASDAQ-100
Index® | | | (144,903,909 | ) | | | 105,526,610 | | | | 39,377,299 | | | | — | | |
| 326,646,580 | | | 4/8/2024 | | Goldman
Sachs
International | | | 1.43 | % | |
NASDAQ-100
Index® | | | 12,988,181 | | | | | | | | | | | | | | |
| 421,176,785 | | | 3/7/2023 | | Goldman
Sachs
International | | | 1.23 | % | | PowerShares
QQQ TrustSM,
Series 1 | | | (134,900,749 | ) | | | | | | | | | | | | | |
| 747,823,365 | | | | | | | | | | | | | | | | | | | | (121,912,568 | ) | | | 40,478,813 | | | | 81,433,755 | | | | — | | |
| 318,821,120 | | | 5/8/2023 | | J.P. Morgan
Securities | | | 1.23 | % | | NASDAQ-100
Index® | | | (164,363,654 | ) | | | 152,585,061 | | | | 11,778,593 | | | | — | | |
| 111,288,406 | | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | 1.38 | % | |
NASDAQ-100
Index® | | | (30,834,972 | ) | | | | | | | | | | | | | |
| 155,683,539 | | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | 1.38 | % | | PowerShares
QQQ TrustSM,
Series 1 | | | 54,103,235 | | | | | | | | | | | | | | |
| 266,971,945 | | | | | | | | | | | | | | | | | | | | 23,268,263 | | | | — | | | | (23,268,263 | ) | | | — | | |
| 492,624,711 | | | 4/10/2023 | | Societe
Generale | | | 1.68 | % | | NASDAQ-100
Index® | | | 21,565,140 | | | | (21,565,140 | ) | | | — | | | | — | | |
| 666,188,102 | | | 3/7/2023 | |
UBS AG | | | 1.63 | % | | NASDAQ-100
Index® | | | (130,624,981 | ) | | | 130,607,996 | | | | 16,985 | | | | — | | |
| 3,830,658,738 | | | | | | | | | | | | | | | | | | | | (891,152,417 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized
Appreciation | | | 88,656,556 | | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized
Depreciation | | | (979,808,973 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
76 :: QLD ULTRA QQQ :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks (a) — 90.6% | |
| Equity Real Estate Investment Trusts (REITs) — 83.2% | |
| Alexandria Real Estate Equities, Inc. | | | 9,798 | | | $ | 1,625,978 | | |
| American Campus Communities, Inc. | | | 9,364 | | | | 608,660 | | |
| American Homes 4 Rent, Class A | | | 19,881 | | | | 734,802 | | |
| American Tower Corp. | | | 30,641 | | | | 7,848,078 | | |
| Americold Realty Trust, Inc. (b) | | | 17,952 | | | | 497,091 | | |
| Apartment Income REIT Corp. | | | 10,573 | | | | 474,305 | | |
| AvalonBay Communities, Inc. | | | 9,408 | | | | 1,956,488 | | |
| Boston Properties, Inc. | | | 9,566 | | | | 1,063,548 | | |
| Brixmor Property Group, Inc. | | | 20,052 | | | | 488,868 | | |
| Camden Property Trust | | | 6,878 | | | | 986,924 | | |
| Corporate Office Properties Trust | | | 7,558 | | | | 208,903 | | |
| Cousins Properties, Inc. (b) | | | 10,006 | | | | 345,707 | | |
| Crown Castle International Corp. | | | 29,096 | | | | 5,518,056 | | |
| CubeSmart | | | 14,725 | | | | 655,704 | | |
| Digital Realty Trust, Inc. | | | 19,098 | | | | 2,665,890 | | |
| Douglas Emmett, Inc. | | | 11,809 | | | | 333,840 | | |
| Duke Realty Corp. | | | 25,634 | | | | 1,354,244 | | |
| EastGroup Properties, Inc. | | | 2,737 | | | | 442,162 | | |
| Equinix, Inc. | | | 6,071 | | | | 4,171,323 | | |
| Equity Commonwealth* | | | 7,611 | | | | 207,400 | | |
| Equity LifeStyle Properties, Inc. | | | 11,618 | | | | 879,483 | | |
| Equity Residential | | | 23,002 | | | | 1,767,244 | | |
| Essex Property Trust, Inc. | | | 4,391 | | | | 1,246,385 | | |
| Extra Space Storage, Inc. | | | 9,010 | | | | 1,605,582 | | |
| Federal Realty Investment Trust | | | 4,763 | | | | 547,602 | | |
| First Industrial Realty Trust, Inc. | | | 8,772 | | | | 466,232 | | |
| Gaming and Leisure Properties, Inc. | | | 15,805 | | | | 739,990 | | |
| Healthcare Realty Trust, Inc. (b) | | | 9,930 | | | | 288,665 | | |
Healthcare Trust of America, Inc.,
Class A | | | 14,861 | | | | 446,573 | | |
| Healthpeak Properties, Inc. | | | 36,302 | | | | 1,077,806 | | |
| Highwoods Properties, Inc. | | | 7,058 | | | | 277,309 | | |
| Host Hotels & Resorts, Inc. | | | 48,062 | | | | 960,759 | | |
| Hudson Pacific Properties, Inc. | | | 10,261 | | | | 204,296 | | |
| Invitation Homes, Inc. | | | 40,158 | | | | 1,514,760 | | |
| Iron Mountain, Inc. | | | 19,484 | | | | 1,050,188 | | |
| JBG SMITH Properties | | | 7,682 | | | | 198,272 | | |
| Kilroy Realty Corp. | | | 7,073 | | | | 429,331 | | |
| Kimco Realty Corp. | | | 41,516 | | | | 981,853 | | |
| Lamar Advertising Co., Class A | | | 5,847 | | | | 572,714 | | |
| Life Storage, Inc. | | | 5,519 | | | | 644,398 | | |
| LXP Industrial Trust (b) | | | 19,026 | | | | 219,941 | | |
| Medical Properties Trust, Inc. | | | 40,172 | | | | 746,396 | | |
Mid-America Apartment
Communities, Inc. (b) | | | 7,761 | | | | 1,404,741 | | |
| National Health Investors, Inc. | | | 3,085 | | | | 182,478 | | |
| National Retail Properties, Inc. | | | 11,819 | | | | 523,582 | | |
| National Storage Affiliates Trust | | | 5,514 | | | | 289,209 | | |
| Omega Healthcare Investors, Inc. | | | 16,078 | | | | 478,642 | | |
| Orion Office REIT, Inc. | | | 3,812 | | | | 50,811 | | |
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| Physicians Realty Trust | | | 14,823 | | | $ | 274,967 | | |
| PotlatchDeltic Corp. | | | 4,647 | | | | 243,782 | | |
| Prologis, Inc. | | | 49,800 | | | | 6,348,504 | | |
| PS Business Parks, Inc. | | | 1,354 | | | | 254,051 | | |
| Public Storage | | | 10,266 | | | | 3,394,350 | | |
| Rayonier, Inc. | | | 9,782 | | | | 403,214 | | |
| Realty Income Corp. | | | 38,071 | | | | 2,597,204 | | |
| Regency Centers Corp. | | | 10,374 | | | | 707,611 | | |
| Rexford Industrial Realty, Inc. | | | 10,783 | | | | 688,710 | | |
| Sabra Health Care REIT, Inc. | | | 15,388 | | | | 216,048 | | |
| SBA Communications Corp. | | | 7,323 | | | | 2,464,995 | | |
| Simon Property Group, Inc. | | | 22,112 | | | | 2,535,141 | | |
| SL Green Realty Corp. | | | 4,315 | | | | 266,538 | | |
| Spirit Realty Capital, Inc. | | | 8,594 | | | | 360,862 | | |
| STAG Industrial, Inc. | | | 11,860 | | | | 394,938 | | |
| STORE Capital Corp. | | | 16,509 | | | | 455,483 | | |
| Sun Communities, Inc. | | | 7,803 | | | | 1,280,706 | | |
| UDR, Inc. | | | 20,136 | | | | 962,501 | | |
| Ventas, Inc. | | | 26,876 | | | | 1,524,944 | | |
| VICI Properties, Inc. | | | 56,494 | | | | 1,742,840 | | |
| Vornado Realty Trust | | | 10,703 | | | | 374,177 | | |
| Welltower, Inc. | | | 29,324 | | | | 2,612,475 | | |
| Weyerhaeuser Co. | | | 50,288 | | | | 1,987,382 | | |
| WP Carey, Inc. | | | 12,828 | | | | 1,079,348 | | |
| | | 85,153,984 | | |
| Mortgage Real Estate Investment Trusts (REITs) — 2.3% | |
| AGNC Investment Corp. | | | 35,140 | | | | 429,762 | | |
| Annaly Capital Management, Inc. | | | 104,922 | | | | 693,535 | | |
| Blackstone Mortgage Trust, Inc., Class A | | | 11,347 | | | | 353,005 | | |
| New Residential Investment Corp. | | | 31,410 | | | | 354,933 | | |
| Starwood Property Trust, Inc. | | | 20,503 | | | | 489,817 | | |
| | | 2,321,052 | | |
| Professional Services — 1.6% | |
| CoStar Group, Inc.* | | | 26,577 | | | | 1,619,602 | | |
| Real Estate Management & Development — 3.5% | |
| CBRE Group, Inc., Class A* | | | 22,520 | | | | 1,865,557 | | |
| Compass, Inc., Class A*(b) | | | 1,914 | | | | 11,216 | | |
| Howard Hughes Corp. (The)* | | | 2,782 | | | | 234,050 | | |
| Jones Lang LaSalle, Inc.* | | | 3,395 | | | | 669,901 | | |
| Opendoor Technologies, Inc.*(b) | | | 26,177 | | | | 189,260 | | |
| Redfin Corp.*(b) | | | 7,101 | | | | 69,590 | | |
| Zillow Group, Inc., Class A* | | | 2,485 | | | | 99,300 | | |
| Zillow Group, Inc., Class C*(b) | | | 11,192 | | | | 446,561 | | |
| | | 3,585,435 | | |
Total Common Stocks
(Cost $99,985,486) | | | | | 92,680,073 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA REAL ESTATE URE :: 77
| Investments | | Shares | | Value | |
| Securities Lending Reinvestments (c) — 0.1% | |
| Investment Companies — 0.1% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $98,319) | | | 98,319 | | | $ | 98,319 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 14.9% | |
| Repurchase Agreements (d) — 14.9% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $15,273,939
(Cost $15,273,632) | | $ | 15,273,632 | | | | 15,273,632 | | |
Total Investments — 105.6%
(Cost $115,357,437) | | | | | 108,052,024 | | |
| Liabilities in excess of other assets — (5.6%) | | | | | (5,738,585 | ) | |
| Net Assets — 100.0% | | | | $ | 102,313,439 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $44,079,983.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $1,316,000, collateralized in the form of cash with a value of $98,319 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $1,295,705 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.75%, and maturity dates ranging from June 15, 2022 - November 15, 2051. The total value of collateral is $1,394,024.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $98,319.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 2,692,740 | | |
| Aggregate gross unrealized depreciation | | | (23,525,921 | ) | |
| Net unrealized depreciation | | $ | (20,833,181 | ) | |
| Federal income tax cost | | $ | 115,462,409 | | |
Swap Agreementsa
Ultra Real Estate had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 11,246,795 | | | 5/8/2023 | | Bank of
America NA | | | 1.78 | % | | Dow Jones U.S.
Real EstateSM Index | | | (1,678,906 | ) | | | 1,246,073 | | | | 432,833 | | | | — | | |
| 27,222,974 | | | 5/8/2023 | | BNP Paribas SA | | | 1.43 | % | | Dow Jones U.S.
Real EstateSM Index | | | (4,115,741 | ) | | | 3,967,180 | | | | 148,561 | | | | — | | |
| 10,823,792 | | | 11/7/2022 | | Citibank NA | | | 1.53 | % | | Dow Jones U.S.
Real EstateSM Index | | | (466,746 | ) | | | — | | | | 466,746 | | | | — | | |
| 25,972,474 | | | 3/7/2023 | | Goldman Sachs
International | | | 1.43 | % | | Dow Jones U.S.
Real EstateSM Index | | | (3,129,344 | ) | | | 765,052 | | | | 2,364,292 | | | | — | | |
| 197,042 | | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | 1.43 | % | |
Dow Jones U.S.
Real EstateSM Index | | | 38,372 | | | | — | | | | (38,372 | ) | | | — | | |
| 6,439,906 | | | 3/7/2023 | | Societe
Generale | | | 1.53 | % | | Dow Jones U.S.
Real EstateSM Index | | | (3,463,308 | ) | | | 579,373 | | | | 2,883,935 | | | | — | | |
| 30,529,494 | | | 3/7/2023 | | UBS AG | | | 1.18 | % | | Dow Jones U.S.
Real EstateSM Index | | | (607,123 | ) | | | 516,295 | | | | 90,828 | | | | — | | |
| 112,432,477 | | | | | | | | | | | | | | | | | | | | (13,422,796 | ) | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Appreciation | | | 38,372 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (13,461,168 | ) | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
78 :: URE ULTRA REAL ESTATE :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA REAL ESTATE URE :: 79
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) — 71.1% | |
AMC Entertainment
Holdings, Inc., Class A*(b)
(Entertainment) | | | 0.2 | % | | | 27,364 | | | $ | 392,400 | | |
Antero Resources Corp.*
(Oil, Gas & Consumable
Fuels) | | | 0.4 | % | | | 15,172 | | | | 650,575 | | |
Avis Budget Group, Inc.*
(Road & Rail) | | | 0.2 | % | | | 2,188 | | | | 416,333 | | |
Biohaven Pharmaceutical
Holding Co. Ltd.*
(Biotechnology) | | | 0.2 | % | | | 2,946 | | | | 423,429 | | |
BJ's Wholesale Club
Holdings, Inc.* (Food &
Staples Retailing) | | | 0.2 | % | | | 7,263 | | | | 420,310 | | |
Chart Industries, Inc.*
(Machinery) | | | 0.2 | % | | | 1,936 | | | | 340,504 | | |
Chesapeake Energy Corp.
(Oil, Gas & Consumable
Fuels) | | | 0.3 | % | | | 5,570 | | | | 542,407 | | |
CMC Materials, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.1 | % | | | 1,503 | | | | 265,941 | | |
EastGroup Properties, Inc.
(Equity Real Estate
Investment Trusts (REITs)) | | | 0.2 | % | | | 2,148 | | | | 347,009 | | |
EMCOR Group, Inc.
(Construction &
Engineering) | | | 0.2 | % | | | 2,826 | | | | 298,510 | | |
First Financial Bankshares,
Inc. (b) (Banks) | | | 0.2 | % | | | 6,892 | | | | 284,226 | | |
| Glacier Bancorp, Inc. (Banks) | | | 0.2 | % | | | 5,846 | | | | 283,005 | | |
Halozyme Therapeutics, Inc.*
(Biotechnology) | | | 0.2 | % | | | 7,336 | | | | 337,309 | | |
HealthEquity, Inc.* (Health
Care Providers & Services) | | | 0.1 | % | | | 4,332 | | | | 271,097 | | |
Helmerich & Payne, Inc.
(Energy Equipment &
Services) | | | 0.1 | % | | | 5,466 | | | | 275,213 | | |
II-VI, Inc.*(b) (Electronic
Equipment, Instruments &
Components) | | | 0.2 | % | | | 5,622 | | | | 351,375 | | |
Independence Realty Trust,
Inc. (Equity Real Estate
Investment Trusts (REITs)) | | | 0.2 | % | | | 11,729 | | | | 275,749 | | |
KBR, Inc. (Professional
Services) | | | 0.2 | % | | | 7,498 | | | | 373,100 | | |
Lattice Semiconductor Corp.*
(Semiconductors &
Semiconductor Equipment) | | | 0.2 | % | | | 7,191 | | | | 374,076 | | |
LHC Group, Inc.* (Health
Care Providers & Services) | | | 0.1 | % | | | 1,623 | | | | 270,489 | | |
Light & Wonder, Inc.*
(Hotels, Restaurants &
Leisure) | | | 0.1 | % | | | 5,106 | | | | 269,597 | | |
| Livent Corp.*(b) (Chemicals) | | | 0.1 | % | | | 8,586 | | | | 272,949 | | |
| Macy's, Inc. (Multiline Retail) | | | 0.2 | % | | | 15,989 | | | | 378,140 | | |
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) (continued) | |
Matador Resources Co. (Oil,
Gas & Consumable Fuels) | | | 0.2 | % | | | 5,868 | | | $ | 357,361 | | |
Murphy Oil Corp. (Oil,
Gas & Consumable Fuels) | | | 0.2 | % | | | 7,770 | | | | 329,603 | | |
Murphy USA, Inc. (Specialty
Retail) | | | 0.2 | % | | | 1,240 | | | | 308,909 | | |
Ovintiv, Inc. (Oil, Gas &
Consumable Fuels) | | | 0.4 | % | | | 13,893 | | | | 777,869 | | |
PDC Energy, Inc. (Oil, Gas &
Consumable Fuels) | | | 0.2 | % | | | 5,166 | | | | 408,837 | | |
Performance Food Group
Co.* (Food & Staples
Retailing) | | | 0.2 | % | | | 8,045 | | | | 348,670 | | |
Power Integrations, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.1 | % | | | 3,124 | | | | 263,603 | | |
Range Resources Corp.* (Oil,
Gas & Consumable Fuels) | | | 0.2 | % | | | 12,683 | | | | 430,588 | | |
RBC Bearings, Inc.*(b)
(Machinery) | | | 0.2 | % | | | 1,489 | | | | 277,535 | | |
Rogers Corp.* (Electronic
Equipment, Instruments &
Components) | | | 0.1 | % | | | 995 | | | | 264,053 | | |
| Saia, Inc.* (Road & Rail) | | | 0.2 | % | | | 1,410 | | | | 278,602 | | |
Sailpoint Technologies
Holdings, Inc.* (Software) | | | 0.2 | % | | | 4,846 | | | | 307,430 | | |
Shockwave Medical, Inc.*
(Health Care Equipment &
Supplies) | | | 0.2 | % | | | 1,785 | | | | 293,115 | | |
Silicon Laboratories, Inc.*
(Semiconductors &
Semiconductor Equipment) | | | 0.2 | % | | | 2,016 | | | | 300,707 | | |
SM Energy Co. (Oil, Gas &
Consumable Fuels) | | | 0.2 | % | | | 6,365 | | | | 307,239 | | |
| SouthState Corp. (Banks) | | | 0.2 | % | | | 4,091 | | | | 330,635 | | |
Southwest Gas Holdings, Inc.
(Gas Utilities) | | | 0.2 | % | | | 3,497 | | | | 325,676 | | |
Southwestern Energy Co.*
(Oil, Gas & Consumable
Fuels) | | | 0.3 | % | | | 53,877 | | | | 491,358 | | |
STAG Industrial, Inc. (Equity
Real Estate Investment
Trusts (REITs)) | | | 0.2 | % | | | 9,508 | | | | 316,616 | | |
Synaptics, Inc.*
(Semiconductors &
Semiconductor Equipment) | | | 0.2 | % | | | 2,098 | | | | 310,756 | | |
Tenet Healthcare Corp.*
(Health Care Providers &
Services) | | | 0.2 | % | | | 5,636 | | | | 364,706 | | |
Tetra Tech, Inc. (Commercial
Services & Supplies) | | | 0.2 | % | | | 2,866 | | | | 386,824 | | |
Texas Roadhouse, Inc.
(Hotels, Restaurants &
Leisure) | | | 0.2 | % | | | 3,710 | | | | 289,269 | | |
United Bankshares, Inc.
(Banks) | | | 0.1 | % | | | 6,995 | | | | 262,732 | | |
See accompanying notes to the financial statements.
80 :: UWM ULTRA RUSSELL2000 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) (continued) | |
Valley National Bancorp
(Banks) | | | 0.1 | % | | | 21,241 | | | $ | 269,973 | | |
WESCO International, Inc.*
(Trading Companies &
Distributors) | | | 0.2 | % | | | 2,366 | | | | 297,122 | | |
WillScot Mobile Mini
Holdings Corp.*
(Construction &
Engineering) | | | 0.2 | % | | | 11,060 | | | | 395,174 | | |
| Other Common Stocks (b) | | | 61.5 | % | | | 5,618,486 | | | | 111,784,530 | | |
Total Common Stocks
(Cost $178,669,262) | | | | | | | 129,193,235 | | |
| | | | No. of
Rights | | | |
| Rights — 0.0% (c) | |
ANI Pharmaceuticals, Inc.,
CVR, expiring
12/31/50*(d)(e) | | | 0.0 | % | | | 2 | | | | — | | |
Contra Aduro Biotech I,
CVR*(d)(e) | | | 0.0 | % | | | 687 | | | | — | | |
Contraf-Nicotex-Tobacco
GmbH*(d)(e) | | | 0.0 | % | | | 2,444 | | | | 1,222 | | |
Oncternal Therapeutics,
Inc., CVR*(d)(e) | | | 0.0 | % | | | 42 | | | | — | | |
Tobira Therapeutics,
Inc., CVR*(d)(e) | | | 0.0 | % | | | 756 | | | | — | | |
| Zogenix, Inc., CVR*(d)(e) | | | 0.0 | % | | | 4,182 | | | | 2,844 | | |
Total Rights
(Cost $1,951) | | | | | | | 4,066 | | |
| | | | Shares | | | |
| Securities Lending Reinvestments (f) — 1.8% | |
| Investment Companies — 1.8% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $3,360,840) | | | 1.8 | % | | | 3,360,840 | | | | 3,360,840 | | |
| | | | Principal
Amount | | | |
| Short-Term Investments — 36.6% | |
| Repurchase Agreements (g) — 36.6% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $66,533,171
(Cost $66,531,831) | | | | $ | 66,531,831 | | | | 66,531,831 | | |
Total Investments — 109.5%
(Cost $248,563,884) | | | | | | | 199,089,972 | | |
| Liabilities in excess of other assets — (9.5%) | | | | | | | (17,319,873 | ) | |
| Net Assets — 100.0% | | | | | | $ | 181,770,099 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $61,666,940.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $5,200,000, collateralized in the form of cash with a value of $3,360,840 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $2,143,985 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 4.63%, and maturity dates ranging from June 15, 2022 - February 15, 2051. The total value of collateral is $5,504,825.
(c) Represents less than 0.05% of net assets.
(d) Illiquid security.
(e) Security fair valued as of May 31, 2022 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at May 31, 2022 amounted to $4,066, which represents approximately 0.00% of net assets of the Fund.
(f) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $3,360,840.
(g) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
Abbreviations
CVR Contingent Value Rights — No defined expiration
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 3,996,444 | | |
| Aggregate gross unrealized depreciation | | | (119,401,200 | ) | |
| Net unrealized depreciation | | $ | (115,404,756 | ) | |
| Federal income tax cost | | $ | 250,388,448 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA RUSSELL2000 UWM :: 81
Futures Contracts Purchased
Ultra Russell2000 had the following open long futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| Russell 2000 E-Mini Index | | | 162 | | | 6/17/2022 | | USD | | | | $ | 15,081,390 | | | $ | 415,747 | | |
Swap Agreementsa
Ultra Russell2000 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 7,595,963 | | | 5/8/2023 | | Bank of
America NA | | | 1.13 | % | | Russell 2000®
Index | | | (9,640,583 | ) | | | 7,892,497 | | | | 1,748,086 | | | | — | | |
| 531,251 | | | 11/6/2023 | |
Barclays Capital | | | 1.33 | % | | Russell 2000®
Index | | | 28,364 | | | | — | | | | — | | | | 28,364 | | |
| 33,841,646 | | | 5/8/2023 | |
BNP Paribas SA | | | 0.98 | % | | Russell 2000®
Index | | | (7,982,438 | ) | | | — | | | | 7,982,438 | | | | — | | |
| 22,279,006 | | | 4/10/2023 | |
Citibank NA | | | 1.12 | % | | Russell 2000®
Index | | | (10,863,855 | ) | | | 10,558,947 | | | | 304,908 | | | | — | | |
| 31,901,181 | | | 3/7/2023 | | Goldman Sachs
International | | | 1.23 | % | | Russell 2000®
Index | | | (10,523,235 | ) | | | — | | | | 10,523,235 | | | | — | | |
| 11,456,826 | | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | 1.28 | % | |
iShares®
Russell 2000 ETF | | | (1,101,396 | ) | | | | | | | | | | | | | |
| 30,350,299 | | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | 1.28 | % | |
Russell 2000®
Index | | | (2,639,415 | ) | | | | | | | | | | | | | |
| 41,807,125 | | | | | | | | | | | | | | | | (3,740,811 | ) | | | 1,203,667 | | | | 2,537,144 | | | | — | | |
| 62,525,494 | | | 3/7/2023 | |
Societe Generale | | | 1.18 | % | | Russell 2000®
Index | | | (12,376,553 | ) | | | 595,094 | | | | 11,781,459 | | | | — | | |
| 18,767,155 | | | 3/7/2023 | |
UBS AG | | | 0.83 | % | | Russell 2000®
Index | | | (9,422,916 | ) | | | 9,330,552 | | | | 92,364 | | | | — | | |
| 219,248,821 | | | | | | | | | | | | | | | | | | | | (64,522,027 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 28,364 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (64,550,391 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
82 :: UWM ULTRA RUSSELL2000 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Abbreviations
USD U.S. Dollar
Ultra Russell2000 invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
| Aerospace & Defense | | | 0.5 | % | |
| Air Freight & Logistics | | | 0.3 | % | |
| Airlines | | | 0.2 | % | |
| Auto Components | | | 0.9 | % | |
| Automobiles | | | 0.1 | % | |
| Banks | | | 6.6 | % | |
| Beverages | | | 0.3 | % | |
| Biotechnology | | | 4.1 | % | |
| Building Products | | | 1.0 | % | |
| Capital Markets | | | 1.1 | % | |
| Chemicals | | | 1.6 | % | |
| Commercial Services & Supplies | | | 1.3 | % | |
| Communications Equipment | | | 0.5 | % | |
| Construction & Engineering | | | 1.2 | % | |
| Construction Materials | | | 0.1 | % | |
| Consumer Finance | | | 0.5 | % | |
| Containers & Packaging | | | 0.2 | % | |
| Distributors | | | 0.0 | %* | |
| Diversified Consumer Services | | | 0.4 | % | |
| Diversified Financial Services | | | 0.1 | % | |
| Diversified Telecommunication Services | | | 0.4 | % | |
| Electric Utilities | | | 0.5 | % | |
| Electrical Equipment | | | 0.7 | % | |
| Electronic Equipment, Instruments & Components | | | 1.7 | % | |
| Energy Equipment & Services | | | 1.0 | % | |
| Entertainment | | | 0.4 | % | |
| Equity Real Estate Investment Trusts (REITs) | | | 5.0 | % | |
| Food & Staples Retailing | | | 0.8 | % | |
| Food Products | | | 0.8 | % | |
| Gas Utilities | | | 0.9 | % | |
| Health Care Equipment & Supplies | | | 2.4 | % | |
| Health Care Providers & Services | | | 2.1 | % | |
| Health Care Technology | | | 0.5 | % | |
| Hotels, Restaurants & Leisure | | | 1.6 | % | |
| Household Durables | | | 1.2 | % | |
| Household Products | | | 0.2 | % | |
| Independent Power and Renewable Electricity Producers | | | 0.3 | % | |
| Insurance | | | 1.4 | % | |
| Interactive Media & Services | | | 0.3 | % | |
| Internet & Direct Marketing Retail | | | 0.3 | % | |
| IT Services | | | 1.1 | % | |
| Leisure Products | | | 0.4 | % | |
| Life Sciences Tools & Services | | | 0.4 | % | |
| Machinery | | | 2.6 | % | |
| Marine | | | 0.2 | % | |
| Media | | | 0.7 | % | |
| Metals & Mining | | | 1.1 | % | |
| Mortgage Real Estate Investment Trusts (REITs) | | | 1.0 | % | |
| Multiline Retail | | | 0.3 | % | |
| Multi-Utilities | | | 0.4 | % | |
| Oil, Gas & Consumable Fuels | | | 4.8 | % | |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA RUSSELL2000 UWM :: 83
| Paper & Forest Products | | | 0.1 | % | |
| Personal Products | | | 0.4 | % | |
| Pharmaceuticals | | | 1.0 | % | |
| Professional Services | | | 1.3 | % | |
| Real Estate Management & Development | | | 0.5 | % | |
| Road & Rail | | | 0.6 | % | |
| Semiconductors & Semiconductor Equipment | | | 2.3 | % | |
| Software | | | 3.4 | % | |
| Specialty Retail | | | 1.6 | % | |
| Technology Hardware, Storage & Peripherals | | | 0.2 | % | |
| Textiles, Apparel & Luxury Goods | | | 0.4 | % | |
| Thrifts & Mortgage Finance | | | 1.0 | % | |
| Tobacco | | | 0.1 | % | |
| Trading Companies & Distributors | | | 1.3 | % | |
| Water Utilities | | | 0.3 | % | |
| Wireless Telecommunication Services | | | 0.1 | % | |
| Othera | | | 28.9 | % | |
| | | 100.0 | % | |
* Amount represents less than 0.05%.
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
84 :: UWM ULTRA RUSSELL2000 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) — 90.8% | |
Abbott Laboratories (Health
Care Equipment & Supplies) | | | 0.6 | % | | | 157,372 | | | $ | 18,484,915 | | |
| AbbVie, Inc. (Biotechnology) | | | 0.7 | % | | | 157,337 | | | | 23,186,754 | | |
Accenture plc, Class A
(IT Services) | | | 0.5 | % | | | 56,250 | | | | 16,788,375 | | |
| Adobe, Inc.* (Software) | | | 0.5 | % | | | 41,976 | | | | 17,482,164 | | |
Advanced Micro Devices,
Inc.* (Semiconductors &
Semiconductor Equipment) | | | 0.4 | % | | | 145,495 | | | | 14,820,071 | | |
Alphabet, Inc., Class A*
(Interactive Media &
Services) | | | 1.8 | % | | | 26,766 | | | | 60,899,074 | | |
Alphabet, Inc., Class C*
(Interactive Media &
Services) | | | 1.6 | % | | | 24,724 | | | | 56,390,005 | | |
Amazon.com, Inc.*
(Internet & Direct
Marketing Retail) | | | 2.7 | % | | | 38,945 | | | | 93,631,179 | | |
Apple, Inc. (Technology
Hardware, Storage &
Peripherals) | | | 6.0 | % | | | 1,379,803 | | | | 205,369,878 | | |
AT&T, Inc. (Diversified
Telecommunication Services) | | | 0.4 | % | | | 635,551 | | | | 13,530,881 | | |
| Bank of America Corp. (Banks) | | | 0.7 | % | | | 632,651 | | | | 23,534,617 | | |
Berkshire Hathaway, Inc.,
Class B* (Diversified
Financial Services) | | | 1.5 | % | | | 162,992 | | | | 51,502,212 | | |
Bristol-Myers Squibb Co.
(Pharmaceuticals) | | | 0.4 | % | | | 193,993 | | | | 14,636,772 | | |
Broadcom, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.6 | % | | | 36,749 | | | | 21,319,197 | | |
Chevron Corp. (Oil, Gas &
Consumable Fuels) | | | 0.9 | % | | | 171,566 | | | | 29,965,718 | | |
Cisco Systems, Inc.
(Communications
Equipment) | | | 0.5 | % | | | 375,364 | | | | 16,910,148 | | |
Coca-Cola Co. (The)
(Beverages) | | | 0.7 | % | | | 345,984 | | | | 21,928,466 | | |
Comcast Corp., Class A
(Media) | | | 0.5 | % | | | 402,613 | | | | 17,827,704 | | |
Costco Wholesale Corp.
(Food & Staples Retailing) | | | 0.5 | % | | | 39,461 | | | | 18,397,507 | | |
Danaher Corp. (Life Sciences
Tools & Services) | | | 0.4 | % | | | 56,629 | | | | 14,939,863 | | |
Eli Lilly & Co.
(Pharmaceuticals) | | | 0.7 | % | | | 70,665 | | | | 22,149,238 | | |
Exxon Mobil Corp. (Oil, Gas &
Consumable Fuels) | | | 1.0 | % | | | 376,788 | | | | 36,171,648 | | |
Home Depot, Inc. (The)
(Specialty Retail) | | | 0.8 | % | | | 92,930 | | | | 28,134,558 | | |
Intel Corp. (Semiconductors &
Semiconductor Equipment) | | | 0.5 | % | | | 362,409 | | | | 16,098,208 | | |
Johnson & Johnson
(Pharmaceuticals) | | | 1.2 | % | | | 234,298 | | | | 42,063,520 | | |
JPMorgan Chase & Co.
(Banks) | | | 1.0 | % | | | 263,011 | | | | 34,777,945 | | |
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| Linde plc (Chemicals) | | | 0.4 | % | | | 45,612 | | | $ | 14,809,304 | | |
Mastercard, Inc., Class A
(IT Services) | | | 0.8 | % | | | 76,814 | | | | 27,489,426 | | |
McDonald's Corp. (Hotels,
Restaurants & Leisure) | | | 0.5 | % | | | 66,499 | | | | 16,771,713 | | |
Merck & Co., Inc.
(Pharmaceuticals) | | | 0.6 | % | | | 224,807 | | | | 20,688,988 | | |
Meta Platforms, Inc.,
Class A* (Interactive
Media & Services) | | | 1.2 | % | | | 205,506 | | | | 39,794,182 | | |
| Microsoft Corp. (Software) | | | 5.3 | % | | | 667,209 | | | | 181,394,111 | | |
NextEra Energy, Inc.
(Electric Utilities) | | | 0.4 | % | | | 174,629 | | | | 13,217,669 | | |
NIKE, Inc., Class B
(Textiles, Apparel &
Luxury Goods) | | | 0.4 | % | | | 113,586 | | | | 13,499,696 | | |
NVIDIA Corp.
(Semiconductors &
Semiconductor Equipment) | | | 1.2 | % | | | 222,502 | | | | 41,545,573 | | |
| PepsiCo, Inc. (Beverages) | | | 0.6 | % | | | 123,131 | | | | 20,655,226 | | |
| Pfizer, Inc. (Pharmaceuticals) | | | 0.8 | % | | | 499,546 | | | | 26,495,920 | | |
Philip Morris International, Inc.
(Tobacco) | | | 0.4 | % | | | 137,931 | | | | 14,655,169 | | |
Procter & Gamble Co. (The)
(Household Products) | | | 0.9 | % | | | 213,337 | | | | 31,548,276 | | |
QUALCOMM, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.4 | % | | | 100,300 | | | | 14,364,966 | | |
| Salesforce, Inc.* (Software) | | | 0.4 | % | | | 87,667 | | | | 14,047,760 | | |
| Tesla, Inc.* (Automobiles) | | | 1.7 | % | | | 74,507 | | | | 56,495,678 | | |
Texas Instruments, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.4 | % | | | 82,193 | | | | 14,528,435 | | |
Thermo Fisher Scientific, Inc.
(Life Sciences Tools &
Services) | | | 0.6 | % | | | 35,069 | | | | 19,904,112 | | |
UnitedHealth Group, Inc.
(Health Care Providers &
Services) | | | 1.2 | % | | | 83,826 | | | | 41,643,080 | | |
Verizon Communications, Inc.
(Diversified
Telecommunication Services) | | | 0.6 | % | | | 373,619 | | | | 19,162,918 | | |
| Visa, Inc., Class A (IT Services) | | | 0.9 | % | | | 147,596 | | | | 31,315,443 | | |
Walmart, Inc. (Food & Staples
Retailing) | | | 0.5 | % | | | 125,902 | | | | 16,194,774 | | |
Walt Disney Co. (The)*
(Entertainment) | | | 0.5 | % | | | 162,039 | | | | 17,895,587 | | |
| Wells Fargo & Co. (Banks) | | | 0.5 | % | | | 345,831 | | | | 15,828,685 | | |
| Other Common Stocks (b) | | | 42.5 | % | | | 15,406,540 | | | | 1,455,128,205 | | |
Total Common Stocks
(Cost $3,572,179,499) | | | | | | | 3,110,015,513 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA S&P500® SSO :: 85
| | | Percentage of
Net Assets | | Shares | | Value | |
| Securities Lending Reinvestments (c) — 0.0% (d) | |
| Investment Companies — 0.0% (d) | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $1,589,475) | | | 0.0 | % | | | 1,589,475 | | | $ | 1,589,475 | | |
| | | | Principal
Amount | | | |
| Short-Term Investments — 23.8% | |
| Repurchase Agreements (e) — 6.4% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $219,208,041
(Cost $219,203,627) | | | | $ | 219,203,627 | | | | 219,203,627 | | |
| U.S. Treasury Obligations — 17.4% | |
| U.S. Treasury Bills | |
| 0.37%, 6/7/2022 (f) | | | | | 50,000,000 | | | | 49,995,916 | | |
| 0.51%, 6/21/2022 (f) | | | | | 50,000,000 | | | | 49,983,611 | | |
| 0.63%, 6/30/2022 (f) | | | | | 175,000,000 | | | | 174,904,138 | | |
| 0.71%, 7/5/2022 (b)(f) | | | | | 75,000,000 | | | | 74,952,188 | | |
| 0.39%, 7/21/2022 (b)(f) | | | | | 100,000,000 | | | | 99,883,333 | | |
| 0.74%, 8/18/2022 (f) | | | | | 100,000,000 | | | | 99,773,854 | | |
| 0.69%, 12/29/2022 (f) | | | | | 45,000,000 | | | | 44,583,249 | | |
Total U.S. Treasury Obligations
(Cost $594,447,259) | | | | | | | 594,076,289 | | |
Total Short-Term Investments
(Cost $813,650,886) | | | | | | | 813,279,916 | | |
Total Investments — 114.6%
(Cost $4,387,419,860) | | | | | | | 3,924,884,904 | | |
| Liabilities in excess of other assets — (14.6%) | | | | (500,685,590) | |
| Net Assets — 100.0% | | | | | | $ | 3,424,199,314 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $1,472,167,759.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $31,941,272, collateralized in the form of cash with a value of $1,589,475 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $31,086,923 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 6.87%, and maturity dates ranging from June 15, 2022 - May 20, 2052. The total value of collateral is $32,676,398.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $1,589,475.
(d) Represents less than 0.05% of net assets.
(e) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(f) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 109,208,214 | | |
| Aggregate gross unrealized depreciation | | | (1,116,857,774 | ) | |
| Net unrealized depreciation | | $ | (1,007,649,560 | ) | |
| Federal income tax cost | | $ | 4,431,515,065 | | |
Futures Contracts Purchased
Ultra S&P500® had the following open long futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| S&P 500 E-Mini Index | | | 1,255 | | | 6/17/2022 | | USD | | | | $ | 259,235,938 | | | $ | 8,680,002 | | |
See accompanying notes to the financial statements.
86 :: SSO ULTRA S&P500® :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
Ultra S&P500® had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 266,953,419 | | | 5/8/2023 | | Bank of
America NA | | | 1.38 | % | |
S&P 500® | | | (37,274,846 | ) | | | 37,274,422 | | | | 424 | | | | — | | |
| 308,568,301 | | | 5/8/2023 | | BNP Paribas SA | | | 1.43 | % | | S&P 500® | | | (141,588,300 | ) | | | 141,015,917 | | | | 572,383 | | | | — | | |
| 415,454,625 | | | 4/10/2023 | | Citibank NA | | | 1.49 | % | | S&P 500® | | | (60,819,881 | ) | | | 60,714,954 | | | | 104,927 | | | | — | | |
| 482,564,873 | | | 4/10/2023 | | Credit Suisse
International | | | 1.43 | % | |
S&P 500® | | | (37,859,705 | ) | | | 26,234,042 | | | | 11,625,663 | | | | — | | |
| 50,457,684 | | | 4/8/2024 | | Goldman Sachs
International | | | 1.43 | % | |
S&P 500® | | | 916,761 | | | | | | | | | | | | | | |
| 352,091,129 | | | 3/7/2023 | | Goldman Sachs
International | | | 1.34 | % | | SPDR® S&P 500®
ETF Trust | | | (91,963,118 | ) | | | | | | | | | | | | | |
| 402,548,813 | | | | | | | | | | | | | | | | | | (91,046,357 | ) | | | 90,450,105 | | | | 596,252 | | | | — | | |
| 362,881,281 | | | 5/8/2023 | | J.P. Morgan
Securities | | | 1.23 | % | |
S&P 500® | | | (61,262,822 | ) | | | 60,776,730 | | | | 486,092 | | | | — | | |
| 176,748,584 | | | 4/10/2023 | | Morgan
Stanley & Co.
International plc | | | 1.38 | % | |
S&P 500® | | | (23,781,081 | ) | | | 23,739,902 | | | | 41,179 | | | | — | | |
| 560,022,025 | | | 11/6/2023 | | Societe Generale | | | 1.33 | % | | S&P 500® | | | 10,853,083 | | | | (10,831,670 | ) | | | (21,413 | ) | | | — | | |
| 504,225,604 | | | 3/7/2023 | | UBS AG | | | 1.33 | % | | S&P 500® | | | (66,919,492 | ) | | | 66,895,671 | | | | 23,821 | | | | — | | |
| 3,479,967,525 | | | | | | | | | | | | | | | | | | (509,699,401 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized
Appreciation | | | 11,769,844 | | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized
Depreciation | | | (521,469,245 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA S&P500® SSO :: 87
Ultra S&P500® invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
| Aerospace & Defense | | | 1.5 | % | |
| Air Freight & Logistics | | | 0.6 | % | |
| Airlines | | | 0.2 | % | |
| Auto Components | | | 0.1 | % | |
| Automobiles | | | 1.9 | % | |
| Banks | | | 3.6 | % | |
| Beverages | | | 1.5 | % | |
| Biotechnology | | | 1.9 | % | |
| Building Products | | | 0.4 | % | |
| Capital Markets | | | 2.6 | % | |
| Chemicals | | | 1.7 | % | |
| Commercial Services & Supplies | | | 0.4 | % | |
| Communications Equipment | | | 0.7 | % | |
| Construction & Engineering | | | 0.0 | %* | |
| Construction Materials | | | 0.1 | % | |
| Consumer Finance | | | 0.5 | % | |
| Containers & Packaging | | | 0.3 | % | |
| Distributors | | | 0.1 | % | |
| Diversified Financial Services | | | 1.5 | % | |
| Diversified Telecommunication Services | | | 1.0 | % | |
| Electric Utilities | | | 1.7 | % | |
| Electrical Equipment | | | 0.5 | % | |
| Electronic Equipment, Instruments & Components | | | 0.6 | % | |
| Energy Equipment & Services | | | 0.3 | % | |
| Entertainment | | | 1.2 | % | |
| Equity Real Estate Investment Trusts (REITs) | | | 2.4 | % | |
| Food & Staples Retailing | | | 1.3 | % | |
| Food Products | | | 1.0 | % | |
| Gas Utilities | | | 0.0 | %* | |
| Health Care Equipment & Supplies | | | 2.5 | % | |
| Health Care Providers & Services | | | 2.9 | % | |
| Health Care Technology | | | 0.1 | % | |
| Hotels, Restaurants & Leisure | | | 1.7 | % | |
| Household Durables | | | 0.3 | % | |
| Household Products | | | 1.3 | % | |
| Independent Power and Renewable Electricity Producers | | | 0.0 | %* | |
| Industrial Conglomerates | | | 0.8 | % | |
| Insurance | | | 2.0 | % | |
| Interactive Media & Services | | | 4.7 | % | |
| Internet & Direct Marketing Retail | | | 2.8 | % | |
| IT Services | | | 4.0 | % | |
| Leisure Products | | | 0.0 | %* | |
| Life Sciences Tools & Services | | | 1.7 | % | |
| Machinery | | | 1.5 | % | |
| Media | | | 0.9 | % | |
| Metals & Mining | | | 0.4 | % | |
| Multiline Retail | | | 0.4 | % | |
| Multi-Utilities | | | 0.9 | % | |
| Oil, Gas & Consumable Fuels | | | 4.0 | % | |
| Personal Products | | | 0.2 | % | |
| Pharmaceuticals | | | 4.0 | % | |
| Professional Services | | | 0.3 | % | |
| Real Estate Management & Development | | | 0.1 | % | |
See accompanying notes to the financial statements.
88 :: SSO ULTRA S&P500® :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Road & Rail | | | 0.8 | % | |
| Semiconductors & Semiconductor Equipment | | | 5.1 | % | |
| Software | | | 7.9 | % | |
| Specialty Retail | | | 1.9 | % | |
| Technology Hardware, Storage & Peripherals | | | 6.3 | % | |
| Textiles, Apparel & Luxury Goods | | | 0.5 | % | |
| Tobacco | | | 0.7 | % | |
| Trading Companies & Distributors | | | 0.2 | % | |
| Water Utilities | | | 0.1 | % | |
| Wireless Telecommunication Services | | | 0.2 | % | |
| Othera | | | 9.2 | % | |
| | | 100.0 | % | |
* Amount represents less than 0.05%.
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA S&P500® SSO :: 89
| Investments | | Shares | | Value | |
| Common Stocks (a) — 66.4% | |
| Semiconductors & Semiconductor Equipment — 66.4% | |
| Advanced Micro Devices, Inc.* | | | 126,592 | | | $ | 12,894,626 | | |
| Allegro MicroSystems, Inc.* | | | 4,266 | | | | 109,850 | | |
| Amkor Technology, Inc. | | | 7,762 | | | | 158,655 | | |
| Analog Devices, Inc. | | | 40,674 | | | | 6,849,502 | | |
| Applied Materials, Inc. | | | 68,745 | | | | 8,063,101 | | |
| Broadcom, Inc. | | | 31,978 | | | | 18,551,397 | | |
| Cirrus Logic, Inc.* | | | 4,436 | | | | 361,711 | | |
| Enphase Energy, Inc.* | | | 10,378 | | | | 1,932,280 | | |
| Entegris, Inc. | | | 10,488 | | | | 1,163,748 | | |
| GLOBALFOUNDRIES, Inc.*(b) | | | 4,109 | | | | 245,266 | | |
| Intel Corp. | | | 315,268 | | | | 14,004,205 | | |
| KLA Corp. | | | 11,673 | | | | 4,258,894 | | |
| Lam Research Corp. | | | 10,798 | | | | 5,615,284 | | |
| Lattice Semiconductor Corp.* | | | 10,604 | | | | 551,620 | | |
| Marvell Technology, Inc. | | | 65,359 | | | | 3,865,985 | | |
| Microchip Technology, Inc. | | | 43,056 | | | | 3,128,018 | | |
| Micron Technology, Inc. | | | 86,737 | | | | 6,404,660 | | |
| MKS Instruments, Inc. | | | 4,283 | | | | 528,950 | | |
| Monolithic Power Systems, Inc. | | | 3,354 | | | | 1,510,608 | | |
| NVIDIA Corp. | | | 193,562 | | | | 36,141,897 | | |
| NXP Semiconductors NV | | | 20,605 | | | | 3,910,005 | | |
| ON Semiconductor Corp.* | | | 33,346 | | | | 2,023,435 | | |
| Power Integrations, Inc. | | | 4,578 | | | | 386,292 | | |
| Qorvo, Inc.* | | | 8,400 | | | | 938,700 | | |
| QUALCOMM, Inc. | | | 87,295 | | | | 12,502,390 | | |
| Semtech Corp.* | | | 4,991 | | | | 319,873 | | |
| Silicon Laboratories, Inc.* | | | 2,960 | | | | 441,514 | | |
| Skyworks Solutions, Inc. | | | 12,709 | | | | 1,383,629 | | |
| SolarEdge Technologies, Inc.* | | | 4,072 | | | | 1,110,801 | | |
| Teradyne, Inc. | | | 12,620 | | | | 1,378,861 | | |
| Texas Instruments, Inc. | | | 71,546 | | | | 12,646,471 | | |
| Universal Display Corp. | | | 3,356 | | | | 423,896 | | |
| Wolfspeed, Inc.*(b) | | | 9,578 | | | | 720,553 | | |
Total Common Stocks
(Cost $178,556,089) | | | | | 164,526,677 | | |
| Securities Lending Reinvestments (c) — 0.1% | |
| Investment Companies — 0.1% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $227,427) | | | 227,427 | | | | 227,427 | | |
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 29.9% | |
| Repurchase Agreements (d) — 29.9% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $73,965,113
(Cost $73,963,623) | | $ | 73,963,623 | | | $ | 73,963,623 | | |
Total Investments — 96.4%
(Cost $252,747,139) | | | | | 238,717,727 | | |
| Other assets less liabilities — 3.6% | | | | | 8,861,929 | | |
| Net Assets — 100.0% | | | | $ | 247,579,656 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $52,872,985.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $538,881, collateralized in the form of cash with a value of $227,427 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $328,630 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 3.75%, and maturity dates ranging from June 15, 2022 - February 15, 2051. The total value of collateral is $556,057.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $227,427.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 22,324,906 | | |
| Aggregate gross unrealized depreciation | | | (87,579,601 | ) | |
| Net unrealized depreciation | | $ | (65,254,695 | ) | |
| Federal income tax cost | | $ | 253,035,375 | | |
See accompanying notes to the financial statements.
90 :: USD ULTRA SEMICONDUCTORS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
Ultra Semiconductors had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 1,419,830 | | | 5/8/2023 | |
Bank of
America NA | | | 1.23 | % | | Dow Jones U.S.
SemiconductorsSM
Indexf | | | (11,988,815 | ) | | | 11,718,668 | | | | 270,147 | | | | — | | |
| 25,435,041 | | | 11/6/2023 | |
BNP Paribas SA | | | 1.33 | % | | Dow Jones U.S.
SemiconductorsSM
Indexf | | | 547,568 | | | | (547,568 | ) | | | — | | | | — | | |
| 11,702,844 | | | 11/7/2022 | |
Goldman Sachs
International | | | 1.43 | % | | Dow Jones U.S.
SemiconductorsSM
Indexf | | | 14,666,600 | | | | (14,432,615 | ) | | | — | | | | 233,985 | | |
| 17,970,175 | | | 11/6/2023 | |
J.P. Morgan
Securities | | | 1.28 | % | | Dow Jones U.S.
SemiconductorsSM
Indexf | | | (4,434,387 | ) | | | 4,105,775 | | | | 328,612 | | | | — | | |
| 22,365,912 | | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | 1.43 | % | | Dow Jones U.S.
SemiconductorsSM
Indexf | | | 3,984,900 | | | | — | | | | (3,984,900 | ) | | | — | | |
| 1,003,920 | | | 4/10/2023 | |
Societe
Generale | | | 1.48 | % | | Dow Jones U.S.
SemiconductorsSM
Indexf | | | 64,202 | | | | — | | | | — | | | | 64,202 | | |
| 251,374,497 | | | 3/7/2023 | |
UBS AG | | | 1.18 | % | | Dow Jones U.S.
SemiconductorsSM
Indexf | | | (53,777,115 | ) | | | 3,930,688 | | | | 49,846,427 | | | | — | | |
| 331,272,219 | | | | | | | | | | | | | | | | | | | | (50,937,047 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 19,263,270 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (70,200,317 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the preceding Schedule of Portfolio Investments for the representative components of the underlying reference instrument and their relative weightings.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA SEMICONDUCTORS USD :: 91
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) — 90.4% | |
ABM Industries, Inc.
(Commercial Services &
Supplies) | | | 0.3 | % | | | 2,154 | | | $ | 104,146 | | |
Agree Realty Corp. (b)
(Equity Real Estate
Investment Trusts (REITs)) | | | 0.5 | % | | | 2,279 | | | | 158,550 | | |
Allegheny Technologies,
Inc.*(b) (Metals & Mining) | | | 0.3 | % | | | 4,070 | | | | 111,925 | | |
American Equity Investment
Life Holding Co. (Insurance) | | | 0.3 | % | | | 2,636 | | | | 106,125 | | |
AMN Healthcare Services,
Inc.*(b) (Health Care
Providers & Services) | | | 0.5 | % | | | 1,511 | | | | 146,416 | | |
Applied Industrial
Technologies, Inc. (Trading
Companies & Distributors) | | | 0.4 | % | | | 1,230 | | | | 127,194 | | |
Asbury Automotive Group,
Inc.*(b) (Specialty Retail) | | | 0.4 | % | | | 739 | | | | 133,870 | | |
Assured Guaranty Ltd.
(Insurance) | | | 0.4 | % | | | 2,232 | | | | 131,353 | | |
| Balchem Corp. (Chemicals) | | | 0.4 | % | | | 1,035 | | | | 128,785 | | |
| BankUnited, Inc. (Banks) | | | 0.3 | % | | | 2,739 | | | | 114,107 | | |
Civitas Resources, Inc. (b)
(Oil, Gas & Consumable Fuels) | | | 0.5 | % | | | 2,304 | | | | 175,910 | | |
Comfort Systems USA, Inc.
(Construction & Engineering) | | | 0.3 | % | | | 1,154 | | | | 103,537 | | |
Community Bank System,
Inc. (Banks) | | | 0.3 | % | | | 1,722 | | | | 113,652 | | |
CONMED Corp. (Health Care
Equipment & Supplies) | | | 0.3 | % | | | 937 | | | | 108,964 | | |
| CVB Financial Corp. (Banks) | | | 0.3 | % | | | 4,332 | | | | 107,347 | | |
Cytokinetics, Inc.*(b)
(Biotechnology) | | | 0.3 | % | | | 2,683 | | | | 107,052 | | |
Diodes, Inc.*
(Semiconductors &
Semiconductor Equipment) | | | 0.3 | % | | | 1,438 | | | | 110,740 | | |
Ensign Group, Inc. (The)
(Health Care Providers &
Services) | | | 0.4 | % | | | 1,673 | | | | 135,797 | | |
ExlService Holdings, Inc.*
(IT Services) | | | 0.5 | % | | | 1,064 | | | | 151,290 | | |
Exponent, Inc. (Professional
Services) | | | 0.5 | % | | | 1,666 | | | | 150,590 | | |
| First Hawaiian, Inc. (Banks) | | | 0.3 | % | | | 4,077 | | | | 104,412 | | |
| HB Fuller Co. (Chemicals) | | | 0.4 | % | | | 1,688 | | | | 119,983 | | |
Helmerich & Payne, Inc.
(Energy Equipment &
Services) | | | 0.5 | % | | | 3,374 | | | | 169,881 | | |
Independent Bank Corp.
(Banks) | | | 0.4 | % | | | 1,511 | | | | 125,866 | | |
Innovative Industrial
Properties, Inc. (Equity
Real Estate Investment
Trusts (REITs)) | | | 0.4 | % | | | 869 | | | | 115,620 | | |
Insight Enterprises, Inc.*
(Electronic Equipment,
Instruments & Components) | | | 0.3 | % | | | 1,116 | | | | 110,283 | | |
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) (continued) | |
John Bean Technologies
Corp. (Machinery) | | | 0.4 | % | | | 1,016 | | | $ | 123,698 | | |
Korn Ferry (Professional
Services) | | | 0.3 | % | | | 1,740 | | | | 106,940 | | |
Kulicke & Soffa Industries,
Inc. (b) (Semiconductors &
Semiconductor Equipment) | | | 0.3 | % | | | 1,992 | | | | 107,907 | | |
Lantheus Holdings, Inc.*
(Health Care Equipment &
Supplies) | | | 0.5 | % | | | 2,164 | | | | 148,277 | | |
| Livent Corp.*(b) (Chemicals) | | | 0.5 | % | | | 5,167 | | | | 164,259 | | |
LXP Industrial Trust (b)
(Equity Real Estate
Investment Trusts (REITs)) | | | 0.3 | % | | | 9,046 | | | | 104,572 | | |
| Matson, Inc. (Marine) | | | 0.4 | % | | | 1,346 | | | | 120,978 | | |
Mr Cooper Group, Inc.*
(Thrifts & Mortgage Finance) | | | 0.3 | % | | | 2,405 | | | | 104,281 | | |
Omnicell, Inc.* (Health Care
Equipment & Supplies) | | | 0.5 | % | | | 1,405 | | | | 156,180 | | |
Onto Innovation, Inc.*
(Semiconductors &
Semiconductor Equipment) | | | 0.4 | % | | | 1,576 | | | | 126,679 | | |
Patterson-UTI Energy, Inc.
(Energy Equipment &
Services) | | | 0.4 | % | | | 6,879 | | | | 131,251 | | |
Resideo Technologies, Inc.*
(Building Products) | | | 0.3 | % | | | 4,618 | | | | 109,077 | | |
Rogers Corp.* (Electronic
Equipment, Instruments &
Components) | | | 0.5 | % | | | 599 | | | | 158,963 | | |
ServisFirst Bancshares, Inc.
(Banks) | | | 0.4 | % | | | 1,562 | | | | 130,208 | | |
Simmons First National
Corp., Class A (Banks) | | | 0.3 | % | | | 4,036 | | | | 103,766 | | |
Simply Good Foods Co.
(The)* (Food Products) | | | 0.3 | % | | | 2,705 | | | | 108,092 | | |
SM Energy Co. (Oil, Gas &
Consumable Fuels) | | | 0.6 | % | | | 3,883 | | | | 187,432 | | |
South Jersey Industries,
Inc. (b) (Gas Utilities) | | | 0.4 | % | | | 3,595 | | | | 125,286 | | |
Southwestern Energy Co.*
(Oil, Gas & Consumable
Fuels) | | | 1.0 | % | | | 35,636 | | | | 325,000 | | |
SPS Commerce, Inc.*
(Software) | | | 0.4 | % | | | 1,150 | | | | 123,096 | | |
UFP Industries, Inc.
(Building Products) | | | 0.5 | % | | | 1,978 | | | | 152,702 | | |
United Community Banks,
Inc. (Banks) | | | 0.3 | % | | | 3,350 | | | | 105,291 | | |
Viavi Solutions, Inc.*
(Communications
Equipment) | | | 0.3 | % | | | 7,357 | | | | 106,456 | | |
Vonage Holdings Corp.*
(Software) | | | 0.5 | % | | | 8,074 | | | | 156,393 | | |
| Other Common Stocks(b) | | | 70.5 | % | | | 881,398 | | | | 23,213,855 | | |
Total Common Stocks
(Cost $32,734,500) | | | | | | | 29,774,034 | | |
See accompanying notes to the financial statements.
92 :: SAA ULTRA SMALLCAP600 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| | | Percentage of
Net Assets | | Shares | | Value | |
| Securities Lending Reinvestments (c) — 0.7% | |
| Investment Companies — 0.7% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $226,827) | | | 0.7 | % | | | 226,827 | | | $ | 226,827 | | |
| | | | Principal
Amount | | | |
| Short-Term Investments — 19.6% | |
| Repurchase Agreements (d) — 19.6% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $6,447,384
(Cost $6,447,256) | | | | $ | 6,447,256 | | | | 6,447,256 | | |
Total Investments — 110.7%
(Cost $39,408,583) | | | | | | | 36,448,117 | | |
| Liabilities in excess of other assets — (10.7%) | | | | (3,513,096) | |
| Net Assets — 100.0% | | | | | | $ | 32,935,021 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $7,294,298.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $1,199,319, collateralized in the form of cash with a value of $226,827 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $1,023,145 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 4.63%, and maturity dates ranging from June 15, 2022 - February 15, 2051. The total value of collateral is $1,249,972.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $226,827.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 2,190,133 | | |
| Aggregate gross unrealized depreciation | | | (9,738,542 | ) | |
| Net unrealized depreciation | | $ | (7,548,409 | ) | |
| Federal income tax cost | | $ | 39,468,194 | | |
Swap Agreementsa
Ultra SmallCap600 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 8,264,995 | | | 5/8/2023 | | Bank of
America NA | | | 1.18 | % | | S&P
SmallCap 600® | | | (1,693,273 | ) | | | 1,435,009 | | | | 258,264 | | | | — | | |
| 6,902,118 | | | 11/7/2022 | |
Citibank NA | | | 1.18 | % | | S&P
SmallCap 600® | | | (780,550 | ) | | | 769,506 | | | | 11,044 | | | | — | | |
| 4,114,581 | | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | 1.43 | % | |
S&P
SmallCap 600® | | | (481,710 | ) | | | 477,887 | | | | 3,823 | | | | — | | |
| 10,361,826 | | | 3/7/2023 | | Societe
Generale | | | 1.28 | % | | S&P
SmallCap 600® | | | (888,300 | ) | | | 869,968 | | | | 18,332 | | | | — | | |
| 6,439,999 | | | 3/7/2023 | | UBS AG | | | 1.13 | % | | S&P
SmallCap 600® | | | (684,499 | ) | | | — | | | | 684,499 | | | | — | | |
| 36,083,519 | | | | | | | | | | | | | | | | | | | | (4,528,332 | ) | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (4,528,332 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA SMALLCAP600 SAA :: 93
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Ultra SmallCap600 invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
| Aerospace & Defense | | | 1.1 | % | |
| Air Freight & Logistics | | | 0.7 | % | |
| Airlines | | | 0.4 | % | |
| Auto Components | | | 1.2 | % | |
| Automobiles | | | 0.2 | % | |
| Banks | | | 9.2 | % | |
| Beverages | | | 0.7 | % | |
| Biotechnology | | | 1.9 | % | |
| Building Products | | | 1.7 | % | |
| Capital Markets | | | 0.8 | % | |
| Chemicals | | | 2.7 | % | |
| Commercial Services & Supplies | | | 2.0 | % | |
| Communications Equipment | | | 1.2 | % | |
| Construction & Engineering | | | 1.0 | % | |
| Consumer Finance | | | 0.9 | % | |
| Containers & Packaging | | | 0.3 | % | |
| Diversified Consumer Services | | | 0.4 | % | |
| Diversified Telecommunication Services | | | 0.3 | % | |
| Electrical Equipment | | | 0.4 | % | |
| Electronic Equipment, Instruments & Components | | | 3.6 | % | |
| Energy Equipment & Services | | | 2.1 | % | |
| Entertainment | | | 0.2 | % | |
| Equity Real Estate Investment Trusts (REITs) | | | 6.5 | % | |
| Food & Staples Retailing | | | 0.8 | % | |
| Food Products | | | 1.6 | % | |
| Gas Utilities | | | 0.8 | % | |
| Health Care Equipment & Supplies | | | 3.5 | % | |
| Health Care Providers & Services | | | 3.0 | % | |
| Health Care Technology | | | 0.5 | % | |
| Hotels, Restaurants & Leisure | | | 1.4 | % | |
| Household Durables | | | 2.3 | % | |
| Household Products | | | 0.5 | % | |
| Insurance | | | 2.5 | % | |
| Interactive Media & Services | | | 0.1 | % | |
| Internet & Direct Marketing Retail | | | 0.2 | % | |
| IT Services | | | 1.4 | % | |
| Leisure Products | | | 0.3 | % | |
| Life Sciences Tools & Services | | | 0.1 | % | |
| Machinery | | | 3.9 | % | |
| Marine | | | 0.4 | % | |
| Media | | | 0.6 | % | |
| Metals & Mining | | | 1.7 | % | |
| Mortgage Real Estate Investment Trusts (REITs) | | | 1.2 | % | |
| Multiline Retail | | | 0.1 | % | |
| Multi-Utilities | | | 0.4 | % | |
See accompanying notes to the financial statements.
94 :: SAA ULTRA SMALLCAP600 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Oil, Gas & Consumable Fuels | | | 3.9 | % | |
| Paper & Forest Products | | | 0.4 | % | |
| Personal Products | | | 0.7 | % | |
| Pharmaceuticals | | | 1.4 | % | |
| Professional Services | | | 1.4 | % | |
| Real Estate Management & Development | | | 0.5 | % | |
| Road & Rail | | | 0.4 | % | |
| Semiconductors & Semiconductor Equipment | | | 3.1 | % | |
| Software | | | 2.4 | % | |
| Specialty Retail | | | 3.6 | % | |
| Technology Hardware, Storage & Peripherals | | | 0.2 | % | |
| Textiles, Apparel & Luxury Goods | | | 1.0 | % | |
| Thrifts & Mortgage Finance | | | 1.9 | % | |
| Tobacco | | | 0.3 | % | |
| Trading Companies & Distributors | | | 1.3 | % | |
| Water Utilities | | | 0.7 | % | |
| Wireless Telecommunication Services | | | 0.4 | % | |
| Othera | | | 9.6 | % | |
| | | 100.0 | % | |
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA SMALLCAP600 SAA :: 95
| Investments | | Shares | | Value | |
| Common Stocks (a) — 88.8% | |
| Communications Equipment — 2.4% | |
| Arista Networks, Inc.* | | | 9,944 | | | $ | 1,017,072 | | |
| Ciena Corp.* | | | 6,868 | | | | 349,032 | | |
| Cisco Systems, Inc. | | | 187,023 | | | | 8,425,386 | | |
| F5, Inc.* | | | 2,696 | | | | 439,556 | | |
| Juniper Networks, Inc. | | | 14,426 | | | | 442,589 | | |
| Lumentum Holdings, Inc.* (b) | | | 3,203 | | | | 275,714 | | |
| Motorola Solutions, Inc. | | | 7,493 | | | | 1,646,512 | | |
| Ubiquiti, Inc. | | | 262 | | | | 68,529 | | |
| Viavi Solutions, Inc.* | | | 10,206 | | | | 147,681 | | |
| | | 12,812,071 | | |
| Diversified Telecommunication Services — 0.2% | |
| Liberty Global plc, Class A* | | | 7,840 | | | | 190,669 | | |
| Liberty Global plc, Class C* | | | 14,715 | | | | 373,908 | | |
| Lumen Technologies, Inc. (b) | | | 40,870 | | | | 500,249 | | |
| | | 1,064,826 | | |
| Electronic Equipment, Instruments & Components — 0.2% | |
| CDW Corp. | | | 6,028 | | | | 1,023,916 | | |
| TD SYNNEX Corp. | | | 1,849 | | | | 192,019 | | |
| | | 1,215,935 | | |
| Health Care Technology — 0.4% | |
| Cerner Corp. | | | 13,040 | | | | 1,236,844 | | |
| Veeva Systems, Inc., Class A* | | | 6,157 | | | | 1,048,291 | | |
| | | 2,285,135 | | |
| Household Durables — 0.1% | |
| Garmin Ltd. | | | 6,732 | | | | 711,034 | | |
| Interactive Media & Services — 15.2% | |
| Alphabet, Inc., Class A* | | | 13,342 | | | | 30,356,252 | | |
| Alphabet, Inc., Class C* | | | 12,324 | | | | 28,108,333 | | |
| Angi, Inc.* | | | 3,319 | | | | 18,221 | | |
| Bumble, Inc., Class A* | | | 3,211 | | | | 91,514 | | |
| Cargurus, Inc.* | | | 3,884 | | | | 98,343 | | |
| IAC/InterActiveCorp* | | | 3,716 | | | | 316,975 | | |
| Match Group, Inc.* | | | 12,547 | | | | 988,453 | | |
| Meta Platforms, Inc., Class A* | | | 102,388 | | | | 19,826,412 | | |
| Snap, Inc., Class A* | | | 47,986 | | | | 677,082 | | |
| Twitter, Inc.* | | | 35,459 | | | | 1,404,176 | | |
| Vimeo, Inc.* | | | 6,915 | | | | 60,091 | | |
| Ziff Davis, Inc.* | | | 2,140 | | | | 163,368 | | |
| | | 82,109,220 | | |
| Internet & Direct Marketing Retail — 0.5% | |
| Chewy, Inc., Class A* (b) | | | 3,939 | | | | 97,687 | | |
| DoorDash, Inc., Class A* | | | 7,176 | | | | 551,906 | | |
| eBay, Inc. | | | 27,748 | | | | 1,350,495 | | |
| Etsy, Inc.* | | | 5,613 | | | | 455,327 | | |
| | | 2,455,415 | | |
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| IT Services — 3.0% | |
| Akamai Technologies, Inc.* | | | 7,197 | | | $ | 727,185 | | |
| Amdocs Ltd. | | | 5,536 | | | | 481,023 | | |
| Cloudflare, Inc., Class A* (b) | | | 12,321 | | | | 689,976 | | |
Cognizant Technology Solutions Corp.,
Class A | | | 23,293 | | | | 1,739,987 | | |
| DXC Technology Co.* | | | 10,829 | | | | 381,397 | | |
| EPAM Systems, Inc.* | | | 2,510 | | | | 849,685 | | |
| Fastly, Inc., Class A* | | | 4,741 | | | | 61,870 | | |
| Gartner, Inc.* | | | 3,645 | | | | 956,448 | | |
| GoDaddy, Inc., Class A* | | | 7,401 | | | | 555,445 | | |
| International Business Machines Corp. | | | 39,773 | | | | 5,522,083 | | |
| Kyndryl Holdings, Inc.* | | | 7,953 | | | | 98,140 | | |
| LiveRamp Holdings, Inc.* | | | 3,019 | | | | 77,286 | | |
| MongoDB, Inc.* | | | 2,951 | | | | 699,830 | | |
| Okta, Inc.* | | | 6,596 | | | | 547,798 | | |
| Snowflake, Inc., Class A* | | | 10,454 | | | | 1,334,453 | | |
| SolarWinds Corp. | | | 1,970 | | | | 22,931 | | |
| Squarespace, Inc., Class A* (b) | | | 1,251 | | | | 25,758 | | |
| Thoughtworks Holding, Inc.* | | | 1,625 | | | | 28,129 | | |
| Twilio, Inc., Class A* | | | 7,473 | | | | 785,936 | | |
| VeriSign, Inc.* | | | 4,287 | | | | 748,296 | | |
| | | 16,333,656 | | |
| Semiconductors & Semiconductor Equipment — 17.5% | |
| Advanced Micro Devices, Inc.* | | | 72,498 | | | | 7,384,683 | | |
| Allegro MicroSystems, Inc.* | | | 2,433 | | | | 62,650 | | |
| Amkor Technology, Inc. | | | 4,455 | | | | 91,060 | | |
| Analog Devices, Inc. | | | 23,297 | | | | 3,923,215 | | |
| Applied Materials, Inc. | | | 39,366 | | | | 4,617,238 | | |
| Broadcom, Inc. | | | 18,301 | | | | 10,616,959 | | |
| Cirrus Logic, Inc.* | | | 2,535 | | | | 206,704 | | |
| Enphase Energy, Inc.* | | | 5,944 | | | | 1,106,713 | | |
| Entegris, Inc. | | | 6,017 | | | | 667,646 | | |
| GLOBALFOUNDRIES, Inc.* (b) | | | 2,369 | | | | 141,406 | | |
| Intel Corp. | | | 180,560 | | | | 8,020,475 | | |
| KLA Corp. | | | 6,676 | | | | 2,435,739 | | |
| Lam Research Corp. | | | 6,180 | | | | 3,213,785 | | |
| Lattice Semiconductor Corp.* | | | 6,061 | | | | 315,293 | | |
| Marvell Technology, Inc. | | | 37,412 | | | | 2,212,920 | | |
| Microchip Technology, Inc. | | | 24,647 | | | | 1,790,605 | | |
| Micron Technology, Inc. | | | 49,655 | | | | 3,666,525 | | |
| MKS Instruments, Inc. | | | 2,452 | | | | 302,822 | | |
| Monolithic Power Systems, Inc. | | | 1,913 | | | | 861,596 | | |
| NVIDIA Corp. | | | 110,855 | | | | 20,698,846 | | |
| NXP Semiconductors NV | | | 11,799 | | | | 2,238,978 | | |
| ON Semiconductor Corp.* | | | 19,109 | | | | 1,159,534 | | |
| Power Integrations, Inc. | | | 2,623 | | | | 221,329 | | |
| Qorvo, Inc.* | | | 4,810 | | | | 537,517 | | |
| QUALCOMM, Inc. | | | 49,966 | | | | 7,156,131 | | |
| Semtech Corp.* | | | 2,866 | | | | 183,682 | | |
| Silicon Laboratories, Inc.* | | | 1,699 | | | | 253,423 | | |
| Skyworks Solutions, Inc. | | | 7,267 | | | | 791,158 | | |
| SolarEdge Technologies, Inc.* | | | 2,338 | | | | 637,783 | | |
See accompanying notes to the financial statements.
96 :: ROM ULTRA TECHNOLOGY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| Teradyne, Inc. | | | 7,221 | | | $ | 788,966 | | |
| Texas Instruments, Inc. | | | 40,942 | | | | 7,236,908 | | |
| Universal Display Corp. | | | 1,915 | | | | 241,884 | | |
| Wolfspeed, Inc.* (b) | | | 5,487 | | | | 412,787 | | |
| | | 94,196,960 | | |
| Software — 29.2% | |
| ACI Worldwide, Inc.* | | | 5,209 | | | | 138,768 | | |
| Adobe, Inc.* | | | 20,908 | | | | 8,707,764 | | |
| Alteryx, Inc., Class A* | | | 2,647 | | | | 147,306 | | |
| Anaplan, Inc.* | | | 6,556 | | | | 430,074 | | |
| ANSYS, Inc.* | | | 3,876 | | | | 1,009,155 | | |
| Appian Corp.* | | | 1,766 | | | | 84,362 | | |
| AppLovin Corp., Class A* | | | 1,568 | | | | 59,756 | | |
| Asana, Inc., Class A* (b) | | | 3,681 | | | | 80,025 | | |
| Aspen Technology, Inc.* | | | 1,235 | | | | 238,910 | | |
| Autodesk, Inc.* | | | 9,765 | | | | 2,028,679 | | |
| Avalara, Inc.* | | | 3,860 | | | | 326,826 | | |
| Bentley Systems, Inc., Class B(b) | | | 8,173 | | | | 280,988 | | |
| Bill.com Holdings, Inc.* (b) | | | 4,082 | | | | 482,656 | | |
| Black Knight, Inc.* | | | 6,887 | | | | 467,696 | | |
| Blackbaud, Inc.* | | | 1,977 | | | | 125,836 | | |
| Blackline, Inc.* | | | 2,377 | | | | 174,044 | | |
| Cadence Design Systems, Inc.* | | | 12,295 | | | | 1,890,110 | | |
| CCC Intelligent Solutions Holdings, Inc.* | | | 2,677 | | | | 23,959 | | |
| CDK Global, Inc. | | | 5,174 | | | | 281,776 | | |
| Ceridian HCM Holding, Inc.* | | | 6,076 | | | | 342,079 | | |
| Citrix Systems, Inc. | | | 5,541 | | | | 557,923 | | |
| Clear Secure, Inc., Class A* | | | 594 | | | | 16,299 | | |
| Confluent, Inc., Class A* (b) | | | 2,716 | | | | 57,389 | | |
| Consensus Cloud Solutions, Inc.* | | | 713 | | | | 34,245 | | |
| Coupa Software, Inc.* | | | 3,318 | | | | 228,245 | | |
| Crowdstrike Holdings, Inc., Class A* | | | 9,243 | | | | 1,478,788 | | |
| Datadog, Inc., Class A* | | | 11,396 | | | | 1,087,064 | | |
| Digital Turbine, Inc.* | | | 3,921 | | | | 99,711 | | |
| DocuSign, Inc.* | | | 8,766 | | | | 735,555 | | |
| Dolby Laboratories, Inc., Class A | | | 2,904 | | | | 225,408 | | |
| Dropbox, Inc., Class A* | | | 12,509 | | | | 260,688 | | |
| Duck Creek Technologies, Inc.* | | | 3,346 | | | | 62,135 | | |
| Dynatrace, Inc.* | | | 8,733 | | | | 328,972 | | |
| Elastic NV* | | | 3,233 | | | | 199,314 | | |
| Fair Isaac Corp.* | | | 1,170 | | | | 479,174 | | |
| Five9, Inc.* (b) | | | 3,011 | | | | 291,194 | | |
| Fortinet, Inc.* | | | 6,027 | | | | 1,772,782 | | |
| Gitlab, Inc., Class A* (b) | | | 500 | | | | 19,470 | | |
| Guidewire Software, Inc.* | | | 3,694 | | | | 295,298 | | |
| HubSpot, Inc.* | | | 1,985 | | | | 670,315 | | |
| Informatica, Inc., Class A* | | | 1,339 | | | | 27,316 | | |
| Intuit, Inc. | | | 12,551 | | | | 5,201,887 | | |
| Mandiant Corp.* | | | 10,644 | | | | 234,700 | | |
| Manhattan Associates, Inc.* | | | 2,807 | | | | 339,451 | | |
| Matterport, Inc.* (b) | | | 8,183 | | | | 44,925 | | |
| Microsoft Corp. | | | 332,419 | | | | 90,374,754 | | |
| MicroStrategy, Inc., Class A* (b) | | | 408 | | | | 107,994 | | |
| nCino, Inc.* | | | 2,524 | | | | 82,459 | | |
| NCR Corp.* (b) | | | 5,854 | | | | 203,075 | | |
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| New Relic, Inc.* | | | 2,641 | | | $ | 123,757 | | |
| NortonLifeLock, Inc. | | | 25,797 | | | | 627,899 | | |
| Nutanix, Inc., Class A* | | | 9,521 | | | | 154,240 | | |
| Oracle Corp. | | | 69,871 | | | | 5,025,122 | | |
| Palantir Technologies, Inc., Class A* | | | 71,005 | | | | 616,323 | | |
| Palo Alto Networks, Inc.* | | | 4,382 | | | | 2,203,182 | | |
| Paycom Software, Inc.* | | | 2,136 | | | | 607,350 | | |
| Paylocity Holding Corp.* | | | 1,767 | | | | 308,978 | | |
| Pegasystems, Inc. | | | 1,820 | | | | 90,163 | | |
| Procore Technologies, Inc.* | | | 404 | | | | 18,382 | | |
| PTC, Inc.* | | | 4,664 | | | | 543,496 | | |
| Q2 Holdings, Inc.* | | | 2,513 | | | | 132,511 | | |
| Qualtrics International, Inc., Class A* | | | 4,247 | | | | 60,307 | | |
| Rapid7, Inc.* (b) | | | 2,531 | | | | 179,372 | | |
| RingCentral, Inc., Class A* | | | 3,639 | | | | 229,766 | | |
| Roper Technologies, Inc. | | | 4,674 | | | | 2,067,965 | | |
| Salesforce, Inc.* | | | 43,671 | | | | 6,997,841 | | |
| SentinelOne, Inc., Class A* | | | 5,971 | | | | 142,050 | | |
| ServiceNow, Inc.* | | | 8,864 | | | | 4,143,654 | | |
| Smartsheet, Inc., Class A* | | | 5,612 | | | | 200,068 | | |
| Splunk, Inc.* | | | 7,048 | | | | 722,843 | | |
| Synopsys, Inc.* | | | 6,801 | | | | 2,170,879 | | |
| Trade Desk, Inc. (The), Class A* | | | 19,328 | | | | 1,006,022 | | |
| Tyler Technologies, Inc.* | | | 1,827 | | | | 650,083 | | |
| UiPath, Inc., Class A* | | | 11,787 | | | | 201,204 | | |
| Unity Software, Inc.* (b) | | | 7,260 | | | | 290,182 | | |
| Varonis Systems, Inc.* | | | 4,767 | | | | 157,645 | | |
| Verint Systems, Inc.* | | | 2,902 | | | | 148,118 | | |
| VMware, Inc., Class A | | | 8,946 | | | | 1,145,983 | | |
| Workday, Inc., Class A* | | | 8,562 | | | | 1,338,241 | | |
| Workiva, Inc.* | | | 1,997 | | | | 145,801 | | |
| Zendesk, Inc.* | | | 5,396 | | | | 493,464 | | |
Zoom Video Communications, Inc.,
Class A* | | | 9,674 | | | | 1,039,471 | | |
| Zscaler, Inc.* | | | 3,534 | | | | 541,020 | | |
| | | 157,360,681 | | |
| Technology Hardware, Storage & Peripherals — 20.1% | |
| Apple, Inc. | | | 687,437 | | | | 102,318,123 | | |
| Dell Technologies, Inc., Class C | | | 12,867 | | | | 642,578 | | |
| Hewlett Packard Enterprise Co. | | | 57,345 | | | | 894,582 | | |
| HP, Inc. (b) | | | 48,009 | | | | 1,864,670 | | |
| NetApp, Inc. | | | 9,849 | | | | 708,635 | | |
| Pure Storage, Inc., Class A* | | | 12,082 | | | | 286,706 | | |
| Seagate Technology Holdings plc | | | 8,928 | | | | 755,934 | | |
| Western Digital Corp.* | | | 13,880 | | | | 842,377 | | |
| Xerox Holdings Corp. | | | 5,449 | | | | 102,550 | | |
| | | 108,416,155 | | |
Total Common Stocks
(Cost $564,147,794) | | | | | 478,961,088 | | |
| Securities Lending Reinvestments (c) — 0.1% | |
| Investment Companies — 0.1% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $569,684) | | | 569,684 | | | | 569,684 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA TECHNOLOGY ROM :: 97
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 31.1% | |
| Repurchase Agreements (d) — 31.1% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $167,887,602
(Cost $167,884,223) | | $ | 167,884,223 | | | $ | 167,884,223 | | |
Total Investments — 120.0%
(Cost $732,601,701) | | | | | 647,414,995 | | |
| Liabilities in excess of other assets — (20.0%) | | | | | (108,035,368 | ) | |
| Net Assets — 100.0% | | | | $ | 539,379,627 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $350,962,769.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $1,823,266, collateralized in the form of cash with a value of $569,684 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio
Investments and $1,353,683 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 15, 2022 - February 15, 2051. The total value of collateral is $1,923,367.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $569,684.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 12,772,344 | | |
| Aggregate gross unrealized depreciation | | | (323,780,012 | ) | |
| Net unrealized depreciation | | $ | (311,007,668 | ) | |
| Federal income tax cost | | $ | 733,776,735 | | |
Swap Agreementsa
Ultra Technology had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 45,813,312 | | | 5/8/2023 | |
Bank of
America NA | | | 1.18 | % | | Dow Jones U.S.
TechnologySM
Indexf | | | (23,490,432 | ) | | | — | | | | 23,490,432 | | | | — | | |
| 150,001,985 | | | 5/8/2023 | |
BNP Paribas SA | | | 1.43 | % | | Dow Jones U.S.
TechnologySM
Indexf | | | (35,166,284 | ) | | | 8,152,126 | | | | 27,014,158 | | | | — | | |
| 107,623,338 | | | 4/10/2023 | |
Citibank NA | | | 1.13 | % | | Dow Jones U.S.
TechnologySM
Indexf | | | (23,956,078 | ) | | | 10,219,020 | | | | 13,737,058 | | | | — | | |
| 28,618,968 | | | 4/10/2023 | |
Credit Suisse
International | | | 1.43 | % | | Dow Jones U.S.
TechnologySM
Indexf | | | (8,593,715 | ) | | | 4,945,247 | | | | 3,648,468 | | | | — | | |
| 13,431,981 | | | 3/7/2023 | |
Goldman Sachs
International | | | 1.43 | % | | Dow Jones U.S.
TechnologySM
Indexf | | | (37,412,037 | ) | | | 31,841,189 | | | | 5,570,848 | | | | — | | |
| 75,417,897 | | | 5/8/2023 | |
J.P. Morgan
Securities | | | 1.28 | % | | Dow Jones U.S.
TechnologySM
Indexf | | | (33,844,732 | ) | | | 29,668,534 | | | | 4,176,198 | | | | — | | |
| 7,263,975 | | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | 1.43 | % | | Dow Jones U.S.
TechnologySM
Indexf | | | (46,257 | ) | | | — | | | | 46,257 | | | | — | | |
See accompanying notes to the financial statements.
98 :: ROM ULTRA TECHNOLOGY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 124,856,617 | | | 4/10/2023 | |
Societe Generale | | | 1.38 | % | | Dow Jones U.S.
TechnologySM
Indexf | | | 6,066,882 | | | | (6,047,832 | ) | | | (19,050 | ) | | | — | | |
| 47,832,999 | | | 3/7/2023 | |
UBS AG | | | 1.43 | % | | Dow Jones U.S.
TechnologySM
Indexf | | | (68,203,275 | ) | | | 45,035,221 | | | | 23,168,054 | | | | — | | |
| 600,861,072 | | | | | | | | | | | | | | | | | | (224,645,928 | ) | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Appreciation | | | 6,066,882 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (230,712,810 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the preceding Schedule of Portfolio Investments for the representative components of the underlying reference instrument and their relative weightings.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA TECHNOLOGY ROM :: 99
| Investments | | Shares | | Value | |
| Common Stocks (a) — 86.8% | |
| Communications Equipment — 40.4% | |
| ADTRAN, Inc. | | | 288 | | | $ | 5,337 | | |
| Arista Networks, Inc.* | | | 689 | | | | 70,471 | | |
| Ciena Corp.* | | | 910 | | | | 46,246 | | |
| Cisco Systems, Inc. | | | 7,434 | | | | 334,902 | | |
| CommScope Holding Co., Inc.* | | | 1,202 | | | | 9,027 | | |
| Comtech Telecommunications Corp. | | | 155 | | | | 1,939 | | |
| Extreme Networks, Inc.* | | | 759 | | | | 7,529 | | |
| F5, Inc.* | | | 357 | | | | 58,205 | | |
| Harmonic, Inc.* | | | 605 | | | | 5,826 | | |
| Inseego Corp.* | | | 463 | | | | 954 | | |
| Juniper Networks, Inc. | | | 1,911 | | | | 58,629 | | |
| Lumentum Holdings, Inc.* | | | 424 | | | | 36,498 | | |
| Motorola Solutions, Inc. | | | 375 | | | | 82,403 | | |
| NETGEAR, Inc.* | | | 172 | | | | 3,277 | | |
| NetScout Systems, Inc.* | | | 434 | | | | 14,899 | | |
| Plantronics, Inc.* | | | 251 | | | | 9,909 | | |
| Ribbon Communications, Inc.* | | | 707 | | | | 2,001 | | |
| Ubiquiti, Inc. | | | 36 | | | | 9,416 | | |
| Viasat, Inc.* | | | 437 | | | | 17,257 | | |
| Viavi Solutions, Inc.* | | | 1,351 | | | | 19,549 | | |
| | | 794,274 | | |
| Diversified Telecommunication Services — 36.7% | |
| Anterix, Inc.* | | | 108 | | | | 4,621 | | |
| AT&T, Inc. | | | 3,575 | | | | 76,112 | | |
| ATN International, Inc. | | | 64 | | | | 2,822 | | |
| Consolidated Communications Holdings, Inc.* | | | 422 | | | | 2,794 | | |
| EchoStar Corp., Class A* | | | 228 | | | | 5,479 | | |
| Frontier Communications Parent, Inc.* | | | 1,221 | | | | 31,661 | | |
| Globalstar, Inc.* (b) | | | 3,898 | | | | 5,457 | | |
| IDT Corp., Class B* | | | 102 | | | | 2,811 | | |
| Iridium Communications, Inc.* | | | 777 | | | | 28,834 | | |
| Liberty Global plc, Class A* | | | 1,039 | | | | 25,268 | | |
| Liberty Global plc, Class C* | | | 1,950 | | | | 49,550 | | |
| Liberty Latin America Ltd., Class A* | | | 240 | | | | 2,282 | | |
| Liberty Latin America Ltd., Class C* | | | 914 | | | | 8,692 | | |
| Lumen Technologies, Inc. (b) | | | 5,415 | | | | 66,280 | | |
| Radius Global Infrastructure, Inc.* | | | 417 | | | | 6,213 | | |
| Verizon Communications, Inc. | | | 7,833 | | | | 401,755 | | |
| | | 720,631 | | |
| Entertainment — 0.0%(c) | |
| Warner Bros Discovery, Inc.* | | | 1 | | | | 18 | | |
| Household Durables — 4.1% | |
| Garmin Ltd. | | | 751 | | | | 79,321 | | |
| Wireless Telecommunication Services — 5.6% | |
| Shenandoah Telecommunications Co. | | | 294 | | | | 6,750 | | |
| Telephone and Data Systems, Inc. | | | 580 | | | | 10,283 | | |
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| T-Mobile US, Inc.* | | | 682 | | | $ | 90,904 | | |
| United States Cellular Corp.* | | | 88 | | | | 2,703 | | |
| | | 110,640 | | |
Total Common Stocks
(Cost $1,662,428) | | | | | 1,704,884 | | |
| Securities Lending Reinvestments (d) — 2.7% | |
| Investment Companies — 2.7% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $53,017) | | | 53,017 | | | | 53,017 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 18.2% | |
| Repurchase Agreements (e) — 18.2% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $357,550
(Cost $357,543) | | $ | 357,543 | | | | 357,543 | | |
Total Investments — 107.7%
(Cost $2,072,988) | | | | | 2,115,444 | | |
| Liabilities in excess of other assets — (7.7%) | | | | | (150,362 | ) | |
| Net Assets — 100.0% | | | | $ | 1,965,082 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $870,683.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $50,766, collateralized in the form of cash with a value of $53,017 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments.
(c) Represents less than 0.05% of net assets.
(d) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $53,017.
(e) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 138,026 | | |
| Aggregate gross unrealized depreciation | | | (461,176 | ) | |
| Net unrealized depreciation | | $ | (323,150 | ) | |
| Federal income tax cost | | $ | 2,077,472 | | |
See accompanying notes to the financial statements.
100 :: LTL ULTRA TELECOMMUNICATIONS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
Ultra Telecommunications had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 415,749 | | | 5/8/2023 | |
Bank of
America NA | | | 1.13 | % | | Dow Jones U.S. Select
TelecommunicationsSM
Indexf | | | (53,403 | ) | | | — | | | | 32,360 | | | | (21,043 | ) | |
| 351,236 | | | 4/10/2023 | |
Citibank NA | | | 1.13 | % | | Dow Jones U.S. Select
TelecommunicationsSM
Indexf | | | (49,674 | ) | | | — | | | | 49,674 | | | | — | | |
| 654,087 | | | 3/7/2023 | |
Goldman Sachs
International | | | 1.43 | % | | Dow Jones U.S. Select
TelecommunicationsSM
Indexf | | | (102,781 | ) | | | 93,209 | | | | 9,572 | | | | — | | |
| 75,265 | | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | 1.43 | % | | Dow Jones U.S. Select
TelecommunicationsSM
Indexf | | | 592 | | | | — | | | | — | | | | 592 | | |
| 320,771 | | | 3/7/2023 | |
Societe Generale | | | 1.28 | % | | Dow Jones U.S. Select
TelecommunicationsSM
Indexf | | | (77,100 | ) | | | — | | | | 10,000 | | | | (67,100 | ) | |
| 412,165 | | | 3/7/2023 | |
UBS AG | | | 1.18 | % | | Dow Jones U.S. Select
TelecommunicationsSM
Indexf | | | (78,756 | ) | | | 57,026 | | | | 21,730 | | | | — | | |
| 2,229,273 | | | | | | | | | | | | | | | | | | | | (361,122 | ) | | | | | | | | | | | | | |
| | | | | | | | | | Total Unrealized
Appreciation | | | 592 | | | | | | | | | | | | | | |
| | | | | | | | | | Total Unrealized
Depreciation | | | (361,714 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the preceding Schedule of Portfolio Investments for the representative components of the underlying reference instrument and their relative weightings.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA TELECOMMUNICATIONS LTL :: 101
| Investments | | Shares | | Value | |
| Common Stocks (a) — 75.9% | |
| Electric Utilities — 45.9% | |
| ALLETE, Inc. | | | 872 | | | $ | 54,081 | | |
| Alliant Energy Corp. | | | 3,914 | | | | 249,792 | | |
| American Electric Power Co., Inc. | | | 7,879 | | | | 803,894 | | |
| Avangrid, Inc. | | | 1,090 | | | | 51,873 | | |
| Constellation Energy Corp. | | | 5,104 | | | | 316,856 | | |
| Duke Energy Corp. | | | 12,025 | | | | 1,353,053 | | |
| Edison International | | | 5,940 | | | | 415,265 | | |
| Entergy Corp. | | | 3,142 | | | | 378,045 | | |
| Evergy, Inc. | | | 3,585 | | | | 250,735 | | |
| Eversource Energy | | | 5,375 | | | | 496,220 | | |
| Exelon Corp. | | | 15,312 | | | | 752,585 | | |
| FirstEnergy Corp. | | | 8,917 | | | | 383,074 | | |
| Hawaiian Electric Industries, Inc. | | | 1,709 | | | | 73,778 | | |
| IDACORP, Inc. | | | 790 | | | | 86,126 | | |
| NextEra Energy, Inc. | | | 30,663 | | | | 2,320,883 | | |
| NRG Energy, Inc. | | | 3,829 | | | | 176,287 | | |
| PG&E Corp.* (b) | | | 23,609 | | | | 288,030 | | |
| Pinnacle West Capital Corp. | | | 1,762 | | | | 136,819 | | |
| PNM Resources, Inc. | | | 1,342 | | | | 63,785 | | |
| Portland General Electric Co. | | | 1,398 | | | | 68,852 | | |
| PPL Corp. | | | 11,736 | | | | 354,193 | | |
| Southern Co. (The) | | | 16,570 | | | | 1,253,686 | | |
| Xcel Energy, Inc. | | | 8,421 | | | | 634,438 | | |
| | | 10,962,350 | | |
| Gas Utilities — 3.3% | |
| Atmos Energy Corp. | | | 2,117 | | | | 246,228 | | |
| National Fuel Gas Co. | | | 1,431 | | | | 105,221 | | |
| New Jersey Resources Corp. | | | 1,502 | | | | 68,972 | | |
| ONE Gas, Inc. | | | 838 | | | | 72,923 | | |
| Southwest Gas Holdings, Inc. | | | 1,030 | | | | 95,924 | | |
| Spire, Inc. | | | 809 | | | | 63,345 | | |
| UGI Corp. | | | 3,280 | | | | 140,187 | | |
| | | 792,800 | | |
| Independent Power and Renewable Electricity Producers — 2.1% | |
| AES Corp. (The) | | | 10,423 | | | | 229,723 | | |
| Clearway Energy, Inc., Class A | | | 541 | | | | 17,615 | | |
| Clearway Energy, Inc., Class C, Class C (b) | | | 1,278 | | | | 44,794 | | |
| Vistra Corp. | | | 7,545 | | | | 198,962 | | |
| | | 491,094 | | |
| Multi-Utilities — 22.1% | |
| Ameren Corp. | | | 4,027 | | | | 383,330 | | |
| Avista Corp. | | | 1,108 | | | | 48,131 | | |
| Black Hills Corp. | | | 998 | | | | 76,507 | | |
| CenterPoint Energy, Inc. | | | 9,831 | | | | 315,084 | | |
| CMS Energy Corp. | | | 4,531 | | | | 321,882 | | |
| Consolidated Edison, Inc. | | | 5,533 | | | | 549,206 | | |
| Dominion Energy, Inc. | | | 12,667 | | | | 1,066,815 | | |
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| DTE Energy Co. | | | 3,029 | | | $ | 401,979 | | |
| NiSource, Inc. | | | 6,141 | | | | 193,134 | | |
| NorthWestern Corp. | | | 845 | | | | 51,773 | | |
| Public Service Enterprise Group, Inc. | | | 7,906 | | | | 541,877 | | |
| Sempra Energy | | | 4,992 | | | | 817,989 | | |
| WEC Energy Group, Inc. | | | 4,932 | | | | 518,205 | | |
| | | 5,285,912 | | |
| Water Utilities — 2.5% | |
| American Water Works Co., Inc. | | | 2,841 | | | | 429,701 | | |
| Essential Utilities, Inc. | | | 3,598 | | | | 166,444 | | |
| | | 596,145 | | |
Total Common Stocks
(Cost $16,826,839) | | | | | 18,128,301 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 16.4% | |
| Repurchase Agreements (c) — 16.4% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $3,924,540
(Cost $3,924,461) | | $ | 3,924,461 | | | | 3,924,461 | | |
Total Investments — 92.3%
(Cost $20,751,300) | | | | | 22,052,762 | | |
| Other assets less liabilities — 7.7% | | | | | 1,827,391 | | |
| Net Assets — 100.0% | | | | $ | 23,880,153 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $4,876,305.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $82,234, collateralized in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 5.50%, and maturity dates ranging from June 30, 2022 - May 15, 2051. The total value of collateral is $86,941.
(c) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 3,209,995 | | |
| Aggregate gross unrealized depreciation | | | (340,664 | ) | |
| Net unrealized appreciation | | $ | 2,869,331 | | |
| Federal income tax cost | | $ | 20,754,596 | | |
See accompanying notes to the financial statements.
102 :: UPW ULTRA UTILITIES :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
Ultra Utilities had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 12,589,126 | | | 11/7/2022 | | Bank of
America NA | | | 1.03 | % | | Dow Jones U.S.
UtilitiesSM Indexf | | | 626,821 | | | | (597,044 | ) | | | — | | | | 29,777 | | |
| 812,284 | | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | 1.43 | % | |
Dow Jones U.S.
UtilitiesSM Indexf | | | 146,761 | | | | — | | | | (128,000 | ) | | | 18,761 | | |
| 5,197,084 | | | 4/10/2023 | |
Societe Generale | | | 1.38 | % | | Dow Jones U.S.
UtilitiesSM Indexf | | | 311,878 | | | | (231,170 | ) | | | — | | | | 80,708 | | |
| 11,044,946 | | | 11/6/2023 | |
UBS AG | | | 1.18 | % | | Dow Jones U.S.
UtilitiesSM Indexf | | | 485,705 | | | | — | | | | (450,000 | ) | | | 35,705 | | |
| 29,643,440 | | | | | | | | | | | | | | | | | | | | 1,571,165 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 1,571,165 | | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the preceding Schedule of Portfolio Investments for the representative components of the underlying reference instrument and their relative weightings.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRA UTILITIES UPW :: 103
| Investments | | Shares | | Value | |
| Common Stocks (a) — 82.6% | |
| Aerospace & Defense — 2.2% | |
| Boeing Co. (The)* | | | 114,150 | | | $ | 14,999,310 | | |
| Banks — 2.2% | |
| JPMorgan Chase & Co. | | | 114,149 | | | | 15,093,922 | | |
| Beverages — 1.0% | |
| Coca-Cola Co. (The) | | | 114,156 | | | | 7,235,207 | | |
| Biotechnology — 4.2% | |
| Amgen, Inc. | | | 114,153 | | | | 29,307,641 | | |
| Capital Markets — 5.4% | |
| Goldman Sachs Group, Inc. (The) | | | 114,153 | | | | 37,310,908 | | |
| Chemicals — 1.1% | |
| Dow, Inc. | | | 114,156 | | | | 7,760,325 | | |
| Communications Equipment — 0.7% | |
| Cisco Systems, Inc. | | | 114,154 | | | | 5,142,638 | | |
| Consumer Finance — 2.8% | |
| American Express Co. | | | 114,153 | | | | 19,271,310 | | |
| Diversified Telecommunication Services — 0.8% | |
| Verizon Communications, Inc. | | | 114,157 | | | | 5,855,113 | | |
| Entertainment — 1.8% | |
| Walt Disney Co. (The)* | | | 114,152 | | | | 12,606,947 | | |
| Food & Staples Retailing — 2.8% | |
| Walgreens Boots Alliance, Inc. | | | 114,149 | | | | 5,003,151 | | |
| Walmart, Inc. | | | 114,158 | | | | 14,684,143 | | |
| | | 19,687,294 | | |
| Health Care Providers & Services — 8.2% | |
| UnitedHealth Group, Inc. | | | 114,153 | | | | 56,708,927 | | |
| Hotels, Restaurants & Leisure — 4.2% | |
| McDonald's Corp. | | | 114,153 | | | | 28,790,528 | | |
| Household Products — 2.4% | |
| Procter & Gamble Co. (The) | | | 114,158 | | | | 16,881,685 | | |
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| Industrial Conglomerates — 5.7% | |
| 3M Co. | | | 114,151 | | | $ | 17,041,603 | | |
| Honeywell International, Inc. | | | 114,243 | | | | 22,119,729 | | |
| | | 39,161,332 | | |
| Insurance — 3.0% | |
| Travelers Cos., Inc. (The) | | | 114,154 | | | | 20,438,132 | | |
| IT Services — 5.8% | |
| International Business Machines Corp. | | | 114,154 | | | | 15,849,141 | | |
| Visa, Inc., Class A (b) | | | 114,153 | | | | 24,219,842 | | |
| | | 40,068,983 | | |
| Machinery — 3.6% | |
| Caterpillar, Inc. | | | 114,153 | | | | 24,639,925 | | |
| Oil, Gas & Consumable Fuels — 2.9% | |
| Chevron Corp. | | | 114,157 | | | | 19,938,662 | | |
| Pharmaceuticals — 4.5% | |
| Johnson & Johnson | | | 114,198 | | | | 20,501,967 | | |
| Merck & Co., Inc. | | | 114,155 | | | | 10,505,685 | | |
| | | 31,007,652 | | |
| Semiconductors & Semiconductor Equipment — 0.7% | |
| Intel Corp. | | | 114,154 | | | | 5,070,721 | | |
| Software — 7.1% | |
| Microsoft Corp. | | | 114,153 | | | | 31,034,776 | | |
| Salesforce, Inc.* | | | 114,151 | | | | 18,291,556 | | |
| | | 49,326,332 | | |
| Specialty Retail — 5.0% | |
| Home Depot, Inc. (The) | | | 114,185 | | | | 34,569,509 | | |
| Technology Hardware, Storage & Peripherals — 2.5% | |
| Apple, Inc. | | | 114,156 | | | | 16,990,979 | | |
| Textiles, Apparel & Luxury Goods — 2.0% | |
| NIKE, Inc., Class B | | | 114,155 | | | | 13,567,322 | | |
Total Common Stocks
(Cost $655,949,344) | | | | | 571,431,304 | | |
See accompanying notes to the financial statements.
104 :: UDOW ULTRAPRO DOW30SM :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 21.8% | |
| Repurchase Agreements (c) — 21.8% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $150,847,596
(Cost $150,844,557) | | $ | 150,844,557 | | | $ | 150,844,557 | | |
Total Investments — 104.4%
(Cost $806,793,901) | | | | | 722,275,861 | | |
| Liabilities in excess of other assets — (4.4%) | | | | | (30,552,376 | ) | |
| Net Assets — 100.0% | | | | $ | 691,723,485 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $286,459,503.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was
$799,032, collateralized in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 3.75%, and maturity dates ranging from June 15, 2022 - February 15, 2051. The total value of collateral is $820,485.
(c) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 64,363,721 | | |
| Aggregate gross unrealized depreciation | | | (197,328,617 | ) | |
| Net unrealized depreciation | | $ | (132,964,896 | ) | |
| Federal income tax cost | | $ | 814,652,503 | | |
Futures Contracts Purchased
UltraPro Dow30SM had the following open long futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| DJIA CBOT E-Mini Index | | | 351 | | | 6/17/2022 | | USD | | | | $ | 57,864,105 | | | $ | 1,457,212 | | |
Swap Agreementsa
UltraPro Dow30SM had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 263,657,039 | | | 5/8/2023 | |
Bank of
America NA | | | 1.23 | % | | Dow Jones
Industrial
AverageSM | | | (31,769,929 | ) | | | 15,669,909 | | | | 16,100,020 | | | | — | | |
| 30,416,891 | | | 11/6/2023 | |
Barclays Capital | | | 1.43 | % | | Dow Jones
Industrial
AverageSM | | | (177,642 | ) | | | — | | | | — | | | | (177,642 | ) | |
| 229,875,156 | | | 5/8/2023 | |
BNP Paribas SA | | | 1.43 | % | | Dow Jones
Industrial
AverageSM | | | (14,776,309 | ) | | | 11,460,695 | | | | 3,315,614 | | | | — | | |
| 117,708,748 | | | 11/7/2022 | |
Citibank NA | | | 1.49 | % | | Dow Jones
Industrial
AverageSM | | | 36,686,695 | | | | — | | | | (36,686,695 | ) | | | — | | |
| 159,408,260 | | | 11/6/2023 | | Morgan
Stanley & Co.
International plc | | | 1.38 | % | | Dow Jones
Industrial
AverageSM | | | (13,545,981 | ) | | | 12,972,178 | | | | 573,803 | | | | — | | |
| 382,916,323 | | | 4/10/2023 | |
Societe Generale | | | 1.23 | % | | Dow Jones
Industrial
AverageSM | | | 16,148,766 | | | | (16,078,761 | ) | | | (70,005 | ) | | | — | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO DOW30SM UDOW :: 105
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 261,743,612 | | | 3/7/2023 | |
UBS AG | | | 1.33 | % | | Dow Jones
Industrial
AverageSM | | | (34,611,066 | ) | | | 34,603,378 | | | | 7,688 | | | | — | | |
| 1,445,726,029 | | | | | | | | | | | | | | | | (42,045,466 | ) | | | | | | | | | | | | | |
| | | | | | | | | | Total Unrealized
Appreciation | | | 52,835,461 | | | | | | | | | | | | | | |
| | | | | | | | | | Total Unrealized
Depreciation | | | (94,880,927 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
106 :: UDOW ULTRAPRO DOW30SM :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) — 84.7% | |
AECOM (Construction &
Engineering) | | | 0.4 | % | | | 1,657 | | | $ | 115,741 | | |
Alcoa Corp. (Metals &
Mining) | | | 0.4 | % | | | 2,159 | | | | 133,254 | | |
| Alleghany Corp.* (Insurance) | | | 0.5 | % | | | 162 | | | | 135,072 | | |
American Campus
Communities, Inc.
(Equity Real Estate
Investment Trusts (REITs)) | | | 0.4 | % | | | 1,633 | | | | 106,145 | | |
American Financial Group,
Inc. (Insurance) | | | 0.4 | % | | | 776 | | | | 109,649 | | |
Arrow Electronics, Inc.*
(Electronic Equipment,
Instruments & Components) | | | 0.3 | % | | | 799 | | | | 96,399 | | |
Builders FirstSource, Inc.*
(Building Products) | | | 0.5 | % | | | 2,246 | | | | 146,192 | | |
Carlisle Cos., Inc.
(Building Products) | | | 0.5 | % | | | 614 | | | | 156,220 | | |
Cleveland-Cliffs, Inc.*
(Metals & Mining) | | | 0.4 | % | | | 5,608 | | | | 129,993 | | |
Cognex Corp. (Electronic
Equipment, Instruments &
Components) | | | 0.3 | % | | | 2,075 | | | | 100,472 | | |
Darling Ingredients, Inc.*
(Food Products) | | | 0.5 | % | | | 1,896 | | | | 151,813 | | |
East West Bancorp, Inc.
(Banks) | | | 0.4 | % | | | 1,664 | | | | 122,371 | | |
EQT Corp. (Oil, Gas &
Consumable Fuels) | | | 0.6 | % | | | 3,528 | | | | 168,356 | | |
Essential Utilities, Inc.
(Water Utilities) | | | 0.4 | % | | | 2,697 | | | | 124,763 | | |
| Fair Isaac Corp.* (Software) | | | 0.4 | % | | | 309 | | | | 126,551 | | |
| First Horizon Corp. (Banks) | | | 0.5 | % | | | 6,264 | | | | 143,007 | | |
| Graco, Inc. (Machinery) | | | 0.4 | % | | | 1,992 | | | | 126,094 | | |
Hubbell, Inc. (Electrical
Equipment) | | | 0.4 | % | | | 638 | | | | 121,131 | | |
Jabil, Inc. (Electronic
Equipment, Instruments &
Components) | | | 0.4 | % | | | 1,683 | | | | 103,538 | | |
Jazz Pharmaceuticals plc*
(Pharmaceuticals) | | | 0.4 | % | | | 720 | | | | 107,770 | | |
Jones Lang LaSalle, Inc.*
(Real Estate Management &
Development) | | | 0.4 | % | | | 592 | | | | 116,813 | | |
Knight-Swift Transportation
Holdings, Inc. (Road & Rail) | | | 0.3 | % | | | 1,945 | | | | 94,605 | | |
Lamar Advertising Co.,
Class A (Equity Real Estate
Investment Trusts (REITs)) | | | 0.3 | % | | | 1,018 | | | | 99,713 | | |
| Lear Corp. (Auto Components) | | | 0.3 | % | | | 701 | | | | 98,813 | | |
Life Storage, Inc. (Equity
Real Estate Investment
Trusts (REITs)) | | | 0.4 | % | | | 960 | | | | 112,090 | | |
Lithia Motors, Inc.
(Specialty Retail) | | | 0.4 | % | | | 356 | | | | 108,391 | | |
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) (continued) | |
Mattel, Inc.* (Leisure
Products) | | | 0.3 | % | | | 4,111 | | | $ | 103,268 | | |
Medical Properties Trust, Inc.
(Equity Real Estate
Investment Trusts (REITs)) | | | 0.4 | % | | | 7,000 | | | | 130,060 | | |
Middleby Corp. (The)*
(Machinery) | | | 0.3 | % | | | 654 | | | | 99,055 | | |
Neurocrine Biosciences, Inc.*
(Biotechnology) | | | 0.4 | % | | | 1,111 | | | | 103,868 | | |
OGE Energy Corp.
(Electric Utilities) | | | 0.3 | % | | | 2,347 | | | | 96,931 | | |
| Olin Corp. (Chemicals) | | | 0.4 | % | | | 1,654 | | | | 108,817 | | |
Owens Corning
(Building Products) | | | 0.4 | % | | | 1,179 | | | | 112,689 | | |
Range Resources Corp.*
(Oil, Gas & Consumable
Fuels) | | | 0.3 | % | | | 2,928 | | | | 99,406 | | |
Regal Rexnord Corp.
(Electrical Equipment) | | | 0.3 | % | | | 795 | | | | 99,335 | | |
Reinsurance Group of
America, Inc. (Insurance) | | | 0.3 | % | | | 788 | | | | 99,170 | | |
Reliance Steel &
Aluminum Co. (Metals &
Mining) | | | 0.5 | % | | | 735 | | | | 142,884 | | |
Repligen Corp.* (Life Sciences
Tools & Services) | | | 0.3 | % | | | 604 | | | | 99,340 | | |
Rexford Industrial Realty, Inc.
(Equity Real Estate
Investment Trusts (REITs)) | | | 0.4 | % | | | 1,880 | | | | 120,076 | | |
RPM International, Inc.
(Chemicals) | | | 0.5 | % | | | 1,521 | | | | 134,000 | | |
Service Corp. International
(Diversified Consumer
Services) | | | 0.5 | % | | | 1,936 | | | | 135,578 | | |
Steel Dynamics, Inc.
(Metals & Mining) | | | 0.6 | % | | | 2,211 | | | | 188,775 | | |
Targa Resources Corp.
(Oil, Gas & Consumable
Fuels) | | | 0.7 | % | | | 2,685 | | | | 193,374 | | |
| Toro Co. (The) (Machinery) | | | 0.3 | % | | | 1,231 | | | | 101,545 | | |
| UGI Corp. (Gas Utilities) | | | 0.4 | % | | | 2,461 | | | | 105,183 | | |
United Therapeutics Corp.*
(Biotechnology) | | | 0.4 | % | | | 527 | | | | 121,389 | | |
Watsco, Inc. (Trading
Companies & Distributors) | | | 0.3 | % | | | 387 | | | | 98,929 | | |
Webster Financial Corp.
(Banks) | | | 0.3 | % | | | 2,109 | | | | 103,531 | | |
Williams-Sonoma, Inc.
(Specialty Retail) | | | 0.4 | % | | | 857 | | | | 109,627 | | |
Wolfspeed, Inc.*(b)
(Semiconductors &
Semiconductor Equipment) | | | 0.4 | % | | | 1,451 | | | | 109,159 | | |
| Other Common Stocks (b) | | | 64.7 | % | | | 414,630 | | | | 19,263,967 | | |
Total Common Stocks
(Cost $28,398,232) | | | | | | | 25,234,912 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO MIDCAP400 UMDD :: 107
| | | Percentage of
Net Assets | | Shares | | Value | |
| Securities Lending Reinvestments (c) — 0.0% (d) | |
| Investment Companies — 0.0% (d) | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $9,835) | | | 0.0 | % | | | 9,835 | | | $ | 9,835 | | |
| | | | Principal
Amount | | | |
| Short-Term Investments — 37.1% | |
| Repurchase Agreements (e) — 37.1% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $11,048,586
(Cost $11,048,363) | | | | $ | 11,048,363 | | | | 11,048,363 | | |
Total Investments — 121.8%
(Cost $39,456,430) | | | | | | | 36,293,110 | | |
| Liabilities in excess of other assets — (21.8%) | | | | | | | (6,494,500 | ) | |
| Net Assets — 100.0% | | | | | | $ | 29,798,610 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $19,242,486.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $70,921, collateralized in the form of cash with a value of $9,835 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $63,405 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 5.50%, and maturity dates ranging from June 15, 2022 - November 15, 2051. The total value of collateral is $73,240.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $9,835.
(d) Represents less than 0.05% of net assets.
(e) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 1,140,835 | | |
| Aggregate gross unrealized depreciation | | | (19,132,201 | ) | |
| Net unrealized depreciation | | $ | (17,991,366 | ) | |
| Federal income tax cost | | $ | 40,216,049 | | |
Futures Contracts Purchased
UltraPro MidCap400 had the following open long futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| S&P Midcap 400 E-Mini Index | | | 8 | | | 6/17/2022 | | USD | | | | $ | 2,010,560 | | | $ | 18,946 | | |
Swap Agreementsa
UltraPro MidCap400 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 11,331,689 | | | 5/8/2023 | | Bank of
America NA | | | 1.23 | % | | S&P
MidCap 400® | | | (2,200,932 | ) | | | — | | | | 2,200,932 | | | | — | | |
| 1,948,970 | | | 5/8/2023 | |
BNP Paribas SA | | | 1.28 | % | | S&P
MidCap 400® | | | (1,415,505 | ) | | | — | | | | 1,415,505 | | | | — | | |
| 3,128,411 | | | 4/10/2023 | |
Citibank NA | | | 1.23 | % | | S&P
MidCap 400® | | | (885,866 | ) | | | — | | | | 885,866 | | | | — | | |
| 721,748 | | | 4/10/2023 | | Credit Suisse
International | | | 1.33 | % | | S&P
MidCap 400® | | | (109,619 | ) | | | — | | | | 45,381 | | | | (64,238 | ) | |
| 7,759,456 | | | 3/7/2023 | | Goldman Sachs
International | | | 1.33 | % | | S&P
MidCap 400® | | | (1,255,413 | ) | | | 823,839 | | | | 431,574 | | | | — | | |
See accompanying notes to the financial statements.
108 :: UMDD ULTRAPRO MIDCAP400 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 22,665,892 | | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | 1.38 | % | |
S&P
MidCap 400® | | | (3,297,193 | ) | | | 2,371,679 | | | | 925,514 | | | | — | | |
| 7,390,997 | | | 3/7/2023 | |
Societe Generale | | | 1.10 | % | | S&P
MidCap 400® | | | (3,744,710 | ) | | | 3,715,506 | | | | 29,204 | | | | — | | |
| 7,199,872 | | | 3/7/2023 | |
UBS AG | | | 1.18 | % | | S&P
MidCap 400® | | | (1,178,135 | ) | | | 790,935 | | | | 387,200 | | | | — | | |
| 62,147,035 | | | | | | | | | | | | | | | | | | | | (14,087,373 | ) | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (14,087,373 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
UltraPro MidCap400 invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
| Aerospace & Defense | | | 1.1 | % | |
| Air Freight & Logistics | | | 0.2 | % | |
| Airlines | | | 0.1 | % | |
| Auto Components | | | 1.2 | % | |
| Automobiles | | | 0.4 | % | |
| Banks | | | 5.9 | % | |
| Beverages | | | 0.1 | % | |
| Biotechnology | | | 1.4 | % | |
| Building Products | | | 2.1 | % | |
| Capital Markets | | | 1.7 | % | |
| Chemicals | | | 2.5 | % | |
| Commercial Services & Supplies | | | 1.3 | % | |
| Communications Equipment | | | 0.8 | % | |
| Construction & Engineering | | | 1.5 | % | |
| Construction Materials | | | 0.2 | % | |
| Consumer Finance | | | 0.4 | % | |
| Containers & Packaging | | | 0.7 | % | |
| Diversified Consumer Services | | | 0.9 | % | |
| Diversified Financial Services | | | 0.3 | % | |
| Diversified Telecommunication Services | | | 0.2 | % | |
| Electric Utilities | | | 1.0 | % | |
| Electrical Equipment | | | 1.6 | % | |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO MIDCAP400 UMDD :: 109
| Electronic Equipment, Instruments & Components | | | 2.7 | % | |
| Energy Equipment & Services | | | 0.5 | % | |
| Entertainment | | | 0.1 | % | |
| Equity Real Estate Investment Trusts (REITs) | | | 7.5 | % | |
| Food & Staples Retailing | | | 1.1 | % | |
| Food Products | | | 1.6 | % | |
| Gas Utilities | | | 1.4 | % | |
| Health Care Equipment & Supplies | | | 2.5 | % | |
| Health Care Providers & Services | | | 2.1 | % | |
| Hotels, Restaurants & Leisure | | | 2.3 | % | |
| Household Durables | | | 1.3 | % | |
| Household Products | | | 0.1 | % | |
| Insurance | | | 3.6 | % | |
| Interactive Media & Services | | | 0.3 | % | |
| IT Services | | | 1.9 | % | |
| Leisure Products | | | 1.1 | % | |
| Life Sciences Tools & Services | | | 1.3 | % | |
| Machinery | | | 3.7 | % | |
| Marine | | | 0.2 | % | |
| Media | | | 0.8 | % | |
| Metals & Mining | | | 2.8 | % | |
| Multiline Retail | | | 0.7 | % | |
| Multi-Utilities | | | 0.3 | % | |
| Oil, Gas & Consumable Fuels | | | 3.3 | % | |
| Paper & Forest Products | | | 0.2 | % | |
| Personal Products | | | 0.3 | % | |
| Pharmaceuticals | | | 0.6 | % | |
| Professional Services | | | 1.5 | % | |
| Real Estate Management & Development | | | 0.4 | % | |
| Road & Rail | | | 1.5 | % | |
| Semiconductors & Semiconductor Equipment | | | 2.9 | % | |
| Software | | | 2.8 | % | |
| Specialty Retail | | | 2.6 | % | |
| Technology Hardware, Storage & Peripherals | | | 0.1 | % | |
| Textiles, Apparel & Luxury Goods | | | 1.3 | % | |
| Thrifts & Mortgage Finance | | | 0.5 | % | |
| Trading Companies & Distributors | | | 0.8 | % | |
| Water Utilities | | | 0.4 | % | |
| Othera | | | 15.3 | % | |
| | | 100.0 | % | |
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
110 :: UMDD ULTRAPRO MIDCAP400 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Common Stocks (a) — 81.1% | |
| Automobiles — 3.5% | |
| Lucid Group, Inc.*(b) | | | 1,570,890 | | | $ | 31,700,560 | | |
| Tesla, Inc.* | | | 591,683 | | | | 448,649,552 | | |
| | | 480,350,112 | | |
| Beverages — 2.3% | |
| Keurig Dr Pepper, Inc. | | | 1,347,015 | | | | 46,795,301 | | |
| Monster Beverage Corp.* | | | 502,959 | | | | 44,823,706 | | |
| PepsiCo, Inc. | | | 1,314,344 | | | | 220,481,206 | | |
| | | 312,100,213 | | |
| Biotechnology — 3.3% | |
| Amgen, Inc. | | | 529,119 | | | | 135,846,012 | | |
| Biogen, Inc.* | | | 139,690 | | | | 27,938,000 | | |
| Gilead Sciences, Inc. | | | 1,190,941 | | | | 77,232,524 | | |
| Moderna, Inc.* | | | 382,865 | | | | 55,641,771 | | |
| Regeneron Pharmaceuticals, Inc.* | | | 101,341 | | | | 67,365,416 | | |
| Seagen, Inc.* | | | 174,513 | | | | 23,677,924 | | |
| Vertex Pharmaceuticals, Inc.* | | | 241,816 | | | | 64,963,868 | | |
| | | 452,665,515 | | |
| Commercial Services & Supplies — 0.5% | |
| Cintas Corp. | | | 98,415 | | | | 39,201,647 | | |
| Copart, Inc.* | | | 225,382 | | | | 25,813,000 | | |
| | | 65,014,647 | | |
| Communications Equipment — 1.3% | |
| Cisco Systems, Inc. | | | 3,946,739 | | | | 177,800,592 | | |
| Electric Utilities — 1.1% | |
| American Electric Power Co., Inc. | | | 478,940 | | | | 48,866,248 | | |
| Constellation Energy Corp. | | | 310,231 | | | | 19,259,117 | | |
| Exelon Corp. | | | 931,066 | | | | 45,761,894 | | |
| Xcel Energy, Inc. | | | 516,954 | | | | 38,947,315 | | |
| | | 152,834,574 | | |
| Entertainment — 1.4% | |
| Activision Blizzard, Inc. | | | 740,213 | | | | 57,647,788 | | |
| Electronic Arts, Inc. | | | 267,082 | | | | 37,030,919 | | |
| NetEase, Inc., ADR | | | 198,946 | | | | 20,636,669 | | |
| Netflix, Inc.* | | | 421,786 | | | | 83,277,428 | | |
| | | 198,592,804 | | |
| Food & Staples Retailing — 1.7% | |
| Costco Wholesale Corp. | | | 421,368 | | | | 196,450,189 | | |
| Walgreens Boots Alliance, Inc. | | | 820,231 | | | | 35,950,725 | | |
| | | 232,400,914 | | |
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| Food Products — 0.9% | |
| Kraft Heinz Co. (The) | | | 1,162,481 | | | $ | 43,976,656 | | |
| Mondelez International, Inc., Class A | | | 1,318,984 | | | | 83,834,623 | | |
| | | 127,811,279 | | |
| Health Care Equipment & Supplies — 1.1% | |
| Align Technology, Inc.* | | | 74,752 | | | | 20,754,145 | | |
| Dexcom, Inc.* | | | 92,053 | | | | 27,426,271 | | |
| IDEXX Laboratories, Inc.* | | | 79,957 | | | | 31,312,760 | | |
| Intuitive Surgical, Inc.* | | | 339,865 | | | | 77,366,869 | | |
| | | 156,860,045 | | |
| Hotels, Restaurants & Leisure — 2.0% | |
| Airbnb, Inc., Class A* | | | 352,672 | | | | 42,627,465 | | |
| Booking Holdings, Inc.* | | | 38,936 | | | | 87,355,252 | | |
| Marriott International, Inc., Class A | | | 310,110 | | | | 53,208,674 | | |
| Starbucks Corp. | | | 1,092,796 | | | | 85,784,486 | | |
| | | 268,975,877 | | |
| Industrial Conglomerates — 0.9% | |
| Honeywell International, Inc. | | | 651,763 | | | | 126,194,352 | | |
| Interactive Media & Services — 9.1% | |
| Alphabet, Inc., Class A* | | | 172,343 | | | | 392,121,687 | | |
| Alphabet, Inc., Class C* | | | 180,738 | | | | 412,223,616 | | |
| Baidu, Inc., ADR* | | | 229,834 | | | | 32,257,202 | | |
| Match Group, Inc.* | | | 270,873 | | | | 21,339,375 | | |
| Meta Platforms, Inc., Class A* | | | 1,979,916 | | | | 383,390,934 | | |
| | | 1,241,332,814 | | |
| Internet & Direct Marketing Retail — 6.0% | |
| Amazon.com, Inc.* | | | 291,347 | | | | 700,453,544 | | |
| eBay, Inc. | | | 558,123 | | | | 27,163,846 | | |
| JD.com, Inc., ADR | | | 566,712 | | | | 31,803,878 | | |
| MercadoLibre, Inc.* | | | 47,875 | | | | 37,624,005 | | |
| Pinduoduo, Inc., ADR* | | | 420,149 | | | | 21,154,502 | | |
| | | 818,199,775 | | |
| IT Services — 2.6% | |
| Automatic Data Processing, Inc. | | | 399,086 | | | | 88,972,233 | | |
Cognizant Technology Solutions
Corp., Class A | | | 498,194 | | | | 37,215,092 | | |
| Fiserv, Inc.* | | | 619,435 | | | | 62,054,998 | | |
| Okta, Inc.* | | | 141,053 | | | | 11,714,452 | | |
| Paychex, Inc. | | | 342,587 | | | | 42,422,548 | | |
| PayPal Holdings, Inc.* | | | 1,106,563 | | | | 94,290,233 | | |
| VeriSign, Inc.* | | | 104,696 | | | | 18,274,687 | | |
| | | 354,944,243 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO QQQ TQQQ :: 111
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| Life Sciences Tools & Services — 0.3% | |
| Illumina, Inc.* | | | 149,074 | | | $ | 35,700,241 | | |
| Machinery — 0.2% | |
| PACCAR, Inc. | | | 330,173 | | | | 28,672,223 | | |
| Media — 2.2% | |
Charter Communications, Inc.,
Class A* | | | 164,164 | | | | 83,219,656 | | |
| Comcast Corp., Class A | | | 4,297,332 | | | | 190,285,861 | | |
| Sirius XM Holdings, Inc. (b) | | | 3,750,735 | | | | 24,004,704 | | |
| | | 297,510,221 | | |
| Multiline Retail — 0.2% | |
| Dollar Tree, Inc.* | | | 213,754 | | | | 34,271,179 | | |
| Pharmaceuticals — 0.3% | |
| AstraZeneca plc, ADR | | | 541,947 | | | | 36,028,637 | | |
| Professional Services — 0.2% | |
| Verisk Analytics, Inc. | | | 153,122 | | | | 26,784,100 | | |
| Road & Rail — 0.7% | |
| CSX Corp. | | | 2,083,958 | | | | 66,249,025 | | |
| Old Dominion Freight Line, Inc. | | | 108,869 | | | | 28,114,330 | | |
| | | 94,363,355 | | |
| Semiconductors & Semiconductor Equipment — 13.3% | |
| Advanced Micro Devices, Inc.* | | | 1,546,048 | | | | 157,480,449 | | |
| Analog Devices, Inc. | | | 497,188 | | | | 83,726,459 | | |
| Applied Materials, Inc. | | | 839,197 | | | | 98,429,416 | | |
| ASML Holding NV, NYRS | | | 78,770 | | | | 45,394,363 | | |
| Broadcom, Inc. | | | 389,258 | | | | 225,820,244 | | |
| Intel Corp. | | | 3,868,575 | | | | 171,842,102 | | |
| KLA Corp. | | | 143,213 | | | | 52,251,263 | | |
| Lam Research Corp. | | | 132,444 | | | | 68,874,853 | | |
| Marvell Technology, Inc. | | | 801,489 | | | | 47,408,074 | | |
| Microchip Technology, Inc. | | | 528,267 | | | | 38,378,598 | | |
| Micron Technology, Inc. | | | 1,064,140 | | | | 78,576,098 | | |
| NVIDIA Corp. | | | 2,013,217 | | | | 375,907,878 | | |
| NXP Semiconductors NV | | | 249,392 | | | | 47,324,626 | | |
| QUALCOMM, Inc. | | | 1,070,811 | | | | 153,361,551 | | |
| Investments | | Shares | | Value | |
| Common Stocks (a) (continued) | |
| Skyworks Solutions, Inc. | | | 155,758 | | | $ | 16,957,374 | | |
| Texas Instruments, Inc. | | | 877,546 | | | | 155,115,031 | | |
| | | 1,816,848,379 | | |
| Software — 13.8% | |
| Adobe, Inc.* | | | 448,606 | | | | 186,835,427 | | |
| ANSYS, Inc.* | | | 83,020 | | | | 21,615,087 | | |
| Atlassian Corp. plc, Class A* | | | 134,311 | | | | 23,816,026 | | |
| Autodesk, Inc.* | | | 209,093 | | | | 43,439,071 | | |
| Cadence Design Systems, Inc.* | | | 263,323 | | | | 40,480,645 | | |
| Crowdstrike Holdings, Inc., Class A* | | | 197,831 | | | | 31,650,982 | | |
| Datadog, Inc., Class A* | | | 251,220 | | | | 23,963,876 | | |
| DocuSign, Inc.* | | | 187,904 | | | | 15,767,025 | | |
| Fortinet, Inc.* | | | 152,730 | | | | 44,924,002 | | |
| Intuit, Inc. | | | 268,888 | | | | 111,443,320 | | |
| Microsoft Corp. | | | 4,292,993 | | | | 1,167,136,007 | | |
| Palo Alto Networks, Inc.* | | | 93,670 | | | | 47,095,403 | | |
| Splunk, Inc.* | | | 150,980 | | | | 15,484,509 | | |
| Synopsys, Inc.* | | | 145,492 | | | | 46,441,046 | | |
| Workday, Inc., Class A* | | | 186,225 | | | | 29,106,967 | | |
Zoom Video Communications, Inc.,
Class A* | | | 230,317 | | | | 24,747,562 | | |
| Zscaler, Inc.* | | | 133,103 | | | | 20,376,738 | | |
| | | 1,894,323,693 | | |
| Specialty Retail — 0.5% | |
| O'Reilly Automotive, Inc.* | | | 63,163 | | | | 40,245,569 | | |
| Ross Stores, Inc. | | | 335,643 | | | | 28,536,368 | | |
| | | 68,781,937 | | |
| Technology Hardware, Storage & Peripherals — 10.1% | |
| Apple, Inc. | | | 9,344,889 | | | | 1,390,893,279 | | |
| Textiles, Apparel & Luxury Goods — 0.2% | |
| Lululemon Athletica, Inc.* | | | 117,455 | | | | 34,377,904 | | |
| Trading Companies & Distributors — 0.2% | |
| Fastenal Co. | | | 546,763 | | | | 29,284,626 | | |
| Wireless Telecommunication Services — 1.2% | |
| T-Mobile US, Inc.* | | | 1,186,726 | | | | 158,178,709 | | |
Total Common Stocks
(Cost $13,249,770,510) | | | | | 11,112,096,239 | | |
See accompanying notes to the financial statements.
112 :: TQQQ ULTRAPRO QQQ :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Shares | | Value | |
| Securities Lending Reinvestments (c) — 0.3% | |
| Investment Companies — 0.3% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $43,716,530) | | | 43,716,530 | | | $ | 43,716,530 | | |
| | Principal
Amount | | | |
| Short-Term Investments — 48.6% | |
| Repurchase Agreements (d) — 14.1% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $1,925,507,220
(Cost $1,925,468,443) | | $ | 1,925,468,443 | | | | 1,925,468,443 | | |
| U.S. Treasury Obligations — 34.5% | |
| U.S. Treasury Bills | |
| 0.37%, 6/2/2022 (e) | | | 575,000,000 | | | | 574,991,772 | | |
| 0.37%, 6/7/2022 (e) | | | 250,000,000 | | | | 249,979,583 | | |
| 0.33%, 6/9/2022 (e) | | | 500,000,000 | | | | 499,941,110 | | |
| 0.42%, 6/16/2022 (e) | | | 550,000,000 | | | | 549,867,367 | | |
| 0.48%, 6/21/2022 (e) | | | 550,000,000 | | | | 549,819,721 | | |
| 0.44%, 6/23/2022 (b)(e) | | | 550,000,000 | | | | 549,808,837 | | |
| 0.56%, 6/30/2022 (e) | | | 550,000,000 | | | | 549,698,721 | | |
| 0.71%, 7/5/2022 (e) | | | 300,000,000 | | | | 299,808,750 | | |
| 0.07%, 7/14/2022 (e) | | | 500,000,000 | | | | 499,505,700 | | |
| 0.65%, 8/18/2022 (e) | | | 250,000,000 | | | | 249,434,635 | | |
| 0.51%, 11/3/2022 (e) | | | 100,000,000 | | | | 99,389,257 | | |
| 0.69%, 12/29/2022 (e) | | | 55,000,000 | | | | 54,490,637 | | |
Total U.S. Treasury Obligations
(Cost $4,728,267,847) | | | | | 4,726,736,090 | | |
Total Short-Term Investments
(Cost $6,653,736,290) | | | | | 6,652,204,533 | | |
Total Investments — 130.0%
(Cost $19,947,223,330) | | | | | 17,808,017,302 | | |
| Liabilities in excess of other assets — (30.0%) | | | | | (4,110,838,245 | ) | |
| Net Assets — 100.0% | | | | $ | 13,697,179,057 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $10,256,986,195.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $63,192,536, collateralized in the form of cash with a value of $43,716,530 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $21,788,836 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 7.13%, and maturity dates ranging from June 15, 2022 - May 15, 2052. The total value of collateral is $65,505,366.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $43,716,530.
(d) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(e) The rate shown was the current yield as of May 31, 2022.
Abbreviations
ADR American Depositary Receipt
NYRS New York Registry Shares
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 279,969,119 | | |
| Aggregate gross unrealized depreciation | | | (9,087,494,740 | ) | |
| Net unrealized depreciation | | $ | (8,807,525,621 | ) | |
| Federal income tax cost | | $ | 20,442,609,715 | | |
Futures Contracts Purchased
UltraPro QQQ had the following open long futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| NASDAQ 100 E-Mini Index | | | 6,194 | | | 6/17/2022 | | USD | | | | $ | 1,566,648,420 | | | $ | 16,912,746 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO QQQ TQQQ :: 113
Swap Agreementsa
UltraPro QQQ had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 2,521,959,887 | | | 5/8/2023 | | Bank of
America NA | | | 1.43 | % | | NASDAQ-100
Index® | | | (1,144,977,163 | ) | | | 957,847,163 | | | | 187,130,000 | | | | — | | |
| 3,983,652,131 | | | 4/17/2023 | |
Barclays Capital | | | 1.43 | % | | NASDAQ-100
Index® | | | (167,052,290 | ) | | | — | | | | 167,052,290 | | | | — | | |
| 1,918,135,265 | | | 5/8/2023 | |
BNP Paribas SA | | | 1.48 | % | | NASDAQ-100
Index® | | | (1,232,786,697 | ) | | | 1,062,377,187 | | | | 170,409,510 | | | | — | | |
| 3,139,083,998 | | | 2/6/2023 | |
Citibank NA | | | 1.49 | % | | NASDAQ-100
Index® | | | (904,952,384 | ) | | | 904,938,263 | | | | 14,121 | | | | — | | |
| 1,577,329,533 | | | 11/7/2022 | | Credit Suisse
International | | | 1.43 | % | | NASDAQ-100
Index® | | | (181,740,905 | ) | | | — | | | | 181,740,905 | | | | — | | |
| 3,523,985,375 | | | 4/8/2024 | | Goldman Sachs
International | | | 1.53 | % | | NASDAQ-100
Index® | | | 113,630,397 | | | | (113,630,397 | ) | | | — | | | | — | | |
| 2,656,054,642 | | | 5/8/2023 | | J.P. Morgan
Securities | | | 1.23 | % | | NASDAQ-100
Index® | | | (932,083,505 | ) | | | 366,873,768 | | | | 565,209,737 | | | | — | | |
| 1,664,673,802 | | | 4/10/2023 | | Morgan
Stanley & Co.
International plc | | | 1.38 | % | |
NASDAQ-100
Index® | | | (747,224,411 | ) | | | 465,785,693 | | | | 281,438,718 | | | | — | | |
| 3,635,526,623 | | | 11/6/2023 | |
Societe Generale | | | 1.68 | % | | NASDAQ-100
Index® | | | 29,199,812 | | | | (29,114,240 | ) | | | (85,572 | ) | | | — | | |
| 3,793,464,378 | | | 11/7/2022 | |
UBS AG | | | 1.63 | % | | NASDAQ-100
Index® | | | (1,021,858,808 | ) | | | 935,883,296 | | | | 85,975,512 | | | | — | | |
| 28,413,865,634 | | | | | | | | | | | | | | | | | | | | (6,189,845,954 | ) | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Appreciation | | | 142,830,209 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (6,332,676,163 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
114 :: TQQQ ULTRAPRO QQQ :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) — 82.1% | |
AMC Entertainment Holdings,
Inc., Class A*(b)
(Entertainment) | | | 0.2 | % | | | 45,080 | | | $ | 646,447 | | |
Antero Resources Corp.*
(Oil, Gas & Consumable
Fuels) | | | 0.4 | % | | | 25,026 | | | | 1,073,115 | | |
Avis Budget Group, Inc.*
(Road & Rail) | | | 0.2 | % | | | 3,629 | | | | 690,526 | | |
Biohaven Pharmaceutical
Holding Co. Ltd.*
(Biotechnology) | | | 0.3 | % | | | 4,882 | | | | 701,690 | | |
BJ's Wholesale Club
Holdings, Inc.* (Food &
Staples Retailing) | | | 0.3 | % | | | 11,990 | | | | 693,861 | | |
Chart Industries, Inc.*
(Machinery) | | | 0.2 | % | | | 3,189 | | | | 560,881 | | |
Chesapeake Energy Corp.
(Oil, Gas & Consumable
Fuels) | | | 0.4 | % | | | 9,175 | | | | 893,461 | | |
CMC Materials, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.2 | % | | | 2,477 | | | | 438,280 | | |
EastGroup Properties, Inc.
(Equity Real Estate
Investment Trusts (REITs)) | | | 0.2 | % | | | 3,523 | | | | 569,141 | | |
EMCOR Group, Inc.
(Construction & Engineering) | | | 0.2 | % | | | 4,667 | | | | 492,975 | | |
First Financial Bankshares,
Inc. (b) (Banks) | | | 0.2 | % | | | 11,356 | | | | 468,321 | | |
| Glacier Bancorp, Inc. (Banks) | | | 0.2 | % | | | 9,635 | | | | 466,430 | | |
Halozyme Therapeutics, Inc.*
(Biotechnology) | | | 0.2 | % | | | 12,117 | | | | 557,140 | | |
HealthEquity, Inc.* (Health
Care Providers & Services) | | | 0.2 | % | | | 7,165 | | | | 448,386 | | |
Helmerich & Payne, Inc.
(Energy Equipment &
Services) | | | 0.2 | % | | | 8,997 | | | | 452,999 | | |
II-VI, Inc.*(b) (Electronic
Equipment, Instruments &
Components) | | | 0.2 | % | | | 9,257 | | | | 578,562 | | |
Independence Realty Trust,
Inc. (Equity Real Estate
Investment Trusts (REITs)) | | | 0.2 | % | | | 19,328 | | | | 454,401 | | |
KBR, Inc. (Professional
Services) | | | 0.2 | % | | | 12,376 | | | | 615,830 | | |
Lattice Semiconductor
Corp.* (Semiconductors &
Semiconductor Equipment) | | | 0.2 | % | | | 11,861 | | | | 617,009 | | |
LHC Group, Inc.*
(Health Care Providers &
Services) | | | 0.2 | % | | | 2,663 | | | | 443,815 | | |
Light & Wonder, Inc.*
(Hotels, Restaurants &
Leisure) | | | 0.2 | % | | | 8,415 | | | | 444,312 | | |
| Livent Corp.*(b) (Chemicals) | | | 0.2 | % | | | 14,177 | | | | 450,687 | | |
| Macy's, Inc. (Multiline Retail) | | | 0.2 | % | | | 26,379 | | | | 623,863 | | |
Matador Resources Co. (Oil,
Gas & Consumable Fuels) | | | 0.2 | % | | | 9,693 | | | | 590,304 | | |
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) (continued) | |
Murphy Oil Corp. (Oil, Gas &
Consumable Fuels) | | | 0.2 | % | | | 12,823 | | | $ | 543,952 | | |
Murphy USA, Inc.
(Specialty Retail) | | | 0.2 | % | | | 2,043 | | | | 508,952 | | |
Ovintiv, Inc. (Oil, Gas &
Consumable Fuels) | | | 0.5 | % | | | 22,935 | | | | 1,284,131 | | |
PDC Energy, Inc.
(Oil, Gas & Consumable
Fuels) | | | 0.2 | % | | | 8,535 | | | | 675,460 | | |
Performance Food Group Co.*
(Food & Staples Retailing) | | | 0.2 | % | | | 13,263 | | | | 574,818 | | |
Power Integrations, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.2 | % | | | 5,142 | | | | 433,882 | | |
Range Resources Corp.*
(Oil, Gas & Consumable
Fuels) | | | 0.3 | % | | | 20,927 | | | | 710,472 | | |
RBC Bearings, Inc.*(b)
(Machinery) | | | 0.2 | % | | | 2,453 | | | | 457,215 | | |
Rogers Corp.* (Electronic
Equipment, Instruments &
Components) | | | 0.2 | % | | | 1,638 | | | | 434,692 | | |
| Saia, Inc.* (Road & Rail) | | | 0.2 | % | | | 2,317 | | | | 457,816 | | |
Sailpoint Technologies
Holdings, Inc.* (Software) | | | 0.2 | % | | | 7,982 | | | | 506,378 | | |
Shockwave Medical, Inc.*
(Health Care Equipment &
Supplies) | | | 0.2 | % | | | 2,951 | | | | 484,584 | | |
Silicon Laboratories, Inc.*
(Semiconductors &
Semiconductor Equipment) | | | 0.2 | % | | | 3,312 | | | | 494,018 | | |
SM Energy Co. (Oil, Gas &
Consumable Fuels) | | | 0.2 | % | | | 10,504 | | | | 507,028 | | |
| SouthState Corp. (Banks) | | | 0.2 | % | | | 6,734 | | | | 544,242 | | |
Southwest Gas Holdings,
Inc. (Gas Utilities) | | | 0.2 | % | | | 5,758 | | | | 536,243 | | |
Southwestern Energy Co.*
(Oil, Gas & Consumable
Fuels) | | | 0.3 | % | | | 88,880 | | | | 810,586 | | |
STAG Industrial, Inc.
(Equity Real Estate
Investment Trusts (REITs)) | | | 0.2 | % | | | 15,674 | | | | 521,944 | | |
Synaptics, Inc.*
(Semiconductors &
Semiconductor Equipment) | | | 0.2 | % | | | 3,465 | | | | 513,236 | | |
Tenet Healthcare Corp.*
(Health Care Providers &
Services) | | | 0.2 | % | | | 9,286 | | | | 600,897 | | |
Tetra Tech, Inc. (Commercial
Services & Supplies) | | | 0.2 | % | | | 4,712 | | | | 635,979 | | |
Texas Roadhouse, Inc.
(Hotels, Restaurants &
Leisure) | | | 0.2 | % | | | 6,139 | | | | 478,658 | | |
United Bankshares, Inc.
(Banks) | | | 0.2 | % | | | 11,534 | | | | 433,217 | | |
Valley National Bancorp
(Banks) | | | 0.2 | % | | | 35,026 | | | | 445,180 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO RUSSELL2000 URTY :: 115
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) (continued) | |
WESCO International, Inc.*
(Trading Companies &
Distributors) | | | 0.2 | % | | | 3,886 | | | $ | 488,004 | | |
WillScot Mobile Mini
Holdings Corp.*
(Construction &
Engineering) | | | 0.2 | % | | | 18,233 | | | | 651,465 | | |
| Other Common Stocks (b) | | | 71.0 | % | | | 9,268,839 | | | | 184,352,404 | | |
Total Common Stocks
(Cost $269,613,647) | | | | | | | 213,057,889 | | |
| | | | No. of
Rights | | | |
| Rights — 0.0% (c) | |
Contra Aduro Biotech I,
CVR*(d)(e) | | | 0.0 | % | | | 899 | | | | — | | |
Contraf-Nicotex-Tobacco
GmbH*(d)(e) | | | 0.0 | % | | | 1,074 | | | | 537 | | |
Oncternal Therapeutics, Inc.,
CVR*(d)(e) | | | 0.0 | % | | | 23 | | | | — | | |
Tobira Therapeutics, Inc.,
CVR*(d)(e) | | | 0.0 | % | | | 218 | | | | — | | |
| Zogenix, Inc., CVR*(d)(e) | | | 0.0 | % | | | 6,278 | | | | 4,269 | | |
Total Rights
(Cost $2,659) | | | | | | | 4,806 | | |
| | | | Shares | | | |
| Securities Lending Reinvestments (f) — 1.9% | |
| Investment Companies — 1.9% | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $4,869,345) | | | 1.9 | % | | | 4,869,345 | | | | 4,869,345 | | |
| | | | Principal
Amount | | | |
| Short-Term Investments — 19.4% | |
| Repurchase Agreements (g) — 19.4% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $50,205,251
(Cost $50,204,239) | | | | $ | 50,204,239 | | | | 50,204,239 | | |
Total Investments — 103.4%
(Cost $324,689,890) | | | | | | | 268,136,279 | | |
| Liabilities in excess of other assets — (3.4%) | | | | | | | (8,697,036 | ) | |
| Net Assets — 100.0% | | | | | | $ | 259,439,243 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $68,015,286.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $7,750,898, collateralized in the form of cash with a value of $4,869,345 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $3,402,474 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% - 4.63%, and maturity dates ranging from June 15, 2022 - May 15, 2052. The total value of collateral is $8,271,819.
(c) Represents less than 0.05% of net assets.
(d) Illiquid security.
(e) Security fair valued as of May 31, 2022 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at May 31, 2022 amounted to $4,806, which represents approximately 0.00% of net assets of the Fund.
(f) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $4,869,345.
(g) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
Abbreviations
CVR Contingent Value Rights — No defined expiration
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 10,080,030 | | |
| Aggregate gross unrealized depreciation | | | (240,280,520 | ) | |
| Net unrealized depreciation | | $ | (230,200,490 | ) | |
| Federal income tax cost | | $ | 347,738,138 | | |
See accompanying notes to the financial statements.
116 :: URTY ULTRAPRO RUSSELL2000 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Futures Contracts Purchased
UltraPro Russell2000 had the following open long futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| Russell 2000 E-Mini Index | | | 266 | | | 6/17/2022 | | USD | | | | $ | 24,763,270 | | | $ | 808,915 | | |
Swap Agreementsa
UltraPro Russell2000 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 110,356,760 | | | 5/8/2023 | | Bank of
America NA | | | 1.13 | % | | Russell 2000®
Index | | | (30,879,445 | ) | | | 14,214,477 | | | | 16,664,968 | | | | — | | |
| 6,466,355 | | | 11/6/2023 | |
Barclays Capital | | | 1.33 | % | | Russell 2000®
Index | | | (47,190 | ) | | | — | | | | — | | | | (47,190 | ) | |
| 30,998,985 | | | 5/8/2023 | |
BNP Paribas SA | | | 0.98 | % | | Russell 2000®
Index | | | (27,807,480 | ) | | | — | | | | 27,807,480 | | | | — | | |
| 109,916,847 | | | 4/10/2023 | |
Citibank NA | | | 1.12 | % | | Russell 2000®
Index | | | (47,210,497 | ) | | | — | | | | 47,210,497 | | | | — | | |
| 32,861,161 | | | 11/7/2022 | | Credit Suisse
International | | | 1.28 | % | | Russell 2000®
Index | | | (7,856,375 | ) | | | 1,233,792 | | | | 6,622,583 | | | | — | | |
| 83,678,620 | | | 4/10/2023 | | Goldman Sachs
International | | | 1.23 | % | | Russell 2000®
Index | | | 4,258,976 | | | | (4,258,976 | ) | | | — | | | | — | | |
| 58,830,967 | | | 11/6/2023 | | Morgan
Stanley & Co.
International plc | | | 1.28 | % | |
Russell 2000®
Index | | | (12,259,503 | ) | | | — | | | | 12,259,503 | | | | — | | |
| 38,882,010 | | | 3/7/2023 | |
Societe Generale | | | 1.18 | % | | Russell 2000®
Index | | | (18,409,551 | ) | | | 581,732 | | | | 17,827,819 | | | | — | | |
| 68,475,509 | | | 3/7/2023 | |
UBS AG | | | 0.83 | % | | Russell 2000®
Index | | | (11,196,481 | ) | | | — | | | | 11,196,481 | | | | — | | |
| 540,467,214 | | | | | | | | | | | | | | | | | | | | (151,407,546 | ) | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Appreciation | | | 4,258,976 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (155,666,522 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO RUSSELL2000 URTY :: 117
UltraPro Russell2000 invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
| Aerospace & Defense | | | 0.6 | % | |
| Air Freight & Logistics | | | 0.3 | % | |
| Airlines | | | 0.3 | % | |
| Auto Components | | | 1.0 | % | |
| Automobiles | | | 0.2 | % | |
| Banks | | | 7.6 | % | |
| Beverages | | | 0.4 | % | |
| Biotechnology | | | 4.8 | % | |
| Building Products | | | 1.1 | % | |
| Capital Markets | | | 1.3 | % | |
| Chemicals | | | 1.8 | % | |
| Commercial Services & Supplies | | | 1.5 | % | |
| Communications Equipment | | | 0.6 | % | |
| Construction & Engineering | | | 1.4 | % | |
| Construction Materials | | | 0.1 | % | |
| Consumer Finance | | | 0.6 | % | |
| Containers & Packaging | | | 0.3 | % | |
| Distributors | | | 0.0 | %* | |
| Diversified Consumer Services | | | 0.5 | % | |
| Diversified Financial Services | | | 0.1 | % | |
| Diversified Telecommunication Services | | | 0.5 | % | |
| Electric Utilities | | | 0.6 | % | |
| Electrical Equipment | | | 0.8 | % | |
| Electronic Equipment, Instruments & Components | | | 2.0 | % | |
| Energy Equipment & Services | | | 1.2 | % | |
| Entertainment | | | 0.5 | % | |
| Equity Real Estate Investment Trusts (REITs) | | | 5.8 | % | |
| Food & Staples Retailing | | | 1.0 | % | |
| Food Products | | | 0.9 | % | |
| Gas Utilities | | | 1.1 | % | |
| Health Care Equipment & Supplies | | | 2.7 | % | |
| Health Care Providers & Services | | | 2.4 | % | |
| Health Care Technology | | | 0.6 | % | |
| Hotels, Restaurants & Leisure | | | 1.8 | % | |
| Household Durables | | | 1.4 | % | |
| Household Products | | | 0.2 | % | |
| Independent Power and Renewable Electricity Producers | | | 0.3 | % | |
| Insurance | | | 1.6 | % | |
| Interactive Media & Services | | | 0.4 | % | |
| Internet & Direct Marketing Retail | | | 0.3 | % | |
| IT Services | | | 1.2 | % | |
| Leisure Products | | | 0.4 | % | |
| Life Sciences Tools & Services | | | 0.4 | % | |
| Machinery | | | 3.0 | % | |
| Marine | | | 0.2 | % | |
| Media | | | 0.8 | % | |
| Metals & Mining | | | 1.2 | % | |
| Mortgage Real Estate Investment Trusts (REITs) | | | 1.1 | % | |
| Multiline Retail | | | 0.4 | % | |
| Multi-Utilities | | | 0.4 | % | |
| Oil, Gas & Consumable Fuels | | | 5.6 | % | |
| Paper & Forest Products | | | 0.1 | % | |
| Personal Products | | | 0.5 | % | |
See accompanying notes to the financial statements.
118 :: URTY ULTRAPRO RUSSELL2000 :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Pharmaceuticals | | | 1.1 | % | |
| Professional Services | | | 1.5 | % | |
| Real Estate Management & Development | | | 0.5 | % | |
| Road & Rail | | | 0.7 | % | |
| Semiconductors & Semiconductor Equipment | | | 2.7 | % | |
| Software | | | 3.9 | % | |
| Specialty Retail | | | 1.8 | % | |
| Technology Hardware, Storage & Peripherals | | | 0.2 | % | |
| Textiles, Apparel & Luxury Goods | | | 0.5 | % | |
| Thrifts & Mortgage Finance | | | 1.2 | % | |
| Tobacco | | | 0.1 | % | |
| Trading Companies & Distributors | | | 1.5 | % | |
| Water Utilities | | | 0.3 | % | |
| Wireless Telecommunication Services | | | 0.2 | % | |
| Othera | | | 17.9 | % | |
| | | 100.0 | % | |
* Amount represents less than 0.05%.
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO RUSSELL2000 URTY :: 119
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) — 82.5% | |
Abbott Laboratories (Health
Care Equipment & Supplies) | | | 0.5 | % | | | 107,375 | | | $ | 12,612,268 | | |
| AbbVie, Inc. (Biotechnology) | | | 0.6 | % | | | 107,351 | | | | 15,820,317 | | |
Accenture plc, Class A (IT
Services) | | | 0.4 | % | | | 38,371 | | | | 11,452,209 | | |
| Adobe, Inc.* (Software) | | | 0.5 | % | | | 28,644 | | | | 11,929,653 | | |
Advanced Micro Devices,
Inc.* (Semiconductors &
Semiconductor Equipment) | | | 0.4 | % | | | 99,272 | | | | 10,111,896 | | |
Alphabet, Inc., Class A*
(Interactive Media &
Services) | | | 1.6 | % | | | 18,265 | | | | 41,557,259 | | |
Alphabet, Inc., Class C*
(Interactive Media &
Services) | | | 1.5 | % | | | 16,864 | | | | 38,463,074 | | |
Amazon.com, Inc.*
(Internet & Direct Marketing
Retail) | | | 2.5 | % | | | 26,570 | | | | 63,879,328 | | |
Apple, Inc. (Technology
Hardware, Storage &
Peripherals) | | | 5.5 | % | | | 941,389 | | | | 140,116,339 | | |
AT&T, Inc. (Diversified
Telecommunication
Services) | | | 0.4 | % | | | 433,620 | | | | 9,231,770 | | |
Bank of America Corp.
(Banks) | | | 0.6 | % | | | 431,639 | | | | 16,056,971 | | |
Berkshire Hathaway, Inc.,
Class B* (Diversified
Financial Services) | | | 1.4 | % | | | 111,203 | | | | 35,137,924 | | |
Bristol-Myers Squibb Co.
(Pharmaceuticals) | | | 0.4 | % | | | 132,356 | | | | 9,986,260 | | |
Broadcom, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.6 | % | | | 25,067 | | | | 14,542,119 | | |
Chevron Corp. (Oil, Gas &
Consumable Fuels) | | | 0.8 | % | | | 117,052 | | | | 20,444,302 | | |
Cisco Systems, Inc.
(Communications
Equipment) | | | 0.4 | % | | | 256,103 | | | | 11,537,440 | | |
Coca-Cola Co. (The)
(Beverages) | | | 0.6 | % | | | 236,055 | | | | 14,961,166 | | |
Comcast Corp., Class A
(Media) | | | 0.5 | % | | | 274,692 | | | | 12,163,362 | | |
Costco Wholesale Corp.
(Food & Staples Retailing) | | | 0.5 | % | | | 26,924 | | | | 12,552,507 | | |
Danaher Corp. (Life Sciences
Tools & Services) | | | 0.4 | % | | | 38,639 | | | | 10,193,741 | | |
Eli Lilly & Co.
(Pharmaceuticals) | | | 0.6 | % | | | 48,208 | | | | 15,110,316 | | |
Exxon Mobil Corp. (Oil,
Gas & Consumable Fuels) | | | 1.0 | % | | | 257,069 | | | | 24,678,624 | | |
Home Depot, Inc. (The)
(Specialty Retail) | | | 0.7 | % | | | 63,402 | | | | 19,194,955 | | |
Intel Corp. (Semiconductors &
Semiconductor Equipment) | | | 0.4 | % | | | 247,262 | | | | 10,983,378 | | |
Johnson & Johnson
(Pharmaceuticals) | | | 1.1 | % | | | 159,856 | | | | 28,698,948 | | |
| | | Percentage of
Net Assets | | Shares | | Value | |
| Common Stocks (a) (continued) | |
JPMorgan Chase & Co.
(Banks) | | | 0.9 | % | | | 179,446 | | | $ | 23,728,145 | | |
| Linde plc (Chemicals) | | | 0.4 | % | | | 31,125 | | | | 10,105,665 | | |
Mastercard, Inc., Class A
(IT Services) | | | 0.7 | % | | | 52,407 | | | | 18,754,893 | | |
McDonald's Corp. (Hotels,
Restaurants & Leisure) | | | 0.4 | % | | | 45,374 | | | | 11,443,777 | | |
Merck & Co., Inc.
(Pharmaceuticals) | | | 0.5 | % | | | 153,383 | | | | 14,115,837 | | |
Meta Platforms, Inc.,
Class A* (Interactive
Media & Services) | | | 1.1 | % | | | 140,207 | | | | 27,149,683 | | |
| Microsoft Corp. (Software) | | | 4.8 | % | | | 455,218 | | | | 123,760,118 | | |
NextEra Energy, Inc.
(Electric Utilities) | | | 0.4 | % | | | 119,141 | | | | 9,017,782 | | |
NIKE, Inc., Class B (Textiles,
Apparel & Luxury Goods) | | | 0.4 | % | | | 77,498 | | | | 9,210,637 | | |
NVIDIA Corp.
(Semiconductors &
Semiconductor Equipment) | | | 1.1 | % | | | 151,801 | | | | 28,344,283 | | |
| PepsiCo, Inc. (Beverages) | | | 0.5 | % | | | 84,005 | | | | 14,091,839 | | |
| Pfizer, Inc. (Pharmaceuticals) | | | 0.7 | % | | | 340,820 | | | | 18,077,093 | | |
Philip Morris International,
Inc. (Tobacco) | | | 0.4 | % | | | 94,110 | | | | 9,999,187 | | |
Procter & Gamble Co. (The)
(Household Products) | | | 0.8 | % | | | 145,555 | | | | 21,524,673 | | |
QUALCOMM, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.4 | % | | | 68,432 | | | | 9,800,831 | | |
| Salesforce, Inc.* (Software) | | | 0.4 | % | | | 59,809 | | | | 9,583,794 | | |
| Tesla, Inc.* (Automobiles) | | | 1.5 | % | | | 50,833 | | | | 38,544,631 | | |
Texas Instruments, Inc.
(Semiconductors &
Semiconductor Equipment) | | | 0.4 | % | | | 56,077 | | | | 9,912,171 | | |
Thermo Fisher Scientific, Inc.
(Life Sciences Tools &
Services) | | | 0.5 | % | | | 23,925 | | | | 13,579,112 | | |
UnitedHealth Group, Inc.
(Health Care Providers &
Services) | | | 1.1 | % | | | 57,188 | | | | 28,409,855 | | |
Verizon Communications, Inc.
(Diversified
Telecommunication
Services) | | | 0.5 | % | | | 254,909 | | | | 13,074,282 | | |
Visa, Inc., Class A
(IT Services) | | | 0.8 | % | | | 100,696 | | | | 21,364,670 | | |
Walmart, Inc. (Food &
Staples Retailing) | | | 0.4 | % | | | 85,901 | | | | 11,049,446 | | |
Walt Disney Co. (The)*
(Entertainment) | | | 0.5 | % | | | 110,550 | | | | 12,209,142 | | |
| Wells Fargo & Co. (Banks) | | | 0.4 | % | | | 235,950 | | | | 10,799,432 | | |
| Other Common Stocks (b) | | | 38.6 | % | | | 10,511,819 | | | | 992,797,061 | | |
Total Common Stocks
(Cost $2,389,695,638) | | | | | | | 2,121,864,165 | | |
See accompanying notes to the financial statements.
120 :: UPRO ULTRAPRO S&P500® :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| | | Percentage of
Net Assets | | Shares | | Value | |
| Securities Lending Reinvestments (c) — 0.0% (d) | |
| Investment Companies — 0.0% (d) | |
BlackRock Liquidity FedFund,
Institutional Class 0.72%
(Cost $278,159) | | | 0.0 | % | | | 278,159 | | | $ | 278,159 | | |
| | | Principal
Amount | | | |
| Short-Term Investments — 31.6% | |
| Repurchase Agreements (e) — 3.1% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $80,241,101
(Cost $80,239,486) | | $ | 80,239,486 | | | | 80,239,486 | | |
| U.S. Treasury Obligations — 28.5% | |
| U.S. Treasury Bills | |
| 0.33%, 6/2/2022 (f) | | | 40,000,000 | | | | 39,999,428 | | |
| 0.37%, 6/7/2022 (f) | | | 45,000,000 | | | | 44,996,325 | | |
| 0.51%, 6/21/2022 (f) | | | 50,000,000 | | | | 49,983,611 | | |
| 0.71%, 7/5/2022 (f) | | | 250,000,000 | | | | 249,840,625 | | |
| 0.07%, 7/14/2022 (f) | | | 300,000,000 | | | | 299,703,420 | | |
| 1.00%, 8/18/2022 (f) | | | 50,000,000 | | | | 49,886,927 | | |
Total U.S. Treasury Obligations
(Cost $734,683,029) | | | | | 734,410,336 | | |
Total Short-Term Investments
(Cost $814,922,515) | | | | | 814,649,822 | | |
Total Investments — 114.1%
(Cost $3,204,896,312) | | | | | 2,936,792,146 | | |
| Liabilities in excess of other assets — (14.1%) | | | | | (363,719,012 | ) | |
| Net Assets — 100.0% | | | | $ | 2,573,073,134 | | |
* Non-income producing security.
(a) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $1,453,695,930.
(b) The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $449,507, collateralized in the form of cash with a value of $278,159 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $187,005 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% - 4.63%, and maturity dates ranging from June 15, 2022 - February 15, 2051. The total value of collateral is $465,164.
(c) The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $278,159.
(d) Represents less than 0.05% of net assets.
(e) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(f) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 72,249,715 | | |
| Aggregate gross unrealized depreciation | | | (1,226,399,995 | ) | |
| Net unrealized depreciation | | $ | (1,154,150,280 | ) | |
| Federal income tax cost | | $ | 3,321,783,328 | | |
Futures Contracts Purchased
UltraPro S&P500® had the following open long futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| S&P 500 E-Mini Index | | | 879 | | | 6/17/2022 | | USD | | | | $ | 181,568,438 | | | $ | 75,471 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO S&P500® UPRO :: 121
Swap Agreementsa
UltraPro S&P500® had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| 520,721,147 | | | 5/8/2023 | | Bank of
America NA | | | 1.38 | % | |
S&P 500® | | | (132,057,460 | ) | | | 100,862,429 | | | | 31,195,031 | | | | — | | |
| 537,125,782 | | | 5/8/2023 | | BNP Paribas SA | | | 1.43 | % | | S&P 500® | | | (113,937,121 | ) | | | 83,369,344 | | | | 30,567,777 | | | | — | | |
| 240,726,662 | | | 4/10/2023 | | Citibank NA | | | 1.49 | % | | S&P 500® | | | (57,664,886 | ) | | | 27,381,209 | | | | 30,283,677 | | | | — | | |
| 531,270,525 | | | 11/6/2023 | | Credit Suisse
International | | | 1.43 | % | |
S&P 500® | | | (13,081,617 | ) | | | — | | | | 13,081,617 | | | | — | | |
| 884,048,700 | | | 4/8/2024 | | Goldman Sachs
International | | | 1.43 | % | |
S&P 500® | | | 16,062,194 | | | | (16,062,194 | ) | | | — | | | | — | | |
| 740,192,029 | | | 5/8/2023 | | J.P. Morgan
Securities | | | 1.23 | % | |
S&P 500® | | | (141,894,819 | ) | | | 89,797,787 | | | | 52,097,032 | | | | — | | |
| 585,934,738 | | | 4/10/2023 | | Morgan
Stanley & Co.
International plc | | | 1.38 | % | |
S&P 500® | | | (78,836,056 | ) | | | 47,917,910 | | | | 30,918,146 | | | | — | | |
| 689,569,060 | | | 3/7/2023 | | Societe Generale | | | 1.33 | % | | S&P 500® | | | (153,079,760 | ) | | | 67,867,254 | | | | 85,212,506 | | | | — | | |
| 686,432,758 | | | 3/7/2023 | | UBS AG | | | 1.33 | % | | S&P 500® | | | (94,745,044 | ) | | | 34,901,931 | | | | 59,843,113 | | | | — | | |
| 5,416,021,401 | | | | | | | | | | | | | | | | | | | | (769,234,569 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 16,062,194 | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (785,296,763 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
122 :: UPRO ULTRAPRO S&P500® :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
UltraPro S&P500® invested, as a percentage of net assets, in the following industries, as of May 31, 2022:
| Aerospace & Defense | | | 1.3 | % | |
| Air Freight & Logistics | | | 0.5 | % | |
| Airlines | | | 0.2 | % | |
| Auto Components | | | 0.1 | % | |
| Automobiles | | | 1.8 | % | |
| Banks | | | 3.3 | % | |
| Beverages | | | 1.4 | % | |
| Biotechnology | | | 1.7 | % | |
| Building Products | | | 0.3 | % | |
| Capital Markets | | | 2.4 | % | |
| Chemicals | | | 1.6 | % | |
| Commercial Services & Supplies | | | 0.4 | % | |
| Communications Equipment | | | 0.6 | % | |
| Construction & Engineering | | | 0.0 | %* | |
| Construction Materials | | | 0.1 | % | |
| Consumer Finance | | | 0.5 | % | |
| Containers & Packaging | | | 0.3 | % | |
| Distributors | | | 0.1 | % | |
| Diversified Financial Services | | | 1.4 | % | |
| Diversified Telecommunication Services | | | 0.9 | % | |
| Electric Utilities | | | 1.6 | % | |
| Electrical Equipment | | | 0.4 | % | |
| Electronic Equipment, Instruments & Components | | | 0.5 | % | |
| Energy Equipment & Services | | | 0.3 | % | |
| Entertainment | | | 1.1 | % | |
| Equity Real Estate Investment Trusts (REITs) | | | 2.2 | % | |
| Food & Staples Retailing | | | 1.2 | % | |
| Food Products | | | 0.9 | % | |
| Gas Utilities | | | 0.0 | %* | |
| Health Care Equipment & Supplies | | | 2.3 | % | |
| Health Care Providers & Services | | | 2.7 | % | |
| Health Care Technology | | | 0.1 | % | |
| Hotels, Restaurants & Leisure | | | 1.6 | % | |
| Household Durables | | | 0.3 | % | |
| Household Products | | | 1.2 | % | |
| Independent Power and Renewable Electricity Producers | | | 0.0 | %* | |
| Industrial Conglomerates | | | 0.7 | % | |
| Insurance | | | 1.8 | % | |
| Interactive Media & Services | | | 4.3 | % | |
| Internet & Direct Marketing Retail | | | 2.6 | % | |
| IT Services | | | 3.6 | % | |
| Leisure Products | | | 0.0 | %* | |
| Life Sciences Tools & Services | | | 1.5 | % | |
| Machinery | | | 1.3 | % | |
| Media | | | 0.8 | % | |
| Metals & Mining | | | 0.3 | % | |
| Multiline Retail | | | 0.4 | % | |
| Multi-Utilities | | | 0.8 | % | |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO S&P500® UPRO :: 123
| Oil, Gas & Consumable Fuels | | | 3.6 | % | |
| Personal Products | | | 0.1 | % | |
| Pharmaceuticals | | | 3.6 | % | |
| Professional Services | | | 0.2 | % | |
| Real Estate Management & Development | | | 0.1 | % | |
| Road & Rail | | | 0.7 | % | |
| Semiconductors & Semiconductor Equipment | | | 4.7 | % | |
| Software | | | 7.2 | % | |
| Specialty Retail | | | 1.7 | % | |
| Technology Hardware, Storage & Peripherals | | | 5.7 | % | |
| Textiles, Apparel & Luxury Goods | | | 0.4 | % | |
| Tobacco | | | 0.6 | % | |
| Trading Companies & Distributors | | | 0.2 | % | |
| Water Utilities | | | 0.1 | % | |
| Wireless Telecommunication Services | | | 0.2 | % | |
| Othera | | | 17.5 | % | |
| | | 100.0 | % | |
* Amount represents less than 0.05%.
a Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
124 :: UPRO ULTRAPRO S&P500® :: MAY 31, 2022 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 91.2% | |
| Repurchase Agreements (a) — 30.7% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $124,000,598
(Cost $123,998,104) | | $ | 123,998,104 | | | $ | 123,998,104 | | |
| U.S. Treasury Obligations (b) — 60.5% | |
| U.S. Treasury Bills | |
| 0.33%, 6/2/2022 (c) | | | 30,000,000 | | | | 29,999,571 | | |
| 0.49%, 6/16/2022 (c) | | | 50,000,000 | | | | 49,987,943 | | |
| 0.55%, 6/21/2022 (c) | | | 50,000,000 | | | | 49,983,611 | | |
| 0.71%, 7/5/2022 (c) | | | 50,000,000 | | | | 49,968,125 | | |
| 0.39%, 7/21/2022 (c) | | | 25,000,000 | | | | 24,970,833 | | |
| 0.69%, 12/29/2022 (c) | | | 40,000,000 | | | | 39,629,554 | | |
Total U.S. Treasury Obligations
(Cost $244,766,192) | | | | | 244,539,637 | | |
Total Short-Term Investments
(Cost $368,764,296) | | | | | 368,537,741 | | |
Total Investments — 91.2%
(Cost $368,764,296) | | | | | 368,537,741 | | |
| Other assets less liabilities — 8.8% | | | | | 35,402,889 | | |
| Net Assets — 100.0% | | | | $ | 403,940,630 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $2,540,971.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 13,617,101 | | |
| Aggregate gross unrealized depreciation | | | (8,116,397 | ) | |
| Net unrealized appreciation | | $ | 5,500,704 | | |
| Federal income tax cost | | $ | 368,764,296 | | |
Futures Contracts Sold
UltraPro Short 20+ Year Treasury had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| U.S. Treasury Long Bond | | | 100 | | | 9/21/2022 | | USD | | | | $ | 13,934,375 | | | $ | 152,150 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO SHORT 20+ YEAR TREASURY TTT :: 125
Swap Agreementsa
UltraPro Short 20+ Year Treasury had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (260,338,805 | ) | | 1/16/2023 | | Bank of
America NA | | | (0.53 | )% | | ICE U.S. Treasury 20+
Year Bond Index | | | 5,330,825 | | | | (430,053 | ) | | | — | | | | 4,900,772 | | |
| (309,147,705 | ) | | 2/17/2023 | |
Citibank NA | | | (0.38 | )% | | ICE U.S. Treasury 20+
Year Bond Index | | | (7,888,071 | ) | | | — | | | | 7,888,071 | | | | — | | |
| (362,496,459 | ) | | 1/16/2023 | | Goldman Sachs
International | | | (0.41 | )% | | ICE U.S. Treasury 20+
Year Bond Index | | | 2,380,218 | | | | — | | | | — | | | | 2,380,218 | | |
| (274,777,570 | ) | | 1/16/2024 | | Societe Generale | | | (0.55 | )% | | ICE U.S. Treasury 20+
Year Bond Index | | | 5,752,137 | | | | (1,225,474 | ) | | | (7,395 | ) | | | 4,519,268 | | |
| (1,206,760,539 | ) | | | | | | | | | | | | | | | | | | | 5,575,109 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 13,463,180 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (7,888,071 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
126 :: TTT ULTRAPRO SHORT 20+ YEAR TREASURY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 84.9% | |
| Repurchase Agreements (a) — 19.4% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $68,058,221
(Cost $68,056,851) | | $ | 68,056,851 | | | $ | 68,056,851 | | |
| U.S. Treasury Obligations (b) — 65.5% | |
| U.S. Treasury Bills | |
| 0.37%, 6/7/2022 (c) | | | 15,000,000 | | | | 14,998,775 | | |
| 0.35%, 6/9/2022 (c) | | | 50,000,000 | | | | 49,994,111 | | |
| 0.49%, 6/16/2022 (c) | | | 5,000,000 | | | | 4,998,794 | | |
| 0.55%, 6/21/2022 (c) | | | 5,000,000 | | | | 4,998,361 | | |
| 0.55%, 6/23/2022 (c) | | | 5,000,000 | | | | 4,998,262 | | |
| 0.63%, 6/30/2022 (c) | | | 80,000,000 | | | | 79,956,178 | | |
| 0.07%, 7/14/2022 (c) | | | 12,047,000 | | | | 12,035,090 | | |
| 0.09%, 8/11/2022 (c) | | | 13,682,000 | | | | 13,654,207 | | |
| 1.00%, 8/18/2022 (c) | | | 25,000,000 | | | | 24,943,464 | | |
| 0.11%, 9/8/2022 (c) | | | 20,000,000 | | | | 19,938,228 | | |
Total U.S. Treasury Obligations
(Cost $230,616,473) | | | | | 230,515,470 | | |
Total Short-Term Investments
(Cost $298,673,324) | | | | | 298,572,321 | | |
Total Investments — 84.9%
(Cost $298,673,324) | | | | | 298,572,321 | | |
| Other assets less liabilities — 15.1% | | | | | 53,015,554 | | |
| Net Assets — 100.0% | | | | $ | 351,587,875 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $91,132,419.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 46,460,034 | | |
| Aggregate gross unrealized depreciation | | | (7,646,593 | ) | |
| Net unrealized appreciation | | $ | 38,813,441 | | |
| Federal income tax cost | | $ | 298,673,324 | | |
Futures Contracts Sold
UltraPro Short Dow30SM had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| DJIA CBOT E-Mini Index | | | 39 | | | 6/17/2022 | | USD | | | | $ | 6,429,345 | | | $ | 161,966 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO SHORT DOW30SM SDOW :: 127
Swap Agreementsa
UltraPro Short Dow30SM had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (266,758,110 | ) | | 5/8/2023 | |
Bank of
America NA | | | (1.03 | )% | | Dow Jones
Industrial
AverageSM | | | (657,409 | ) | | | — | | | | 657,409 | | | | — | | |
| (20,453,874 | ) | | 11/6/2023 | |
Barclays Capital | | | (1.03 | )% | | Dow Jones
Industrial
AverageSM | | | (19,570 | ) | | | — | | | | — | | | | (19,570 | ) | |
| (239,904,153 | ) | | 5/8/2023 | |
BNP Paribas SA | | | (1.13 | )% | | Dow Jones
Industrial
AverageSM | | | 2,738,654 | | | | (1,279,702 | ) | | | — | | | | 1,458,952 | | |
| (32,231,347 | ) | | 4/10/2023 | |
Citibank NA | | | (1.31 | )% | | Dow Jones
Industrial
AverageSM | | | (1,830,634 | ) | | | 1,830,634 | | | | — | | | | — | | |
| (103,819,908 | ) | | 3/7/2023 | |
Goldman Sachs
International | | | (1.18 | )% | | Dow Jones
Industrial
AverageSM | | | 7,681,799 | | | | (7,194,035 | ) | | | (12,750 | ) | | | 475,014 | | |
| (178,707,480 | ) | | 4/10/2023 | | Morgan
Stanley & Co.
International plc | | | (0.63 | )% | | Dow Jones
Industrial
AverageSM | | | 17,659,946 | | | | — | | | | (17,022,000 | ) | | | 637,946 | | |
| (77,790,703 | ) | | 4/10/2023 | |
Societe Generale | | | (0.93 | )% | | Dow Jones
Industrial
AverageSM | | | (5,037,977 | ) | | | 4,537,977 | | | | 500,000 | | | | — | | |
| (128,685,518 | ) | | 3/7/2023 | |
UBS AG | | | (1.03 | )% | | Dow Jones
Industrial
AverageSM | | | 18,217,669 | | | | (11,633,834 | ) | | | (6,440,000 | ) | | | 143,835 | | |
| (1,048,351,093 | ) | | | | | | | | | | | | | | | | | | | 38,752,478 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 46,298,068 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (7,545,590 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
128 :: SDOW ULTRAPRO SHORT DOW30SM :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 60.9% | |
| Repurchase Agreements (a) — 60.9% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $4,589,470
(Cost $4,589,378) | | $ | 4,589,378 | | | $ | 4,589,378 | | |
Total Investments — 60.9%
(Cost $4,589,378) | | | | | 4,589,378 | | |
| Other assets less liabilities — 39.1% | | | | | 2,949,318 | | |
| Net Assets — 100.0% | | | | $ | 7,538,696 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 940,417 | | |
| Aggregate gross unrealized depreciation | | | (406,501 | ) | |
| Net unrealized appreciation | | $ | 533,916 | | |
| Federal income tax cost | | $ | 4,589,378 | | |
Futures Contracts Sold
UltraPro Short MidCap400 had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| S&P Midcap 400 E-Mini Index | | | 2 | | | 6/17/2022 | | USD | | | | $ | 502,640 | | | $ | 16,026 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO SHORT MIDCAP400 SMDD :: 129
Swap Agreementsa
UltraPro Short MidCap400 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (3,965,644 | ) | | 11/7/2022 | | Bank of
America NA | | | (0.93 | )% | | S&P
MidCap 400® | | | (406,501 | ) | | | — | | | | 406,501 | | | | — | | |
| (6,332,266 | ) | | 5/8/2023 | |
BNP Paribas SA | | | (0.98 | )% | | S&P
MidCap 400® | | | 344,730 | | | | (344,730 | ) | | | — | | | | — | | |
| (2,296,012 | ) | | 4/10/2023 | |
Citibank NA | | | (1.03 | )% | | S&P
MidCap 400® | | | 428,939 | | | | — | | | | (428,939 | ) | | | — | | |
| (6,045,579 | ) | | 4/10/2023 | | Morgan
Stanley & Co.
International plc | | | (0.63 | )% | |
S&P
MidCap 400® | | | 57,741 | | | | — | | | | — | | | | 57,741 | | |
| (3,472,939 | ) | | 3/7/2023 | | Societe
Generale | | | (0.56 | )% | | S&P
MidCap 400® | | | 92,981 | | | | (86,884 | ) | | | — | | | | 6,097 | | |
| (22,112,440 | ) | | | | | | | | | | | | | | | | | | | 517,890 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 924,391 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (406,501 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
130 :: SMDD ULTRAPRO SHORT MIDCAP400 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 86.4% | |
| Repurchase Agreements (a) — 7.2% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $203,544,057
(Cost $203,539,959) | | $ | 203,539,959 | | | $ | 203,539,959 | | |
| U.S. Treasury Obligations (b) — 79.2% | |
| U.S. Treasury Bills | |
| 0.36%, 6/2/2022 (c) | | | 110,000,000 | | | | 109,998,426 | | |
| 0.37%, 6/7/2022 (c) | | | 100,000,000 | | | | 99,991,833 | | |
| 0.35%, 6/9/2022 (c) | | | 50,000,000 | | | | 49,994,111 | | |
| 0.27%, 6/16/2022 (c) | | | 125,000,000 | | | | 124,969,856 | | |
| 0.51%, 6/21/2022 (c) | | | 50,000,000 | | | | 49,983,611 | | |
| 0.56%, 6/23/2022 (c) | | | 175,000,000 | | | | 174,939,175 | | |
| 0.55%, 6/28/2022 (c) | | | 200,000,000 | | | | 199,893,124 | | |
| 0.62%, 6/30/2022 (c) | | | 375,000,000 | | | | 374,794,583 | | |
| 0.71%, 7/5/2022 (c) | | | 150,000,000 | | | | 149,904,375 | | |
| 0.07%, 7/14/2022 (c) | | | 100,000,000 | | | | 99,901,140 | | |
| 0.39%, 7/21/2022 (c) | | | 100,000,000 | | | | 99,883,333 | | |
| 0.10%, 8/11/2022 (c) | | | 100,000,000 | | | | 99,796,861 | | |
| 1.00%, 8/18/2022 (c) | | | 100,000,000 | | | | 99,773,854 | | |
| 0.13%, 9/8/2022 (c) | | | 400,000,000 | | | | 398,764,564 | | |
| Investments | | Principal
Amount | | Value | |
| U.S. Treasury Obligations (b) (continued) | |
| 0.51%, 11/3/2022 (c) | | $ | 60,000,000 | | | $ | 59,633,554 | | |
| 0.69%, 12/29/2022 (c) | | | 45,000,000 | | | | 44,583,249 | | |
Total U.S. Treasury Obligations
(Cost $2,238,772,422) | | | | | 2,236,805,649 | | |
Total Short-Term Investments
(Cost $2,442,312,381) | | | | | 2,440,345,608 | | |
Total Investments — 86.4%
(Cost $2,442,312,381) | | | | | 2,440,345,608 | | |
| Other assets less liabilities — 13.6% | | | | | 384,465,510 | | |
| Net Assets — 100.0% | | | | $ | 2,824,811,118 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $911,714,814.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 214,498,351 | | |
| Aggregate gross unrealized depreciation | | | (252,829,707 | ) | |
| Net unrealized depreciation | | $ | (38,331,356 | ) | |
| Federal income tax cost | | $ | 2,442,312,381 | | |
Futures Contracts Sold
UltraPro Short QQQ had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| NASDAQ 100 E-Mini Index | | | 38 | | | 6/17/2022 | | USD | | | | $ | 9,611,340 | | | $ | 1,706,580 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO SHORT QQQ SQQQ :: 131
Swap Agreementsa
UltraPro Short QQQ had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (1,357,432,845 | ) | | 3/7/2023 | | Bank of
America NA | | | (1.13 | )% | | NASDAQ-100
Index® | | | (76,386,571 | ) | | | 66,686,571 | | | | 9,700,000 | | | | — | | |
| (259,238,903 | ) | | 11/6/2023 | |
Barclays Capital | | | (1.03 | )% | | NASDAQ-100
Index® | | | (774,697 | ) | | | — | | | | — | | | | (774,697 | ) | |
| (552,358,633 | ) | | 3/7/2023 | |
BNP Paribas SA | | | (1.18 | )% | | NASDAQ-100
Index® | | | (53,641,518 | ) | | | 19,151,518 | | | | 34,490,000 | | | | — | | |
| (574,962,708 | ) | | 11/6/2023 | |
Citibank NA | | | (1.31 | )% | | NASDAQ-100
Index® | | | 44,134,662 | | | | — | | | | (42,340,000 | ) | | | 1,794,662 | | |
| (1,527,911,564 | ) | | 11/6/2023 | | Goldman Sachs
International | | | (1.18 | )% | | NASDAQ-100
Index® | | | (38,247,230 | ) | | | 38,247,230 | | | | — | | | | — | | |
| (640,752,196 | ) | | 5/8/2023 | | J.P. Morgan
Securities | | | (0.98 | )% | | NASDAQ-100
Index® | | | 114,039,579 | | | | — | | | | (112,035,000 | ) | | | 2,004,579 | | |
| (387,227,523 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.63 | )% | |
NASDAQ-100
Index® | | | 42,617,158 | | | | — | | | | (42,617,158 | ) | | | — | | |
| (1,290,303,295 | ) | | 11/6/2023 | | Societe
Generale | | | (1.38 | )% | | NASDAQ-100
Index® | | | 11,995,060 | | | | — | | | | (11,995,060 | ) | | | — | | |
| (1,875,059,888 | ) | | 11/6/2023 | |
UBS AG | | | (0.98 | )% | | NASDAQ-100
Index® | | | (81,807,606 | ) | | | 81,807,606 | | | | — | | | | — | | |
| (8,465,247,555 | ) | | | | | | | | | | | | | | | | | | | (38,071,163 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 212,786,459 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (250,857,622 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
132 :: SQQQ ULTRAPRO SHORT QQQ :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 87.4% | |
| Repurchase Agreements (a) — 30.4% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $45,731,541
(Cost $45,730,619) | | $ | 45,730,619 | | | $ | 45,730,619 | | |
| U.S. Treasury Obligations (b) — 57.0% | |
| U.S. Treasury Bills | |
| 0.34%, 6/2/2022 (c) | | | 25,000,000 | | | | 24,999,642 | | |
| 0.35%, 6/9/2022 (c) | | | 10,000,000 | | | | 9,998,822 | | |
| 0.08%, 6/16/2022 (c) | | | 25,847,000 | | | | 25,840,767 | | |
| 0.51%, 11/3/2022 (c) | | | 25,000,000 | | | | 24,847,315 | | |
Total U.S. Treasury Obligations
(Cost $85,790,823) | | | | | 85,686,546 | | |
Total Short-Term Investments
(Cost $131,521,442) | | | | | 131,417,165 | | |
Total Investments — 87.4%
(Cost $131,521,442) | | | | | 131,417,165 | | |
| Other assets less liabilities — 12.6% | | | | | 19,000,581 | | |
| Net Assets — 100.0% | | | | $ | 150,417,746 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $25,732,070.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 9,171,169 | | |
| Aggregate gross unrealized depreciation | | | (14,981,785 | ) | |
| Net unrealized depreciation | | $ | (5,810,616 | ) | |
| Federal income tax cost | | $ | 131,521,442 | | |
Futures Contracts Sold
UltraPro Short Russell2000 had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| Russell 2000 E-Mini Index | | | 36 | | | 6/17/2022 | | USD | | | | $ | 3,351,420 | | | $ | 453,293 | | |
Swap Agreementsa
UltraPro Short Russell2000 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (164,702,846 | ) | | 3/7/2023 | | Bank of
America NA | | | (0.63 | )% | | Russell 2000®
Index | | | (122,502 | ) | | | — | | | | 122,502 | | | | — | | |
| (5,508,238 | ) | | 11/6/2023 | |
Barclays Capital | | | (0.93 | )% | | Russell 2000®
Index | | | (29,025 | ) | | | — | | | | — | | | | (29,025 | ) | |
| (80,323,348 | ) | | 3/7/2023 | |
BNP Paribas SA | | | (0.68 | )% | | Russell 2000®
Index | | | 7,986,366 | | | | (7,036,012 | ) | | | — | | | | 950,354 | | |
| (74,751,732 | ) | | 11/6/2023 | |
Citibank NA | | | (0.64 | )% | | Russell 2000®
Index | | | 731,510 | | | | — | | | | — | | | | 731,510 | | |
| (39,691,004 | ) | | 11/6/2023 | | Goldman Sachs
International | | | (0.83 | )% | | Russell 2000®
Index | | | (122,632 | ) | | | — | | | | 122,632 | | | | — | | |
| (47,738,064 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.53 | )% | |
Russell 2000®
Index | | | (10,792,219 | ) | | | 3,401,219 | | | | 7,391,000 | | | | — | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO SHORT RUSSELL2000 SRTY :: 133
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (19,054,217 | ) | | 11/7/2022 | |
Societe Generale | | | (0.48 | )% | | Russell 2000®
Index | | | (2,805,586 | ) | | | 705,586 | | | | 2,100,000 | | | | — | | |
| (16,144,551 | ) | | 11/6/2023 | |
UBS AG | | | (0.33 | )% | | Russell 2000®
Index | | | (1,005,544 | ) | | | 966,544 | | | | 39,000 | | | | — | | |
| (447,914,000 | ) | | | | | | | | | | | | | | | | | | | (6,159,632 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 8,717,876 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (14,877,508 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
134 :: SRTY ULTRAPRO SHORT RUSSELL2000 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 77.9% | |
| Repurchase Agreements (a) — 11.4% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $82,176,467
(Cost $82,174,813) | | $ | 82,174,813 | | | $ | 82,174,813 | | |
| U.S. Treasury Obligations (b) — 66.5% | |
| U.S. Treasury Bills | |
| 0.37%, 6/2/2022 (c) | | | 40,000,000 | | | | 39,999,428 | | |
| 0.37%, 6/7/2022 (c) | | | 10,000,000 | | | | 9,999,183 | | |
| 0.35%, 6/9/2022 (c) | | | 10,000,000 | | | | 9,998,822 | | |
| 0.35%, 6/16/2022 (c) | | | 75,000,000 | | | | 74,981,914 | | |
| 0.55%, 6/21/2022 (c) | | | 50,000,000 | | | | 49,983,611 | | |
| 0.55%, 6/23/2022 (c) | | | 25,000,000 | | | | 24,991,311 | | |
| 0.58%, 6/30/2022 (c) | | | 25,000,000 | | | | 24,986,305 | | |
| 0.07%, 7/14/2022 (c) | | | 30,000,000 | | | | 29,970,342 | | |
| 0.07%, 8/11/2022 (c) | | | 80,000,000 | | | | 79,837,489 | | |
| 0.65%, 8/18/2022 (c) | | | 25,000,000 | | | | 24,943,463 | | |
| 0.14%, 9/8/2022 (c) | | | 75,000,000 | | | | 74,768,356 | | |
| 0.51%, 11/3/2022 (c) | | | 35,000,000 | | | | 34,786,240 | | |
Total U.S. Treasury Obligations
(Cost $479,797,956) | | | | | 479,246,464 | | |
Total Short-Term Investments
(Cost $561,972,769) | | | | | 561,421,277 | | |
Total Investments — 77.9%
(Cost $561,972,769) | | | | | 561,421,277 | | |
| Other assets less liabilities — 22.1% | | | | | 159,293,560 | | |
| Net Assets — 100.0% | | | | $ | 720,714,837 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $213,384,281.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 144,139,502 | | |
| Aggregate gross unrealized depreciation | | | (52,390,572 | ) | |
| Net unrealized appreciation | | $ | 91,748,930 | | |
| Federal income tax cost | | $ | 561,972,769 | | |
Futures Contracts Sold
UltraPro Short S&P500® had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| S&P 500 E-Mini Index | | | 21 | | | 6/17/2022 | | USD | | | | $ | 4,337,813 | | | $ | 394,324 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRAPRO SHORT S&P500® SPXU :: 135
Swap Agreementsa
UltraPro Short S&P500® had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (302,994,031 | ) | | 5/8/2023 | | Bank of
America NA | | | (1.08 | )% | |
S&P 500® | | | 32,642,778 | | | | (32,057,324 | ) | | | — | | | | 585,454 | | |
| (433,888,146 | ) | | 11/7/2022 | | BNP Paribas SA | | | (1.13 | )% | | S&P 500® | | | (51,839,080 | ) | | | 46,499,080 | | | | 5,340,000 | | | | — | | |
| (219,264,276 | ) | | 4/10/2023 | | Citibank NA | | | (1.31 | )% | | S&P 500® | | | 31,099,796 | | | | — | | | | (29,733,366 | ) | | | 1,366,430 | | |
| (130,294,954 | ) | | 3/7/2023 | | Goldman Sachs
International | | | (1.18 | )% | |
S&P 500® | | | 8,801,422 | | | | (8,202,021 | ) | | | (16,688 | ) | | | 582,713 | | |
| (364,868,845 | ) | | 5/8/2023 | | J.P. Morgan
Securities | | | (0.98 | )% | |
S&P 500® | | | 29,206,125 | | | | — | | | | (26,930,000 | ) | | | 2,276,125 | | |
| (111,216,817 | ) | | 4/10/2023 | | Morgan
Stanley & Co.
International plc | | | (0.63 | )% | |
S&P 500® | | | 14,484,651 | | | | — | | | | (14,298,000 | ) | | | 186,651 | | |
| (314,068,193 | ) | | 3/7/2023 | | Societe
Generale | | | (1.03 | )% | |
S&P 500® | | | 859,149 | | | | (831,159 | ) | | | (3,030 | ) | | | 24,960 | | |
| (281,281,599 | ) | | 3/7/2023 | | UBS AG | | | (0.98 | )% | | S&P 500® | | | 26,651,257 | | | | — | | | | (24,890,000 | ) | | | 1,761,257 | | |
| (2,157,876,861 | ) | | | | | | | | | | | | | | | | | | | 91,906,098 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 143,745,178 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (51,839,080 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
136 :: SPXU ULTRAPRO SHORT S&P500® :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 104.3% | |
| Repurchase Agreements (a) — 63.8% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $78,267,944
(Cost $78,266,369) | | $ | 78,266,369 | | | $ | 78,266,369 | | |
| U.S. Treasury Obligations (b) — 40.5% | |
| U.S. Treasury Bills | |
| 0.55%, 6/21/2022 (c) | | | 25,000,000 | | | | 24,991,806 | | |
| 0.69%, 12/29/2022 (c) | | | 25,000,000 | | | | 24,768,471 | | |
Total U.S. Treasury Obligations
(Cost $49,891,808) | | | | | 49,760,277 | | |
Total Short-Term Investments
(Cost $128,158,177) | | | | | 128,026,646 | | |
Total Investments — 104.3%
(Cost $128,158,177) | | | | | 128,026,646 | | |
| Liabilities in excess of other assets — (4.3%) | | | | | (5,266,665 | ) | |
| Net Assets — 100.0% | | | | $ | 122,759,981 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $3,732,701.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 12,225 | | |
| Aggregate gross unrealized depreciation | | | (2,910,558 | ) | |
| Net unrealized depreciation | | $ | (2,898,333 | ) | |
| Federal income tax cost | | $ | 128,158,177 | | |
Futures Contracts Sold
UltraShort 7-10 Year Treasury had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| U.S. Treasury 10 Year Note | | | 14 | | | 9/21/2022 | | USD | | | | $ | 1,671,469 | | | $ | 12,225 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT 7-10 YEAR TREASURY PST :: 137
Swap Agreementsa
UltraShort 7-10 Year Treasury had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (134,856,699 | ) | | 2/17/2023 | | Citibank NA | | | (0.36 | )% | | ICE U.S. Treasury
7-10 Year
Bond Index | | | (2,282,417 | ) | | | — | | | | 2,282,417 | | | | — | | |
| (108,676,416 | ) | | 1/16/2024 | | Societe Generale | | | (0.55 | )% | | ICE U.S. Treasury
7-10 Year
Bond Index | | | (496,610 | ) | | | 496,610 | | | | — | | | | — | | |
| (243,533,115 | ) | | | | | | | | | | | | | | | | | | | (2,779,027 | ) | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (2,779,027 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
138 :: PST ULTRASHORT 7-10 YEAR TREASURY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 97.5% | |
| Repurchase Agreements (a) — 8.0% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $111,697,824
(Cost $111,695,574) | | $ | 111,695,574 | | | $ | 111,695,574 | | |
| U.S. Treasury Obligations (b) — 89.5% | |
| U.S. Treasury Bills | |
| 0.29%, 6/2/2022 (c) | | | 270,000,000 | | | | 269,996,135 | | |
| 0.37%, 6/7/2022 (c) | | | 10,000,000 | | | | 9,999,183 | | |
| 0.35%, 6/9/2022 (c) | | | 10,000,000 | | | | 9,998,822 | | |
| 0.24%, 6/16/2022 (c) | | | 200,000,000 | | | | 199,951,770 | | |
| 0.55%, 6/21/2022 (c) | | | 50,000,000 | | | | 49,983,611 | | |
| 0.57%, 6/23/2022 (c) | | | 75,000,000 | | | | 74,973,932 | | |
| 0.55%, 6/28/2022 (c) | | | 50,000,000 | | | | 49,973,281 | | |
| 0.62%, 6/30/2022 (c) | | | 80,000,000 | | | | 79,956,178 | | |
| 0.07%, 7/14/2022 (c) | | | 75,000,000 | | | | 74,925,855 | | |
| 0.11%, 8/11/2022 (c) | | | 100,000,000 | | | | 99,796,861 | | |
| 0.65%, 8/18/2022 (c) | | | 100,000,000 | | | | 99,773,854 | | |
| 0.10%, 9/8/2022 (c) | | | 165,000,000 | | | | 164,490,383 | | |
| 0.51%, 11/3/2022 (c) | | | 35,000,000 | | | | 34,786,240 | | |
| 0.69%, 12/29/2022 (c) | | | 25,000,000 | | | | 24,768,472 | | |
Total U.S. Treasury Obligations
(Cost $1,244,484,243) | | | | | 1,243,374,577 | | |
Total Short-Term Investments
(Cost $1,356,179,817) | | | | | 1,355,070,151 | | |
Total Investments — 97.5%
(Cost $1,356,179,817) | | | | | 1,355,070,151 | | |
| Other assets less liabilities — 2.5% | | | | | 35,143,488 | | |
| Net Assets — 100.0% | | | | $ | 1,390,213,639 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $56,593,301.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 45,985,347 | | |
| Aggregate gross unrealized depreciation | | | (12,498,400 | ) | |
| Net unrealized appreciation | | $ | 33,486,947 | | |
| Federal income tax cost | | $ | 1,356,179,817 | | |
Futures Contracts Sold
UltraShort 20+ Year Treasury had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| U.S. Treasury Long Bond | | | 160 | | | 9/21/2022 | | USD | | | | $ | 22,295,000 | | | $ | 243,440 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT 20+ YEAR TREASURY TBT :: 139
Swap Agreementsa
UltraShort 20+ Year Treasury had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (823,823,891 | ) | | 1/16/2023 | |
Bank of
America NA | | | (0.53 | )% | | ICE U.S. Treasury
20+ Year
Bond Index | | | 18,709,320 | | | | (4,725,366 | ) | | | — | | | | 13,983,954 | | |
| (529,987,687 | ) | | 2/17/2023 | |
Citibank NA | | | (0.38 | )% | | ICE U.S. Treasury
20+ Year
Bond Index | | | (11,388,734 | ) | | | 11,388,734 | | | | — | | | | — | | |
| (791,583,178 | ) | | 1/16/2023 | |
Goldman Sachs
International | | | (0.41 | )% | | ICE U.S. Treasury
20+ Year
Bond Index | | | 9,624,270 | | | | — | | | | — | | | | 9,624,270 | | |
| (634,853,471 | ) | | 1/16/2024 | |
Societe Generale | | | (0.55 | )% | | ICE U.S. Treasury
20+ Year
Bond Index | | | 17,408,317 | | | | (5,937,871 | ) | | | (23,460 | ) | | | 11,446,986 | | |
| (2,780,248,227 | ) | | | | | | | | | | | | | | | | | | | 34,353,173 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 45,741,907 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (11,388,734 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
140 :: TBT ULTRASHORT 20+ YEAR TREASURY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 92.5% | |
| Repurchase Agreements (a) — 92.5% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $2,251,982
(Cost $2,251,937) | | $ | 2,251,937 | | | $ | 2,251,937 | | |
Total Investments — 92.5%
(Cost $2,251,937) | | | | | 2,251,937 | | |
| Other assets less liabilities — 7.5% | | | | | 182,031 | | |
| Net Assets — 100.0% | | | | $ | 2,433,968 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | — | | |
| Aggregate gross unrealized depreciation | | | (625,828 | ) | |
| Net unrealized depreciation | | $ | (625,828 | ) | |
| Federal income tax cost | | $ | 2,251,937 | | |
Swap Agreementsa
UltraShort Basic Materials had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (1,925,712 | ) | | 5/8/2023 | | Bank of
America NA | | | (0.43 | )% | | Dow Jones U.S.
Basic MaterialsSM
Index | | | (161,207 | ) | | | — | | | | 161,207 | | | | — | | |
| (654,298 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.48 | )% | | Dow Jones U.S.
Basic MaterialsSM
Index | | | (131,988 | ) | | | — | | | | 128,000 | | | | (3,988 | ) | |
| (1,618,974 | ) | | 3/7/2023 | | Societe Generale | | | (0.73 | )% | | Dow Jones U.S.
Basic MaterialsSM
Index | | | (126,143 | ) | | | — | | | | 50,000 | | | | (76,143 | ) | |
| (668,509 | ) | | 3/7/2023 | | UBS AG | | | (0.58 | )% | | Dow Jones U.S.
Basic MaterialsSM
Index | | | (206,490 | ) | | | — | | | | 206,490 | | | | — | | |
| (4,867,493 | ) | | | | | | | | | | | | | | | | | | | (625,828 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (625,828 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT BASIC MATERIALS SMN :: 141
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 86.8% | |
| Repurchase Agreements (a) — 86.8% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $2,007,974
(Cost $2,007,935) | | $ | 2,007,935 | | | $ | 2,007,935 | | |
Total Investments — 86.8%
(Cost $2,007,935) | | | | | 2,007,935 | | |
| Other assets less liabilities — 13.2% | | | | | 304,369 | | |
| Net Assets — 100.0% | | | | $ | 2,312,304 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 84,142 | | |
| Aggregate gross unrealized depreciation | | | (39,592 | ) | |
| Net unrealized appreciation | | $ | 44,550 | | |
| Federal income tax cost | | $ | 2,007,935 | | |
Swap Agreementsa
UltraShort Consumer Goods had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (1,005,581 | ) | | 5/8/2023 | | Bank of
America NA | | | (0.68 | )% | | Dow Jones
U.S. Consumer
GoodsSM Index | | | 19,967 | | | | — | | | | — | | | | 19,967 | | |
| (302,121 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.48 | )% | | Dow Jones
U.S. Consumer
GoodsSM Index | | | (39,592 | ) | | | — | | | | 39,592 | | | | — | | |
| (933,180 | ) | | 3/7/2023 | | Societe Generale | | | (0.73 | )% | | Dow Jones
U.S. Consumer
GoodsSM Index | | | 25,195 | | | | — | | | | — | | | | 25,195 | | |
| (2,383,004 | ) | | 3/7/2023 | | UBS AG | | | (0.58 | )% | | Dow Jones
U.S. Consumer
GoodsSM Index | | | 38,980 | | | | — | | | | — | | | | 38,980 | | |
| (4,623,886 | ) | | | | | | | | | | | | | | | | | | | 44,550 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 84,142 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (39,592 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
142 :: SZK ULTRASHORT CONSUMER GOODS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 64.0% | |
| Repurchase Agreements (a) — 64.0% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $2,073,430
(Cost $2,073,388) | | $ | 2,073,388 | | | $ | 2,073,388 | | |
Total Investments — 64.0%
(Cost $2,073,388) | | | | | 2,073,388 | | |
| Other assets less liabilities — 36.0% | | | | | 1,164,354 | | |
| Net Assets — 100.0% | | | | $ | 3,237,742 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 1,039,622 | | |
| Aggregate gross unrealized depreciation | | | (11,237 | ) | |
| Net unrealized appreciation | | $ | 1,028,385 | | |
| Federal income tax cost | | $ | 2,073,388 | | |
Swap Agreementsa
UltraShort Consumer Services had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (826,944 | ) | | 5/8/2023 | | Bank of
America NA | | | (0.73 | )% | | Dow Jones
U.S. Consumer
ServicesSM Index | | | 245,557 | | | | (245,557 | ) | | | — | | | | — | | |
| (1,256,054 | ) | | 5/8/2023 | | BNP Paribas SA | | | (0.88 | )% | | Dow Jones
U.S. Consumer
ServicesSM Index | | | 315,675 | | | | (315,675 | ) | | | — | | | | — | | |
| (497,918 | ) | | 3/7/2023 | | Goldman Sachs
International | | | (0.93 | )% | | Dow Jones
U.S. Consumer
ServicesSM Index | | | 126,010 | | | | — | | | | — | | | | 126,010 | | |
| (123,854 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.48 | )% | | Dow Jones
U.S. Consumer
ServicesSM Index | | | (11,237 | ) | | | — | | | | — | | | | (11,237 | ) | |
| (2,450,807 | ) | | 3/7/2023 | | Societe Generale | | | (0.73 | )% | | Dow Jones
U.S. Consumer
ServicesSM Index | | | 12,104 | | | | — | | | | — | | | | 12,104 | | |
| (1,316,105 | ) | | 3/7/2023 | | UBS AG | | | (0.58 | )% | | Dow Jones
U.S. Consumer
ServicesSM Index | | | 340,276 | | | | — | | | | (260,000 | ) | | | 80,276 | | |
| (6,471,682 | ) | | | | | | | | | | | | | | | | | | | 1,028,385 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 1,039,622 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (11,237 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT CONSUMER SERVICES SCC :: 143
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
144 :: SCC ULTRASHORT CONSUMER SERVICES :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 79.0% | |
| Repurchase Agreements (a) — 33.1% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $36,121,112
(Cost $36,120,384) | | $ | 36,120,384 | | | $ | 36,120,384 | | |
| U.S. Treasury Obligations (b) — 45.9% | |
| U.S. Treasury Bills | |
| 0.34%, 6/2/2022 (c) | | | 25,000,000 | | | | 24,999,642 | | |
| 1.00%, 8/18/2022 (c) | | | 25,000,000 | | | | 24,943,463 | | |
Total U.S. Treasury Obligations
(Cost $49,945,734) | | | | | 49,943,105 | | |
Total Short-Term Investments
(Cost $86,066,118) | | | | | 86,063,489 | | |
Total Investments — 79.0%
(Cost $86,066,118) | | | | | 86,063,489 | | |
| Other assets less liabilities — 21.0% | | | | | 22,934,195 | | |
| Net Assets — 100.0% | | | | $ | 108,997,684 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $2,028,974.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 9,854,757 | | |
| Aggregate gross unrealized depreciation | | | (8,285,934 | ) | |
| Net unrealized appreciation | | $ | 1,568,823 | | |
| Federal income tax cost | | $ | 86,066,118 | | |
Futures Contracts Sold
UltraShort Dow30SM had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| DJIA CBOT E-Mini Index | | | 42 | | | 6/17/2022 | | USD | | | | $ | 6,923,910 | | | $ | 358,149 | | |
Swap Agreementsa
UltraShort Dow30SM had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (44,272,741 | ) | | 11/7/2022 | |
Bank of
America NA | | | (1.03 | )% | | Dow Jones
Industrial
AverageSM | | | (8,265,770 | ) | | | — | | | | 8,265,770 | | | | — | | |
| (3,496,953 | ) | | 11/6/2023 | |
Barclays Capital | | | (1.03 | )% | | Dow Jones
Industrial
AverageSM | | | (17,535 | ) | | | — | | | | — | | | | (17,535 | ) | |
| (63,703,922 | ) | | 5/8/2023 | |
BNP Paribas SA | | | (1.13 | )% | | Dow Jones
Industrial
AverageSM | | | 1,033,842 | | | | (674,833 | ) | | | — | | | | 359,009 | | |
| (19,134,269 | ) | | 4/10/2023 | |
Citibank NA | | | (1.31 | )% | | Dow Jones
Industrial
AverageSM | | | 1,536,117 | | | | — | | | | (1,420,000 | ) | | | 116,117 | | |
| (30,758,767 | ) | | 3/7/2023 | |
Goldman Sachs
International | | | (1.18 | )% | | Dow Jones
Industrial
AverageSM | | | 2,929,937 | | | | (2,808,797 | ) | | | (3,475 | ) | | | 117,665 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT DOW30SM DXD :: 145
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (10,226,937 | ) | | 3/7/2023 | |
Societe Generale | | | (0.93 | )% | | Dow Jones
Industrial
AverageSM | | | 1,863,652 | | | | (1,855,873 | ) | | | (1,200 | ) | | | 6,579 | | |
| (39,469,116 | ) | | 3/7/2023 | |
UBS AG | | | (1.03 | )% | | Dow Jones
Industrial
AverageSM | | | 2,133,060 | | | | — | | | | (1,890,000 | ) | | | 243,060 | | |
| (211,062,705 | ) | | | | | | | | | | | | | | | | | | | 1,213,303 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 9,496,608 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (8,283,305 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
146 :: DXD ULTRASHORT DOW30SM :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 68.2% | |
| Repurchase Agreements (a) — 68.2% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $10,915,013
(Cost $10,914,793) | | $ | 10,914,793 | | | $ | 10,914,793 | | |
Total Investments — 68.2%
(Cost $10,914,793) | | | | | 10,914,793 | | |
| Other assets less liabilities — 31.8% | | | | | 5,090,509 | | |
| Net Assets — 100.0% | | | | $ | 16,005,302 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 1,379,102 | | |
| Aggregate gross unrealized depreciation | | | (1,708,964 | ) | |
| Net unrealized depreciation | | $ | (329,862 | ) | |
| Federal income tax cost | | $ | 10,914,793 | | |
Swap Agreementsa
UltraShort Financials had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (8,314,527 | ) | | 5/8/2023 | | Bank of
America NA | | | (0.73 | )% | | Dow Jones U.S.
FinancialsSM Indexf | | | 372,466 | | | | (372,466 | ) | | | — | | | | — | | |
| (3,845,122 | ) | | 5/8/2023 | |
BNP Paribas SA | | | (1.03 | )% | | Dow Jones U.S.
FinancialsSM Indexf | | | 315,636 | | | | (315,636 | ) | | | — | | | | — | | |
| (3,793,484 | ) | | 4/10/2023 | |
Citibank NA | | | (0.98 | )% | | Dow Jones U.S.
FinancialsSM Indexf | | | 264,983 | | | | — | | | | (264,983 | ) | | | — | | |
| (1,260,898 | ) | | 3/7/2023 | | Goldman Sachs
International | | | (0.93 | )% | | Dow Jones U.S.
FinancialsSM Indexf | | | 389,294 | | | | (278,584 | ) | | | (1,912 | ) | | | 108,798 | | |
| (2,942,609 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.48 | )% | |
Dow Jones U.S.
FinancialsSM Indexf | | | (1,484,313 | ) | | | — | | | | 1,478,001 | | | | (6,312 | ) | |
| (2,759,177 | ) | | 3/7/2023 | |
Societe Generale | | | (0.93 | )% | | Dow Jones U.S.
FinancialsSM Indexf | | | 36,723 | | | | — | | | | — | | | | 36,723 | | |
| (9,089,872 | ) | | 3/7/2023 | |
UBS AG | | | (0.93 | )% | | Dow Jones U.S.
FinancialsSM Indexf | | | (224,651 | ) | | | — | | | | 224,651 | | | | — | | |
| (32,005,689 | ) | | | | | | | | | | | | | | | | | | | (329,862 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 1,379,102 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (1,708,964 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the Summary Schedule of Portfolio Investments of ProShares Ultra Financials for the components of the underlying reference instrument and their relative weightings.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT FINANCIALS SKF :: 147
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 78.7% | |
| Repurchase Agreements (a) — 78.7% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $19,218,927
(Cost $19,218,541) | | $ | 19,218,541 | | | $ | 19,218,541 | | |
Total Investments — 78.7%
(Cost $19,218,541) | | | | | 19,218,541 | | |
| Other assets less liabilities — 21.3% | | | | | 5,210,358 | | |
| Net Assets — 100.0% | | | | $ | 24,428,899 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 535,169 | | |
| Aggregate gross unrealized depreciation | | | (7,839,280 | ) | |
| Net unrealized depreciation | | $ | (7,304,111 | ) | |
| Federal income tax cost | | $ | 19,218,541 | | |
Swap Agreementsa,f
UltraShort FTSE China 50 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (4,928,164 | ) | |
3/7/2023 | | Bank of
America NA | | | 0.67 | % | | iShares® China
Large-Cap ETF | | | (1,228,499 | ) | | | — | | | | 1,228,499 | | | | — | | |
| (29,831 | ) | |
4/10/2023 | |
Citibank NA | | | 1.92 | % | | iShares® China
Large-Cap ETF | | | 223,892 | | | | — | | | | (223,892 | ) | | | — | | |
| (9,854,972 | ) | |
4/10/2023 | | Goldman Sachs
International | | | (0.33 | )% | | iShares® China
Large-Cap ETF | | | (688,742 | ) | | | — | | | | 688,742 | | | | — | | |
| (1,398,652 | ) | |
4/10/2023 | | Morgan
Stanley & Co.
International plc | | | (0.28 | )% | |
iShares® China
Large-Cap ETF | | | 311,277 | | | | — | | | | (311,277 | ) | | | — | | |
| (2,735,609 | ) | |
4/10/2023 | |
Societe Generale | | | 0.82 | % | | iShares® China
Large-Cap ETF | | | (1,139,590 | ) | | | — | | | | 1,139,590 | | | | — | | |
| (30,009,664 | ) | |
4/10/2023 | |
UBS AG | | | 0.92 | % | | iShares® China
Large-Cap ETF | | | (4,782,449 | ) | | | — | | | | 4,782,449 | | | | — | | |
| (48,956,892 | ) | | | | | | | | | | | | | | | | | | | (7,304,111 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 535,169 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (7,839,280 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
148 :: FXP ULTRASHORT FTSE CHINA 50 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 70.0% | |
| Repurchase Agreements (a) — 70.0% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $39,136,929
(Cost $39,136,139) | | $ | 39,136,139 | | | $ | 39,136,139 | | |
Total Investments — 70.0%
(Cost $39,136,139) | | | | | 39,136,139 | | |
| Other assets less liabilities — 30.0% | | | | | 16,744,416 | | |
| Net Assets — 100.0% | | | | $ | 55,880,555 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 1,553,737 | | |
| Aggregate gross unrealized depreciation | | | (3,346,132 | ) | |
| Net unrealized depreciation | | $ | (1,792,395 | ) | |
| Federal income tax cost | | $ | 39,136,139 | | |
Swap Agreementsa,f
UltraShort FTSE Europe had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (36,901,316 | ) | | 4/10/2023 | |
Citibank NA | | | (0.03 | )% | | Vanguard® FTSE
Europe ETF Shares | | | 1,501,607 | | | | — | | | | (1,400,000 | ) | | | 101,607 | | |
| (27,517,379 | ) | | 3/7/2023 | | Goldman Sachs
International | | | (0.08 | )% | | Vanguard® FTSE
Europe ETF Shares | | | (1,957,145 | ) | | | — | | | | 1,957,145 | | | | — | | |
| (338,522 | ) | | 4/10/2023 | | Morgan
Stanley & Co.
International plc | | | (0.28 | )% | |
Vanguard® FTSE
Europe ETF Shares | | | 52,130 | | | | — | | | | — | | | | 52,130 | | |
| (4,045,699 | ) | | 3/7/2023 | |
Societe Generale | | | 0.12 | % | | Vanguard® FTSE
Europe ETF Shares | | | (282,622 | ) | | | — | | | | 282,622 | | | | — | | |
| (42,620,874 | ) | | 11/9/2022 | |
UBS AG | | | (0.33 | )% | | Vanguard® FTSE
Europe ETF Shares | | | (1,106,365 | ) | | | — | | | | 1,106,365 | | | | — | | |
| (111,423,790 | ) | | | | | | | | | | | | | | | | | | | (1,792,395 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 1,553,737 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (3,346,132 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT FTSE EUROPE EPV :: 149
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 85.6% | |
| Repurchase Agreements (a) — 85.6% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $2,904,829
(Cost $2,904,771) | | $ | 2,904,771 | | | $ | 2,904,771 | | |
Total Investments — 85.6%
(Cost $2,904,771) | | | | | 2,904,771 | | |
| Other assets less liabilities — 14.4% | | | | | 489,520 | | |
| Net Assets — 100.0% | | | | $ | 3,394,291 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 2,012 | | |
| Aggregate gross unrealized depreciation | | | (328,197 | ) | |
| Net unrealized depreciation | | $ | (326,185 | ) | |
| Federal income tax cost | | $ | 2,904,771 | | |
Swap Agreementsa
UltraShort Health Care had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (667,895 | ) | | 5/8/2023 | |
Bank of
America NA | | | (0.88 | )% | | Dow Jones U.S.
Health CareSM
Indexf | | | 2,012 | | | | — | | | | — | | | | 2,012 | | |
| (63,141 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.48 | )% | | Dow Jones U.S.
Health CareSM
Indexf | | | (6,709 | ) | | | — | | | | — | | | | (6,709 | ) | |
| (1,393,318 | ) | | 3/7/2023 | |
Societe Generale | | | (0.83 | )% | | Dow Jones U.S.
Health CareSM
Indexf | | | (104,128 | ) | | | — | | | | 10,000 | | | | (94,128 | ) | |
| (4,668,247 | ) | | 3/7/2023 | |
UBS AG | | | (0.58 | )% | | Dow Jones U.S.
Health CareSM
Indexf | | | (217,360 | ) | | | — | | | | 217,360 | | | | — | | |
| (6,792,601 | ) | | | | | | | | | | | | | | | | | | | (326,185 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 2,012 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (328,197 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the Schedule of Portfolio Investments of ProShares Ultra Health Care for the components of the underlying reference instrument and their relative weightings.
See accompanying notes to the financial statements.
150 :: RXD ULTRASHORT HEALTH CARE :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 71.2% | |
| Repurchase Agreements (a) — 71.2% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $2,010,636
(Cost $2,010,597) | | $ | 2,010,597 | | | $ | 2,010,597 | | |
Total Investments — 71.2%
(Cost $2,010,597) | | | | | 2,010,597 | | |
| Other assets less liabilities — 28.8% | | | | | 813,291 | | |
| Net Assets — 100.0% | | | | $ | 2,823,888 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 494,761 | | |
| Aggregate gross unrealized depreciation | | | — | | |
| Net unrealized appreciation | | $ | 494,761 | | |
| Federal income tax cost | | $ | 2,010,597 | | |
Swap Agreementsa
UltraShort Industrials had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (741,246 | ) | | 11/7/2022 | |
Bank of
America NA | | | (0.73 | )% | | Dow Jones U.S.
IndustrialsSM
Index | | | 99,740 | | | | — | | | | — | | | | 99,740 | | |
| (118,596 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.48 | )% | | Dow Jones U.S.
IndustrialsSM
Index | | | 2,227 | | | | — | | | | — | | | | 2,227 | | |
| (1,275,612 | ) | | 3/7/2023 | |
Societe Generale | | | (0.73 | )% | | Dow Jones U.S.
IndustrialsSM
Index | | | 178,247 | | | | — | | | | (20,000 | ) | | | 158,247 | | |
| (3,512,135 | ) | | 3/7/2023 | |
UBS AG | | | (0.58 | )% | | Dow Jones U.S.
IndustrialsSM
Index | | | 214,547 | | | | — | | | | (214,547 | ) | | | — | | |
| (5,647,589 | ) | | | | | | | | | | | | | | | | | | | 494,761 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 494,761 | | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT INDUSTRIALS SIJ :: 151
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 79.6% | |
| Repurchase Agreements (a) — 79.6% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $2,308,205
(Cost $2,308,157) | | $ | 2,308,157 | | | $ | 2,308,157 | | |
Total Investments — 79.6%
(Cost $2,308,157) | | | | | 2,308,157 | | |
| Other assets less liabilities — 20.4% | | | | | 590,179 | | |
| Net Assets — 100.0% | | | | $ | 2,898,336 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 242,253 | | |
| Aggregate gross unrealized depreciation | | | (680,202 | ) | |
| Net unrealized depreciation | | $ | (437,949 | ) | |
| Federal income tax cost | | $ | 2,308,157 | | |
Futures Contracts Sold
UltraShort MidCap400 had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| S&P Midcap 400 E-Mini Index | | | 1 | | | 6/17/2022 | | USD | | | | $ | 251,320 | | | $ | 14,228 | | |
Swap Agreementsa
UltraShort MidCap400 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (427,516 | ) | | 5/8/2023 | | Bank of
America NA | | | (0.93 | )% | |
S&P MidCap 400® | | | (189,887 | ) | | | — | | | | 189,887 | | | | — | | |
| (880,180 | ) | | 5/8/2023 | | BNP Paribas SA | | | (0.98 | )% | | S&P MidCap 400® | | | 140,536 | | | | — | | | | — | | | | 140,536 | | |
| (892,754 | ) | | 4/10/2023 | | Citibank NA | | | (1.03 | )% | | S&P MidCap 400® | | | 87,489 | | | | — | | | | — | | | | 87,489 | | |
| (817,310 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.63 | )% | |
S&P MidCap 400® | | | (181,002 | ) | | | — | | | | 132,999 | | | | (48,003 | ) | |
| (2,524,859 | ) | | 3/7/2023 | | Societe Generale | | | (0.56 | )% | | S&P MidCap 400® | | | (309,313 | ) | | | — | | | | 309,313 | | | | — | | |
| (5,542,619 | ) | | | | | | | | | | | | | | | | | | | (452,177 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 228,025 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (680,202 | ) | | | | | | | | | | | | | |
See accompanying notes to the financial statements.
152 :: MZZ ULTRASHORT MIDCAP400 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT MIDCAP400 MZZ :: 153
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 76.2% | |
| Repurchase Agreements (a) — 76.2% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $10,280,369
(Cost $10,280,163) | | $ | 10,280,163 | | | $ | 10,280,163 | | |
Total Investments — 76.2%
(Cost $10,280,163) | | | | | 10,280,163 | | |
| Other assets less liabilities — 23.8% | | | | | 3,214,432 | | |
| Net Assets — 100.0% | | | | $ | 13,494,595 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 54,816 | | |
| Aggregate gross unrealized depreciation | | | (7,892,372 | ) | |
| Net unrealized depreciation | | $ | (7,837,556 | ) | |
| Federal income tax cost | | $ | 10,280,163 | | |
Swap Agreementsa,f
UltraShort MSCI Brazil Capped had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (1,840,819 | ) | | 11/9/2022 | | Bank of
America NA | | | 0.67 | % | | iShares® MSCI Brazil
Capped ETF | | | 54,816 | | | | (54,816 | ) | | | — | | | | — | | |
| (3,787,730 | ) | | 4/10/2023 | |
Citibank NA | | | (0.63 | )% | | iShares® MSCI Brazil
Capped ETF | | | (2,618,565 | ) | | | — | | | | 2,618,565 | | | | — | | |
| (4,028,916 | ) | | 3/7/2023 | | Goldman Sachs
International | | | 1.17 | % | | iShares® MSCI Brazil
Capped ETF | | | (154,439 | ) | | | — | | | | 154,439 | | | | — | | |
| (1,790,064 | ) | |
4/10/2023 | | Morgan
Stanley & Co.
International plc | | | (0.28 | )% | |
iShares® MSCI Brazil
Capped ETF | | | (358,081 | ) | | | — | | | | 358,081 | | | | — | | |
| (2,323,318 | ) | | 3/7/2023 | |
Societe Generale | | | 0.22 | % | | iShares® MSCI Brazil
Capped ETF | | | (1,059,075 | ) | | | — | | | | 1,059,075 | | | | — | | |
| (13,092,196 | ) | | 3/7/2023 | |
UBS AG | | | (0.08 | )% | | iShares® MSCI Brazil
Capped ETF | | | (3,702,212 | ) | | | — | | | | 3,702,212 | | | | — | | |
| (26,863,043 | ) | | | | | | | | | | | | | | | | | | | (7,837,556 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 54,816 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (7,892,372 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
154 :: BZQ ULTRASHORT MSCI BRAZIL CAPPED :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 87.3% | |
| Repurchase Agreements (a) — 87.3% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $1,418,730
(Cost $1,418,701) | | $ | 1,418,701 | | | $ | 1,418,701 | | |
Total Investments — 87.3%
(Cost $1,418,701) | | | | | 1,418,701 | | |
| Other assets less liabilities — 12.7% | | | | | 205,697 | | |
| Net Assets — 100.0% | | | | $ | 1,624,398 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 101,182 | | |
| Aggregate gross unrealized depreciation | | | (109,830 | ) | |
| Net unrealized depreciation | | $ | (8,648 | ) | |
| Federal income tax cost | | $ | 1,418,701 | | |
Swap Agreementsa,f
UltraShort MSCI EAFE had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (843,537 | ) | | 4/10/2023 | |
Citibank NA | | | (0.43 | )% | | iShares® MSCI
EAFE ETF | | | 100,398 | | | | — | | | | — | | | | 100,398 | | |
| (464,273 | ) | | 4/10/2023 | | Goldman Sachs
International | | | (0.88 | )% | | iShares® MSCI
EAFE ETF | | | (26,739 | ) | | | — | | | | — | | | | (26,739 | ) | |
| (844,845 | ) | | 3/7/2023 | |
Societe Generale | | | (0.03 | )% | | iShares® MSCI
EAFE ETF | | | 784 | | | | — | | | | — | | | | 784 | | |
| (1,090,714 | ) | | 11/9/2022 | |
UBS AG | | | (0.43 | )% | | iShares® MSCI
EAFE ETF | | | (83,091 | ) | | | — | | | | 83,091 | | | | — | | |
| (3,243,369 | ) | | | | | | | | | | | | | | | | | | | (8,648 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 101,182 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (109,830 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT MSCI EAFE EFU :: 155
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 78.5% | |
| Repurchase Agreements (a) — 78.5% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $8,738,783
(Cost $8,738,608) | | $ | 8,738,608 | | | $ | 8,738,608 | | |
Total Investments — 78.5%
(Cost $8,738,608) | | | | | 8,738,608 | | |
| Other assets less liabilities — 21.5% | | | | | 2,389,597 | | |
| Net Assets — 100.0% | | | | $ | 11,128,205 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 877,283 | | |
| Aggregate gross unrealized depreciation | | | (1,531,738 | ) | |
| Net unrealized depreciation | | $ | (654,455 | ) | |
| Federal income tax cost | | $ | 8,738,608 | | |
Swap Agreementsa,f
UltraShort MSCI Emerging Markets had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (179,452 | ) | | 4/10/2023 | |
Citibank NA | | | (0.28 | )% | | iShares® MSCI
Emerging
Markets ETF | | | 877,283 | | | | — | | | | (877,283 | ) | | | — | | |
| (2,095,366 | ) | | 4/10/2023 | |
Goldman Sachs
International | | | (0.33 | )% | | iShares® MSCI
Emerging
Markets ETF | | | (209,780 | ) | | | — | | | | 209,780 | | | | — | | |
| (2,798,396 | ) | | 3/7/2023 | |
Societe Generale | | | 0.87 | % | | iShares® MSCI
Emerging
Markets ETF | | | (150,875 | ) | | | — | | | | 40,000 | | | | (110,875 | ) | |
| (17,073,274 | ) | | 3/7/2023 | |
UBS AG | | | 0.27 | % | | iShares® MSCI
Emerging
Markets ETF | | | (1,171,083 | ) | | | — | | | | 1,171,083 | | | | — | | |
| (22,146,488 | ) | | | | | | | | | | | | | | | | | | | (654,455 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 877,283 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (1,531,738 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
156 :: EEV ULTRASHORT MSCI EMERGING MARKETS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 78.1% | |
| Repurchase Agreements (a) — 78.1% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $4,930,062
(Cost $4,929,962) | | $ | 4,929,962 | | | $ | 4,929,962 | | |
Total Investments — 78.1%
(Cost $4,929,962) | | | | | 4,929,962 | | |
| Other assets less liabilities — 21.9% | | | | | 1,379,302 | | |
| Net Assets — 100.0% | | | | $ | 6,309,264 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 319,564 | | |
| Aggregate gross unrealized depreciation | | | (335,325 | ) | |
| Net unrealized depreciation | | $ | (15,761 | ) | |
| Federal income tax cost | | $ | 4,929,962 | | |
Swap Agreementsa,f
UltraShort MSCI Japan had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (1,887,161 | ) | | 11/9/2022 | | Bank of
America NA | | | (0.38 | )% | | iShares® MSCI
Japan ETF | | | 115,170 | | | | — | | | | — | | | | 115,170 | | |
| (1,050,339 | ) | |
4/10/2023 | | Morgan
Stanley & Co.
International plc | | | (0.28 | )% | |
iShares® MSCI
Japan ETF | | | 204,394 | | | | — | | | | (143,000 | ) | | | 61,394 | | |
| (5,771,051 | ) | | 4/10/2023 | |
Societe Generale | | | 0.32 | % | | iShares® MSCI
Japan ETF | | | (142,256 | ) | | | — | | | | 142,256 | | | | — | | |
| (3,858,995 | ) | | 4/10/2023 | |
UBS AG | | | (0.18 | )% | | iShares® MSCI
Japan ETF | | | (193,069 | ) | | | — | | | | 193,069 | | | | — | | |
| (12,567,546 | ) | | | | | | | | | | | | | | | | | | | (15,761 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 319,564 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (335,325 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT MSCI JAPAN EWV :: 157
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 43.1% | |
| Repurchase Agreements (a) — 43.1% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $3,628,912
(Cost $3,628,839) | | $ | 3,628,839 | | | $ | 3,628,839 | | |
Total Investments — 43.1%
(Cost $3,628,839) | | | | | 3,628,839 | | |
| Other assets less liabilities — 56.9% | | | | | 4,794,980 | | |
| Net Assets — 100.0% | | | | $ | 8,423,819 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 3,591,186 | | |
| Aggregate gross unrealized depreciation | | | (395,047 | ) | |
| Net unrealized appreciation | | $ | 3,196,139 | | |
| Federal income tax cost | | $ | 3,628,839 | | |
Swap Agreementsa
UltraShort Nasdaq Biotechnology had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (4,768,673 | ) | |
5/8/2023 | |
Bank of
America NA | | | (0.58 | )% | | NASDAQ
Biotechnology
Index® | | | (313,331 | ) | | | — | | | | 313,331 | | | | — | | |
| (809,004 | ) | |
11/6/2023 | |
BNP Paribas SA | | | (0.63 | )% | | NASDAQ
Biotechnology
Index® | | | (81,716 | ) | | | — | | | | — | | | | (81,716 | ) | |
| (3,915,137 | ) | |
4/10/2023 | |
Citibank NA | | | 0.17 | % | | NASDAQ
Biotechnology
Index® | | | 1,004,758 | | | | — | | | | (1,004,758 | ) | | | — | | |
| (623,453 | ) | |
11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.28 | )% | | NASDAQ
Biotechnology
Index® | | | 59,169 | | | | — | | | | — | | | | 59,169 | | |
| (3,310,239 | ) | |
3/7/2023 | |
Societe Generale | | | (0.68 | )% | | NASDAQ
Biotechnology
Index® | | | 1,090,346 | | | | (1,087,609 | ) | | | (2,737 | ) | | | — | | |
| (3,425,281 | ) | |
11/6/2023 | |
UBS AG | | | 0.17 | % | | NASDAQ
Biotechnology
Index® | | | 1,436,913 | | | | — | | | | (1,430,000 | ) | | | 6,913 | | |
| (16,851,787 | ) | | | | | | | | | | | | | | | | | | | 3,196,139 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 3,591,186 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (395,047 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
See accompanying notes to the financial statements.
158 :: BIS ULTRASHORT NASDAQ BIOTECHNOLOGY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT NASDAQ BIOTECHNOLOGY BIS :: 159
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 86.2% | |
| Repurchase Agreements (a) — 86.2% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $26,447,105
(Cost $26,446,572) | | $ | 26,446,572 | | | $ | 26,446,572 | | |
Total Investments — 86.2%
(Cost $26,446,572) | | | | | 26,446,572 | | |
| Other assets less liabilities — 13.8% | | | | | 4,229,915 | | |
| Net Assets — 100.0% | | | | $ | 30,676,487 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | — | | |
| Aggregate gross unrealized depreciation | | | (21,415,236 | ) | |
| Net unrealized depreciation | | $ | (21,415,236 | ) | |
| Federal income tax cost | | $ | 26,446,572 | | |
Swap Agreementsa
UltraShort Oil & Gas had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (8,120,327 | ) | | 11/7/2022 | | Bank of
America NA | | | (0.53 | )% | | Dow Jones U.S.
Oil & GasSM Index | | | (6,463,944 | ) | | | — | | | | 6,429,000 | | | | (34,944 | ) | |
| (4,972,167 | ) | | 11/6/2023 | |
BNP Paribas SA | | | (0.93 | )% | | Dow Jones U.S.
Oil & GasSM Index | | | (449,793 | ) | | | — | | | | 449,793 | | | | — | | |
| (12,081,376 | ) | | 3/7/2023 | | Goldman Sachs
International | | | (0.93 | )% | | Dow Jones U.S.
Oil & GasSM Index | | | (3,421,895 | ) | | | — | | | | 3,421,895 | | | | — | | |
| (6,802,593 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.48 | )% | |
Dow Jones U.S.
Oil & GasSM Index | | | (3,236,145 | ) | | | — | | | | 3,236,145 | | | | — | | |
| (9,271,919 | ) | | 3/7/2023 | |
Societe Generale | | | (0.73 | )% | | Dow Jones U.S.
Oil & GasSM Index | | | (2,842,392 | ) | | | — | | | | 2,842,392 | | | | — | | |
| (20,168,189 | ) | | 3/7/2023 | |
UBS AG | | | (0.68 | )% | | Dow Jones U.S.
Oil & GasSM Index | | | (5,001,067 | ) | | | — | | | | 5,001,067 | | | | — | | |
| (61,416,571 | ) | | | | | | | | | | | | | | | | | | | (21,415,236 | ) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (21,415,236 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
160 :: DUG ULTRASHORT OIL & GAS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 79.6% | |
| Repurchase Agreements (a) — 19.5% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $71,179,594
(Cost $71,178,161) | | $ | 71,178,161 | | | $ | 71,178,161 | | |
| U.S. Treasury Obligations (b) — 60.1% | |
| U.S. Treasury Bills | |
| 0.37%, 6/7/2022 (c) | | | 5,000,000 | | | | 4,999,592 | | |
| 0.49%, 6/16/2022 (c) | | | 10,000,000 | | | | 9,997,589 | | |
| 0.55%, 6/21/2022 (c) | | | 10,000,000 | | | | 9,996,722 | | |
| 0.55%, 6/23/2022 (c) | | | 10,000,000 | | | | 9,996,524 | | |
| 0.55%, 6/28/2022 (c) | | | 50,000,000 | | | | 49,973,281 | | |
| 0.62%, 6/30/2022 (c) | | | 60,000,000 | | | | 59,967,133 | | |
| 0.15%, 9/8/2022 (c) | | | 75,000,000 | | | | 74,768,356 | | |
Total U.S. Treasury Obligations
(Cost $219,909,957) | | | | | 219,699,197 | | |
Total Short-Term Investments
(Cost $291,088,118) | | | | | 290,877,358 | | |
Total Investments — 79.6%
(Cost $291,088,118) | | | | | 290,877,358 | | |
| Other assets less liabilities — 20.4% | | | | | 74,452,609 | | |
| Net Assets — 100.0% | | | | $ | 365,329,967 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $55,691,604.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 70,838,066 | | |
| Aggregate gross unrealized depreciation | | | (20,107,607 | ) | |
| Net unrealized appreciation | | $ | 50,730,459 | | |
| Federal income tax cost | | $ | 291,088,118 | | |
Futures Contracts Sold
UltraShort QQQ had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| NASDAQ 100 E-Mini Index | | | 31 | | | 6/17/2022 | | USD | | | | $ | 7,840,830 | | | $ | 1,392,210 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT QQQ QID :: 161
Swap Agreementsa
UltraShort QQQ had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (51,010,873 | ) | | 3/7/2023 | | Bank of
America NA | | | (1.13 | )% | | NASDAQ-100
Index® | | | (2,870,526 | ) | | | — | | | | 2,870,526 | | | | — | | |
| (10,796,353 | ) | | 11/6/2023 | | Barclays
Capital | | | (1.03 | )% | | NASDAQ-100
Index® | | | (744,884 | ) | | | — | | | | 744,884 | | | | — | | |
| (41,162,678 | ) | | 3/7/2023 | | BNP
Paribas SA | | | (1.18 | )% | | NASDAQ-100
Index® | | | (4,698,083 | ) | | | 4,288,083 | | | | 410,000 | | | | — | | |
| (64,929,826 | ) | | 4/10/2023 | |
Citibank NA | | | (1.31 | )% | | NASDAQ-100
Index® | | | 21,393,070 | | | | — | | | | (21,200,000 | ) | | | 193,070 | | |
| (28,457,367 | ) | | 3/7/2023 | | Goldman Sachs
International | | | (1.18 | )% | | NASDAQ-100
Index® | | | 21,124,909 | | | | (21,116,103 | ) | | | (8,806 | ) | | | — | | |
| (96,256,949 | ) | | 5/8/2023 | | J.P. Morgan
Securities | | | (0.98 | )% | | NASDAQ-100
Index® | | | 11,570,378 | | | | — | | | | (11,270,000 | ) | | | 300,378 | | |
| (171,249,887 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.63 | )% | |
NASDAQ-100
Index® | | | (11,583,354 | ) | | | 9,656,354 | | | | 1,927,000 | | | | — | | |
| (43,514,108 | ) | | 3/7/2023 | | Societe
Generale | | | (1.38 | )% | | NASDAQ-100
Index® | | | 11,755,994 | | | | (11,719,634 | ) | | | (36,360 | ) | | | — | | |
| (215,443,369 | ) | | 3/7/2023 | |
UBS AG | | | (0.98 | )% | | NASDAQ-100
Index® | | | 3,601,505 | | | | — | | | | (2,930,000 | ) | | | 671,505 | | |
| (722,821,410 | ) | | | | | | | | | | | | | | | | | | | 49,549,009 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 69,445,856 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (19,896,847 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
162 :: QID ULTRASHORT QQQ :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 75.4% | |
| Repurchase Agreements (a) — 75.4% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $21,058,327
(Cost $21,057,903) | | $ | 21,057,903 | | | $ | 21,057,903 | | |
Total Investments — 75.4%
(Cost $21,057,903) | | | | | 21,057,903 | | |
| Other assets less liabilities — 24.6% | | | | | 6,861,738 | | |
| Net Assets — 100.0% | | | | $ | 27,919,641 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 3,585,116 | | |
| Aggregate gross unrealized depreciation | | | (436,024 | ) | |
| Net unrealized appreciation | | $ | 3,149,092 | | |
| Federal income tax cost | | $ | 21,057,903 | | |
Swap Agreementsa
UltraShort Real Estate had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (17,902,251 | ) | | 5/8/2023 | | Bank of
America NA | | | (1.18 | )% | | Dow Jones U.S.
Real EstateSM Index | | | 713,745 | | | | (713,745 | ) | | | — | | | | — | | |
| (5,236,834 | ) | | 5/8/2023 | |
BNP Paribas SA | | | (1.03 | )% | | Dow Jones U.S.
Real EstateSM Index | | | 800,976 | | | | (748,810 | ) | | | — | | | | 52,166 | | |
| (7,991,174 | ) | | 3/7/2023 | | Goldman Sachs
International | | | (0.93 | )% | | Dow Jones U.S.
Real EstateSM Index | | | 118,466 | | | | (118,466 | ) | | | — | | | | — | | |
| (5,436,189 | ) | | 4/10/2023 | | Morgan
Stanley & Co.
International plc | | | (0.48 | )% | |
Dow Jones U.S.
Real EstateSM Index | | | 655,203 | | | | — | | | | (609,800 | ) | | | 45,403 | | |
| (4,982,723 | ) | | 3/7/2023 | | Societe
Generale | | | (0.88 | )% | | Dow Jones U.S.
Real EstateSM Index | | | 1,296,726 | | | | (1,296,726 | ) | | | — | | | | — | | |
| (14,224,399 | ) | | 11/7/2022 | |
UBS AG | | | (0.58 | )% | | Dow Jones U.S.
Real EstateSM Index | | | (436,024 | ) | | | — | | | | 436,024 | | | | — | | |
| (55,773,570 | ) | | | | | | | | | | | | | | | | | | | 3,149,092 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Appreciation | | | 3,585,116 | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Total Unrealized
Depreciation | | | (436,024 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT REAL ESTATE SRS :: 163
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 82.6% | |
| Repurchase Agreements (a) — 52.4% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $60,586,616
(Cost $60,585,395) | | $ | 60,585,395 | | | $ | 60,585,395 | | |
| U.S. Treasury Obligations (b) — 30.2% | |
| U.S. Treasury Bills | |
| 0.34%, 6/2/2022 (c) | | | 10,000,000 | | | | 9,999,857 | | |
| 0.55%, 6/21/2022 (c) | | | 25,000,000 | | | | 24,991,805 | | |
Total U.S. Treasury Obligations
(Cost $34,992,233) | | | | | 34,991,662 | | |
Total Short-Term Investments
(Cost $95,577,628) | | | | | 95,577,057 | | |
Total Investments — 82.6%
(Cost $95,577,628) | | | | | 95,577,057 | | |
| Other assets less liabilities — 17.4% | | | | | 20,125,129 | | |
| Net Assets — 100.0% | | | | $ | 115,702,186 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $305,894.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 13,780,504 | | |
| Aggregate gross unrealized depreciation | | | (13,971,329 | ) | |
| Net unrealized depreciation | | $ | (190,825 | ) | |
| Federal income tax cost | | $ | 95,577,628 | | |
Futures Contracts Sold
UltraShort Russell2000 had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Depreciation | |
| Russell 2000 E-Mini Index | | | 48 | | | 6/17/2022 | | USD | | | | $ | 4,468,560 | | | $ | (40,295 | ) | |
See accompanying notes to the financial statements.
164 :: TWM ULTRASHORT RUSSELL2000 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
UltraShort Russell2000 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (50,465,155 | ) | | 11/7/2022 | | Bank of
America NA | | | (0.63 | )% | | Russell 2000®
Index | | | (4,791,522 | ) | | | — | | | | 4,791,522 | | | | — | | |
| (3,517,443 | ) | | 11/6/2023 | | Barclays Capital | | | (0.93 | )% | | Russell 2000®
Index | | | (28,786 | ) | | | — | | | | — | | | | (28,786 | ) | |
| (1,288,052 | ) | | 5/8/2023 | | BNP Paribas SA | | | (0.68 | )% | | Russell 2000®
Index | | | 2,256,230 | | | | (2,247,307 | ) | | | (8,923 | ) | | | — | | |
| (29,114,441 | ) | | 4/10/2023 | | Citibank NA | | | (0.64 | )% | | Russell 2000®
Index | | | 3,675,886 | | | | — | | | | (3,310,000 | ) | | | 365,886 | | |
| (4,337,621 | ) | | 3/7/2023 | | Goldman Sachs
International | | | (0.83 | )% | | Russell 2000®
Index | | | 883,321 | | | | (831,326 | ) | | | — | | | | 51,995 | | |
| (79,762,272 | ) | | 11/6/2023 | | Morgan
Stanley & Co.
International plc | | | (0.53 | )% | |
Russell 2000®
Index | | | (4,821,634 | ) | | | | | | | | | | | | | |
| (26,304,672 | ) | | 11/6/2023 | | Morgan
Stanley & Co.
International plc | | | (0.53 | )% | | iShares®
Russell 2000
ETF | | | (1,469,641 | ) | | | | | | | | | | | | | |
| (106,066,944 | ) | | | | | | | | | | | | | | | | | (6,291,275 | ) | | | — | | | | 61,000 | | | | (6,230,275 | ) | |
| (14,375,476 | ) | | 11/6/2023 | | Societe
Generale | | | (0.48 | )% | | Russell 2000®
Index | | | (2,818,880 | ) | | | 305,894 | | | | 2,013,000 | | | | (499,986 | ) | |
| (17,767,759 | ) | | 3/7/2023 | | UBS AG | | | (0.33 | )% | | Russell 2000®
Index | | | 6,965,067 | | | | — | | | | (6,740,000 | ) | | | 225,067 | | |
| (226,932,891 | ) | | | | | | | | | | | | | | | | | | | (149,959 | ) | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Appreciation | | | 13,780,504 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (13,930,463 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT RUSSELL2000 TWM :: 165
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 67.2% | |
| Repurchase Agreements (a) — 9.2% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $82,377,838
(Cost $82,376,178) | | $ | 82,376,178 | | | $ | 82,376,178 | | |
| U.S. Treasury Obligations (b) — 58.0% | |
| U.S. Treasury Bills | |
| 0.36%, 6/2/2022 (c) | | | 175,000,000 | | | | 174,997,496 | | |
| 0.37%, 6/7/2022 (c) | | | 5,000,000 | | | | 4,999,592 | | |
| 0.44%, 6/9/2022 (c) | | | 70,000,000 | | | | 69,991,755 | | |
| 0.20%, 6/16/2022 (c) | | | 30,000,000 | | | | 29,992,766 | | |
| 0.52%, 6/21/2022 (c) | | | 35,000,000 | | | | 34,988,528 | | |
| 0.55%, 6/23/2022 (c) | | | 10,000,000 | | | | 9,996,524 | | |
| 0.58%, 6/30/2022 (c) | | | 10,000,000 | | | | 9,994,522 | | |
| 0.07%, 7/14/2022 (c) | | | 40,000,000 | | | | 39,960,456 | | |
| 0.39%, 7/21/2022 (c) | | | 25,000,000 | | | | 24,970,833 | | |
| 0.09%, 8/11/2022 (c) | | | 2,770,000 | | | | 2,764,373 | | |
| 1.00%, 8/18/2022 (c) | | | 25,000,000 | | | | 24,943,464 | | |
| 0.09%, 9/8/2022 (c) | | | 45,000,000 | | | | 44,861,013 | | |
| 0.51%, 11/3/2022 (c) | | | 25,000,000 | | | | 24,847,314 | | |
| 0.69%, 12/29/2022 (c) | | | 25,000,000 | | | | 24,768,472 | | |
Total U.S. Treasury Obligations
(Cost $522,502,879) | | | | | 522,077,108 | | |
Total Short-Term Investments
(Cost $604,879,057) | | | | | 604,453,286 | | |
Total Investments — 67.2%
(Cost $604,879,057) | | | | | 604,453,286 | | |
| Other assets less liabilities — 32.8% | | | | | 295,405,690 | | |
| Net Assets — 100.0% | | | | $ | 899,858,976 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
(b) All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $98,609,347.
(c) The rate shown was the current yield as of May 31, 2022.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 92,432,128 | | |
| Aggregate gross unrealized depreciation | | | (4,708,835 | ) | |
| Net unrealized appreciation | | $ | 87,723,293 | | |
| Federal income tax cost | | $ | 604,879,057 | | |
Futures Contracts Sold
UltraShort S&P500® had the following open short futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration Date | | Trading
Currency | | Notional Amount | | Value and
Unrealized
Appreciation | |
| S&P 500 E-Mini Index | | | 27 | | | 6/17/2022 | | USD | | | | $ | 5,577,188 | | | $ | 451,409 | | |
See accompanying notes to the financial statements.
166 :: SDS ULTRASHORT S&P500® MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreementsa
UltraShort S&P500® had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (237,028,388 | ) | | 5/8/2023 | | Bank of
America NA | | | (1.08 | )% | |
S&P 500® | | | 21,273,844 | | | | (20,649,749 | ) | | | — | | | | 624,095 | | |
| (372,848,027 | ) | | 5/8/2023 | | BNP Paribas SA | | | (1.13 | )% | | S&P 500® | | | 15,005,826 | | | | (12,950,668 | ) | | | — | | | | 2,055,158 | | |
| (264,011,328 | ) | | 4/10/2023 | | Citibank NA | | | (1.31 | )% | | S&P 500® | | | 22,389,178 | | | | — | | | | (20,740,000 | ) | | | 1,649,178 | | |
| (89,886,659 | ) | | 3/7/2023 | | Goldman Sachs
International | | | (1.18 | )% | |
S&P 500® | | | 7,383,946 | | | | (6,997,019 | ) | | | (9,175 | ) | | | 377,752 | | |
| (275,254,908 | ) | | 11/7/2022 | | J.P. Morgan
Securities | | | (0.98 | )% | |
S&P 500® | | | 9,613,486 | | | | — | | | | (7,900,000 | ) | | | 1,713,486 | | |
| (16,582,318 | ) | | 4/10/2023 | | Morgan
Stanley & Co.
International plc | | | (0.63 | )% | |
S&P 500® | | | 2,159,647 | | | | — | | | | (2,130,000 | ) | | | 29,647 | | |
| (389,422,080 | ) | | 3/7/2023 | | Societe
Generale | | | (1.03 | )% | |
S&P 500® | | | (4,283,064 | ) | | | 4,283,064 | | | | — | | | | — | | |
| (149,152,681 | ) | | 3/7/2023 | | UBS AG | | | (0.98 | )% | | S&P 500® | | | 14,154,792 | | | | — | | | | (13,230,000 | ) | | | 924,792 | | |
| (1,794,186,389 | ) | | | | | | | | | | | | | | | | | | | 87,697,655 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Appreciation | | | 91,980,719 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (4,283,064 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
Abbreviations
USD U.S. Dollar
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT S&P500® SDS :: 167
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 93.0% | |
| Repurchase Agreements (a) — 93.0% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $6,253,281
(Cost $6,253,154) | | $ | 6,253,154 | | | $ | 6,253,154 | | |
Total Investments — 93.0%
(Cost $6,253,154) | | | | | 6,253,154 | | |
| Other assets less liabilities — 7.0% | | | | | 473,033 | | |
| Net Assets — 100.0% | | | | $ | 6,726,187 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 304,193 | | |
| Aggregate gross unrealized depreciation | | | (1,212,110 | ) | |
| Net unrealized depreciation | | $ | (907,917 | ) | |
| Federal income tax cost | | $ | 6,253,154 | | |
Swap Agreementsa
UltraShort Semiconductors had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (580,839 | ) | | 5/8/2023 | | Bank of
America NA | | | (0.83 | )% | | Dow Jones U.S.
SemiconductorsSM
Indexf | | | (105,462 | ) | | | — | | | | 105,462 | | | | — | | |
| (2,015,012 | ) | | 11/6/2023 | | BNP Paribas SA | | | (0.93 | )% | | Dow Jones U.S.
SemiconductorsSM
Indexf | | | (99,725 | ) | | | — | | | | — | | | | (99,725 | ) | |
| (265,322 | ) | | 11/7/2022 | | Goldman Sachs
International | | | (0.93 | )% | | Dow Jones U.S.
SemiconductorsSM
Indexf | | | 108,585 | | | | — | | | | — | | | | 108,585 | | |
| (1,168,850 | ) | | 5/8/2023 | | J.P. Morgan
Securities | | | (1.03 | )% | | Dow Jones U.S.
SemiconductorsSM
Indexf | | | 84,505 | | | | — | | | | (80,000 | ) | | | 4,505 | | |
| (5,686,492 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.48 | )% | | Dow Jones U.S.
SemiconductorsSM
Indexf | | | (691,541 | ) | | | — | | | | 691,541 | | | | — | | |
| (1,319,438 | ) | | 3/7/2023 | | Societe
Generale | | | (0.83 | )% | | Dow Jones U.S.
SemiconductorsSM
Indexf | | | 111,103 | | | | — | | | | — | | | | 111,103 | | |
| (2,416,580 | ) | | 11/7/2022 | | UBS AG | | | (0.93 | )% | | Dow Jones U.S.
SemiconductorsSM
Indexf | | | (315,382 | ) | | | — | | | | 315,382 | | | | — | | |
| (13,452,533 | ) | | | | | | | | | | | | | | | | | | | (907,917 | ) | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Appreciation | | | 304,193 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (1,212,110 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
See accompanying notes to the financial statements.
168 :: SSG ULTRASHORT SEMICONDUCTORS :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the Schedule of Portfolio Investments of ProShares Ultra Semiconductors for the components of the underlying reference instrument and their relative weightings.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT SEMICONDUCTORS SSG :: 169
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 81.6% | |
| Repurchase Agreements (a) — 81.6% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $3,783,900
(Cost $3,783,823) | | $ | 3,783,823 | | | $ | 3,783,823 | | |
Total Investments — 81.6%
(Cost $3,783,823) | | | | | 3,783,823 | | |
| Other assets less liabilities — 18.4% | | | | | 855,755 | | |
| Net Assets — 100.0% | | | | $ | 4,639,578 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | — | | |
| Aggregate gross unrealized depreciation | | | (446,065 | ) | |
| Net unrealized depreciation | | $ | (446,065 | ) | |
| Federal income tax cost | | $ | 3,783,823 | | |
Swap Agreementsa
UltraShort SmallCap600 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (956,362 | ) | | 11/7/2022 | | Bank of
America NA | | | (0.83 | )% | | S&P
SmallCap 600® | | | (119,267 | ) | | | — | | | | 119,267 | | | | — | | |
| (5,363,783 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.48 | )% | |
S&P
SmallCap 600® | | | (191,628 | ) | | | — | | | | 191,628 | | | | — | | |
| (2,851,788 | ) | | 4/10/2023 | | Societe
Generale | | | (0.48 | )% | | S&P
SmallCap 600® | | | (112,317 | ) | | | — | | | | 112,317 | | | | — | | |
| (105,027 | ) | | 3/7/2023 | | UBS AG | | | (0.68 | )% | | S&P
SmallCap 600® | | | (22,853 | ) | | | — | | | | 22,853 | | | | — | | |
| (9,276,960 | ) | | | | | | | | | | | | | | | | | | | (446,065 | ) | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (446,065 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
170 :: SDD ULTRASHORT SMALLCAP600 :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 65.9% | |
| Repurchase Agreements (a) — 65.9% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $5,113,080
(Cost $5,112,978) | | $ | 5,112,978 | | | $ | 5,112,978 | | |
Total Investments — 65.9%
(Cost $5,112,978) | | | | | 5,112,978 | | |
| Other assets less liabilities — 34.1% | | | | | 2,650,507 | | |
| Net Assets — 100.0% | | | | $ | 7,763,485 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 2,553,294 | | |
| Aggregate gross unrealized depreciation | | | (68,982 | ) | |
| Net unrealized appreciation | | $ | 2,484,312 | | |
| Federal income tax cost | | $ | 5,112,978 | | |
Swap Agreementsa
UltraShort Technology had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (2,552,404 | ) | | 5/8/2023 | | Bank of
America NA | | | (0.78 | )% | | Dow Jones U.S.
TechnologySM
Indexf | | | 549,997 | | | | (549,997 | ) | | | — | | | | — | | |
| (935,760 | ) | | 5/8/2023 | | BNP Paribas SA | | | (1.03 | )% | | Dow Jones U.S.
TechnologySM
Indexf | | | 610,176 | | | | (610,176 | ) | | | — | | | | — | | |
| (2,505,070 | ) | | 3/7/2023 | | Goldman Sachs
International | | | (0.93 | )% | | Dow Jones U.S.
TechnologySM
Indexf | | | 325,354 | | | | (325,354 | ) | | | — | | | | — | | |
| (924,837 | ) | | 5/8/2023 | | J.P. Morgan
Securities | | | (1.03 | )% | | Dow Jones U.S.
TechnologySM
Indexf | | | 592,520 | | | | — | | | | (592,520 | ) | | | — | | |
| (276,723 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.48 | )% | | Dow Jones U.S.
TechnologySM
Indexf | | | (6,051 | ) | | | — | | | | 6,051 | | | | — | | |
| (2,151,884 | ) | | 3/7/2023 | | Societe
Generale | | | (0.73 | )% | | Dow Jones U.S.
TechnologySM
Indexf | | | 475,247 | | | | (475,247 | ) | | | — | | | | — | | |
| (6,215,341 | ) | | 3/7/2023 | | UBS AG | | | (0.68 | )% | | Dow Jones U.S.
TechnologySM
Indexf | | | (62,931 | ) | | | — | | | | 62,931 | | | | — | | |
| (15,562,019 | ) | | | | | | | | | | | | | | | | | | | 2,484,312 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Appreciation | | | 2,553,294 | | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (68,982 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT TECHNOLOGY REW :: 171
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the Schedule of Portfolio Investments of ProShares Ultra Technology for the components of the underlying reference instrument and their relative weightings.
See accompanying notes to the financial statements.
172 :: REW ULTRASHORT TECHNOLOGY :: MAY 31, 2022 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
| Investments | | Principal
Amount | | Value | |
| Short-Term Investments — 95.0% | |
| Repurchase Agreements (a) — 95.0% | |
Repurchase Agreements with
various counterparties, rates
0.50% - 0.77%, dated 5/31/2022,
due 6/1/2022, total to be
received $2,281,381
(Cost $2,281,332) | | $ | 2,281,332 | | | $ | 2,281,332 | | |
Total Investments — 95.0%
(Cost $2,281,332) | | | | | 2,281,332 | | |
| Other assets less liabilities — 5.0% | | | | | 120,484 | | |
| Net Assets — 100.0% | | | | $ | 2,401,816 | | |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase.
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | — | | |
| Aggregate gross unrealized depreciation | | | (368,029 | ) | |
| Net unrealized depreciation | | $ | (368,029 | ) | |
| Federal income tax cost | | $ | 2,281,332 | | |
Swap Agreementsa
UltraShort Utilities had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount
($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | Reference
Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the
Benefit of
(the Fund)/the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/the
Counterparty
($) | | Net
Amounte
($) | |
| (1,439,676 | ) | | 5/8/2023 | | Bank of
America NA | | | (0.63 | )% | | Dow Jones U.S.
UtilitiesSM Indexf | | | (112,923 | ) | | | — | | | | 79,000 | | | | (33,923 | ) | |
| (272,588 | ) | | 11/7/2022 | | Morgan
Stanley & Co.
International plc | | | (0.48 | )% | |
Dow Jones U.S.
UtilitiesSM Indexf | | | (51,371 | ) | | | — | | | | 51,371 | | | | — | | |
| (1,414,098 | ) | | 3/7/2023 | | Societe
Generale | | | (0.73 | )% | | Dow Jones U.S.
UtilitiesSM Indexf | | | (23,146 | ) | | | — | | | | 12,000 | | | | (11,146 | ) | |
| (1,673,532 | ) | | 3/7/2023 | | UBS AG | | | (0.58 | )% | | Dow Jones U.S.
UtilitiesSM Indexf | | | (180,589 | ) | | | — | | | | 180,589 | | | | — | | |
| (4,799,894 | ) | | | | | | | | | | | | | | | | | | | (368,029 | ) | | | | | | | | | | | | | |
| | | | | | | | Total Unrealized
Depreciation | | | (368,029 | ) | | | | | | | | | | | | | |
a The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
b Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity.
c Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation).
d The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities.
e Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
f See the Common Stocks section of the Schedule of Portfolio Investments of ProShares Ultra Utilities for the components of the underlying reference instrument and their relative weightings.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2022 :: ULTRASHORT UTILITIES SDP :: 173
STATEMENTS OF ASSETS AND LIABILITIES
174 :: MAY 31, 2022 :: STATEMENTS OF ASSETS AND LIABILITIES PROSHARES TRUST
| | | Short 7-10 Year
Treasury | | Short 20+ Year
Treasury | | Short
Dow30SM | | Short
Financials | | Short
FTSE China 50 | | Short
High Yield | |
| ASSETS: | |
Securities and Repurchase
Agreements, at cost | | $ | 136,300,937 | | | $ | 679,458,381 | | | $ | 244,141,586 | | | $ | 15,866,010 | | | $ | 5,704,241 | | | $ | 296,392,657 | | |
| Securities, at value | | | 74,942,747 | | | | 599,090,626 | | | | 199,534,643 | | | | — | | | | — | | | | 224,909,979 | | |
| Repurchase Agreements, at value | | | 61,355,455 | | | | 79,737,186 | | | | 44,244,479 | | | | 15,866,010 | | | | 5,704,241 | | | | 71,481,391 | | |
| Cash | | | 679,934 | | | | — | | | | 162 | | | | — | | | | 38 | | | | — | | |
Segregated cash balances with
brokers for futures contracts | | | 24,310 | | | | 376,200 | | | | 925,650 | | | | — | | | | — | | | | — | | |
Segregated cash balances with
custodian for swap agreements | | | 35,361,000 | | | | — | | | | 11,446,355 | | | | 2,375,000 | | | | 1,666,000 | | | | 45,923,000 | | |
| Dividends and interest receivable | | | 1,150 | | | | 1,495 | | | | 830 | | | | 297 | | | | 107 | | | | 1,340 | | |
| Receivable for capital shares issued | | | — | | | | — | | | | — | | | | — | | | | — | | | | 8,299,407 | | |
| Receivable from Advisor | | | — | | | | — | | | | — | | | | — | | | | 5,281 | | | | — | | |
Receivable for variation margin on
futures contracts | | | 9,752 | | | | 599,096 | | | | 92,565 | | | | — | | | | — | | | | — | | |
Unrealized appreciation on non-
exchange traded swap agreements | | | 2,640,313 | | | | 8,325,196 | | | | 10,090,469 | | | | 661,249 | | | | 243,135 | | | | 2,516,197 | | |
| Prepaid expenses | | | 2,679 | | | | 8,074 | | | | 3,305 | | | | 1,564 | | | | 1,505 | | | | 2,772 | | |
| Total Assets | | | 175,017,340 | | | | 688,137,873 | | | | 266,338,458 | | | | 18,904,120 | | | | 7,620,307 | | | | 353,134,086 | | |
| LIABILITIES: | |
| Cash overdraft | | | — | | | | 71 | | | | — | | | | 34 | | | | — | | | | 1,017 | | |
| Payable for capital shares redeemed | | | — | | | | 4,964,478 | | | | 10,134,378 | | | | — | | | | — | | | | 9,221,563 | | |
| Advisory fees payable | | | 126,919 | | | | 463,522 | | | | 170,829 | | | | 5,651 | | | | — | | | | 163,883 | | |
| Management Services fees payable | | | 17,176 | | | | 61,802 | | | | 22,864 | | | | 1,620 | | | | — | | | | 24,846 | | |
| Custodian fees payable | | | 1,684 | | | | 6,906 | | | | 2,740 | | | | 148 | | | | 99 | | | | 1,227 | | |
| Administration fees payable | | | 13,857 | | | | 24,733 | | | | 16,257 | | | | 6,502 | | | | 6,502 | | | | 15,203 | | |
| Trustee fees payable | | | 862 | | | | 4,625 | | | | 1,613 | | | | 57 | | | | 48 | | | | 602 | | |
| Compliance services fees payable | | | 670 | | | | 3,940 | | | | 1,462 | | | | 60 | | | | 45 | | | | 499 | | |
| Listing, Data and related fees payable | | | 6,972 | | | | 36,458 | | | | 104,459 | | | | 4,544 | | | | 3,088 | | | | 27,661 | | |
| Professional fees payable | | | 17,947 | | | | 20,911 | | | | 18,547 | | | | 17,254 | | | | 24,829 | | | | 23,068 | | |
Unrealized depreciation on non-
exchange traded swap agreements | | | 3,104,943 | | | | 7,370,782 | | | | 112,875 | | | | 372,033 | | | | 748,096 | | | | 588,720 | | |
| Other liabilities | | | 9,656 | | | | 16,710 | | | | 15,559 | | | | 2,402 | | | | 1,177 | | | | 23,976 | | |
| Total Liabilities | | | 3,300,686 | | | | 12,974,938 | | | | 10,601,583 | | | | 410,305 | | | | 783,884 | | | | 10,092,265 | | |
| NET ASSETS | | $ | 171,716,654 | | | $ | 675,162,935 | | | $ | 255,736,875 | | | $ | 18,493,815 | | | $ | 6,836,423 | | | $ | 343,041,821 | | |
| NET ASSETS CONSIST OF: | |
| Paid in Capital | | $ | 172,770,140 | | | $ | 1,229,567,758 | | | $ | 785,896,819 | | | $ | 114,113,781 | | | $ | 18,708,465 | | | $ | 416,749,467 | | |
| Distributable earnings (loss) | | | (1,053,486 | ) | | | (554,404,823 | ) | | | (530,159,944 | ) | | | (95,619,966 | ) | | | (11,872,042 | ) | | | (73,707,646 | ) | |
| NET ASSETS | | $ | 171,716,654 | | | $ | 675,162,935 | | | $ | 255,736,875 | | | $ | 18,493,815 | | | $ | 6,836,423 | | | $ | 343,041,821 | | |
Shares (unlimited number of shares
authorized, no par value) | | | 6,425,000 | | | | 34,000,000 | | | | 7,523,755 | | | | 1,474,851 | | | | 400,000 | | | | 18,600,000 | | |
| Net Asset Value | | $ | 26.73 | | | $ | 19.86 | | | $ | 33.99 | | | $ | 12.54 | | | $ | 17.09 | | | $ | 18.44 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF ASSETS AND LIABILITIES :: MAY 31, 2022 :: 175
| | | Short
MidCap400 | | Short
MSCI EAFE | | Short MSCI
Emerging
Markets | | Short
QQQ | | Short
Real Estate | | Short
Russell2000 | |
| ASSETS: | |
Securities and Repurchase
Agreements, at cost | | $ | 10,726,113 | | | $ | 70,838,913 | | | $ | 36,552,480 | | | $ | 1,005,216,592 | | | $ | 14,964,240 | | | $ | 404,707,754 | | |
| Securities, at value | | | — | | | | 34,990,628 | | | | — | | | | 883,957,951 | | | | — | | | | 339,370,274 | | |
| Repurchase Agreements, at value | | | 10,726,113 | | | | 35,847,364 | | | | 36,552,480 | | | | 120,636,549 | | | | 14,964,240 | | | | 65,006,851 | | |
| Cash | | | 29 | | | | — | | | | — | | | | — | | | | 60 | | | | — | | |
Segregated cash balances with
brokers for futures contracts | | | 108,000 | | | | — | | | | — | | | | 1,193,500 | | | | — | | | | 1,427,800 | | |
Segregated cash balances with
custodian for swap agreements | | | 843,000 | | | | 9,986,000 | | | | 4,815,006 | | | | 1,130,034 | | | | 1,426,650 | | | | 540,230 | | |
| Dividends and interest receivable | | | 201 | | | | 672 | | | | 685 | | | | 2,262 | | | | 281 | | | | 1,219 | | |
| Due from counterparty | | | 4,582 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Receivable for capital shares issued | | | — | | | | — | | | | — | | | | 663,155 | | | | — | | | | 1,204,479 | | |
Receivable for variation margin on
futures contracts | | | 9,720 | | | | — | | | | — | | | | 43,750 | | | | — | | | | 282,024 | | |
Unrealized appreciation on non-
exchange traded swap agreements | | | 751,577 | | | | 1,225,695 | | | | 3,921,247 | | | | 131,429,376 | | | | 326,028 | | | | 46,725,831 | | |
| Prepaid expenses | | | 4,324 | | | | 2,324 | | | | 1,988 | | | | 8,737 | | | | 1,527 | | | | 3,900 | | |
| Total Assets | | | 12,447,546 | | | | 82,052,683 | | | | 45,291,406 | | | | 1,139,065,314 | | | | 16,718,786 | | | | 454,562,608 | | |
| LIABILITIES: | |
| Cash overdraft | | | — | | | | 99 | | | | 13 | | | | 86 | | | | — | | | | 258 | | |
| Payable for capital shares redeemed | | | — | | | | 15,629,434 | | | | 1,431,540 | | | | 52,961,239 | | | | — | | | | — | | |
| Advisory fees payable | | | 1,705 | | | | 35,907 | | | | 13,205 | | | | 689,619 | | | | 2,671 | | | | 260,384 | | |
| Management Services fees payable | | | 980 | | | | 6,094 | | | | 3,632 | | | | 101,019 | | | | 1,291 | | | | 38,292 | | |
| Custodian fees payable | | | 340 | | | | 482 | | | | 338 | | | | 7,883 | | | | 93 | | | | 3,344 | | |
| Administration fees payable | | | 6,645 | | | | 8,331 | | | | 6,964 | | | | 29,340 | | | | 6,502 | | | | 18,524 | | |
| Trustee fees payable | | | 67 | | | | 254 | | | | 182 | | | | 5,025 | | | | 51 | | | | 1,912 | | |
| Compliance services fees payable | | | 62 | | | | 153 | | | | 189 | | | | 3,963 | | | | 47 | | | | 1,698 | | |
| Listing, Data and related fees payable | | | — | | | | — | | | | — | | | | 186,844 | | | | 3,637 | | | | 66,227 | | |
| Professional fees payable | | | 17,243 | | | | 25,665 | | | | 28,815 | | | | 22,783 | | | | 17,241 | | | | 20,244 | | |
Unrealized depreciation on non-
exchange traded swap agreements | | | 212,953 | | | | 1,380,638 | | | | 756,433 | | | | 1,239,218 | | | | 425,896 | | | | 846,480 | | |
| Other liabilities | | | 1,166 | | | | 7,212 | | | | 4,532 | | | | 57,875 | | | | 2,219 | | | | 21,630 | | |
| Total Liabilities | | | 241,161 | | | | 17,094,269 | | | | 2,245,843 | | | | 55,304,894 | | | | 459,648 | | | | 1,278,993 | | |
| NET ASSETS | | $ | 12,206,385 | | | $ | 64,958,414 | | | $ | 43,045,563 | | | $ | 1,083,760,420 | | | $ | 16,259,138 | | | $ | 453,283,615 | | |
| NET ASSETS CONSIST OF: | |
| Paid in Capital | | $ | 67,076,502 | | | $ | 197,612,600 | | | $ | 237,564,056 | | | $ | 1,937,324,825 | | | $ | 53,323,314 | | | $ | 1,202,430,495 | | |
| Distributable earnings (loss) | | | (54,870,117 | ) | | | (132,654,186 | ) | | | (194,518,493 | ) | | | (853,564,405 | ) | | | (37,064,176 | ) | | | (749,146,880 | ) | |
| NET ASSETS | | $ | 12,206,385 | | | $ | 64,958,414 | | | $ | 43,045,563 | | | $ | 1,083,760,420 | | | $ | 16,259,138 | | | $ | 453,283,615 | | |
Shares (unlimited number of shares
authorized, no par value) | | | 493,667 | | | | 3,325,000 | | | | 3,050,000 | | | | 81,712,500 | | | | 899,888 | | | | 18,816,642 | | |
| Net Asset Value | | $ | 24.73 | | | $ | 19.54 | | | $ | 14.11 | | | $ | 13.26 | | | $ | 18.07 | | | $ | 24.09 | | |
See accompanying notes to the financial statements.
176 :: MAY 31, 2022 :: STATEMENTS OF ASSETS AND LIABILITIES PROSHARES TRUST
| | | Short
S&P500® | | Short
SmallCap600 | | Ultra
7-10 Year
Treasury | | Ultra
20+ Year
Treasury | | Ultra Basic
Materials | | Ultra Consumer
Goods | |
| ASSETS: | |
Securities and Repurchase
Agreements, at cost | | $ | 2,362,696,915 | | | $ | 6,309,515 | | | $ | 17,384,871 | | | $ | 35,088,590 | | | $ | 56,436,959 | | | $ | 10,476,905 | | |
| Securities, at value(a) | | | 2,152,861,080 | | | | — | | | | — | | | | — | | | | 48,036,424 | | | | 7,143,614 | | |
| Repurchase Agreements, at value | | | 208,763,865 | | | | 6,309,515 | | | | 17,384,871 | | | | 35,088,590 | | | | 8,434,210 | | | | 2,127,367 | | |
| Cash | | | 2,152,901 | | | | 22 | | | | — | | | | 4 | | | | — | | | | 69 | | |
Segregated cash balances with
brokers for futures contracts | | | 2,777,600 | | | | — | | | | 1,870 | | | | 8,360 | | | | — | | | | — | | |
Segregated cash balances with
custodian for swap agreements | | | 8,785,199 | | | | 827,092 | | | | 3,789,335 | | | | 1,520,924 | | | | 1,428,374 | | | | 575,082 | | |
| Dividends and interest receivable | | | 3,914 | | | | 118 | | | | 326 | | | | 658 | | | | 73,921 | | | | 6,239 | | |
| Receivable for security lending income | | | — | | | | — | | | | — | | | | — | | | | 92 | | | | 239 | | |
| Receivable for investments sold | | | — | | | | — | | | | — | | | | — | | | | 10,046,054 | | | | 11,520 | | |
| Due from counterparty | | | — | | | | — | | | | — | | | | — | | | | 97,538 | | | | 2,262 | | |
| Receivable from Advisor | | | — | | | | 1,143 | | | | — | | | | — | | | | — | | | | 1,274 | | |
Receivable for variation margin on
futures contracts | | | 151,900 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
Unrealized appreciation on non-
exchange traded swap agreements | | | 106,635,337 | | | | 287,375 | | | | — | | | | — | | | | 697,152 | | | | 736,392 | | |
| Prepaid expenses | | | 22,139 | | | | 3,135 | | | | 1,559 | | | | 1,801 | | | | 1,970 | | | | 1,559 | | |
| Total Assets | | | 2,482,153,935 | | | | 7,428,400 | | | | 21,177,961 | | | | 36,620,337 | | | | 68,815,735 | | | | 10,605,617 | | |
| LIABILITIES: | |
| Cash overdraft | | | — | | | | — | | | | 27 | | | | — | | | | 46 | | | | — | | |
| Payable for capital shares redeemed | | | 124,628,585 | | | | — | | | | — | | | | — | | | | 4,771,918 | | | | — | | |
Payable for cash collateral received
from securities loaned | | | — | | | | — | | | | — | | | | — | | | | 221,659 | | | | 48,530 | | |
| Advisory fees payable | | | 1,587,280 | | | | — | | | | 7,167 | | | | 19,987 | | | | 28,190 | | | | — | | |
| Management Services fees payable | | | 211,636 | | | | — | | | | — | | | | 3,072 | | | | 5,204 | | | | — | | |
| Custodian fees payable | | | 15,759 | | | | 69 | | | | 548 | | | | 929 | | | | 961 | | | | 1,501 | | |
| Administration fees payable | | | 40,540 | | | | 6,502 | | | | 6,607 | | | | 6,651 | | | | 15,275 | | | | 12,610 | | |
| Trustee fees payable | | | 10,540 | | | | 28 | | | | 110 | | | | 277 | | | | 404 | | | | 80 | | |
| Compliance services fees payable | | | 8,991 | | | | 28 | | | | 111 | | | | 283 | | | | 419 | | | | 81 | | |
| Listing, Data and related fees payable | | | — | | | | — | | | | 884 | | | | 2,362 | | | | 27,594 | | | | 5,545 | | |
| Professional fees payable | | | 27,753 | | | | 17,214 | | | | 17,651 | | | | 17,797 | | | | 22,319 | | | | 21,001 | | |
Payable for variation margin on
futures contracts | | | — | | | | — | | | | 750 | | | | 3,188 | | | | — | | | | — | | |
Unrealized depreciation on non-
exchange traded swap agreements | | | 5,032,219 | | | | 332,228 | | | | 3,260,294 | | | | 373,104 | | | | 1,490,489 | | | | 2,153,476 | | |
| Other liabilities | | | 131,904 | | | | 1,140 | | | | 1,480 | | | | 4,013 | | | | 2,463 | | | | 1,007 | | |
| Total Liabilities | | | 131,695,207 | | | | 357,209 | | | | 3,295,629 | | | | 431,663 | | | | 6,586,941 | | | | 2,243,831 | | |
| NET ASSETS | | $ | 2,350,458,728 | | | $ | 7,071,191 | | | $ | 17,882,332 | | | $ | 36,188,674 | | | $ | 62,228,794 | | | $ | 8,361,786 | | |
| NET ASSETS CONSIST OF: | |
| Paid in Capital | | $ | 6,472,541,965 | | | $ | 47,722,632 | | | $ | 148,828,385 | | | $ | 59,093,152 | | | $ | 51,960,273 | | | $ | 7,240,415 | | |
| Distributable earnings (loss) | | | (4,122,083,237 | ) | | | (40,651,441 | ) | | | (130,946,053 | ) | | | (22,904,478 | ) | | | 10,268,521 | | | | 1,121,371 | | |
| NET ASSETS | | $ | 2,350,458,728 | | | $ | 7,071,191 | | | $ | 17,882,332 | | | $ | 36,188,674 | | | $ | 62,228,794 | | | $ | 8,361,786 | | |
Shares (unlimited number of shares
authorized, no par value) | | | 154,380,826 | | | | 393,681 | | | | 325,000 | | | | 1,075,000 | | | | 2,325,000 | | | | 400,000 | | |
| Net Asset Value | | $ | 15.23 | | | $ | 17.96 | | | $ | 55.02 | | | $ | 33.66 | | | $ | 26.77 | | | $ | 20.90 | | |
| (a) Includes securities on loan valued at: | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 193,247 | | | $ | 34,576 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF ASSETS AND LIABILITIES :: MAY 31, 2022 :: 177
| | | Ultra Consumer
Services | | Ultra
Dow30SM | | Ultra
Financials | | Ultra
FTSE China 50 | | Ultra
FTSE Europe | | Ultra
Health Care | |
| ASSETS: | |
Securities and Repurchase
Agreements, at cost | | $ | 20,468,924 | | | $ | 453,440,608 | | | $ | 574,031,849 | | | $ | 4,077,094 | | | $ | 2,695,790 | | | $ | 137,942,415 | | |
| Securities, at value(a) | | | 12,428,509 | | | | 336,506,815 | | | | 509,764,377 | | | | — | | | | — | | | | 106,364,802 | | |
| Repurchase Agreements, at value | | | 3,904,044 | | | | 89,649,849 | | | | 13,710,246 | | | | 4,077,094 | | | | 2,695,790 | | | | 21,512,698 | | |
| Cash | | | 270,107 | | | | — | | | | 144,738 | | | | 259,985 | | | | — | | | | 7 | | |
Segregated cash balances with
brokers for futures contracts | | | — | | | | 2,057,000 | | | | — | | | | — | | | | — | | | | — | | |
Segregated cash balances with
custodian for swap agreements | | | 4,728,955 | | | | 3,608,281 | | | | 2,823,135 | | | | 18,182,675 | | | | 2,396,198 | | | | 1,267,089 | | |
| Dividends and interest receivable | | | 5,353 | | | | 921,526 | | | | 502,394 | | | | 76 | | | | 51 | | | | 160,896 | | |
| Receivable for security lending income | | | 104 | | | | 192 | | | | 2,210 | | | | — | | | | — | | | | 94 | | |
| Receivable for investments sold | | | 4,863 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Receivable from Advisor | | | 41 | | | | — | | | | — | | | | 5,619 | | | | 5,487 | | | | — | | |
Unrealized appreciation on non-
exchange traded swap agreements | | | — | | | | 4,217 | | | | 146,142,591 | | | | — | | | | 56,204 | | | | 48,645 | | |
| Prepaid expenses | | | 1,609 | | | | 4,593 | | | | 7,288 | | | | 1,547 | | | | 1,493 | | | | 2,523 | | |
| Total Assets | | | 21,343,585 | | | | 432,752,473 | | | | 673,096,979 | | | | 22,526,996 | | | | 5,155,223 | | | | 129,356,754 | | |
| LIABILITIES: | |
| Cash overdraft | | | — | | | | 142 | | | | — | | | | — | | | | 14 | | | | — | | |
| Payable for investments purchased | | | — | | | | 4,510,733 | | | | — | | | | — | | | | — | | | | 22,620 | | |
Payable for cash collateral received
from securities loaned | | | 26,435 | | | | — | | | | 687,211 | | | | — | | | | — | | | | 51,462 | | |
| Advisory fees payable | | | — | | | | 238,820 | | | | 398,195 | | | | — | | | | — | | | | 70,245 | | |
| Management Services fees payable | | | — | | | | 32,294 | | | | 53,635 | | | | — | | | | — | | | | 10,163 | | |
| Custodian fees payable | | | 2,304 | | | | 5,245 | | | | 11,671 | | | | 138 | | | | 46 | | | | 2,640 | | |
| Administration fees payable | | | 12,609 | | | | 27,818 | | | | 33,052 | | | | 6,117 | | | | 6,502 | | | | 19,329 | | |
| Trustee fees payable | | | 153 | | | | 2,703 | | | | 5,133 | | | | 85 | | | | 31 | | | | 897 | | |
| Compliance services fees payable | | | 167 | | | | 2,630 | | | | 4,888 | | | | 104 | | | | 29 | | | | 914 | | |
| Listing, Data and related fees payable | | | 11,376 | | | | 176,049 | | | | 331,921 | | | | 4,736 | | | | 565 | | | | 56,682 | | |
| Professional fees payable | | | 20,566 | | | | 22,824 | | | | 30,573 | | | | 29,767 | | | | 30,143 | | | | 22,924 | | |
Payable for variation margin on
futures contracts | | | — | | | | 205,699 | | | | — | | | | — | | | | — | | | | — | | |
Unrealized depreciation on non-
exchange traded swap agreements | | | 7,394,757 | | | | 41,924,521 | | | | — | | | | 12,060,166 | | | | 1,147,564 | | | | 11,252,729 | | |
| Other liabilities | | | 1,473 | | | | 10,897 | | | | 18,023 | | | | 1,807 | | | | 879 | | | | 3,494 | | |
| Total Liabilities | | | 7,469,840 | | | | 47,160,375 | | | | 1,574,302 | | | | 12,102,920 | | | | 1,185,773 | | | | 11,514,099 | | |
| NET ASSETS | | $ | 13,873,745 | | | $ | 385,592,098 | | | $ | 671,522,677 | | | $ | 10,424,076 | | | $ | 3,969,450 | | | $ | 117,842,655 | | |
| NET ASSETS CONSIST OF: | |
| Paid in Capital | | $ | 21,833,489 | | | $ | 356,619,465 | | | $ | 582,667,908 | | | $ | 26,838,776 | | | $ | 4,025,460 | | | $ | 131,543,005 | | |
| Distributable earnings (loss) | | | (7,959,744 | ) | | | 28,972,633 | | | | 88,854,769 | | | | (16,414,700 | ) | | | (56,010 | ) | | | (13,700,350 | ) | |
| NET ASSETS | | $ | 13,873,745 | | | $ | 385,592,098 | | | $ | 671,522,677 | | | $ | 10,424,076 | | | $ | 3,969,450 | | | $ | 117,842,655 | | |
Shares (unlimited number of shares
authorized, no par value) | | | 475,000 | | | | 5,900,000 | | | | 12,457,750 | | | | 350,000 | | | | 75,000 | | | | 1,275,000 | | |
| Net Asset Value | | $ | 29.21 | | | $ | 65.35 | | | $ | 53.90 | | | $ | 29.78 | | | $ | 52.93 | | | $ | 92.43 | | |
| (a) Includes securities on loan valued at: | | $ | 116,228 | | | $ | 1,130,296 | | | $ | 4,056,340 | | | $ | — | | | $ | — | | | $ | 906,626 | | |
See accompanying notes to the financial statements.
178 :: MAY 31, 2022 :: STATEMENTS OF ASSETS AND LIABILITIES PROSHARES TRUST
| | | Ultra
High Yield | | Ultra
Industrials | | Ultra
MidCap400 | | Ultra MSCI
Brazil Capped | | Ultra MSCI
EAFE | | Ultra MSCI
Emerging
Markets | |
| ASSETS: | |
Securities and Repurchase
Agreements, at cost | | $ | 4,957,679 | | | $ | 22,840,799 | | | $ | 147,523,304 | | | $ | 5,752,142 | | | $ | 5,476,481 | | | $ | 17,573,951 | | |
| Securities, at value(a) | | | — | | | | 15,511,359 | | | | 112,563,184 | | | | — | | | | — | | | | — | | |
| Repurchase Agreements, at value | | | 4,957,679 | | | | 3,162,129 | | | | 37,348,285 | | | | 5,752,142 | | | | 5,476,481 | | | | 17,573,951 | | |
| Cash | | | — | | | | 51 | | | | 150,883 | | | | 34 | | | | — | | | | 568,678 | | |
Segregated cash balances with
brokers for futures contracts | | | — | | | | — | | | | 1,215,000 | | | | — | | | | — | | | | — | | |
Segregated cash balances with
custodian for swap agreements | | | 4,391,000 | | | | 3,034,742 | | | | 388,592 | | | | 6,094,394 | | | | 6,645,005 | | | | 28,431,169 | | |
| Dividends and interest receivable | | | 93 | | | | 32,829 | | | | 107,977 | | | | 108 | | | | 103 | | | | 329 | | |
| Receivable for security lending income | | | — | | | | 37 | | | | 387 | | | | — | | | | — | | | | — | | |
| Receivable for capital shares issued | | | 15,171,943 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Receivable from Advisor | | | — | | | | — | | | | — | | | | 5,797 | | | | 7,013 | | | | — | | |
Unrealized appreciation on non-
exchange traded swap agreements | | | — | | | | — | | | | — | | | | 19,592 | | | | — | | | | — | | |
| Prepaid expenses | | | 40,304 | | | | 1,625 | | | | 5,296 | | | | 1,891 | | | | 2,111 | | | | 5,278 | | |
| Total Assets | | | 24,561,019 | | | | 21,742,772 | | | | 151,779,604 | | | | 11,873,958 | | | | 12,130,713 | | | | 46,579,405 | | |
| LIABILITIES: | |
| Cash overdraft | | | 18 | | | | — | | | | — | | | | — | | | | 16 | | | | — | | |
| Payable for investments purchased | | | — | | | | — | | | | 2,066,821 | | | | — | | | | — | | | | — | | |
| Payable for capital shares redeemed | | | 1,685,771 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
Payable for cash collateral received
from securities loaned | | | — | | | | 20,871 | | | | 246,710 | | | | — | | | | — | | | | — | | |
| Advisory fees payable | | | 50,840 | | | | 12,308 | | | | 67,294 | | | | — | | | | — | | | | 8,338 | | |
| Management Services fees payable | | | — | | | | 1,392 | | | | 9,994 | | | | — | | | | — | | | | 2,187 | | |
| Custodian fees payable | | | 89 | | | | 1,808 | | | | 14,441 | | | | 117 | | | | 94 | | | | 368 | | |
| Administration fees payable | | | — | | | | 12,763 | | | | 18,661 | | | | 6,502 | | | | 6,502 | | | | 5,611 | | |
| Trustee fees payable | | | 93 | | | | 150 | | | | 948 | | | | 49 | | | | 69 | | | | 268 | | |
| Compliance services fees payable | | | 127 | | | | 165 | | | | 935 | | | | 40 | | | | 73 | | | | 312 | | |
| Listing, Data and related fees payable | | | 2,583 | | | | 11,266 | | | | — | | | | — | | | | — | | | | — | | |
| Professional fees payable | | | 22,613 | | | | 20,327 | | | | 19,563 | | | | 30,353 | | | | 30,375 | | | | 28,994 | | |
Payable for variation margin on
futures contracts | | | — | | | | — | | | | 11,410 | | | | — | | | | — | | | | — | | |
Unrealized depreciation on non-
exchange traded swap agreements | | | 2,571,284 | | | | 4,966,409 | | | | 26,402,875 | | | | 2,292,805 | | | | 3,028,732 | | | | 19,799,735 | | |
| Other liabilities | | | 1,015 | | | | 1,511 | | | | 5,620 | | | | 1,579 | | | | 1,091 | | | | 2,907 | | |
| Total Liabilities | | | 4,334,433 | | | | 5,048,970 | | | | 28,865,272 | | | | 2,331,445 | | | | 3,066,952 | | | | 19,848,720 | | |
| NET ASSETS | | $ | 20,226,586 | | | $ | 16,693,802 | | | $ | 122,914,332 | | | $ | 9,542,513 | | | $ | 9,063,761 | | | $ | 26,730,685 | | |
| NET ASSETS CONSIST OF: | |
| Paid in Capital | | $ | 21,402,741 | | | $ | 24,995,937 | | | $ | 243,867,568 | | | $ | 22,218,458 | | | $ | 15,473,430 | | | $ | 47,852,750 | | |
| Distributable earnings (loss) | | | (1,176,155 | ) | | | (8,302,135 | ) | | | (120,953,236 | ) | | | (12,675,945 | ) | | | (6,409,669 | ) | | | (21,122,065 | ) | |
| NET ASSETS | | $ | 20,226,586 | | | $ | 16,693,802 | | | $ | 122,914,332 | | | $ | 9,542,513 | | | $ | 9,063,761 | | | $ | 26,730,685 | | |
Shares (unlimited number of shares
authorized, no par value) | | | 300,000 | | | | 700,000 | | | | 2,275,000 | | | | 291,557 | | | | 225,000 | | | | 425,000 | | |
| Net Asset Value | | $ | 67.42 | | | $ | 23.85 | | | $ | 54.03 | | | $ | 32.73 | | | $ | 40.28 | | | $ | 62.90 | | |
| (a) Includes securities on loan valued at: | | $ | — | | | $ | 60,891 | | | $ | 1,025,179 | | | $ | — | | | $ | — | | | $ | — | | |
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF ASSETS AND LIABILITIES :: MAY 31, 2022 :: 179
| | | Ultra MSCI
Japan | | Ultra Nasdaq
Biotechnology | | Ultra
Nasdaq Cloud
Computing | | Ultra Nasdaq
Cybersecurity | | Ultra Oil & Gas | | Ultra QQQ | |
| ASSETS: | |
Securities and Repurchase
Agreements, at cost | | $ | 4,431,276 | | | $ | 129,533,168 | | | $ | 2,348,070 | | | $ | 996,853 | | | $ | 71,431,750 | | | $ | 4,823,162,532 | | |
| Securities, at value(a) | | | 2,851,199 | | | | 83,016,887 | | | | 1,577,019 | | | | 210,848 | | | | 104,773,909 | | | | 4,050,210,242 | | |
| Repurchase Agreements, at value | | | 1,081,705 | | | | 8,683,464 | | | | 312,760 | | | | 752,261 | | | | 694,298 | | | | 224,175,700 | | |
| Cash | | | — | | | | 818,408 | | | | 366 | | | | — | | | | — | | | | 11,831 | | |
Segregated cash balances with
brokers for futures contracts | | | — | | | | — | | | | — | | | | — | | | | — | | | | 26,018,300 | | |
Segregated cash balances with
custodian for swap agreements | | | 4,124,771 | | | | 55,945,327 | | | | 1,170,442 | | | | 2,880,000 | | | | 1,341,314 | | | | 201,027,671 | | |
| Dividends and interest receivable | | | 20 | | | | 82,044 | | | | 2,003 | | | | 14 | | | | 745,414 | | | | 2,866,906 | | |
| Receivable for security lending income | | | — | | | | 6,915 | | | | — | | | | — | | | | 100 | | | | 56,314 | | |
| Receivable for investments sold | | | — | | | | — | | | | — | | | | — | | | | 24,388,626 | | | | — | | |
| Due from counterparty | | | — | | | | — | | | | — | | | | — | | | | 113,495 | | | | — | | |
| Receivable for capital shares issued | | | — | | | | — | | | | — | | | | — | | | | — | | | | 84,144,359 | | |
| Receivable from Advisor | | | 28,371 | | | | — | | | | 13,876 | | | | — | | | | — | | | | — | | |
| Reclaims receivable | | | — | | | | 13,218 | | | | — | | | | — | | | | — | | | | — | | |
Unrealized appreciation on non-
exchange traded swap agreements | | | — | | | | — | | | | — | | | | — | | | | 98,237,569 | | | | 88,656,556 | | |
| Prepaid expenses | | | 2,018 | | | | 921 | | | | 23 | | | | 2,830 | | | | 3,017 | | | | 44,319 | | |
| Total Assets | | | 8,088,084 | | | | 148,567,184 | | | | 3,076,489 | | | | 3,845,953 | | | | 230,297,742 | | | | 4,677,212,198 | | |
| LIABILITIES: | |
| Cash overdraft | | | 13 | | | | — | | | | — | | | | 18 | | | | 20 | | | | — | | |
| Payable for capital shares redeemed | | | — | | | | — | | | | — | | | | — | | | | 11,072,879 | | | | — | | |
Payable for cash collateral received
from securities loaned | | | — | | | | 2,366,248 | | | | — | | | | — | | | | 242,444 | | | | 13,789,342 | | |
| Advisory fees payable | | | — | | | | 33,952 | | | | — | | | | 5,331 | | | | 123,633 | | | | 2,070,060 | | |
| Management Services fees payable | | | — | | | | 7,869 | | | | — | | | | — | | | | 17,476 | | | | 294,483 | | |
| Custodian fees payable | | | 66 | | | | 13,131 | | | | 916 | | | | 40 | | | | 3,093 | | | | 57,204 | | |
| Administration fees payable | | | 31,016 | | | | 17,689 | | | | 14,603 | | | | — | | | | 22,599 | | | | 63,428 | | |
| Trustee fees payable | | | 51 | | | | 828 | | | | 18 | | | | 25 | | | | 1,386 | | | | 30,683 | | |
| Compliance services fees payable | | | 46 | | | | 1,192 | | | | 15 | | | | 23 | | | | 1,164 | | | | 29,499 | | |
| Listing, Data and related fees payable | | | — | | | | 19,367 | | | | 2,148 | | | | 2,462 | | | | 82,147 | | | | 667,219 | | |
| Professional fees payable | | | 19,812 | | | | 23,657 | | | | 17,197 | | | | 17,203 | | | | 23,408 | | | | 45,387 | | |
Payable for variation margin on
futures contracts | | | — | | | | — | | | | — | | | | — | | | | — | | | | 953,745 | | |
Unrealized depreciation on non-
exchange traded swap agreements | | | 2,275,777 | | | | 52,388,108 | | | | 1,210,948 | | | | 1,487,155 | | | | — | | | | 979,808,973 | | |
| Other liabilities | | | 1,502 | | | | 10,050 | | | | 676 | | | | 547 | | | | 6,162 | | | | 78,042 | | |
| Total Liabilities | | | 2,328,283 | | | | 54,882,091 | | | | 1,246,521 | | | | 1,512,804 | | | | 11,596,411 | | | | 997,888,065 | | |
| NET ASSETS | | $ | 5,759,801 | | | $ | 93,685,093 | | | $ | 1,829,968 | | | $ | 2,333,149 | | | $ | 218,701,331 | | | $ | 3,679,324,133 | | |
| NET ASSETS CONSIST OF: | |
| Paid in Capital | | $ | 7,767,177 | | | $ | 271,214,403 | | | $ | 3,798,372 | | | $ | 3,535,397 | | | $ | 88,501,486 | | | $ | 4,687,411,885 | | |
| Distributable earnings (loss) | | | (2,007,376 | ) | | | (177,529,310 | ) | | | (1,968,404 | ) | | | (1,202,248 | ) | | | 130,199,845 | | | | (1,008,087,752 | ) | |
| NET ASSETS | | $ | 5,759,801 | | | $ | 93,685,093 | | | $ | 1,829,968 | | | $ | 2,333,149 | | | $ | 218,701,331 | | | $ | 3,679,324,133 | | |
Shares (unlimited number of shares
authorized, no par value) | | | 175,000 | | | | 1,950,000 | | | | 100,001 | | | | 75,001 | | | | 5,002,944 | | | | 72,600,000 | | |
| Net Asset Value | | $ | 32.91 | | | $ | 48.04 | | | $ | 18.30 | | | $ | 31.11 | | | $ | 43.71 | | | $ | 50.68 | | |
| (a) Includes securities on loan valued at: | | $ | — | | | $ | 3,413,879 | | | $ | — | | | $ | — | | | $ | 1,517,994 | | | $ | 18,465,573 | | |
See accompanying notes to the financial statements.
180 :: MAY 31, 2022 :: STATEMENTS OF ASSETS AND LIABILITIES PROSHARES TRUST
| | | Ultra
Real Estate | | Ultra
Russell2000 | | Ultra S&P500® | | Ultra
Semiconductors | | Ultra
SmallCap600 | | Ultra
Technology | |
| ASSETS: | |
Securities and Repurchase
Agreements, at cost | | $ | 115,357,437 | | | $ | 248,563,884 | | | $ | 4,387,419,860 | | | $ | 252,747,139 | | | $ | 39,408,583 | | | $ | 732,601,701 | | |
| Securities, at value(a) | | | 92,778,392 | | | | 132,558,141 | | | | 3,705,681,277 | | | | 164,754,104 | | | | 30,000,861 | | | | 479,530,772 | | |
| Repurchase Agreements, at value | | | 15,273,632 | | | | 66,531,831 | | | | 219,203,627 | | | | 73,963,623 | | | | 6,447,256 | | | | 167,884,223 | | |
| Cash | | | 1,312,019 | | | | 1,412,839 | | | | 5,218,946 | | | | 9,669,682 | | | | — | | | | 9,224,803 | | |
Segregated cash balances with
brokers for futures contracts | | | — | | | | 980,100 | | | | 28,112,000 | | | | — | | | | — | | | | — | | |
Segregated cash balances with
custodian for swap agreements | | | 6,583,328 | | | | 35,683,362 | | | | 14,528,097 | | | | 50,493,562 | | | | 1,097,309 | | | | 108,388,402 | | |
| Dividends and interest receivable | | | 44,239 | | | | 122,465 | | | | 4,597,384 | | | | 205,815 | | | | 25,271 | | | | 427,498 | | |
| Receivable for security lending income | | | 190 | | | | 7,895 | | | | 1,071 | | | | 42 | | | | 171 | | | | 409 | | |
| Receivable for investments sold | | | — | | | | 7,521,562 | | | | — | | | | — | | | | 156,617 | | | | — | | |
| Receivable for capital shares issued | | | — | | | | 13,031,712 | | | | 27,178,588 | | | | — | | | | — | | | | — | | |
| Receivable from Advisor | | | — | | | | 43,392 | | | | — | | | | — | | | | 6,312 | | | | — | | |
Receivable for variation margin on
futures contracts | | | — | | | | — | | | | 4,140,666 | | | | — | | | | — | | | | — | | |
Unrealized appreciation on non-
exchange traded swap agreements | | | 38,372 | | | | 28,364 | | | | 11,769,844 | | | | 19,263,270 | | | | — | | | | 6,066,882 | | |
| Prepaid expenses | | | 2,361 | | | | 3,177 | | | | 40,022 | | | | 3,999 | | | | 3,374 | | | | 7,841 | | |
| Total Assets | | | 116,032,533 | | | | 257,924,840 | | | | 4,020,471,522 | | | | 318,354,097 | | | | 37,737,171 | | | | 771,530,830 | | |
| LIABILITIES: | |
| Cash overdraft | | | — | | | | — | | | | — | | | | — | | | | 27 | | | | — | | |
| Payable for investments purchased | | | — | | | | 178,350 | | | | 70,459,267 | | | | — | | | | — | | | | 77,296 | | |
| Payable for capital shares redeemed | | | — | | | | 7,610,364 | | | | — | | | | — | | | | — | | | | — | | |
Payable for cash collateral received
from securities loaned | | | 98,319 | | | | 3,360,840 | | | | 1,589,475 | | | | 227,427 | | | | 226,827 | | | | 569,684 | | |
| Advisory fees payable | | | 54,722 | | | | — | | | | 2,086,943 | | | | 135,944 | | | | — | | | | 293,931 | | |
| Management Services fees payable | | | 8,544 | | | | — | | | | 278,257 | | | | 19,859 | | | | — | | | | 45,605 | | |
| Custodian fees payable | | | 1,880 | | | | 180,542 | | | | 175,981 | | | | 5,598 | | | | 14,079 | | | | 31,492 | | |
| Administration fees payable | | | 18,333 | | | | 18,354 | | | | 60,547 | | | | 23,402 | | | | 12,975 | | | | 31,199 | | |
| Trustee fees payable | | | 767 | | | | 1,387 | | | | 26,380 | | | | 2,235 | | | | 244 | | | | 5,308 | | |
| Compliance services fees payable | | | 726 | | | | 2,012 | | | | 24,902 | | | | 1,951 | | | | 237 | | | | 5,281 | | |
| Listing, Data and related fees payable | | | 47,091 | | | | 27,615 | | | | — | | | | 128,451 | | | | — | | | | 340,704 | | |
| Professional fees payable | | | 22,956 | | | | 21,704 | | | | 42,932 | | | | 18,817 | | | | 17,761 | | | | 24,690 | | |
Payable for variation margin on
futures contracts | | | — | | | | 193,581 | | | | — | | | | — | | | | — | | | | — | | |
Unrealized depreciation on non-
exchange traded swap agreements | | | 13,461,168 | | | | 64,550,391 | | | | 521,469,245 | | | | 70,200,317 | | | | 4,528,332 | | | | 230,712,810 | | |
| Other liabilities | | | 4,588 | | | | 9,601 | | | | 58,279 | | | | 10,440 | | | | 1,668 | | | | 13,203 | | |
| Total Liabilities | | | 13,719,094 | | | | 76,154,741 | | | | 596,272,208 | | | | 70,774,441 | | | | 4,802,150 | | | | 232,151,203 | | |
| NET ASSETS | | $ | 102,313,439 | | | $ | 181,770,099 | | | $ | 3,424,199,314 | | | $ | 247,579,656 | | | $ | 32,935,021 | | | $ | 539,379,627 | | |
| NET ASSETS CONSIST OF: | |
| Paid in Capital | | $ | 104,340,522 | | | $ | 341,296,234 | | | $ | 3,356,805,893 | | | $ | 287,862,975 | | | $ | 35,454,221 | | | $ | 497,065,662 | | |
| Distributable earnings (loss) | | | (2,027,083 | ) | | | (159,526,135 | ) | | | 67,393,421 | | | | (40,283,319 | ) | | | (2,519,200 | ) | | | 42,313,965 | | |
| NET ASSETS | | $ | 102,313,439 | | | $ | 181,770,099 | | | $ | 3,424,199,314 | | | $ | 247,579,656 | | | $ | 32,935,021 | | | $ | 539,379,627 | | |
Shares (unlimited number of shares
authorized, no par value) | | | 1,233,744 | | | | 4,900,000 | | | | 63,550,000 | | | | 8,750,000 | | | | 1,325,000 | | | | 15,425,000 | | |
| Net Asset Value | | $ | 82.93 | | | $ | 37.10 | | | $ | 53.88 | | | $ | 28.29 | | | $ | 24.86 | | | $ | 34.97 | | |
| (a) Includes securities on loan valued at: | | $ | 1,316,000 | | | $ | 5,200,000 | | | $ | 31,941,272 | | | $ | 538,881 | | | $ | 1,199,319 | | | $ | 1,823,266 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF ASSETS AND LIABILITIES :: MAY 31, 2022 :: 181
| | | Ultra
Telecommunications | | Ultra Utilities | | UltraPro
Dow30SM | | UltraPro
MidCap400 | | UltraPro QQQ | | UltraPro
Russell2000 | |
| ASSETS: | |
Securities and Repurchase
Agreements, at cost | | $ | 2,072,988 | | | $ | 20,751,300 | | | $ | 806,793,901 | | | $ | 39,456,430 | | | $ | 19,947,223,330 | | | $ | 324,689,890 | | |
| Securities, at value(a) | | | 1,757,901 | | | | 18,128,301 | | | | 571,431,304 | | | | 25,244,747 | | | | 15,882,548,859 | | | | 217,932,040 | | |
| Repurchase Agreements, at value | | | 357,543 | | | | 3,924,461 | | | | 150,844,557 | | | | 11,048,363 | | | | 1,925,468,443 | | | | 50,204,239 | | |
| Cash | | | 58 | | | | — | | | | — | | | | 370,149 | | | | 560,804,966 | | | | 4,737,087 | | |
Segregated cash balances with
brokers for futures contracts | | | — | | | | — | | | | 4,922,775 | | | | 216,000 | | | | 158,411,550 | | | | 2,413,950 | | |
Segregated cash balances with
custodian for swap agreements | | | 286,838 | | | | 228,048 | | | | 21,868,300 | | | | 7,050,845 | | | | 1,883,905,391 | | | | 160,901,389 | | |
| Dividends and interest receivable | | | 1,788 | | | | 79,822 | | | | 1,614,916 | | | | 25,284 | | | | 10,214,342 | | | | 185,655 | | |
Receivable for security lending
income | | | 5 | | | | 8 | | | | — | | | | 30 | | | | 212,742 | | | | 10,944 | | |
| Receivable for investments sold | | | — | | | | — | | | | 6,101,913 | | | | — | | | | 109,008,061 | | | | 2,764,897 | | |
| Due from counterparty | | | — | | | | 4,427 | | | | — | | | | — | | | | — | | | | — | | |
| Receivable for capital shares issued | | | — | | | | — | | | | 3,060,757 | | | | — | | | | 10,001,853 | | | | — | | |
| Receivable from Advisor | | | 9,073 | | | | — | | | | — | | | | — | | | | — | | | | 113,228 | | |
| Reclaims receivable | | | — | | | | — | | | | — | | | | — | | | | — | | | | 371 | | |
Receivable for variation margin on
futures contracts | | | — | | | | — | | | | 1,065,442 | | | | 29,527 | | | | 23,963,016 | | | | — | | |
Unrealized appreciation on non-
exchange traded swap agreements | | | 592 | | | | 1,571,165 | | | | 52,835,461 | | | | — | | | | 142,830,209 | | | | 4,258,976 | | |
| Prepaid expenses | | | 1,478 | | | | 1,635 | | | | 7,586 | | | | 3,504 | | | | 147,204 | | | | 3,756 | | |
| Total Assets | | | 2,415,276 | | | | 23,937,867 | | | | 813,753,011 | | | | 43,988,449 | | | | 20,707,516,636 | | | | 443,526,532 | | |
| LIABILITIES: | |
| Cash overdraft | | | — | | | | 15 | | | | 984 | | | | — | | | | — | | | | — | | |
| Payable for investments purchased | | | — | | | | — | | | | 20,056,722 | | | | 35,810 | | | | 510,918,031 | | | | 20,260,292 | | |
| Payable for capital shares redeemed | | | — | | | | — | | | | 6,180,976 | | | | — | | | | 110,870,811 | | | | 2,722,880 | | |
Payable for cash collateral received
from securities loaned | | | 53,017 | | | | — | | | | — | | | | 9,835 | | | | 43,716,530 | | | | 4,869,345 | | |
| Advisory fees payable | | | — | | | | 12,423 | | | | 423,474 | | | | 3,911 | | | | 7,117,536 | | | | — | | |
| Management Services fees payable | | | — | | | | 1,922 | | | | 57,501 | | | | 2,546 | | | | 1,101,065 | | | | — | | |
| Custodian fees payable | | | 102 | | | | 418 | | | | 13,594 | | | | 16,615 | | | | 210,157 | | | | 226,941 | | |
| Administration fees payable | | | 12,610 | | | | 12,610 | | | | 33,689 | | | | 12,343 | | | | 147,216 | | | | 23,677 | | |
| Trustee fees payable | | | 15 | | | | 128 | | | | 5,044 | | | | 277 | | | | 107,035 | | | | 2,149 | | |
| Compliance services fees payable | | | 14 | | | | 125 | | | | 5,120 | | | | 284 | | | | 90,661 | | | | 2,097 | | |
Listing, Data and related fees
payable | | | 950 | | | | 7,540 | | | | 329,179 | | | | — | | | | 2,398,840 | | | | 40,710 | | |
| Professional fees payable | | | 20,562 | | | | 20,671 | | | | 22,798 | | | | 19,051 | | | | 98,211 | | | | 19,962 | | |
Payable for variation margin on
futures contracts | | | — | | | | — | | | | — | | | | — | | | | — | | | | 239,153 | | |
Unrealized depreciation on non-
exchange traded swap
agreements | | | 361,714 | | | | — | | | | 94,880,927 | | | | 14,087,373 | | | | 6,332,676,163 | | | | 155,666,522 | | |
| Other liabilities | | | 1,210 | | | | 1,862 | | | | 19,518 | | | | 1,794 | | | | 885,323 | | | | 13,561 | | |
| Total Liabilities | | | 450,194 | | | | 57,714 | | | | 122,029,526 | | | | 14,189,839 | | | | 7,010,337,579 | | | | 184,087,289 | | |
| NET ASSETS | | $ | 1,965,082 | | | $ | 23,880,153 | | | $ | 691,723,485 | | | $ | 29,798,610 | | | $ | 13,697,179,057 | | | $ | 259,439,243 | | |
| NET ASSETS CONSIST OF: | |
| Paid in Capital | | $ | 2,855,616 | | | $ | 22,236,654 | | | $ | 625,980,781 | | | $ | 22,312,319 | | | $ | 19,872,065,508 | | | $ | 388,419,924 | | |
| Distributable earnings (loss) | | | (890,534 | ) | | | 1,643,499 | | | | 65,742,704 | | | | 7,486,291 | | | | (6,174,886,451 | ) | | | (128,980,681 | ) | |
| NET ASSETS | | $ | 1,965,082 | | | $ | 23,880,153 | | | $ | 691,723,485 | | | $ | 29,798,610 | | | $ | 13,697,179,057 | | | $ | 259,439,243 | | |
Shares (unlimited number of shares
authorized, no par value) | | | 50,000 | | | | 300,000 | | | | 11,300,000 | | | | 1,325,000 | | | | 414,750,000 | | | | 4,950,000 | | |
| Net Asset Value | | $ | 39.30 | | | $ | 79.60 | | | $ | 61.21 | | | $ | 22.49 | | | $ | 33.03 | | | $ | 52.41 | | |
| (a) Includes securities on loan valued at: | | $ | 50,766 | | | $ | 82,234 | | | $ | 799,032 | | | $ | 70,921 | | | $ | 63,192,536 | | | $ | 7,750,898 | | |
See accompanying notes to the financial statements.
182 :: MAY 31, 2022 :: STATEMENTS OF ASSETS AND LIABILITIES PROSHARES TRUST
| | | UltraPro
S&P500® | | UltraPro Short
20+ Year
Treasury | | UltraPro Short
Dow30SM | | UltraPro Short
MidCap400 | | UltraPro
Short QQQ | | UltraPro Short
Russell2000 | |
| ASSETS: | |
Securities and Repurchase
Agreements, at cost | | $ | 3,204,896,312 | | | $ | 368,764,296 | | | $ | 298,673,324 | | | $ | 4,589,378 | | | $ | 2,442,312,381 | | | $ | 131,521,442 | | |
| Securities, at value(a) | | | 2,856,552,660 | | | | 244,539,637 | | | | 230,515,470 | | | | — | | | | 2,236,805,649 | | | | 85,686,546 | | |
| Repurchase Agreements, at value | | | 80,239,486 | | | | 123,998,104 | | | | 68,056,851 | | | | 4,589,378 | | | | 203,539,959 | | | | 45,730,619 | | |
| Cash | | | 132,706,814 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
Segregated cash balances with
brokers for futures contracts | | | 19,689,600 | | | | 418,000 | | | | 546,975 | | | | 54,000 | | | | 971,850 | | | | 326,700 | | |
Segregated cash balances with
custodian for swap agreements | | | 339,416,890 | | | | 26,506,000 | | | | 9,487,000 | | | | 2,395,650 | | | | 45,106,000 | | | | 24,978,001 | | |
| Dividends and interest receivable | | | 3,057,753 | | | | 2,325 | | | | 1,276 | | | | 86 | | | | 3,816 | | | | 857 | | |
| Receivable for security lending income | | | 358 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Receivable for investments sold | | | 4,694,362 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Receivable for capital shares issued | | | 51,532,130 | | | | 2,827,316 | | | | 6,170,897 | | | | — | | | | 383,677,325 | | | | 2,835,045 | | |
| Receivable from Advisor | | | — | | | | — | | | | — | | | | 414 | | | | — | | | | — | | |
Receivable for variation margin on
futures contracts | | | 3,129,178 | | | | 444,161 | | | | 36,467 | | | | 4,860 | | | | 23,755 | | | | 43,028 | | |
Unrealized appreciation on non-
exchange traded swap agreements | | | 16,062,194 | | | | 13,463,180 | | | | 46,298,068 | | | | 924,391 | | | | 212,786,459 | | | | 8,717,876 | | |
| Prepaid expenses | | | 29,990 | | | | 3,305 | | | | 4,105 | | | | 3,250 | | | | 32,401 | | | | 2,737 | | |
| Total Assets | | | 3,507,111,415 | | | | 412,202,028 | | | | 361,117,109 | | | | 7,972,029 | | | | 3,082,947,214 | | | | 168,321,409 | | |
| LIABILITIES: | |
| Cash overdraft | | | — | | | | 53 | | | | 648 | | | | 18 | | | | 2,120 | | | | 171 | | |
| Payable for investments purchased | | | 141,709,687 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Payable for capital shares redeemed | | | 4,640,403 | | | | — | | | | 1,521,133 | | | | — | | | | 4,696,457 | | | | 2,835,045 | | |
Payable for cash collateral received
from securities loaned | | | 278,159 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Advisory fees payable | | | 1,518,267 | | | | 266,958 | | | | 218,422 | | | | — | | | | 1,669,373 | | | | 102,672 | | |
| Management Services fees payable | | | 202,434 | | | | 33,735 | | | | 29,442 | | | | — | | | | 232,607 | | | | 15,511 | | |
| Custodian fees payable | | | 184,748 | | | | 2,440 | | | | 3,573 | | | | 265 | | | | 22,130 | | | | 2,097 | | |
| Administration fees payable | | | 51,525 | | | | 17,934 | | | | 17,721 | | | | 6,502 | | | | 44,535 | | | | 13,339 | | |
| Trustee fees payable | | | 19,529 | | | | 1,545 | | | | 2,192 | | | | 48 | | | | 14,399 | | | | 1,071 | | |
| Compliance services fees payable | | | 17,053 | | | | 1,110 | | | | 2,181 | | | | 35 | | | | 11,344 | | | | 836 | | |
| Listing, Data and related fees payable | | | — | | | | 12,632 | | | | 153,826 | | | | — | | | | 488,796 | | | | 30,118 | | |
| Professional fees payable | | | 34,241 | | | | 18,531 | | | | 20,365 | | | | 18,484 | | | | 30,114 | | | | 19,277 | | |
Unrealized depreciation on non-
exchange traded swap agreements | | | 785,296,763 | | | | 7,888,071 | | | | 7,545,590 | | | | 406,501 | | | | 250,857,622 | | | | 14,877,508 | | |
| Other liabilities | | | 85,472 | | | | 18,389 | | | | 14,141 | | | | 1,480 | | | | 66,599 | | | | 6,018 | | |
| Total Liabilities | | | 934,038,281 | | | | 8,261,398 | | | | 9,529,234 | | | | 433,333 | | | | 258,136,096 | | | | 17,903,663 | | |
| NET ASSETS | | $ | 2,573,073,134 | | | $ | 403,940,630 | | | $ | 351,587,875 | | | $ | 7,538,696 | | | $ | 2,824,811,118 | | | $ | 150,417,746 | | |
| NET ASSETS CONSIST OF: | |
| Paid in Capital | | $ | 2,723,361,216 | | | $ | 404,972,571 | | | $ | 1,891,806,615 | | | $ | 63,414,448 | | | $ | 7,389,433,928 | | | $ | 701,624,910 | | |
| Distributable earnings (loss) | | | (150,288,082 | ) | | | (1,031,941 | ) | | | (1,540,218,740 | ) | | | (55,875,752 | ) | | | (4,564,622,810 | ) | | | (551,207,164 | ) | |
| NET ASSETS | | $ | 2,573,073,134 | | | $ | 403,940,630 | | | $ | 351,587,875 | | | $ | 7,538,696 | | | $ | 2,824,811,118 | | | $ | 150,417,746 | | |
Shares (unlimited number of shares
authorized, no par value) | | | 55,450,000 | | | | 7,143,605 | | | | 11,342,280 | | | | 298,643 | | | | 59,600,547 | | | | 2,557,646 | | |
| Net Asset Value | | $ | 46.40 | | | $ | 56.55 | | | $ | 31.00 | | | $ | 25.24 | | | $ | 47.40 | | | $ | 58.81 | | |
| (a) Includes securities on loan valued at: | | $ | 449,507 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | |
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF ASSETS AND LIABILITIES :: MAY 31, 2022 :: 183
| | | UltraPro Short
S&P500® | | UltraShort
7-10 Year
Treasury | | UltraShort
20+ Year
Treasury | | UltraShort
Basic Materials | | UltraShort
Consumer
Goods | | UltraShort
Consumer
Services | |
| ASSETS: | |
Securities and Repurchase
Agreements, at cost | | $ | 561,972,769 | | | $ | 128,158,177 | | | $ | 1,356,179,817 | | | $ | 2,251,937 | | | $ | 2,007,935 | | | $ | 2,073,388 | | |
| Securities, at value | | | 479,246,464 | | | | 49,760,277 | | | | 1,243,374,577 | | | | — | | | | — | | | | — | | |
| Repurchase Agreements, at value | | | 82,174,813 | | | | 78,266,369 | | | | 111,695,574 | | | | 2,251,937 | | | | 2,007,935 | | | | 2,073,388 | | |
| Cash | | | 674,527 | | | | — | | | | — | | | | 24 | | | | 38 | | | | — | | |
Segregated cash balances with
brokers for futures contracts | | | 470,400 | | | | 26,180 | | | | 668,800 | | | | — | | | | — | | | | — | | |
Segregated cash balances with
custodian for swap agreements | | | 18,134,001 | | | | 6,373,766 | | | | 5,532 | | | | 844,160 | | | | 279,707 | | | | 159,007 | | |
| Dividends and interest receivable | | | 1,541 | | | | 1,467 | | | | 2,094 | | | | 42 | | | | 38 | | | | 39 | | |
| Receivable for capital shares issued | | | 48,677,798 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Receivable from Advisor | | | — | | | | — | | | | — | | | | 4,938 | | | | 7,179 | | | | 4,621 | | |
Receivable for variation margin on
futures contracts | | | 25,725 | | | | 10,504 | | | | 1,337,190 | | | | — | | | | — | | | | — | | |
Unrealized appreciation on non-
exchange traded swap agreements | | | 143,745,178 | | | | — | | | | 45,741,907 | | | | — | | | | 84,142 | | | | 1,039,622 | | |
| Prepaid expenses | | | 10,205 | | | | 2,244 | | | | 14,117 | | | | 1,478 | | | | 1,466 | | | | 1,479 | | |
| Total Assets | | | 773,160,652 | | | | 134,440,807 | | | | 1,402,839,791 | | | | 3,102,579 | | | | 2,380,505 | | | | 3,278,156 | | |
| LIABILITIES: | |
| Cash overdraft | | | — | | | | 63 | | | | 93 | | | | — | | | | — | | | | 50 | | |
| Payable for capital shares redeemed | | | — | | | | 8,768,554 | | | | — | | | | — | | | | — | | | | — | | |
| Advisory fees payable | | | 450,429 | | | | 78,150 | | | | 923,317 | | | | — | | | | — | | | | — | | |
| Management Services fees payable | | | 60,057 | | | | 10,843 | | | | 123,108 | | | | — | | | | — | | | | — | | |
| Custodian fees payable | | | 5,756 | | | | 1,301 | | | | 11,362 | | | | 33 | | | | 18 | | | | 53 | | |
| Administration fees payable | | | 23,924 | | | | 11,262 | | | | 33,109 | | | | 6,502 | | | | 6,502 | | | | 6,502 | | |
| Trustee fees payable | | | 3,529 | | | | 653 | | | | 8,307 | | | | 12 | | | | 5 | | | | 11 | | |
| Compliance services fees payable | | | 3,260 | | | | 458 | | | | 8,246 | | | | 13 | | | | 5 | | | | 8 | | |
| Listing, Data and related fees payable | | | — | | | | 4,847 | | | | 71,268 | | | | 796 | | | | 371 | | | | 610 | | |
| Professional fees payable | | | 21,614 | | | | 17,678 | | | | 25,541 | | | | 17,197 | | | | 20,548 | | | | 19,193 | | |
Unrealized depreciation on non-
exchange traded swap agreements | | | 51,839,080 | | | | 2,779,027 | | | | 11,388,734 | | | | 625,828 | | | | 39,592 | | | | 11,237 | | |
| Other liabilities | | | 38,166 | | | | 7,990 | | | | 33,067 | | | | 18,230 | | | | 1,160 | | | | 2,750 | | |
| Total Liabilities | | | 52,445,815 | | | | 11,680,826 | | | | 12,626,152 | | | | 668,611 | | | | 68,201 | | | | 40,414 | | |
| NET ASSETS | | $ | 720,714,837 | | | $ | 122,759,981 | | | $ | 1,390,213,639 | | | $ | 2,433,968 | | | $ | 2,312,304 | | | $ | 3,237,742 | | |
| NET ASSETS CONSIST OF: | |
| Paid in Capital | | $ | 4,720,950,935 | | | $ | 252,292,053 | | | $ | 6,391,141,332 | | | $ | 87,726,545 | | | $ | 11,544,481 | | | $ | 22,573,712 | | |
| Distributable earnings (loss) | | | (4,000,236,098 | ) | | | (129,532,072 | ) | | | (5,000,927,693 | ) | | | (85,292,577 | ) | | | (9,232,177 | ) | | | (19,335,970 | ) | |
| NET ASSETS | | $ | 720,714,837 | | | $ | 122,759,981 | | | $ | 1,390,213,639 | | | $ | 2,433,968 | | | $ | 2,312,304 | | | $ | 3,237,742 | | |
Shares (unlimited number of shares
authorized, no par value) | | | 44,297,347 | | | | 6,300,000 | | | | 54,106,929 | | | | 235,083 | | | | 165,568 | | | | 121,800 | | |
| Net Asset Value | | $ | 16.27 | | | $ | 19.49 | | | $ | 25.69 | | | $ | 10.35 | | | $ | 13.97 | | | $ | 26.58 | | |
See accompanying notes to the financial statements.
184 :: MAY 31, 2022 :: STATEMENTS OF ASSETS AND LIABILITIES PROSHARES TRUST
| | | UltraShort
Dow30SM | | UltraShort
Financials | | UltraShort
FTSE China 50 | | UltraShort
FTSE Europe | | UltraShort
Health Care | | UltraShort
Industrials | |
| ASSETS: | |
Securities and Repurchase
Agreements, at cost | | $ | 86,066,118 | | | $ | 10,914,793 | | | $ | 19,218,541 | | | $ | 39,136,139 | | | $ | 2,904,771 | | | $ | 2,010,597 | | |
| Securities, at value | | | 49,943,105 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Repurchase Agreements, at value | | | 36,120,384 | | | | 10,914,793 | | | | 19,218,541 | | | | 39,136,139 | | | | 2,904,771 | | | | 2,010,597 | | |
| Cash | | | — | | | | — | | | | — | | | | 7 | | | | — | | | | 18 | | |
Segregated cash balances with
brokers for futures contracts | | | 392,700 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
Segregated cash balances with
custodian for swap agreements | | | 21,451,890 | | | | 5,456,554 | | | | 12,566,039 | | | | 18,276,000 | | | | 513,092 | | | | 343,256 | | |
| Dividends and interest receivable | | | 677 | | | | 205 | | | | 360 | | | | 734 | | | | 54 | | | | 38 | | |
| Due from counterparty | | | — | | | | — | | | | — | | | | — | | | | 558 | | | | — | | |
| Receivable for capital shares issued | | | — | | | | — | | | | — | | | | 327,775 | | | | 322,525 | | | | — | | |
| Receivable from Advisor | | | — | | | | — | | | | — | | | | — | | | | 6,858 | | | | 5,783 | | |
Receivable for variation margin on
futures contracts | | | 39,270 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
Unrealized appreciation on non-
exchange traded swap agreements | | | 9,496,608 | | | | 1,379,102 | | | | 535,169 | | | | 1,553,737 | | | | 2,012 | | | | 494,761 | | |
| Prepaid expenses | | | 2,171 | | | | 1,552 | | | | 1,636 | | | | 1,672 | | | | 1,472 | | | | 1,486 | | |
| Total Assets | | | 117,446,805 | | | | 17,752,206 | | | | 32,321,745 | | | | 59,296,064 | | | | 3,751,342 | | | | 2,855,939 | | |
| LIABILITIES: | |
| Cash overdraft | | | 25 | | | | 24 | | | | 127 | | | | — | | | | 23 | | | | — | | |
| Advisory fees payable | | | 65,461 | | | | 3,493 | | | | 4,993 | | | | 19,900 | | | | — | | | | — | | |
| Management Services fees payable | | | 9,562 | | | | 1,390 | | | | 2,301 | | | | 4,497 | | | | — | | | | — | | |
| Custodian fees payable | | | 1,300 | | | | 141 | | | | 244 | | | | 303 | | | | 53 | | | | 48 | | |
| Administration fees payable | | | 10,497 | | | | 6,355 | | | | 6,095 | | | | 7,524 | | | | 6,502 | | | | 6,502 | | |
| Trustee fees payable | | | 630 | | | | 73 | | | | 135 | | | | 100 | | | | 13 | | | | 16 | | |
| Compliance services fees payable | | | 576 | | | | 73 | | | | 122 | | | | 81 | | | | 10 | | | | 13 | | |
| Listing, Data and related fees payable | | | 41,886 | | | | 5,380 | | | | 9,405 | | | | 3,439 | | | | 752 | | | | 821 | | |
| Professional fees payable | | | 18,631 | | | | 17,258 | | | | 27,738 | | | | 27,894 | | | | 20,553 | | | | 20,926 | | |
Unrealized depreciation on non-
exchange traded swap agreements | | | 8,283,305 | | | | 1,708,964 | | | | 7,839,280 | | | | 3,346,132 | | | | 328,197 | | | | — | | |
| Other liabilities | | | 17,248 | | | | 3,753 | | | | 2,406 | | | | 5,639 | | | | 948 | | | | 3,725 | | |
| Total Liabilities | | | 8,449,121 | | | | 1,746,904 | | | | 7,892,846 | | | | 3,415,509 | | | | 357,051 | | | | 32,051 | | |
| NET ASSETS | | $ | 108,997,684 | | | $ | 16,005,302 | | | $ | 24,428,899 | | | $ | 55,880,555 | | | $ | 3,394,291 | | | $ | 2,823,888 | | |
| NET ASSETS CONSIST OF: | |
| Paid in Capital | | $ | 836,567,514 | | | $ | 519,654,301 | | | $ | 277,322,596 | | | $ | 276,546,410 | | | $ | 14,986,187 | | | $ | 23,461,469 | | |
| Distributable earnings (loss) | | | (727,569,830 | ) | | | (503,648,999 | ) | | | (252,893,697 | ) | | | (220,665,855 | ) | | | (11,591,896 | ) | | | (20,637,581 | ) | |
| NET ASSETS | | $ | 108,997,684 | | | $ | 16,005,302 | | | $ | 24,428,899 | | | $ | 55,880,555 | | | $ | 3,394,291 | | | $ | 2,823,888 | | |
Shares (unlimited number of shares
authorized, no par value) | | | 2,359,786 | | | | 847,666 | | | | 651,947 | | | | 4,262,119 | | | | 255,430 | | | | 165,135 | | |
| Net Asset Value | | $ | 46.19 | | | $ | 18.88 | | | $ | 37.47 | | | $ | 13.11 | | | $ | 13.29 | | | $ | 17.10 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF ASSETS AND LIABILITIES :: MAY 31, 2022 :: 185
| | | UltraShort
MidCap400 | | UltraShort
MSCI Brazil
Capped | | UltraShort
MSCI EAFE | | UltraShort
MSCI Emerging
Markets | | UltraShort
MSCI Japan | | UltraShort
Nasdaq
Biotechnology | |
| ASSETS: | |
Securities and Repurchase
Agreements, at cost | | $ | 2,308,157 | | | $ | 10,280,163 | | | $ | 1,418,701 | | | $ | 8,738,608 | | | $ | 4,929,962 | | | $ | 3,628,839 | | |
| Securities, at value | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Repurchase Agreements, at value | | | 2,308,157 | | | | 10,280,163 | | | | 1,418,701 | | | | 8,738,608 | | | | 4,929,962 | | | | 3,628,839 | | |
| Cash | | | 17 | | | | — | | | | 14 | | | | — | | | | — | | | | 29 | | |
Segregated cash balances with
brokers for futures contracts | | | 27,000 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
Segregated cash balances with
custodian for swap agreements | | | 1,031,304 | | | | 11,086,000 | | | | 236,650 | | | | 3,075,000 | | | | 1,421,091 | | | | 1,629,000 | | |
| Dividends and interest receivable | | | 43 | | | | 193 | | | | 27 | | | | 164 | | | | 92 | | | | 68 | | |
| Receivable from Advisor | | | 3,836 | | | | 3,876 | | | | 9,651 | | | | 2,858 | | | | 6,647 | | | | 1,443 | | |
Receivable for variation margin on
futures contracts | | | 2,430 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
Unrealized appreciation on non-
exchange traded swap agreements | | | 228,025 | | | | 54,816 | | | | 101,182 | | | | 877,283 | | | | 319,564 | | | | 3,591,186 | | |
| Prepaid expenses | | | 4,262 | | | | 2,178 | | | | 1,516 | | | | 1,584 | | | | 1,577 | | | | 69 | | |
| Total Assets | | | 3,605,074 | | | | 21,427,226 | | | | 1,767,741 | | | | 12,695,497 | | | | 6,678,933 | | | | 8,850,634 | | |
| LIABILITIES: | |
| Cash overdraft | | | — | | | | 25 | | | | — | | | | 26 | | | | 15 | | | | — | | |
| Custodian fees payable | | | 160 | | | | 157 | | | | 33 | | | | 114 | | | | 44 | | | | 122 | | |
| Administration fees payable | | | 6,502 | | | | 6,781 | | | | 6,502 | | | | 6,502 | | | | 6,502 | | | | 6,527 | | |
| Trustee fees payable | | | 12 | | | | 84 | | | | 9 | | | | 49 | | | | 25 | | | | 60 | | |
| Compliance services fees payable | | | 11 | | | | 83 | | | | 8 | | | | 41 | | | | 24 | | | | 47 | | |
| Listing, Data and related fees payable | | | — | | | | — | | | | — | | | | — | | | | — | | | | 3,067 | | |
| Professional fees payable | | | 17,203 | | | | 30,996 | | | | 25,861 | | | | 26,787 | | | | 26,430 | | | | 20,588 | | |
Unrealized depreciation on non-
exchange traded swap agreements | | | 680,202 | | | | 7,892,372 | | | | 109,830 | | | | 1,531,738 | | | | 335,325 | | | | 395,047 | | |
| Other liabilities | | | 2,648 | | | | 2,133 | | | | 1,100 | | | | 2,035 | | | | 1,304 | | | | 1,357 | | |
| Total Liabilities | | | 706,738 | | | | 7,932,631 | | | | 143,343 | | | | 1,567,292 | | | | 369,669 | | | | 426,815 | | |
| NET ASSETS | | $ | 2,898,336 | | | $ | 13,494,595 | | | $ | 1,624,398 | | | $ | 11,128,205 | | | $ | 6,309,264 | | | $ | 8,423,819 | | |
| NET ASSETS CONSIST OF: | |
| Paid in Capital | | $ | 57,551,223 | | | $ | 107,270,299 | | | $ | 22,329,008 | | | $ | 177,557,961 | | | $ | 33,563,593 | | | $ | 79,813,818 | | |
| Distributable earnings (loss) | | | (54,652,887 | ) | | | (93,775,704 | ) | | | (20,704,610 | ) | | | (166,429,756 | ) | | | (27,254,329 | ) | | | (71,389,999 | ) | |
| NET ASSETS | | $ | 2,898,336 | | | $ | 13,494,595 | | | $ | 1,624,398 | | | $ | 11,128,205 | | | $ | 6,309,264 | | | $ | 8,423,819 | | |
Shares (unlimited number of shares
authorized, no par value) | | | 163,510 | | | | 658,667 | | | | 137,428 | | | | 538,771 | | | | 374,913 | | | | 296,096 | | |
| Net Asset Value | | $ | 17.73 | | | $ | 20.49 | | | $ | 11.82 | | | $ | 20.65 | | | $ | 16.83 | | | $ | 28.45 | | |
See accompanying notes to the financial statements.
186 :: MAY 31, 2022 :: STATEMENTS OF ASSETS AND LIABILITIES PROSHARES TRUST
| | | UltraShort
Oil & Gas | | UltraShort QQQ | | UltraShort
Real Estate | | UltraShort
Russell2000 | | UltraShort
S&P500® | | UltraShort
Semiconductors | |
| ASSETS: | |
Securities and Repurchase
Agreements, at cost | | $ | 26,446,572 | | | $ | 291,088,118 | | | $ | 21,057,903 | | | $ | 95,577,628 | | | $ | 604,879,057 | | | $ | 6,253,154 | | |
| Securities, at value | | | — | | | | 219,699,197 | | | | — | | | | 34,991,662 | | | | 522,077,108 | | | | — | | |
| Repurchase Agreements, at value | | | 26,446,572 | | | | 71,178,161 | | | | 21,057,903 | | | | 60,585,395 | | | | 82,376,178 | | | | 6,253,154 | | |
| Cash | | | 91 | | | | — | | | | 11 | | | | 282 | | | | 777 | | | | — | | |
Segregated cash balances with
brokers for futures contracts | | | — | | | | 528,550 | | | | — | | | | 290,400 | | | | 604,800 | | | | — | | |
Segregated cash balances with
custodian for swap agreements | | | 23,227,461 | | | | 21,349,136 | | | | 3,768,271 | | | | 10,811,588 | | | | 31,357,436 | | | | 1,404,078 | | |
| Dividends and interest receivable | | | 496 | | | | 1,335 | | | | 395 | | | | 1,136 | | | | 1,544 | | | | 117 | | |
| Due from broker | | | — | | | | — | | | | — | | | | 9,221,198 | | | | — | | | | — | | |
| Receivable for capital shares issued | | | 2,482,995 | | | | 16,773,301 | | | | — | | | | 836,734 | | | | 176,377,677 | | | | — | | |
| Receivable from Advisor | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,110 | | |
Receivable for variation margin on
futures contracts | | | — | | | | 19,375 | | | | — | | | | 57,363 | | | | 33,075 | | | | — | | |
Unrealized appreciation on non-
exchange traded swap agreements | | | — | | | | 69,445,856 | | | | 3,585,116 | | | | 13,780,504 | | | | 91,980,719 | | | | 304,193 | | |
| Prepaid expenses | | | 1,696 | | | | 3,641 | | | | 1,584 | | | | 2,171 | | | | 9,448 | | | | 1,492 | | |
| Total Assets | | | 52,159,311 | | | | 398,998,552 | | | | 28,413,280 | | | | 130,578,433 | | | | 904,818,762 | | | | 7,965,144 | | |
| LIABILITIES: | |
| Cash overdraft | | | — | | | | 256 | | | | — | | | | — | | | | — | | | | 87 | | |
| Payable for capital shares redeemed | | | — | | | | 13,383,311 | | | | — | | | | 816,467 | | | | — | | | | — | | |
| Advisory fees payable | | | 7,814 | | | | 221,045 | | | | 10,331 | | | | 61,366 | | | | 491,608 | | | | — | | |
| Management Services fees payable | | | 2,402 | | | | 32,636 | | | | 2,475 | | | | 9,980 | | | | 65,547 | | | | — | | |
| Custodian fees payable | | | 248 | | | | 3,391 | | | | 177 | | | | 1,475 | | | | 6,301 | | | | 57 | | |
| Administration fees payable | | | 6,508 | | | | 17,745 | | | | 6,546 | | | | 10,694 | | | | 25,413 | | | | 6,502 | | |
| Trustee fees payable | | | 99 | | | | 2,042 | | | | 100 | | | | 620 | | | | 4,052 | | | | 25 | | |
| Compliance services fees payable | | | 113 | | | | 1,513 | | | | 91 | | | | 506 | | | | 3,553 | | | | 19 | | |
| Listing, Data and related fees payable | | | 7,914 | | | | 63,959 | | | | 7,559 | | | | 18,514 | | | | — | | | | 1,459 | | |
| Professional fees payable | | | 20,657 | | | | 20,736 | | | | 21,012 | | | | 19,635 | | | | 22,228 | | | | 17,207 | | |
Unrealized depreciation on non-
exchange traded swap agreements | | | 21,415,236 | | | | 19,896,847 | | | | 436,024 | | | | 13,930,463 | | | | 4,283,064 | | | | 1,212,110 | | |
| Other liabilities | | | 21,833 | | | | 25,104 | | | | 9,324 | | | | 6,527 | | | | 58,020 | | | | 1,491 | | |
| Total Liabilities | | | 21,482,824 | | | | 33,668,585 | | | | 493,639 | | | | 14,876,247 | | | | 4,959,786 | | | | 1,238,957 | | |
| NET ASSETS | | $ | 30,676,487 | | | $ | 365,329,967 | | | $ | 27,919,641 | | | $ | 115,702,186 | | | $ | 899,858,976 | | | $ | 6,726,187 | | |
| NET ASSETS CONSIST OF: | |
| Paid in Capital | | $ | 155,447,427 | | | $ | 1,920,856,989 | | | $ | 271,917,587 | | | $ | 867,301,214 | | | $ | 6,096,528,579 | | | $ | 52,347,698 | | |
| Distributable earnings (loss) | | | (124,770,940 | ) | | | (1,555,527,022 | ) | | | (243,997,946 | ) | | | (751,599,028 | ) | | | (5,196,669,603 | ) | | | (45,621,511 | ) | |
| NET ASSETS | | $ | 30,676,487 | | | $ | 365,329,967 | | | $ | 27,919,641 | | | $ | 115,702,186 | | | $ | 899,858,976 | | | $ | 6,726,187 | | |
Shares (unlimited number of shares
authorized, no par value) | | | 1,853,254 | | | | 16,295,774 | | | | 1,847,077 | | | | 6,913,966 | | | | 20,806,249 | | | | 299,460 | | |
| Net Asset Value | | $ | 16.55 | | | $ | 22.42 | | | $ | 15.12 | | | $ | 16.73 | | | $ | 43.25 | | | $ | 22.46 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF ASSETS AND LIABILITIES :: MAY 31, 2022 :: 187
| | | UltraShort
SmallCap600 | | UltraShort
Technology | | UltraShort
Utilities | |
| ASSETS: | |
| Securities and Repurchase Agreements, at cost | | $ | 3,783,823 | | | $ | 5,112,978 | | | $ | 2,281,332 | | |
| Securities, at value | | | — | | | | — | | | | — | | |
| Repurchase Agreements, at value | | | 3,783,823 | | | | 5,112,978 | | | | 2,281,332 | | |
| Cash | | | — | | | | 9 | | | | — | | |
| Segregated cash balances with custodian for swap agreements | | | 1,320,382 | | | | 1,613,192 | | | | 508,683 | | |
| Dividends and interest receivable | | | 71 | | | | 96 | | | | 43 | | |
| Receivable from Advisor | | | 3,226 | | | | 458 | | | | 4,821 | | |
| Unrealized appreciation on non-exchange traded swap agreements | | | — | | | | 2,553,294 | | | | — | | |
| Prepaid expenses | | | 3,113 | | | | 1,507 | | | | 1,472 | | |
| Total Assets | | | 5,110,615 | | | | 9,281,534 | | | | 2,796,351 | | |
| LIABILITIES: | |
| Cash overdraft | | | 20 | | | | — | | | | 19 | | |
| Payable for capital shares redeemed | | | — | | | | 1,415,573 | | | | — | | |
| Custodian fees payable | | | 32 | | | | 124 | | | | 30 | | |
| Administration fees payable | | | 6,502 | | | | 6,502 | | | | 6,502 | | |
| Trustee fees payable | | | 20 | | | | 39 | | | | 8 | | |
| Compliance services fees payable | | | 18 | | | | 31 | | | | 11 | | |
| Listing, Data and related fees payable | | | — | | | | 2,548 | | | | 780 | | |
| Professional fees payable | | | 17,204 | | | | 19,221 | | | | 17,196 | | |
| Unrealized depreciation on non-exchange traded swap agreements | | | 446,065 | | | | 68,982 | | | | 368,029 | | |
| Other liabilities | | | 1,176 | | | | 5,029 | | | | 1,960 | | |
| Total Liabilities | | | 471,037 | | | | 1,518,049 | | | | 394,535 | | |
| NET ASSETS | | $ | 4,639,578 | | | $ | 7,763,485 | | | $ | 2,401,816 | | |
| NET ASSETS CONSIST OF: | |
| Paid in Capital | | $ | 36,107,423 | | | $ | 38,471,287 | | | $ | 15,211,016 | | |
| Distributable earnings (loss) | | | (31,467,845 | ) | | | (30,707,802 | ) | | | (12,809,200 | ) | |
| NET ASSETS | | $ | 4,639,578 | | | $ | 7,763,485 | | | $ | 2,401,816 | | |
| Shares (unlimited number of shares authorized, no par value) | | | 183,946 | | | | 406,103 | | | | 218,720 | | |
| Net Asset Value | | $ | 25.22 | | | $ | 19.12 | | | $ | 10.98 | | |
See accompanying notes to the financial statements.
188 :: MAY 31, 2022 :: STATEMENTS OF ASSETS AND LIABILITIES PROSHARES TRUST
STATEMENTS OF OPERATIONS
PROSHARES TRUST STATEMENTS OF OPERATIONS :: FOR THE YEAR ENDED MAY 31, 2022 :: 189
| | | Short 7-10 Year
Treasury | | Short 20+ Year
Treasury | | Short
Dow30SM | | Short
Financials | | Short FTSE
China 50 | | Short
High Yield | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | |
| INVESTMENT INCOME: | |
| Interest | | $ | 122,573 | | | $ | 644,125 | | | $ | 223,754 | | | $ | 11,706 | | | $ | 4,835 | | | $ | 154,326 | | |
| Total Investment Income | | | 122,573 | | | | 644,125 | | | | 223,754 | | | | 11,706 | | | | 4,835 | | | | 154,326 | | |
| EXPENSES: | |
| Advisory fees (Note 4) | | | 909,799 | | | | 5,198,275 | | | | 1,933,906 | | | | 82,205 | | | | 58,676 | | | | 734,945 | | |
| Management Services fees (Note 4) | | | 121,306 | | | | 693,098 | | | | 257,852 | | | | 10,961 | | | | 7,824 | | | | 97,992 | | |
| Professional fees | | | 18,539 | | | | 24,475 | | | | 19,255 | | | | 17,254 | | | | 32,455 | | | | 28,240 | | |
| Administration fees (Note 5) | | | 69,322 | | | | 154,873 | | | | 98,580 | | | | 38,471 | | | | 38,471 | | | | 60,664 | | |
| Custodian fees (Note 6) | | | 9,520 | | | | 41,639 | | | | 15,087 | | | | 630 | | | | 583 | | | | 4,806 | | |
| Printing and Shareholder reports | | | 6,424 | | | | 32,588 | | | | — | | | | 1,455 | | | | 1,126 | | | | — | | |
Listing, Data and related fees
(Note 7) | | | 19,019 | | | | 62,632 | | | | 113,063 | | | | 14,304 | | | | 17,352 | | | | 57,270 | | |
| Trustees fees (Note 8) | | | 1,946 | | | | 12,150 | | | | 4,491 | | | | 169 | | | | 133 | | | | 1,262 | | |
| Compliance services fees (Note 4) | | | 512 | | | | 3,462 | | | | 1,262 | | | | 47 | | | | 40 | | | | 421 | | |
| Other fees | | | 13,323 | | | | 21,983 | | | | 8,447 | | | | 5,048 | | | | 4,449 | | | | 25,402 | | |
Total Gross Expenses before
fees waived and/or
reimbursed | | | 1,169,710 | | | | 6,245,175 | | | | 2,451,943 | | | | 170,544 | | | | 161,109 | | | | 1,011,002 | | |
| LESS: | |
Expenses waived and/or
reimbursed by Advisor
(Note 4) | | | (17,016 | ) | | | — | | | | (2,500 | ) | | | (66,421 | ) | | | (86,746 | ) | | | (80,160 | ) | |
| Total Net Expenses | | | 1,152,694 | | | | 6,245,175 | | | | 2,449,443 | | | | 104,123 | | | | 74,363 | | | | 930,842 | | |
| Net Investment Income (Loss) | | | (1,030,121 | ) | | | (5,601,050 | ) | | | (2,225,689 | ) | | | (92,417 | ) | | | (69,528 | ) | | | (776,516 | ) | |
NET REALIZED GAIN (LOSS)
FROM: | |
| Transactions in investment securities | | | — | | | | 261 | | | | 10,617 | | | | — | | | | — | | | | — | | |
Expiration or closing of futures
contracts | | | 116,943 | | | | 1,629,849 | | | | (31,975 | ) | | | — | | | | — | | | | — | | |
Expiration or closing of
non-exchange traded swap
agreements | | | 12,914,031 | | | | 90,200,264 | | | | (55,072,803 | ) | | | (4,231,118 | ) | | | 999,309 | | | | 2,776,015 | | |
| Net realized gain (loss) | | | 13,030,974 | | | | 91,830,374 | | | | (55,094,161 | ) | | | (4,231,118 | ) | | | 999,309 | | | | 2,776,015 | | |
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION
FROM: | |
| Investments | | | (2,735 | ) | | | (655,838 | ) | | | (371,934 | ) | | | — | | | | — | | | | (1,287 | ) | |
| Futures contracts | | | 11,478 | | | | 143,103 | | | | 998,325 | | | | — | | | | — | | | | — | | |
Non-exchange traded swap
agreements | | | 359,259 | | | | 9,943,333 | | | | 51,438,064 | | | | 4,256,674 | | | | 420,688 | | | | (2,561,667 | ) | |
Change in net unrealized
appreciation/depreciation | | | 368,002 | | | | 9,430,598 | | | | 52,064,455 | | | | 4,256,674 | | | | 420,688 | | | | (2,562,954 | ) | |
Net realized and unrealized
gain (loss) | | | 13,398,976 | | | | 101,260,972 | | | | (3,029,706 | ) | | | 25,556 | | | | 1,419,997 | | | | 213,061 | | |
Change in Net Assets Resulting
from Operations | | $ | 12,368,855 | | | $ | 95,659,922 | | | $ | (5,255,395 | ) | | $ | (66,861 | ) | | $ | 1,350,469 | | | $ | (563,455 | ) | |
See accompanying notes to the financial statements.
190 :: FOR THE YEAR ENDED MAY 31, 2022 :: STATEMENTS OF OPERATIONS PROSHARES TRUST
| | | Short
MidCap400 | | Short
MSCI EAFE | | Short MSCI
Emerging
Markets | | Short QQQ | | Short
Real Estate | | Short
Russell2000 | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | |
| INVESTMENT INCOME: | |
| Interest | | $ | 7,577 | | | $ | 46,388 | | | $ | 25,350 | | | $ | 916,543 | | | $ | 9,584 | | | $ | 404,216 | | |
| Total Investment Income | | | 7,577 | | | | 46,388 | | | | 25,350 | | | | 916,543 | | | | 9,584 | | | | 404,216 | | |
| EXPENSES: | |
| Advisory fees (Note 4) | | | 82,118 | | | | 217,938 | | | | 252,753 | | | | 5,391,315 | | | | 64,582 | | | | 2,291,017 | | |
| Management Services fees (Note 4) | | | 10,949 | | | | 29,058 | | | | 33,700 | | | | 718,837 | | | | 8,611 | | | | 305,467 | | |
| Professional fees | | | 17,273 | | | | 33,954 | | | | 40,259 | | | | 26,549 | | | | 17,262 | | | | 22,431 | | |
| Administration fees (Note 5) | | | 38,542 | | | | 42,157 | | | | 40,719 | | | | 154,267 | | | | 38,471 | | | | 104,223 | | |
| Custodian fees (Note 6) | | | 2,290 | | | | 1,782 | | | | 2,117 | | | | 38,125 | | | | 442 | | | | 17,812 | | |
| Printing and Shareholder reports | | | — | | | | — | | | | 1,939 | | | | 32,752 | | | | 581 | | | | — | | |
Listing, Data and related fees
(Note 7) | | | 12,419 | | | | 18,581 | | | | 23,388 | | | | 731,231 | | | | 13,364 | | | | 300,112 | | |
| Trustees fees (Note 8) | | | 192 | | | | 420 | | | | 552 | | | | 11,745 | | | | 138 | | | | 5,084 | | |
| Compliance services fees (Note 4) | | | 45 | | | | 132 | | | | 162 | | | | 3,507 | | | | 33 | | | | 1,436 | | |
| Other fees | | | 3,651 | | | | 9,998 | | | | 6,502 | | | | 62,233 | | | | 6,095 | | | | 21,479 | | |
Total Gross Expenses before
fees waived and/or
reimbursed | | | 167,479 | | | | 354,020 | | | | 402,091 | | | | 7,170,561 | | | | 149,579 | | | | 3,069,061 | | |
| LESS: | |
Expenses waived and/or
reimbursed by Advisor
(Note 4) | | | (63,467 | ) | | | (78,006 | ) | | | (81,822 | ) | | | (340,304 | ) | | | (67,794 | ) | | | (166,456 | ) | |
| Total Net Expenses | | | 104,012 | | | | 276,014 | | | | 320,269 | | | | 6,830,257 | | | | 81,785 | | | | 2,902,605 | | |
| Net Investment Income (Loss) | | | (96,435 | ) | | | (229,626 | ) | | | (294,919 | ) | | | (5,913,714 | ) | | | (72,201 | ) | | | (2,498,389 | ) | |
NET REALIZED GAIN (LOSS)
FROM: | |
| Transactions in investment securities | | | 1,617 | | | | 3,363 | | | | 3,051 | | | | 4,063 | | | | — | | | | 108 | | |
Expiration or closing of futures
contracts | | | (43,872 | ) | | | — | | | | — | | | | 13,193,280 | | | | — | | | | 2,893,586 | | |
Expiration or closing of
non-exchange traded swap
agreements | | | (4,230,495 | ) | | | (2,815,363 | ) | | | (646,020 | ) | | | (134,998,755 | ) | | | (2,547,182 | ) | | | (46,343,144 | ) | |
| Net realized gain (loss) | | | (4,272,750 | ) | | | (2,812,000 | ) | | | (642,969 | ) | | | (121,801,412 | ) | | | (2,547,182 | ) | | | (43,449,450 | ) | |
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION
FROM: | |
| Investments | | | — | | | | (921 | ) | | | — | | | | (637,721 | ) | | | — | | | | (338,726 | ) | |
| Futures contracts | | | 20,931 | | | | — | | | | — | | | | 3,809,836 | | | | — | | | | 2,013,217 | | |
Non-exchange traded swap
agreements | | | 4,346,266 | | | | 1,993,635 | | | | 4,739,509 | | | | 175,682,034 | | | | 2,081,298 | | | | 74,533,921 | | |
Change in net unrealized
appreciation/depreciation | | | 4,367,197 | | | | 1,992,714 | | | | 4,739,509 | | | | 178,854,149 | | | | 2,081,298 | | | | 76,208,412 | | |
Net realized and unrealized
gain (loss) | | | 94,447 | | | | (819,286 | ) | | | 4,096,540 | | | | 57,052,737 | | | | (465,884 | ) | | | 32,758,962 | | |
Change in Net Assets Resulting
from Operations | | $ | (1,988 | ) | | $ | (1,048,912 | ) | | $ | 3,801,621 | | | $ | 51,139,023 | | | $ | (538,085 | ) | | $ | 30,260,573 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF OPERATIONS :: FOR THE YEAR ENDED MAY 31, 2022 :: 191
| | | Short
S&P500® | | Short
SmallCap600 | | Ultra 7-10 Year
Treasury | | Ultra 20+ Year
Treasury | | Ultra Basic
Materials | | Ultra
Consumer
Goods | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | |
| INVESTMENT INCOME: | |
| Dividends | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,163,610 | | | $ | 178,831 | | |
| Interest | | | 2,077,257 | | | | 4,878 | | | | 165,600 | | | | 221,060 | | | | 6,447 | | | | 1,203 | | |
| Securities lending income (Note 2) | | | — | | | | — | | | | 1,436 | | | | 202 | | | | 942 | | | | 2,112 | | |
| Total Investment Income | | | 2,077,257 | | | | 4,878 | | | | 167,036 | | | | 221,262 | | | | 1,170,999 | | | | 182,146 | | |
| EXPENSES: | |
| Advisory fees (Note 4) | | | 12,176,536 | | | | 37,360 | | | | 145,733 | | | | 369,357 | | | | 548,462 | | | | 105,153 | | |
| Management Services fees (Note 4) | | | 1,623,526 | | | | 4,981 | | | | 19,431 | | | | 49,247 | | | | 73,128 | | | | 14,020 | | |
| Professional fees | | | 32,885 | | | | 17,227 | | | | 18,069 | | | | 18,322 | | | | 27,502 | | | | 24,438 | | |
| Administration fees (Note 5) | | | 215,226 | | | | 38,471 | | | | 70,634 | | | | 78,706 | | | | 96,341 | | | | 74,931 | | |
| Custodian fees (Note 6) | | | 77,119 | | | | 291 | | | | 3,397 | | | | 5,627 | | | | 8,910 | | | | 12,965 | | |
| Printing and Shareholder reports | | | 53,718 | | | | 421 | | | | 413 | | | | 2,592 | | | | 3,691 | | | | 931 | | |
Listing, Data and related fees
(Note 7) | | | 18,113 | | | | 12,415 | | | | 11,332 | | | | 13,614 | | | | 39,172 | | | | 15,528 | | |
| Trustees fees (Note 8) | | | 26,594 | | | | 80 | | | | 356 | | | | 858 | | | | 1,324 | | | | 247 | | |
| Compliance services fees (Note 4) | | | 7,799 | | | | 20 | | | | 91 | | | | 255 | | | | 381 | | | | 63 | | |
| Other fees | | | 138,081 | | | | 4,375 | | | | 4,774 | | | | 7,144 | | | | 5,388 | | | | 4,044 | | |
Total Gross Expenses before
fees waived and/or
reimbursed | | | 14,369,597 | | | | 115,641 | | | | 274,230 | | | | 545,722 | | | | 804,299 | | | | 252,320 | | |
| LESS: | |
Expenses waived and/or
reimbursed by Advisor
(Note 4) | | | — | | | | (68,313 | ) | | | (89,715 | ) | | | (78,328 | ) | | | (109,585 | ) | | | (119,141 | ) | |
| Total Net Expenses | | | 14,369,597 | | | | 47,328 | | | | 184,515 | | | | 467,394 | | | | 694,714 | | | | 133,179 | | |
| Net Investment Income (Loss) | | | (12,292,340 | ) | | | (42,450 | ) | | | (17,479 | ) | | | (246,132 | ) | | | 476,285 | | | | 48,967 | | |
NET REALIZED GAIN (LOSS)
FROM: | |
| Transactions in investment securities | | | (37,633 | ) | | | 26 | | | | (272,801 | ) | | | (1,209,870 | ) | | | (153,377 | ) | | | (237,716 | ) | |
Expiration or closing of futures
contracts | | | (8,471,879 | ) | | | — | | | | (10,306 | ) | | | (104,756 | ) | | | — | | | | — | | |
Expiration or closing of
non-exchange traded swap
agreements | | | (401,652,689 | ) | | | (773,134 | ) | | | 452,693 | | | | (17,711,935 | ) | | | 12,690,990 | | | | 4,568,993 | | |
| In-kind redemptions of investments | | | — | | | | — | | | | — | | | | (742,803 | ) | | | 10,108,504 | | | | 1,773,129 | | |
| Net realized gain (loss) | | | (410,162,201 | ) | | | (773,108 | ) | | | 169,586 | | | | (19,769,364 | ) | | | 22,646,117 | | | | 6,104,406 | | |
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION
FROM: | |
| Investments | | | (1,180,917 | ) | | | — | | | | (109,868 | ) | | | 2,013,346 | | | | (10,026,224 | ) | | | (2,153,700 | ) | |
| Futures contracts | | | 5,776,059 | | | | — | | | | (1,093 | ) | | | (4,120 | ) | | | — | | | | — | | |
Non-exchange traded swap
agreements | | | 368,257,990 | | | | 1,086,075 | | | | (3,419,370 | ) | | | (1,004,149 | ) | | | (14,960,918 | ) | | | (4,568,520 | ) | |
Change in net unrealized
appreciation/depreciation | | | 372,853,132 | | | | 1,086,075 | | | | (3,530,331 | ) | | | 1,005,077 | | | | (24,987,142 | ) | | | (6,722,220 | ) | |
Net realized and unrealized
gain (loss) | | | (37,309,069 | ) | | | 312,967 | | | | (3,360,745 | ) | | | (18,764,287 | ) | | | (2,341,025 | ) | | | (617,814 | ) | |
Change in Net Assets Resulting
from Operations | | $ | (49,601,409 | ) | | $ | 270,517 | | | $ | (3,378,224 | ) | | $ | (19,010,419 | ) | | $ | (1,864,740 | ) | | $ | (568,847 | ) | |
See accompanying notes to the financial statements.
192 :: FOR THE YEAR ENDED MAY 31, 2022 :: STATEMENTS OF OPERATIONS PROSHARES TRUST
| | | Ultra
Consumer
Services | | Ultra
Dow30SM | | Ultra
Financials | | Ultra FTSE
China 50 | | Ultra FTSE
Europe | | Ultra
Health Care | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | |
| INVESTMENT INCOME: | |
| Dividends | | $ | 167,938 | | | $ | 6,995,906 | | | $ | 11,012,657 | | | $ | — | | | $ | — | | | $ | 1,869,270 | | |
| Interest | | | 3,605 | | | | 52,457 | | | | 5,428 | | | | 3,585 | | | | 2,329 | | | | 15,214 | | |
| Securities lending income (Note 2) | | | 845 | | | | 857 | | | | 9,362 | | | | — | | | | — | | | | 1,181 | | |
| Foreign withholding tax on income | | | — | | | | — | | | | (1,305 | ) | | | — | | | | — | | | | — | | |
| Total Investment Income | | | 172,388 | | | | 7,049,220 | | | | 11,026,142 | | | | 3,585 | | | | 2,329 | | | | 1,885,665 | | |
| EXPENSES: | |
| Advisory fees (Note 4) | | | 214,608 | | | | 3,439,500 | | | | 6,373,140 | | | | 133,753 | | | | 37,207 | | | | 1,191,322 | | |
| Management Services fees (Note 4) | | | 28,614 | | | | 458,597 | | | | 849,746 | | | | 17,833 | | | | 4,961 | | | | 158,842 | | |
| Professional fees | | | 16,075 | | | | 23,684 | | | | 42,012 | | | | 40,694 | | | | 31,993 | | | | 26,804 | | |
| Administration fees (Note 5) | | | 74,932 | | | | 178,258 | | | | 219,329 | | | | 39,037 | | | | 38,489 | | | | 124,394 | | |
| Custodian fees (Note 6) | | | 13,792 | | | | 32,255 | | | | 105,502 | | | | 932 | | | | 304 | | | | 28,155 | | |
| Printing and Shareholder reports | | | 1,742 | | | | 7,876 | | | | 21,006 | | | | 1,494 | | | | 644 | | | | 2,348 | | |
Listing, Data and related fees
(Note 7) | | | 21,366 | | | | 193,362 | | | | 349,824 | | | | 26,862 | | | | 11,408 | | | | 73,458 | | |
| Trustees fees (Note 8) | | | 530 | | | | 8,145 | | | | 15,403 | | | | 330 | | | | 90 | | | | 2,809 | | |
| Compliance services fees (Note 4) | | | 118 | | | | 2,014 | | | | 3,987 | | | | 78 | | | | 23 | | | | 784 | | |
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4) | | | — | | | | — | | | | 58,652 | | | | — | | | | — | | | | — | | |
| Other fees | | | 4,406 | | | | 14,674 | | | | 24,674 | | | | 4,675 | | | | 4,195 | | | | 7,580 | | |
Total Gross Expenses before
fees waived and/or
reimbursed | | | 376,183 | | | | 4,358,365 | | | | 8,063,275 | | | | 265,688 | | | | 129,314 | | | | 1,616,496 | | |
| LESS: | |
Expenses waived and/or
reimbursed by Advisor
(Note 4) | | | (104,632 | ) | | | (2,666 | ) | | | — | | | | (95,906 | ) | | | (82,191 | ) | | | (107,193 | ) | |
| Total Net Expenses | | | 271,551 | | | | 4,355,699 | | | | 8,063,275 | | | | 169,782 | | | | 47,123 | | | | 1,509,303 | | |
| Net Investment Income (Loss) | | | (99,163 | ) | | | 2,693,521 | | | | 2,962,867 | | | | (166,197 | ) | | | (44,794 | ) | | | 376,362 | | |
NET REALIZED GAIN (LOSS)
FROM: | |
| Transactions in investment securities | | | (1,420,111 | ) | | | (4,359,813 | ) | | | (6,487,864 | ) | | | — | | | | — | | | | (1,859,276 | ) | |
Expiration or closing of futures
contracts | | | — | | | | (2,179,679 | ) | | | — | | | | — | | | | — | | | | — | | |
Expiration or closing of
non-exchange traded swap
agreements | | | 6,254,246 | | | | 102,210,300 | | | | (3,123,317 | ) | | | 248,528 | | | | 1,391,855 | | | | 30,590,422 | | |
| In-kind redemptions of investments | | | 1,817,884 | | | | 33,207,902 | | | | 178,062,449 | | | | — | | | | — | | | | 27,397,070 | | |
| Net realized gain (loss) | | | 6,652,019 | | | | 128,878,710 | | | | 168,451,268 | | | | 248,528 | | | | 1,391,855 | | | | 56,128,216 | | |
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION
FROM: | |
| Investments | | | (5,214,268 | ) | | | (49,047,715 | ) | | | (193,699,510 | ) | | | — | | | | — | | | | (22,723,656 | ) | |
| Futures contracts | | | — | | | | (1,288,669 | ) | | | — | | | | — | | | | — | | | | — | | |
Non-exchange traded swap
agreements | | | (12,224,031 | ) | | | (123,513,100 | ) | | | (44,613,124 | ) | | | (14,756,734 | ) | | | (2,301,983 | ) | | | (25,990,965 | ) | |
Change in net unrealized
appreciation/depreciation | | | (17,438,299 | ) | | | (173,849,484 | ) | | | (238,312,634 | ) | | | (14,756,734 | ) | | | (2,301,983 | ) | | | (48,714,621 | ) | |
Net realized and unrealized
gain (loss) | | | (10,786,280 | ) | | | (44,970,774 | ) | | | (69,861,366 | ) | | | (14,508,206 | ) | | | (910,128 | ) | | | 7,413,595 | | |
Change in Net Assets Resulting
from Operations | | $ | (10,885,443 | ) | | $ | (42,277,253 | ) | | $ | (66,898,499 | ) | | $ | (14,674,403 | ) | | $ | (954,922 | ) | | $ | 7,789,957 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF OPERATIONS :: FOR THE YEAR ENDED MAY 31, 2022 :: 193
| | | Ultra
High Yield | | Ultra
Industrials | | Ultra
MidCap400 | | Ultra MSCI
Brazil Capped | | Ultra MSCI
EAFE | | Ultra MSCI
Emerging
Markets | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | |
| INVESTMENT INCOME: | |
| Dividends | | $ | — | | | $ | 281,257 | | | $ | 1,970,727 | | | $ | — | | | $ | — | | | $ | — | | |
| Interest | | | 4,289 | | | | 2,297 | | | | 22,244 | | | | 3,720 | | | | 4,879 | | | | 25,005 | | |
| Securities lending income (Note 2) | | | — | | | | 282 | | | | 4,251 | | | | — | | | | — | | | | — | | |
| Total Investment Income | | | 4,289 | | | | 283,836 | | | | 1,997,222 | | | | 3,720 | | | | 4,879 | | | | 25,005 | | |
| EXPENSES: | |
| Advisory fees (Note 4) | | | 162,100 | | | | 213,866 | | | | 1,218,130 | | | | 53,915 | | | | 94,473 | | | | 401,904 | | |
| Management Services fees (Note 4) | | | 21,613 | | | | 28,515 | | | | 162,416 | | | | 7,189 | | | | 12,596 | | | | 53,587 | | |
| Professional fees | | | 16,104 | | | | 5,117 | | | | 4,890 | | | | 40,294 | | | | 43,566 | | | | 29,696 | | |
| Administration fees (Note 5) | | | 23,535 | | | | 75,078 | | | | 125,088 | | | | 38,474 | | | | 38,493 | | | | 47,676 | | |
| Custodian fees (Note 6) | | | 1,423 | | | | 26,294 | | | | 73,291 | | | | 549 | | | | 747 | | | | 2,984 | | |
| Printing and Shareholder reports | | | 887 | | | | 1,781 | | | | 6,482 | | | | 1,404 | | | | 1,128 | | | | 4,412 | | |
Listing, Data and related fees
(Note 7) | | | 21,935 | | | | 21,326 | | | | 12,419 | | | | 13,003 | | | | 15,833 | | | | 37,797 | | |
| Trustees fees (Note 8) | | | 402 | | | | 529 | | | | 2,937 | | | | 122 | | | | 227 | | | | 1,024 | | |
| Compliance services fees (Note 4) | | | 92 | | | | 106 | | | | 711 | | | | 34 | | | | 53 | | | | 238 | | |
| Other fees | | | 4,240 | | | | 4,814 | | | | 8,136 | | | | 4,496 | | | | 4,028 | | | | 5,472 | | |
Total Gross Expenses before
fees waived and/or
reimbursed | | | 252,331 | | | | 377,426 | | | | 1,614,500 | | | | 159,480 | | | | 211,144 | | | | 584,790 | | |
| LESS: | |
Expenses waived and/or
reimbursed by Advisor
(Note 4) | | | (47,055 | ) | | | (106,704 | ) | | | (72,278 | ) | | | (91,197 | ) | | | (91,543 | ) | | | (76,441 | ) | |
| Total Net Expenses | | | 205,276 | | | | 270,722 | | | | 1,542,222 | | | | 68,283 | | | | 119,601 | | | | 508,349 | | |
| Net Investment Income (Loss) | | | (200,987 | ) | | | 13,114 | | | | 455,000 | | | | (64,563 | ) | | | (114,722 | ) | | | (483,344 | ) | |
NET REALIZED GAIN (LOSS)
FROM: | |
| Transactions in investment securities | | | — | | | | (408,606 | ) | | | (3,909,365 | ) | | | — | | | | 20 | | | | 1,349 | | |
Expiration or closing of futures
contracts | | | — | | | | — | | | | (260,253 | ) | | | — | | | | — | | | | — | | |
Expiration or closing of
non-exchange traded swap
agreements | | | 2,079,332 | | | | 5,508,220 | | | | 38,464,565 | | | | 3,040,927 | | | | 3,370,033 | | | | 2,159,833 | | |
| In-kind redemptions of investments | | | — | | | | 5,920,779 | | | | 13,421,526 | | | | — | | | | — | | | | — | | |
| Net realized gain (loss) | | | 2,079,332 | | | | 11,020,393 | | | | 47,716,473 | | | | 3,040,927 | | | | 3,370,053 | | | | 2,161,182 | | |
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION
FROM: | |
| Investments | | | — | | | | (8,558,949 | ) | | | (24,002,223 | ) | | | — | | | | — | | | | — | | |
| Futures contracts | | | — | | | | — | | | | (324,071 | ) | | | — | | | | — | | | | — | | |
Non-exchange traded swap
agreements | | | (3,822,149 | ) | | | (9,555,735 | ) | | | (54,632,789 | ) | | | (3,732,576 | ) | | | (6,735,618 | ) | | | (29,812,128 | ) | |
Change in net unrealized
appreciation/depreciation | | | (3,822,149 | ) | | | (18,114,684 | ) | | | (78,959,083 | ) | | | (3,732,576 | ) | | | (6,735,618 | ) | | | (29,812,128 | ) | |
Net realized and unrealized
gain (loss) | | | (1,742,817 | ) | | | (7,094,291 | ) | | | (31,242,610 | ) | | | (691,649 | ) | | | (3,365,565 | ) | | | (27,650,946 | ) | |
Change in Net Assets Resulting
from Operations | | $ | (1,943,804 | ) | | $ | (7,081,177 | ) | | $ | (30,787,610 | ) | | $ | (756,212 | ) | | $ | (3,480,287 | ) | | $ | (28,134,290 | ) | |
See accompanying notes to the financial statements.
194 :: FOR THE YEAR ENDED MAY 31, 2022 :: STATEMENTS OF OPERATIONS PROSHARES TRUST
| | | Ultra
MSCI Japan | | Ultra Nasdaq
Biotechnology | | Ultra Nasdaq
Cloud
Computing | | Ultra Nasdaq
Cybersecurity | | Ultra
Oil & Gas | | Ultra QQQ | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | |
| INVESTMENT INCOME: | |
| Dividends | | $ | 14,654 | | | $ | 1,303,177 | | | $ | 13,164 | | | $ | 1,630 | | | $ | 6,040,185 | | | $ | 31,853,153 | | |
| Interest | | | 1,164 | | | | 7,858 | | | | 244 | | | | 695 | | | | 1,007 | | | | 687,187 | | |
| Securities lending income (Note 2) | | | — | | | | 67,756 | | | | — | | | | — | | | | 626 | | | | 582,054 | | |
| Foreign withholding tax on income | | | — | | | | (12,873 | ) | | | (162 | ) | | | — | | | | — | | | | (54,162 | ) | |
| Total Investment Income | | | 15,818 | | | | 1,365,918 | | | | 13,246 | | | | 2,325 | | | | 6,041,818 | | | | 33,068,232 | | |
| EXPENSES: | |
| Advisory fees (Note 4) | | | 59,793 | | | | 1,535,183 | | | | 19,096 | | | | 29,616 | | | | 1,535,187 | | | | 38,332,212 | | |
| Management Services fees (Note 4) | | | 7,972 | | | | 204,689 | | | | 2,546 | | | | 3,949 | | | | 204,690 | | | | 5,110,920 | | |
| Professional fees | | | 28,122 | | | | 23,189 | | | | 17,211 | | | | 17,227 | | | | 24,444 | | | | 74,231 | | |
| Administration fees (Note 5) | | | 63,390 | | | | 133,952 | | | | 42,201 | | | | 25,969 | | | | 135,890 | | | | 439,766 | | |
| Custodian fees (Note 6) | | | 779 | | | | 73,707 | | | | 3,509 | | | | 266 | | | | 18,838 | | | | 363,134 | | |
| Printing and Shareholder reports | | | 1,115 | | | | 17,748 | | | | 482 | | | | 569 | | | | 7,872 | | | | 103,458 | | |
Listing, Data and related fees
(Note 7) | | | 13,267 | | | | 207,477 | | | | 763 | | | | 90 | | | | 91,798 | | | | 5,124,762 | | |
| Trustees fees (Note 8) | | | 142 | | | | 3,785 | | | | 45 | | | | 70 | | | | 3,649 | | | | 90,565 | | |
| Compliance services fees (Note 4) | | | 41 | | | | 1,088 | | | | 14 | | | | 21 | | | | 1,086 | | | | 23,242 | | |
| Other fees | | | 4,240 | | | | 9,423 | | | | 2,704 | | | | 3,718 | | | | 9,098 | | | | 148,049 | | |
Total Gross Expenses before
fees waived and/or
reimbursed | | | 178,861 | | | | 2,210,241 | | | | 88,571 | | | | 81,495 | | | | 2,032,552 | | | | 49,810,339 | | |
| LESS: | |
Expenses waived and/or
reimbursed by Advisor
(Note 4) | | | (102,704 | ) | | | (267,592 | ) | | | (64,434 | ) | | | (44,002 | ) | | | (82,533 | ) | | | (1,282,847 | ) | |
| Total Net Expenses | | | 76,157 | | | | 1,942,649 | | | | 24,137 | | | | 37,493 | | | | 1,950,019 | | | | 48,527,492 | | |
| Net Investment Income (Loss) | | | (60,339 | ) | | | (576,731 | ) | | | (10,891 | ) | | | (35,168 | ) | | | 4,091,799 | | | | (15,459,260 | ) | |
NET REALIZED GAIN (LOSS)
FROM: | |
| Transactions in investment securities | | | (502,247 | ) | | | (33,729,774 | ) | | | (442,095 | ) | | | — | | | | 102,910 | | | | (369,137,894 | ) | |
Expiration or closing of futures
contracts | | | — | | | | — | | | | — | | | | — | | | | — | | | | (101,769,676 | ) | |
Expiration or closing of
non-exchange traded swap
agreements | | | 2,031,191 | | | | 20,792,442 | | | | 202,173 | | | | 428,661 | | | | 68,038,458 | | | | 1,009,029,702 | | |
| In-kind redemptions of investments | | | 12,469 | | | | 16,320,565 | | | | — | | | | 14,939 | | | | 71,112,874 | | | | 832,746,488 | | |
| Net realized gain (loss) | | | 1,541,413 | | | | 3,383,233 | | | | (239,922 | ) | | | 443,600 | | | | 139,254,242 | | | | 1,370,868,620 | | |
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION
FROM: | |
| Investments | | | (498,372 | ) | | | (16,849,320 | ) | | | (454,232 | ) | | | (30,280 | ) | | | 7,185,400 | | | | (1,021,715,360 | ) | |
| Futures contracts | | | — | | | | — | | | | — | | | | — | | | | — | | | | (18,959,417 | ) | |
Non-exchange traded swap
agreements | | | (4,668,907 | ) | | | (64,142,754 | ) | | | (1,292,665 | ) | | | (1,326,757 | ) | | | 55,975,445 | | | | (1,363,725,008 | ) | |
Change in net unrealized
appreciation/depreciation | | | (5,167,279 | ) | | | (80,992,074 | ) | | | (1,746,897 | ) | | | (1,357,037 | ) | | | 63,160,845 | | | | (2,404,399,785 | ) | |
Net realized and unrealized
gain (loss) | | | (3,625,866 | ) | | | (77,608,841 | ) | | | (1,986,819 | ) | | | (913,437 | ) | | | 202,415,087 | | | | (1,033,531,165 | ) | |
Change in Net Assets Resulting
from Operations | | $ | (3,686,205 | ) | | $ | (78,185,572 | ) | | $ | (1,997,710 | ) | | $ | (948,605 | ) | | $ | 206,506,886 | | | $ | (1,048,990,425 | ) | |
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF OPERATIONS :: FOR THE YEAR ENDED MAY 31, 2022 :: 195
| | | Ultra
Real Estate | | Ultra
Russell2000 | | Ultra
S&P500® | | Ultra
Semiconductors | | Ultra
SmallCap600 | | Ultra
Technology | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | |
| INVESTMENT INCOME: | |
| Dividends | | $ | 2,007,982 | | | $ | 2,882,078 | | | $ | 51,617,513 | | | $ | 2,911,163 | | | $ | 415,388 | | | $ | 4,542,474 | | |
| Interest | | | 11,424 | | | | 41,870 | | | | 629,731 | | | | 75,174 | | | | 4,302 | | | | 149,015 | | |
| Securities lending income (Note 2) | | | 1,346 | | | | 144,769 | | | | 13,765 | | | | 1,466 | | | | 2,694 | | | | 13,614 | | |
| Foreign withholding tax on income | | | — | | | | (6,351 | ) | | | (10,050 | ) | | | (12,304 | ) | | | (169 | ) | | | (5,880 | ) | |
| Total Investment Income | | | 2,020,752 | | | | 3,062,366 | | | | 52,250,959 | | | | 2,975,499 | | | | 422,215 | | | | 4,699,223 | | |
| EXPENSES: | |
| Advisory fees (Note 4) | | | 947,424 | | | | 2,593,029 | | | | 32,466,427 | | | | 2,536,322 | | | | 308,948 | | | | 6,829,159 | | |
| Management Services fees (Note 4) | | | 126,322 | | | | 345,735 | | | | 4,328,822 | | | | 338,174 | | | | 41,193 | | | | 910,548 | | |
| Professional fees | | | 26,523 | | | | 25,357 | | | | 71,432 | | | | 20,479 | | | | 17,958 | | | | 27,669 | | |
| Administration fees (Note 5) | | | 116,156 | | | | 155,766 | | | | 400,839 | | | | 159,568 | | | | 77,685 | | | | 223,251 | | |
| Custodian fees (Note 6) | | | 18,935 | | | | 1,014,853 | | | | 1,031,780 | | | | 36,889 | | | | 62,653 | | | | 145,291 | | |
| Printing and Shareholder reports | | | 3,801 | | | | 17,963 | | | | 121,672 | | | | 16,086 | | | | 2,168 | | | | 14,123 | | |
Listing, Data and related fees
(Note 7) | | | 60,450 | | | | 338,366 | | | | 16,341 | | | | 145,192 | | | | 12,415 | | | | 374,146 | | |
| Trustees fees (Note 8) | | | 2,235 | | | | 6,546 | | | | 76,882 | | | | 5,968 | | | | 742 | | | | 16,389 | | |
| Compliance services fees (Note 4) | | | 607 | | | | 1,413 | | | | 20,008 | | | | 1,619 | | | | 180 | | | | 4,074 | | |
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4) | | | — | | | | — | | | | — | | | | — | | | | — | | | | 72,020 | | |
| Other fees | | | 6,903 | | | | 15,122 | | | | 102,745 | | | | 14,370 | | | | 5,074 | | | | 24,745 | | |
Total Gross Expenses before
fees waived and/or
reimbursed | | | 1,309,356 | | | | 4,514,150 | | | | 38,636,948 | | | | 3,274,667 | | | | 529,016 | | | | 8,641,415 | | |
| LESS: | |
Expenses waived and/or
reimbursed by Advisor
(Note 4) | | | (109,263 | ) | | | (1,232,491 | ) | | | (206,222 | ) | | | (63,159 | ) | | | (137,910 | ) | | | — | | |
| Total Net Expenses | | | 1,200,093 | | | | 3,281,659 | | | | 38,430,726 | | | | 3,211,508 | | | | 391,106 | | | | 8,641,415 | | |
| Net Investment Income (Loss) | | | 820,659 | | | | (219,293 | ) | | | 13,820,233 | | | | (236,009 | ) | | | 31,109 | | | | (3,942,192 | ) | |
NET REALIZED GAIN (LOSS)
FROM: | |
| Transactions in investment securities | | | (24,017 | ) | | | (13,833,822 | ) | | | (107,502,668 | ) | | | (44,525,269 | ) | | | (417,076 | ) | | | (58,159,064 | ) | |
Expiration or closing of futures
contracts | | | — | | | | (1,141,846 | ) | | | 3,222,049 | | | | — | | | | — | | | | — | | |
Expiration or closing of
non-exchange traded swap
agreements | | | 29,228,239 | | | | 105,826,897 | | | | 1,038,454,177 | | | | 67,763,747 | | | | 10,452,186 | | | | 383,620,147 | | |
| In-kind redemptions of investments | | | 6,816,533 | | | | 29,735,418 | | | | 623,194,381 | | | | 52,205,092 | | | | 2,283,773 | | | | 150,392,191 | | |
| Foreign currency transactions | | | — | | | | — | | | | (2 | ) | | | — | | | | — | | | | — | | |
| Net realized gain (loss) | | | 36,020,755 | | | | 120,586,647 | | | | 1,557,367,937 | | | | 75,443,570 | | | | 12,318,883 | | | | 475,853,274 | | |
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION
FROM: | |
| Investments | | | (8,810,774 | ) | | | (66,219,343 | ) | | | (690,039,613 | ) | | | (37,377,749 | ) | | | (5,987,225 | ) | | | (170,374,797 | ) | |
| Futures contracts | | | — | | | | (1,057,397 | ) | | | (2,914,933 | ) | | | — | | | | — | | | | — | | |
Non-exchange traded swap
agreements | | | (28,919,955 | ) | | | (167,044,404 | ) | | | (1,114,015,046 | ) | | | (85,650,513 | ) | | | (15,849,578 | ) | | | (400,933,833 | ) | |
| Foreign currency translations | | | — | | | | — | | | | 8 | | | | — | | | | — | | | | — | | |
Change in net unrealized
appreciation/depreciation | | | (37,730,729 | ) | | | (234,321,144 | ) | | | (1,806,969,584 | ) | | | (123,028,262 | ) | | | (21,836,803 | ) | | | (571,308,630 | ) | |
Net realized and unrealized
gain (loss) | | | (1,709,974 | ) | | | (113,734,497 | ) | | | (249,601,647 | ) | | | (47,584,692 | ) | | | (9,517,920 | ) | | | (95,455,356 | ) | |
Change in Net Assets Resulting
from Operations | | $ | (889,315 | ) | | $ | (113,953,790 | ) | | $ | (235,781,414 | ) | | $ | (47,820,701 | ) | | $ | (9,486,811 | ) | | $ | (99,397,548 | ) | |
See accompanying notes to the financial statements.
196 :: FOR THE YEAR ENDED MAY 31, 2022 :: STATEMENTS OF OPERATIONS PROSHARES TRUST
| | | Ultra
Telecommunications | | Ultra
Utilities | | UltraPro
Dow30SM | | UltraPro
MidCap400 | | UltraPro
QQQ | | UltraPro
Russell2000 | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | |
| INVESTMENT INCOME: | |
| Dividends | | $ | 51,957 | | | $ | 580,153 | | | $ | 12,945,715 | | | $ | 473,437 | | | $ | 93,525,152 | | | $ | 2,972,182 | | |
| Interest | | | 338 | | | | 3,025 | | | | 82,659 | | | | 7,636 | | | | 3,734,261 | | | | 42,517 | | |
| Securities lending income (Note 2) | | | 42 | | | | 10 | | | | 700 | | | | 842 | | | | 1,931,257 | | | | 137,977 | | |
Foreign withholding tax
on income | | | ��� | | | | — | | | | — | | | | — | | | | (164,395 | ) | | | (5,417 | ) | |
| Total Investment Income | | | 52,337 | | | | 583,188 | | | | 13,029,074 | | | | 481,915 | | | | 99,026,275 | | | | 3,147,259 | | |
| EXPENSES: | |
| Advisory fees (Note 4) | | | 18,012 | | | | 164,979 | | | | 6,674,665 | | | | 367,677 | | | | 118,596,637 | | | | 2,730,565 | | |
| Management Services fees (Note 4) | | | 2,402 | | | | 21,997 | | | | 889,949 | | | | 49,023 | | | | 15,812,720 | | | | 364,073 | | |
| Professional fees | | | 21,963 | | | | 6,331 | | | | 23,051 | | | | 20,577 | | | | 175,485 | | | | 17,408 | | |
| Administration fees (Note 5) | | | 74,942 | | | | 74,989 | | | | 223,086 | | | | 83,217 | | | | 972,970 | | | | 163,815 | | |
| Custodian fees (Note 6) | | | 752 | | | | 5,128 | | | | 85,368 | | | | 103,787 | | | | 1,174,779 | | | | 1,012,554 | | |
| Printing and Shareholder reports | | | 441 | | | | 2,095 | | | | 25,757 | | | | 2,512 | | | | 453,808 | | | | 11,229 | | |
Listing, Data and related
fees (Note 7) | | | 10,880 | | | | 18,719 | | | | 365,906 | | | | 12,415 | | | | 15,829,336 | | | | 355,787 | | |
| Trustees fees (Note 8) | | | 43 | | | | 375 | | | | 15,866 | | | | 906 | | | | 277,249 | | | | 6,597 | | |
| Compliance services fees (Note 4) | | | 11 | | | | 104 | | | | 3,916 | | | | 221 | | | | 72,916 | | | | 1,550 | | |
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4) | | | — | | | | — | | | | 114,791 | | | | — | | | | 542,098 | | | | — | | |
| Other fees | | | 3,767 | | | | 5,051 | | | | 25,576 | | | | 4,964 | | | | 1,061,547 | | | | 19,720 | | |
Total Gross Expenses before
fees waived and/or
reimbursed | | | 133,213 | | | | 299,768 | | | | 8,447,931 | | | | 645,299 | | | | 154,969,545 | | | | 4,683,298 | | |
| LESS: | |
Expenses waived and/or
reimbursed by Advisor
(Note 4) | | | (110,398 | ) | | | (90,615 | ) | | | — | | | | (179,962 | ) | | | (19,125,963 | ) | | | (1,230,426 | ) | |
| Total Net Expenses | | | 22,815 | | | | 209,153 | | | | 8,447,931 | | | | 465,337 | | | | 135,843,582 | | | | 3,452,872 | | |
| Net Investment Income (Loss) | | | 29,522 | | | | 374,035 | | | | 4,581,143 | | | | 16,578 | | | | (36,817,307 | ) | | | (305,613 | ) | |
NET REALIZED GAIN
(LOSS) FROM: | |
| Transactions in investment securities | | | 844 | | | | (290,684 | ) | | | (29,598,590 | ) | | | (3,489,328 | ) | | | (2,482,532,315 | ) | | | (35,438,063 | ) | |
Expiration or closing of
futures contracts | | | — | | | | — | | | | (6,004,614 | ) | | | (387,250 | ) | | | (296,073,510 | ) | | | (4,734,946 | ) | |
Expiration or closing of
non-exchange traded swap
agreements | | | 194,294 | | | | 370,756 | | | | 220,231,507 | | | | 29,440,979 | | | | 5,103,621,726 | | | | 168,551,585 | | |
| In-kind redemptions of investments | | | — | | | | 594,325 | | | | 114,080,071 | | | | 3,353,681 | | | | 2,172,349,139 | | | | 4,839,711 | | |
| Net realized gain (loss) | | | 195,138 | | | | 674,397 | | | | 298,708,374 | | | | 28,918,082 | | | | 4,497,365,040 | | | | 133,218,287 | | |
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION
FROM: | |
| Investments | | | (169,925 | ) | | | 1,178,121 | | | | (119,733,026 | ) | | | (5,675,522 | ) | | | (2,407,764,131 | ) | | | (41,673,599 | ) | |
| Futures contracts | | | — | | | | — | | | | (2,028,341 | ) | | | (132,584 | ) | | | (11,791,309 | ) | | | (365,204 | ) | |
Non-exchange traded
swap agreements | | | (445,510 | ) | | | 2,074,589 | | | | (256,082,861 | ) | | | (38,888,258 | ) | | | (9,245,959,681 | ) | | | (325,785,557 | ) | |
Change in net unrealized
appreciation/depreciation | | | (615,435 | ) | | | 3,252,710 | | | | (377,844,228 | ) | | | (44,696,364 | ) | | | (11,665,515,121 | ) | | | (367,824,360 | ) | |
Net realized and unrealized
gain (loss) | | | (420,297 | ) | | | 3,927,107 | | | | (79,135,854 | ) | | | (15,778,282 | ) | | | (7,168,150,081 | ) | | | (234,606,073 | ) | |
Change in Net Assets
Resulting from Operations | | $ | (390,775 | ) | | $ | 4,301,142 | | | $ | (74,554,711 | ) | | $ | (15,761,704 | ) | | $ | (7,204,967,388 | ) | | $ | (234,911,686 | ) | |
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF OPERATIONS :: FOR THE YEAR ENDED MAY 31, 2022 :: 197
| | | UltraPro
S&P500® | | UltraPro Short
20+ Year
Treasury | | UltraPro Short
Dow30SM | | UltraPro Short
MidCap400 | | UltraPro
Short QQQ | | UltraPro Short
Russell2000 | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | |
| INVESTMENT INCOME: | |
| Dividends | | $ | 31,998,017 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | |
| Interest | | | 459,897 | | | | 328,602 | | | | 295,317 | | | | 4,180 | | | | 2,178,376 | | | | 149,428 | | |
| Securities lending income (Note 2) | | | 4,319 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Foreign withholding tax on income | | | (6,008 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Total Investment Income | | | 32,456,225 | | | | 328,602 | | | | 295,317 | | | | 4,180 | | | | 2,178,376 | | | | 149,428 | | |
| EXPENSES: | |
| Advisory fees (Note 4) | | | 22,281,146 | | | | 1,525,488 | | | | 2,864,461 | | | | 47,561 | | | | 15,192,905 | | | | 1,107,876 | | |
| Management Services fees (Note 4) | | | 2,970,798 | | | | 203,397 | | | | 381,925 | | | | 6,341 | | | | 2,025,706 | | | | 147,716 | | |
| Professional fees | | | 49,510 | | | | 19,325 | | | | 22,929 | | | | 19,765 | | | | 39,365 | | | | 21,113 | | |
| Administration fees (Note 5) | | | 332,487 | | | | 86,389 | | | | 116,247 | | | | 38,471 | | | | 234,981 | | | | 74,243 | | |
| Custodian fees (Note 6) | | | 1,136,979 | | | | 12,590 | | | | 21,317 | | | | 2,035 | | | | 106,626 | | | | 10,976 | | |
| Printing and Shareholder reports | | | 106,887 | | | | 5,946 | | | | — | | | | 679 | | | | 154,048 | | | | 6,964 | | |
Listing, Data and related fees
(Note 7) | | | 10,643 | | | | 25,176 | | | | 164,443 | | | | 12,415 | | | | 2,053,807 | | | | 150,249 | | |
| Trustees fees (Note 8) | | | 52,471 | | | | 3,121 | | | | 6,689 | | | | 106 | | | | 34,106 | | | | 2,532 | | |
| Compliance services fees (Note 4) | | | 14,059 | | | | 1,046 | | | | 1,909 | | | | 28 | | | | 10,585 | | | | 752 | | |
Recoupment of prior expenses
waived and/or reimbursed by
Advisor (Note 4) | | | — | | | | 34,368 | | | | 27,850 | | | | — | | | | — | | | | — | | |
| Other fees | | | 112,949 | | | | 21,983 | | | | 16,169 | | | | 6,398 | | | | 66,915 | | | | 11,902 | | |
Total Gross Expenses before
fees waived and/or
reimbursed | | | 27,067,929 | | | | 1,938,829 | | | | 3,623,939 | | | | 133,799 | | | | 19,919,044 | | | | 1,534,323 | | |
| LESS: | |
Expenses waived and/or
reimbursed by Advisor
(Note 4) | | | — | | | | — | | | | — | | | | (73,576 | ) | | | (666,032 | ) | | | (129,738 | ) | |
| Total Net Expenses | | | 27,067,929 | | | | 1,938,829 | | | | 3,623,939 | | | | 60,223 | | | | 19,253,012 | | | | 1,404,585 | | |
| Net Investment Income (Loss) | | | 5,388,296 | | | | (1,610,227 | ) | | | (3,328,622 | ) | | | (56,043 | ) | | | (17,074,636 | ) | | | (1,255,157 | ) | |
NET REALIZED GAIN (LOSS)
FROM: | |
| Transactions in investment securities | | | (205,822,890 | ) | | | — | | | | (41,756 | ) | | | — | | | | (20,277 | ) | | | (220 | ) | |
Expiration or closing of futures
contracts | | | (20,912,793 | ) | | | 1,085,095 | | | | 2,472,018 | | | | 1,770 | | | | 33,992,109 | | | | 3,685,449 | | |
Expiration or closing of
non-exchange traded swap
agreements | | | 1,240,249,457 | | | | 120,093,961 | | | | (266,719,759 | ) | | | (5,456,008 | ) | | | (21,597,728 | ) | | | (2,843,233 | ) | |
| In-kind redemptions of investments | | | 331,502,190 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Foreign currency transactions | | | (1 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Net realized gain (loss) | | | 1,345,015,963 | | | | 121,179,056 | | | | (264,289,497 | ) | | | (5,454,238 | ) | | | 12,374,104 | | | | 841,996 | | |
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION
FROM: | |
| Investments | | | (346,845,883 | ) | | | (226,555 | ) | | | (126,910 | ) | | | — | | | | (2,133,766 | ) | | | (106,365 | ) | |
| Futures contracts | | | (6,548,006 | ) | | | 153,692 | | | | 345,260 | | | | 24,460 | | | | 1,025,740 | | | | 438,251 | | |
Non-exchange traded swap
agreements | | | (1,452,209,600 | ) | | | 10,653,094 | | | | 254,028,901 | | | | 4,881,089 | | | | 359,698,679 | | | | 54,379,000 | | |
| Foreign currency translations | | | 5 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
Change in net unrealized
appreciation/depreciation | | | (1,805,603,484 | ) | | | 10,580,231 | | | | 254,247,251 | | | | 4,905,549 | | | | 358,590,653 | | | | 54,710,886 | | |
Net realized and unrealized
gain (loss) | | | (460,587,521 | ) | | | 131,759,287 | | | | (10,042,246 | ) | | | (548,689 | ) | | | 370,964,757 | | | | 55,552,882 | | |
Change in Net Assets Resulting
from Operations | | $ | (455,199,225 | ) | | $ | 130,149,060 | | | $ | (13,370,868 | ) | | $ | (604,732 | ) | | $ | 353,890,121 | | | $ | 54,297,725 | | |
See accompanying notes to the financial statements.
198 :: FOR THE YEAR ENDED MAY 31, 2022 :: STATEMENTS OF OPERATIONS PROSHARES TRUST
| | | UltraPro Short
S&P500® | | UltraShort
7-10 Year
Treasury | | UltraShort
20+ Year
Treasury | | UltraShort
Basic Materials | | UltraShort
Consumer
Goods | | UltraShort
Consumer
Services | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | |
| INVESTMENT INCOME: | |
| Interest | | $ | 575,874 | | | $ | 144,384 | | | $ | 1,286,759 | | | $ | 1,484 | | | $ | 927 | | | $ | 2,040 | | |
| Total Investment Income | | | 575,874 | | | | 144,384 | | | | 1,286,759 | | | | 1,484 | | | | 927 | | | | 2,040 | | |
| EXPENSES: | |
| Advisory fees (Note 4) | | | 4,352,537 | | | | 620,791 | | | | 10,850,404 | | | | 17,148 | | | | 7,153 | | | | 11,269 | | |
| Management Services fees (Note 4) | | | 580,334 | | | | 82,771 | | | | 1,446,710 | | | | 2,286 | | | | 954 | | | | 1,503 | | |
| Professional fees | | | 23,989 | | | | 17,920 | | | | 35,725 | | | | 17,196 | | | | 23,907 | | | | 21,191 | | |
| Administration fees (Note 5) | | | 141,685 | | | | 59,073 | | | | 208,019 | | | | 38,471 | | | | 38,471 | | | | 38,471 | | |
| Custodian fees (Note 6) | | | 32,901 | | | | 6,816 | | | | 82,000 | | | | 215 | | | | 87 | | | | 153 | | |
| Printing and Shareholder reports | | | 40,015 | | | | 3,580 | | | | 67,498 | | | | 1,115 | | | | 566 | | | | 840 | | |
Listing, Data and related fees
(Note 7) | | | 10,065 | | | | 16,129 | | | | 122,357 | | | | 10,835 | | | | 10,301 | | | | 10,521 | | |
| Trustees fees (Note 8) | | | 9,776 | | | | 1,347 | | | | 25,198 | | | | 38 | | | | 16 | | | | 21 | | |
| Compliance services fees (Note 4) | | | 2,774 | | | | 415 | | | | 7,075 | | | | 12 | | | | 4 | | | | 7 | | |
| Other fees | | | 37,991 | | | | 10,702 | | | | 40,547 | | | | 4,886 | | | | 4,850 | | | | 3,819 | | |
Total Gross Expenses before
fees waived and/or
reimbursed | | | 5,232,067 | | | | 819,544 | | | | 12,885,533 | | | | 92,202 | | | | 86,309 | | | | 87,795 | | |
| LESS: | |
Expenses waived and/or
reimbursed by Advisor
(Note 4) | | | — | | | | (32,718 | ) | | | — | | | | (70,502 | ) | | | (77,253 | ) | | | (73,495 | ) | |
| Total Net Expenses | | | 5,232,067 | | | | 786,826 | | | | 12,885,533 | | | | 21,700 | | | | 9,056 | | | | 14,300 | | |
| Net Investment Income (Loss) | | | (4,656,193 | ) | | | (642,442 | ) | | | (11,598,774 | ) | | | (20,216 | ) | | | (8,129 | ) | | | (12,260 | ) | |
NET REALIZED GAIN (LOSS)
FROM: | |
| Transactions in investment securities | | | (8,704 | ) | | | 13,431 | | | | 120,675 | | | | 10,182 | | | | 1,873 | | | | 2,393 | | |
Expiration or closing of futures
contracts | | | (467,154 | ) | | | 134,029 | | | | 4,967,145 | | | | — | | | | — | | | | — | | |
Expiration or closing of
non-exchange traded swap
agreements | | | (385,214,962 | ) | | | 24,029,047 | | | | 238,676,996 | | | | (1,081,800 | ) | | | (376,719 | ) | | | (193,157 | ) | |
| Net realized gain (loss) | | | (385,690,820 | ) | | | 24,176,507 | | | | 243,764,816 | | | | (1,071,618 | ) | | | (374,846 | ) | | | (190,764 | ) | |
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION
FROM: | |
| Investments | | | (601,373 | ) | | | (131,531 | ) | | | (1,199,468 | ) | | | — | | | | — | | | | — | | |
| Futures contracts | | | 866,639 | | | | 13,490 | | | | 259,960 | | | | — | | | | — | | | | — | | |
Non-exchange traded swap
agreements | | | 328,715,190 | | | | (2,144,107 | ) | | | 82,257,033 | | | | 356,984 | | | | 260,346 | | | | 1,179,180 | | |
Change in net unrealized
appreciation/depreciation | | | 328,980,456 | | | | (2,262,148 | ) | | | 81,317,525 | | | | 356,984 | | | | 260,346 | | | | 1,179,180 | | |
Net realized and unrealized
gain (loss) | | | (56,710,364 | ) | | | 21,914,359 | | | | 325,082,341 | | | | (714,634 | ) | | | (114,500 | ) | | | 988,416 | | |
Change in Net Assets Resulting
from Operations | | $ | (61,366,557 | ) | | $ | 21,271,917 | | | $ | 313,483,567 | | | $ | (734,850 | ) | | $ | (122,629 | ) | | $ | 976,156 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF OPERATIONS :: FOR THE YEAR ENDED MAY 31, 2022 :: 199
| | | UltraShort
Dow30SM | | UltraShort
Financials | | UltraShort
FTSE China 50 | | UltraShort
FTSE Europe | | UltraShort
Health Care | | UltraShort
Industrials | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | |
| INVESTMENT INCOME: | |
| Interest | | $ | 87,319 | | | $ | 7,832 | | | $ | 14,081 | | | $ | 25,603 | | | $ | 1,782 | | | $ | 2,318 | | |
| Total Investment Income | | | 87,319 | | | | 7,832 | | | | 14,081 | | | | 25,603 | | | | 1,782 | | | | 2,318 | | |
| EXPENSES: | |
| Advisory fees (Note 4) | | | 764,183 | | | | 97,235 | | | | 163,129 | | | | 120,056 | | | | 13,933 | | | | 17,140 | | |
| Management Services fees (Note 4) | | | 101,890 | | | | 12,965 | | | | 21,750 | | | | 16,007 | | | | 1,858 | | | | 2,285 | | |
| Professional fees | | | 19,631 | | | | 17,246 | | | | 38,183 | | | | 38,481 | | | | 23,915 | | | | 24,656 | | |
| Administration fees (Note 5) | | | 63,883 | | | | 38,397 | | | | 38,267 | | | | 39,487 | | | | 38,471 | | | | 38,471 | | |
| Custodian fees (Note 6) | | | 7,318 | | | | 739 | | | | 1,311 | | | | 993 | | | | 227 | | | | 227 | | |
| Printing and Shareholder reports | | | 5,713 | | | | 5,531 | | | | 2,145 | | | | 1,399 | | | | 740 | | | | 614 | | |
Listing, Data and related fees
(Note 7) | | | 50,677 | | | | 15,106 | | | | 30,583 | | | | 14,722 | | | | 10,663 | | | | 10,834 | | |
| Trustees fees (Note 8) | | | 1,769 | | | | 217 | | | | 362 | | | | 189 | | | | 31 | | | | 35 | | |
| Compliance services fees (Note 4) | | | 496 | | | | 57 | | | | 90 | | | | 73 | | | | 8 | | | | 12 | | |
| Other fees | | | 8,206 | | | | 6,300 | | | | 4,410 | | | | 8,005 | | | | 4,952 | | | | 6,063 | | |
Total Gross Expenses before
fees waived and/or
reimbursed | | | 1,023,766 | | | | 193,793 | | | | 300,230 | | | | 239,412 | | | | 94,798 | | | | 100,337 | | |
| LESS: | |
Expenses waived and/or
reimbursed by Advisor
(Note 4) | | | (55,917 | ) | | | (70,655 | ) | | | (93,416 | ) | | | (87,390 | ) | | | (77,168 | ) | | | (78,616 | ) | |
| Total Net Expenses | | | 967,849 | | | | 123,138 | | | | 206,814 | | | | 152,022 | | | | 17,630 | | | | 21,721 | | |
| Net Investment Income (Loss) | | | (880,530 | ) | | | (115,306 | ) | | | (192,733 | ) | | | (126,419 | ) | | | (15,848 | ) | | | (19,403 | ) | |
NET REALIZED GAIN (LOSS)
FROM: | |
| Transactions in investment securities | | | 45,750 | | | | 36,583 | | | | 36,745 | | | | 191 | | | | 351 | | | | 4,534 | | |
Expiration or closing of futures
contracts | | | 105,535 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
Expiration or closing of
non-exchange traded swap
agreements | | | (34,659,584 | ) | | | (9,429,599 | ) | | | 2,758,393 | | | | (3,555,074 | ) | | | (623,077 | ) | | | (417,299 | ) | |
| Net realized gain (loss) | | | (34,508,299 | ) | | | (9,393,016 | ) | | | 2,795,138 | | | | (3,554,883 | ) | | | (622,726 | ) | | | (412,765 | ) | |
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION
FROM: | |
| Investments | | | (6,036 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Futures contracts | | | 452,014 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
Non-exchange traded swap
agreements | | | 31,776,622 | | | | 8,658,777 | | | | 2,887,793 | | | | 2,085,442 | | | | 21,513 | | | | 859,127 | | |
Change in net unrealized
appreciation/depreciation | | | 32,222,600 | | | | 8,658,777 | | | | 2,887,793 | | | | 2,085,442 | | | | 21,513 | | | | 859,127 | | |
Net realized and unrealized
gain (loss) | | | (2,285,699 | ) | | | (734,239 | ) | | | 5,682,931 | | | | (1,469,441 | ) | | | (601,213 | ) | | | 446,362 | | |
Change in Net Assets Resulting
from Operations | | $ | (3,166,229 | ) | | $ | (849,545 | ) | | $ | 5,490,198 | | | $ | (1,595,860 | ) | | $ | (617,061 | ) | | $ | 426,959 | | |
See accompanying notes to the financial statements.
200 :: FOR THE YEAR ENDED MAY 31, 2022 :: STATEMENTS OF OPERATIONS PROSHARES TRUST
| | | UltraShort
MidCap400 | | UltraShort
MSCI Brazil
Capped | | UltraShort
MSCI EAFE | | UltraShort
MSCI Emerging
Markets | | UltraShort
MSCI Japan | | UltraShort
Nasdaq
Biotechnology | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | |
| INVESTMENT INCOME: | |
| Interest | | $ | 1,833 | | | $ | 8,200 | | | $ | 1,166 | | | $ | 6,170 | | | $ | 3,188 | | | $ | 3,247 | | |
| Total Investment Income | | | 1,833 | | | | 8,200 | | | | 1,166 | | | | 6,170 | | | | 3,188 | | | | 3,247 | | |
| EXPENSES: | |
| Advisory fees (Note 4) | | | 15,639 | | | | 108,885 | | | | 10,092 | | | | 55,299 | | | | 32,843 | | | | 62,224 | | |
| Management Services fees (Note 4) | | | 2,085 | | | | 14,518 | | | | 1,346 | | | | 7,373 | | | | 4,379 | | | | 8,296 | | |
| Professional fees | | | 17,204 | | | | 44,740 | | | | 34,531 | | | | 36,338 | | | | 35,658 | | | | 23,935 | | |
| Administration fees (Note 5) | | | 38,471 | | | | 38,610 | | | | 38,471 | | | | 38,471 | | | | 38,471 | | | | 38,483 | | |
| Custodian fees (Note 6) | | | 1,615 | | | | 1,101 | | | | 137 | | | | 546 | | | | 304 | | | | 622 | | |
| Printing and Shareholder reports | | | 774 | | | | 1,280 | | | | 687 | | | | 1,741 | | | | 760 | | | | 1,482 | | |
Listing, Data and related fees
(Note 7) | | | 12,419 | | | | 16,771 | | | | 10,533 | | | | 12,926 | | | | 11,996 | | | | 12,526 | | |
| Trustees fees (Note 8) | | | 34 | | | | 251 | | | | 23 | | | | 119 | | | | 74 | | | | 149 | | |
| Compliance services fees (Note 4) | | | 9 | | | | 67 | | | | 6 | | | | 34 | | | | 19 | | | | 32 | | |
| Other fees | | | 6,076 | | | | 5,483 | | | | 3,746 | | | | 4,133 | | | | 3,884 | | | | 4,313 | | |
Total Gross Expenses before
fees waived and/or
reimbursed | | | 94,326 | | | | 231,706 | | | | 99,572 | | | | 156,980 | | | | 128,388 | | | | 152,062 | | |
| LESS: | |
Expenses waived and/or
reimbursed by Advisor
(Note 4) | | | (74,531 | ) | | | (93,871 | ) | | | (86,783 | ) | | | (86,877 | ) | | | (86,774 | ) | | | (73,206 | ) | |
| Total Net Expenses | | | 19,795 | | | | 137,835 | | | | 12,789 | | | | 70,103 | | | | 41,614 | | | | 78,856 | | |
| Net Investment Income (Loss) | | | (17,962 | ) | | | (129,635 | ) | | | (11,623 | ) | | | (63,933 | ) | | | (38,426 | ) | | | (75,609 | ) | |
NET REALIZED GAIN (LOSS)
FROM: | |
| Transactions in investment securities | | | 11,230 | | | | 110 | | | | 16,407 | | | | 49,706 | | | | 3,251 | | | | — | | |
Expiration or closing of futures
contracts | | | (24,119 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | |
Expiration or closing of
non-exchange traded swap
agreements | | | (890,456 | ) | | | (6,012,333 | ) | | | (389,345 | ) | | | 2,187,973 | | | | (1,017,006 | ) | | | (7,146,131 | ) | |
| Net realized gain (loss) | | | (903,345 | ) | | | (6,012,223 | ) | | | (372,938 | ) | | | 2,237,679 | | | | (1,013,755 | ) | | | (7,146,131 | ) | |
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION
FROM: | |
| Futures contracts | | | 22,662 | | | | — | | | | — | | | | — | | | | — | | | | — | | |
Non-exchange traded swap
agreements | | | 369,930 | | | | 3,142,811 | | | | 603,554 | | | | (313,630 | ) | | | 1,734,955 | | | | 9,072,853 | | |
Change in net unrealized
appreciation/depreciation | | | 392,592 | | | | 3,142,811 | | | | 603,554 | | | | (313,630 | ) | | | 1,734,955 | | | | 9,072,853 | | |
Net realized and unrealized
gain (loss) | | | (510,753 | ) | | | (2,869,412 | ) | | | 230,616 | | | | 1,924,049 | | | | 721,200 | | | | 1,926,722 | | |
Change in Net Assets Resulting
from Operations | | $ | (528,715 | ) | | $ | (2,999,047 | ) | | $ | 218,993 | | | $ | 1,860,116 | | | $ | 682,774 | | | $ | 1,851,113 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF OPERATIONS :: FOR THE YEAR ENDED MAY 31, 2022 :: 201
| | | UltraShort
Oil & Gas | | UltraShort
QQQ | | UltraShort
Real Estate | | UltraShort
Russell2000 | | UltraShort
S&P500® | | UltraShort
Semiconductors | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | |
| INVESTMENT INCOME: | |
| Interest | | $ | 20,293 | | | $ | 244,477 | | | $ | 15,382 | | | $ | 85,127 | | | $ | 649,720 | | | $ | 3,943 | | |
| Total Investment Income | | | 20,293 | | | | 244,477 | | | | 15,382 | | | | 85,127 | | | | 649,720 | | | | 3,943 | | |
| EXPENSES: | |
| Advisory fees (Note 4) | | | 151,555 | | | | 2,037,624 | | | | 124,039 | | | | 676,734 | | | | 4,728,334 | | | | 26,194 | | |
| Management Services fees (Note 4) | | | 20,207 | | | | 271,681 | | | | 16,538 | | | | 90,231 | | | | 630,440 | | | | 3,492 | | |
| Professional fees | | | 24,077 | | | | 23,266 | | | | 24,758 | | | | 21,807 | | | | 24,678 | | | | 17,199 | | |
| Administration fees (Note 5) | | | 38,474 | | | | 98,136 | | | | 38,493 | | | | 60,334 | | | | 146,790 | | | | 38,471 | | |
| Custodian fees (Note 6) | | | 1,288 | | | | 16,659 | | | | 803 | | | | 7,431 | | | | 33,313 | | | | 285 | | |
| Printing and Shareholder reports | | | 2,772 | | | | 22,390 | | | | 4,584 | | | | 3,687 | | | | 50,133 | | | | 538 | | |
Listing, Data and related fees
(Note 7) | | | 18,003 | | | | 281,601 | | | | 16,535 | | | | 95,638 | | | | 17,091 | | | | 11,317 | | |
| Trustees fees (Note 8) | | | 307 | | | | 4,617 | | | | 265 | | | | 1,547 | | | | 10,720 | | | | 57 | | |
| Compliance services fees (Note 4) | | | 93 | | | | 1,423 | | | | 70 | | | | 450 | | | | 3,091 | | | | 17 | | |
| Other fees | | | 7,809 | | | | 18,657 | | | | 6,452 | | | | 8,760 | | | | 34,021 | | | | 5,516 | | |
Total Gross Expenses before
fees waived and/or
reimbursed | | | 264,585 | | | | 2,776,054 | | | | 232,537 | | | | 966,619 | | | | 5,678,611 | | | | 103,086 | | |
| LESS: | |
Expenses waived and/or
reimbursed by Advisor
(Note 4) | | | (73,259 | ) | | | (193,776 | ) | | | (75,437 | ) | | | (109,034 | ) | | | — | | | | (69,945 | ) | |
| Total Net Expenses | | | 191,326 | | | | 2,582,278 | | | | 157,100 | | | | 857,585 | | | | 5,678,611 | | | | 33,141 | | |
| Net Investment Income (Loss) | | | (171,033 | ) | | | (2,337,801 | ) | | | (141,718 | ) | | | (772,458 | ) | | | (5,028,891 | ) | | | (29,198 | ) | |
NET REALIZED GAIN (LOSS)
FROM: | |
| Transactions in investment securities | | | 23,208 | | | | 79,487 | | | | 38,263 | | | | — | | | | 178,626 | | | | 400 | | |
Expiration or closing of futures
contracts | | | — | | | | 7,410,044 | | | | — | | | | 1,670,321 | | | | (1,517,891 | ) | | | — | | |
Expiration or closing of
non-exchange traded swap
agreements | | | (10,727,538 | ) | | | (47,860,466 | ) | | | (20,225,210 | ) | | | (12,946,941 | ) | | | (327,683,551 | ) | | | (1,900,931 | ) | |
| Net realized gain (loss) | | | (10,704,330 | ) | | | (40,370,935 | ) | | | (20,186,947 | ) | | | (11,276,620 | ) | | | (329,022,816 | ) | | | (1,900,531 | ) | |
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION
FROM: | |
| Investments | | | — | | | | (225,041 | ) | | | — | | | | (1,842 | ) | | | (466,967 | ) | | | — | | |
| Futures contracts | | | — | | | | 1,245,298 | | | | — | | | | (5,873 | ) | | | 1,174,635 | | | | — | | |
Non-exchange traded swap
agreements | | | (12,993,449 | ) | | | 93,139,454 | | | | 20,370,032 | | | | 29,676,280 | | | | 302,794,976 | | | | 546,756 | | |
Change in net unrealized
appreciation/depreciation | | | (12,993,449 | ) | | | 94,159,711 | | | | 20,370,032 | | | | 29,668,565 | | | | 303,502,644 | | | | 546,756 | | |
Net realized and unrealized
gain (loss) | | | (23,697,779 | ) | | | 53,788,776 | | | | 183,085 | | | | 18,391,945 | | | | (25,520,172 | ) | | | (1,353,775 | ) | |
Change in Net Assets Resulting
from Operations | | $ | (23,868,812 | ) | | $ | 51,450,975 | | | $ | 41,367 | | | $ | 17,619,487 | | | $ | (30,549,063 | ) | | $ | (1,382,973 | ) | |
See accompanying notes to the financial statements.
202 :: FOR THE YEAR ENDED MAY 31, 2022 :: STATEMENTS OF OPERATIONS PROSHARES TRUST
| | | UltraShort
SmallCap600 | | UltraShort
Technology | | UltraShort
Utilities | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2022 | |
| INVESTMENT INCOME: | |
| Interest | | $ | 2,934 | | | $ | 5,097 | | | $ | 1,587 | | |
| Total Investment Income | | | 2,934 | | | | 5,097 | | | | 1,587 | | |
| EXPENSES: | |
| Advisory fees (Note 4) | | | 24,014 | | | | 42,371 | | | | 14,109 | | |
| Management Services fees (Note 4) | | | 3,202 | | | | 5,649 | | | | 1,881 | | |
| Professional fees | | | 17,211 | | | | 21,234 | | | | 17,197 | | |
| Administration fees (Note 5) | | | 38,471 | | | | 38,471 | | | | 38,471 | | |
| Custodian fees (Note 6) | | | 144 | | | | 478 | | | | 160 | | |
| Printing and Shareholder reports | | | 662 | | | | 1,810 | | | | 585 | | |
| Listing, Data and related fees (Note 7) | | | 12,415 | | | | 12,180 | | | | 10,673 | | |
| Trustees fees (Note 8) | | | 51 | | | | 88 | | | | 31 | | |
| Compliance services fees (Note 4) | | | 15 | | | | 27 | | | | 8 | | |
| Other fees | | | 6,167 | | | | 5,507 | | | | 4,842 | | |
| Total Gross Expenses before fees waived and/or reimbursed | | | 102,352 | | | | 127,815 | | | | 87,957 | | |
| LESS: | |
| Expenses waived and/or reimbursed by Advisor (Note 4) | | | (71,932 | ) | | | (74,128 | ) | | | (70,103 | ) | |
| Total Net Expenses | | | 30,420 | | | | 53,687 | | | | 17,854 | | |
| Net Investment Income (Loss) | | | (27,486 | ) | | | (48,590 | ) | | | (16,267 | ) | |
| NET REALIZED GAIN (LOSS) FROM: | |
| Transactions in investment securities | | | 144 | | | | 557 | | | | 562 | | |
| Expiration or closing of non-exchange traded swap agreements | | | (379,342 | ) | | | (4,058,509 | ) | | | (1,490,625 | ) | |
| Net realized gain (loss) | | | (379,198 | ) | | | (4,057,952 | ) | | | (1,490,063 | ) | |
| CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION FROM: | |
| Non-exchange traded swap agreements | | | 607,339 | | | | 4,848,322 | | | | 882,779 | | |
| Change in net unrealized appreciation/depreciation | | | 607,339 | | | | 4,848,322 | | | | 882,779 | | |
| Net realized and unrealized gain (loss) | | | 228,141 | | | | 790,370 | | | | (607,284 | ) | |
| Change in Net Assets Resulting from Operations | | $ | 200,655 | | | $ | 741,780 | | | $ | (623,551 | ) | |
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF OPERATIONS :: FOR THE YEAR ENDED MAY 31, 2022 :: 203
STATEMENTS OF CHANGES IN NET ASSETS
204 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
| | | Short 7-10 Year Treasury | | Short 20+ Year Treasury | | Short Dow30SM | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (1,030,121 | ) | | $ | (333,015 | ) | | $ | (5,601,050 | ) | | $ | (2,699,999 | ) | | $ | (2,225,689 | ) | | $ | (3,018,749 | ) | |
| Net realized gain (loss) | | | 13,030,974 | | | | (127,285 | ) | | | 91,830,374 | | | | 48,465,998 | | | | (55,094,161 | ) | | | (140,673,909 | ) | |
Change in net unrealized
appreciation/depreciation | | | 368,002 | | | | 1,155,049 | | | | 9,430,598 | | | | (3,729,613 | ) | | | 52,064,455 | | | | 7,736,316 | | |
Change in net assets resulting
from operations | | | 12,368,855 | | | | 694,749 | | | | 95,659,922 | | | | 42,036,386 | | | | (5,255,395 | ) | | | (135,956,342 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 223,921,675 | | | | 84,104,689 | | | | 1,201,934,471 | | | | 1,198,738,480 | | | | 370,483,867 | | | | 306,917,383 | | |
| Cost of shares redeemed | | | (154,551,261 | ) | | | (10,329,210 | ) | | | (1,219,984,465 | ) | | | (803,142,952 | ) | | | (342,315,337 | ) | | | (440,722,758 | ) | |
Change in net assets resulting
from capital transactions | | | 69,370,414 | | | | 73,775,479 | | | | (18,049,994 | ) | | | 395,595,528 | | | | 28,168,530 | | | | (133,805,375 | ) | |
| Change in net assets | | | 81,739,269 | | | | 74,470,228 | | | | 77,609,928 | | | | 437,631,914 | | | | 22,913,135 | | | | (269,761,717 | ) | |
| NET ASSETS: | |
| Beginning of period | | $ | 89,977,385 | | | $ | 15,507,157 | | | $ | 597,553,007 | | | $ | 159,921,093 | | | $ | 232,823,740 | | | $ | 502,585,457 | | |
| End of period | | $ | 171,716,654 | | | $ | 89,977,385 | | | $ | 675,162,935 | | | $ | 597,553,007 | | | $ | 255,736,875 | | | $ | 232,823,740 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 3,625,000 | | | | 650,000 | | | | 33,950,000 | | | | 10,300,000 | | | | 6,823,755 | | | | 10,223,755 | | |
| Issued | | | 8,850,000 | | | | 3,400,000 | | | | 70,750,000 | | | | 72,900,000 | | | | 11,050,000 | | | | 7,300,000 | | |
| Issued in-kind | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Redeemed | | | (6,050,000 | ) | | | (425,000 | ) | | | (70,700,000 | ) | | | (49,250,000 | ) | | | (10,350,000 | ) | | | (10,700,000 | ) | |
| Redemption in-kind | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Shares outstanding, end of period | | | 6,425,000 | | | | 3,625,000 | | | | 34,000,000 | | | | 33,950,000 | | | | 7,523,755 | | | | 6,823,755 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 205
| | | Short Financials | | Short FTSE China 50 | | Short High Yield | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (92,417 | ) | | $ | (178,415 | ) | | $ | (69,528 | ) | | $ | (47,199 | ) | | $ | (776,516 | ) | | $ | (690,475 | ) | |
| Net realized gain (loss) | | | (4,231,118 | ) | | | (6,862,073 | ) | | | 999,309 | | | | (550,265 | ) | | | 2,776,015 | | | | (12,350,687 | ) | |
Change in net unrealized
appreciation/depreciation | | | 4,256,674 | | | | (2,033,527 | ) | | | 420,688 | | | | (1,007,344 | ) | | | (2,562,954 | ) | | | 1,520,614 | | |
Change in net assets resulting
from operations | | | (66,861 | ) | | | (9,074,015 | ) | | | 1,350,469 | | | | (1,604,808 | ) | | | (563,455 | ) | | | (11,520,548 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 24,036,193 | | | | 18,931,554 | | | | 16,851,461 | | | | 895,685 | | | | 328,770,206 | | | | 25,335,522 | | |
| Cost of shares redeemed | | | (15,330,244 | ) | | | (32,274,571 | ) | | | (14,200,857 | ) | | | (2,979,467 | ) | | | (39,849,609 | ) | | | (78,151,728 | ) | |
Change in net assets resulting
from capital transactions | | | 8,705,949 | | | | (13,343,017 | ) | | | 2,650,604 | | | | (2,083,782 | ) | | | 288,920,597 | | | | (52,816,206 | ) | |
| Change in net assets | | | 8,639,088 | | | | (22,417,032 | ) | | | 4,001,073 | | | | (3,688,590 | ) | | | 288,357,142 | | | | (64,336,754 | ) | |
| NET ASSETS: | |
| Beginning of period | | $ | 9,854,727 | | | $ | 32,271,759 | | | $ | 2,835,350 | | | $ | 6,523,940 | | | $ | 54,684,679 | | | $ | 119,021,433 | | |
| End of period | | $ | 18,493,815 | | | $ | 9,854,727 | | | $ | 6,836,423 | | | $ | 2,835,350 | | | $ | 343,041,821 | | | $ | 54,684,679 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 774,851 | | | | 1,574,851 | | | | 200,000 | | | | 350,000 | | | | 3,000,000 | | | | 5,700,000 | | |
| Issued | | | 1,950,000 | | | | 1,000,000 | | | | 1,000,000 | | | | 50,000 | | | | 17,800,000 | | | | 1,300,000 | | |
| Issued in-kind | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Redeemed | | | (1,250,000 | ) | | | (1,800,000 | ) | | | (800,000 | ) | | | (200,000 | ) | | | (2,200,000 | ) | | | (4,000,000 | ) | |
| Redemption in-kind | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Shares outstanding, end of period | | | 1,474,851 | | | | 774,851 | | | | 400,000 | | | | 200,000 | | | | 18,600,000 | | | | 3,000,000 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
See accompanying notes to the financial statements.
206 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
| | | Short MidCap400 | | Short MSCI EAFE | | Short MSCI Emerging Markets | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (96,435 | ) | | $ | (207,055 | ) | | $ | (229,626 | ) | | $ | (207,284 | ) | | $ | (294,919 | ) | | $ | (383,638 | ) | |
| Net realized gain (loss) | | | (4,272,750 | ) | | | (17,501,501 | ) | | | (2,812,000 | ) | | | (14,153,009 | ) | | | (642,969 | ) | | | (28,928,215 | ) | |
Change in net unrealized
appreciation/depreciation | | | 4,367,197 | | | | 6,191,667 | | | | 1,992,714 | | | | 4,533,486 | | | | 4,739,509 | | | | 5,637,223 | | |
Change in net assets resulting
from operations | | | (1,988 | ) | | | (11,516,889 | ) | | | (1,048,912 | ) | | | (9,826,807 | ) | | | 3,801,621 | | | | (23,674,630 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 9,848,424 | | | | 9,163,106 | | | | 161,390,383 | | | | 32,012,837 | | | | 76,804,412 | | | | 25,069,525 | | |
| Cost of shares redeemed | | | (9,643,569 | ) | | | (16,664,309 | ) | | | (104,931,666 | ) | | | (57,884,461 | ) | | | (58,307,370 | ) | | | (68,618,536 | ) | |
Change in net assets resulting
from capital transactions | | | 204,855 | | | | (7,501,203 | ) | | | 56,458,717 | | | | (25,871,624 | ) | | | 18,497,042 | | | | (43,549,011 | ) | |
| Change in net assets | | | 202,867 | | | | (19,018,092 | ) | | | 55,409,805 | | | | (35,698,431 | ) | | | 22,298,663 | | | | (67,223,641 | ) | |
| NET ASSETS: | |
| Beginning of period | | $ | 12,003,518 | | | $ | 31,021,610 | | | $ | 9,548,609 | | | $ | 45,247,040 | | | $ | 20,746,900 | | | $ | 87,970,541 | | |
| End of period | | $ | 12,206,385 | | | $ | 12,003,518 | | | $ | 64,958,414 | | | $ | 9,548,609 | | | $ | 43,045,563 | | | $ | 20,746,900 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 493,667 | | | | 768,667 | | | | 525,000 | | | | 1,725,000 | | | | 1,750,000 | | | | 4,750,000 | | |
| Issued | | | 400,000 | | | | 250,000 | | | | 8,500,000 | | | | 1,350,000 | | | | 5,850,000 | | | | 1,700,000 | | |
| Issued in-kind | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Redeemed | | | (400,000 | ) | | | (525,000 | ) | | | (5,700,000 | ) | | | (2,550,000 | ) | | | (4,550,000 | ) | | | (4,700,000 | ) | |
| Redemption in-kind | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Shares outstanding, end of period | | | 493,667 | | | | 493,667 | | | | 3,325,000 | | | | 525,000 | | | | 3,050,000 | | | | 1,750,000 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 207
| | | Short QQQ | | Short Real Estate | | Short Russell2000 | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (5,913,714 | ) | | $ | (5,049,642 | ) | | $ | (72,201 | ) | | $ | (157,123 | ) | | $ | (2,498,389 | ) | | $ | (2,972,120 | ) | |
| Net realized gain (loss) | | | (121,801,412 | ) | | | (331,320,929 | ) | | | (2,547,182 | ) | | | (6,485,026 | ) | | | (43,449,450 | ) | | | (257,494,066 | ) | |
Change in net unrealized
appreciation/depreciation | | | 178,854,149 | | | | 73,017,903 | | | | 2,081,298 | | | | 1,324,352 | | | | 76,208,412 | | | | 58,153,651 | | |
Change in net assets resulting
from operations | | | 51,139,023 | | | | (263,352,668 | ) | | | (538,085 | ) | | | (5,317,797 | ) | | | 30,260,573 | | | | (202,312,535 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 1,741,063,208 | | | | 1,144,258,995 | | | | 12,565,640 | | | | 5,075,190 | | | | 488,113,314 | | | | 593,230,095 | | |
| Cost of shares redeemed | | | (1,303,970,149 | ) | | | (787,726,884 | ) | | | (3,419,993 | ) | | | (19,379,367 | ) | | | (338,502,314 | ) | | | (602,770,756 | ) | |
Change in net assets resulting
from capital transactions | | | 437,093,059 | | | | 356,532,111 | | | | 9,145,647 | | | | (14,304,177 | ) | | | 149,611,000 | | | | (9,540,661 | ) | |
| Change in net assets | | | 488,232,082 | | | | 93,179,443 | | | | 8,607,562 | | | | (19,621,974 | ) | | | 179,871,573 | | | | (211,853,196 | ) | |
| NET ASSETS: | |
| Beginning of period | | $ | 595,528,338 | | | $ | 502,348,895 | | | $ | 7,651,576 | | | $ | 27,273,550 | | | $ | 273,412,042 | | | $ | 485,265,238 | | |
| End of period | | $ | 1,083,760,420 | | | $ | 595,528,338 | | | $ | 16,259,138 | | | $ | 7,651,576 | | | $ | 453,283,615 | | | $ | 273,412,042 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 45,062,500 | | | | 24,712,500 | | | | 400,000 | (b) | | | 1,025,000 | (b) | | | 12,766,642 | | | | 12,766,642 | | |
| Issued | | | 142,150,000 | | | | 72,450,000 | | | | 700,000 | (b) | | | 200,000 | (b) | | | 21,550,000 | | | | 20,600,000 | | |
| Issued in-kind | | | — | | | | — | | | | — | (b) | | | — | (b) | | | — | | | | — | | |
| Redeemed | | | (105,500,000 | ) | | | (52,100,000 | ) | | | (200,112 | )(b) | | | (825,000 | )(b) | | | (15,500,000 | ) | | | (20,600,000 | ) | |
| Redemption in-kind | | | — | | | | — | | | | — | (b) | | | — | (b) | | | — | | | | — | | |
| Shares outstanding, end of period | | | 81,712,500 | | | | 45,062,500 | | | | 899,888 | (b) | | | 400,000 | (b) | | | 18,816,642 | | | | 12,766,642 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(b) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective January 13, 2022.
See accompanying notes to the financial statements.
208 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
| | | Short S&P500® | | Short SmallCap600 | | Ultra 7-10 Year Treasury | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (12,292,340 | ) | | $ | (17,667,014 | ) | | $ | (42,450 | ) | | $ | (87,250 | ) | | $ | (17,479 | ) | | $ | 116,627 | | |
| Net realized gain (loss) | | | (410,162,201 | ) | | | (1,256,303,759 | ) | | | (773,108 | ) | | | (7,393,825 | ) | | | 169,586 | | | | 3,247,503 | | |
Change in net unrealized
appreciation/depreciation | | | 372,853,132 | | | | 354,728,530 | | | | 1,086,075 | | | | 1,572,108 | | | | (3,530,331 | ) | | | (7,082,459 | ) | |
Change in net assets resulting
from operations | | | (49,601,409 | ) | | | (919,242,243 | ) | | | 270,517 | | | | (5,908,967 | ) | | | (3,378,224 | ) | | | (3,718,329 | ) | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | — | | | | — | | | | — | | | | — | | | | (38,868 | ) | | | (140,892 | ) | |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (38,868 | ) | | | (140,892 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 3,427,800,937 | | | | 1,531,572,440 | | | | 3,026,104 | | | | 3,217,771 | | | | 19,618,935 | | | | 14,713,463 | | |
| Cost of shares redeemed | | | (2,432,461,110 | ) | | | (2,905,039,359 | ) | | | (887,256 | ) | | | (6,297,508 | ) | | | (16,783,261 | ) | | | (26,577,409 | ) | |
Change in net assets resulting
from capital transactions | | | 995,339,827 | | | | (1,373,466,919 | ) | | | 2,138,848 | | | | (3,079,737 | ) | | | 2,835,674 | | | | (11,863,946 | ) | |
| Change in net assets | | | 945,738,418 | | | | (2,292,709,162 | ) | | | 2,409,365 | | | | (8,988,704 | ) | | | (581,418 | ) | | | (15,723,167 | ) | |
| NET ASSETS: | |
| Beginning of period | | $ | 1,404,720,310 | | | $ | 3,697,429,472 | | | $ | 4,661,826 | | | $ | 13,650,530 | | | $ | 18,463,750 | | | $ | 34,186,917 | | |
| End of period | | $ | 2,350,458,728 | | | $ | 1,404,720,310 | | | $ | 7,071,191 | | | $ | 4,661,826 | | | $ | 17,882,332 | | | $ | 18,463,750 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 89,080,826 | | | | 161,055,826 | | | | 268,681 | | | | 418,681 | | | | 275,000 | | | | 450,000 | | |
| Issued | | | 231,025,000 | | | | 80,325,000 | | | | 175,000 | | | | 100,000 | | | | 300,000 | | | | 200,000 | | |
| Issued in-kind | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Redeemed | | | (165,725,000 | ) | | | (152,300,000 | ) | | | (50,000 | ) | | | (250,000 | ) | | | (250,000 | ) | | | (375,000 | ) | |
| Redemption in-kind | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Shares outstanding, end of period | | | 154,380,826 | | | | 89,080,826 | | | | 393,681 | | | | 268,681 | | | | 325,000 | | | | 275,000 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 209
| | | Ultra 20+ Year Treasury | | Ultra Basic Materials | | Ultra Consumer Goods | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (246,132 | ) | | $ | (126,251 | ) | | $ | 476,285 | | | $ | 206,091 | | | $ | 48,967 | | | $ | 33,317 | | |
| Net realized gain (loss) | | | (19,769,364 | ) | | | (3,914,933 | ) | | | 22,646,117 | | | | 6,772,711 | | | | 6,104,406 | | | | 1,716,162 | | |
Change in net unrealized
appreciation/depreciation | | | 1,005,077 | | | | (9,153,278 | ) | | | (24,987,142 | ) | | | 32,930,762 | | | | (6,722,220 | ) | | | 5,043,154 | | |
Change in net assets resulting
from operations | | | (19,010,419 | ) | | | (13,194,462 | ) | | | (1,864,740 | ) | | | 39,909,564 | | | | (568,847 | ) | | | 6,792,633 | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | — | | | | — | | | | (468,191 | ) | | | (222,206 | ) | | | (43,776 | ) | | | (37,605 | ) | |
| Total distributions | | | — | | | | — | | | | (468,191 | ) | | | (222,206 | ) | | | (43,776 | ) | | | (37,605 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 123,228,567 | | | | 99,240,889 | | | | 5,304,711 | | | | 45,033,317 | | | | 27,663,961 | | | | 22,038,627 | | |
| Cost of shares redeemed | | | (96,826,893 | ) | | | (107,325,194 | ) | | | (45,219,591 | ) | | | (7,940,390 | ) | | | (32,152,708 | ) | | | (20,719,420 | ) | |
Change in net assets resulting
from capital transactions | | | 26,401,674 | | | | (8,084,305 | ) | | | (39,914,880 | ) | | | 37,092,927 | | | | (4,488,747 | ) | | | 1,319,207 | | |
| Change in net assets | | | 7,391,255 | | | | (21,278,767 | ) | | | (42,247,811 | ) | | | 76,780,285 | | | | (5,101,370 | ) | | | 8,074,235 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 28,797,419 | | | $ | 50,076,186 | | | $ | 104,476,605 | | | $ | 27,696,320 | | | $ | 13,463,156 | | | $ | 5,388,921 | | |
| End of period | | $ | 36,188,674 | | | $ | 28,797,419 | | | $ | 62,228,794 | | | $ | 104,476,605 | | | $ | 8,361,786 | | | $ | 13,463,156 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 600,000 | | | | 750,000 | | | | 3,900,000 | (f) | | | 2,500,000 | (f) | | | 600,000 | (c) | | | 500,000 | (c) | |
| Issued | | | 2,300,000 | | | | 1,625,000 | | | | — | (f) | | | — | (f) | | | 1,150,000 | (c) | | | 1,200,000 | (c) | |
| Issued in-kind | | | — | | | | — | | | | 200,000 | (f) | | | 1,900,000 | (f) | | | 50,000 | (c) | | | 300,000 | (c) | |
| Redeemed | | | (1,375,000 | ) | | | (725,000 | ) | | | (25,000 | )(f) | | | — | (f) | | | — | (c) | | | — | (c) | |
| Redemption in-kind | | | (450,000 | ) | | | (1,050,000 | ) | | | (1,750,000 | )(f) | | | (500,000 | )(f) | | | (1,400,000 | )(c) | | | (1,400,000 | )(c) | |
| Shares outstanding, end of period | | | 1,075,000 | | | | 600,000 | | | | 2,325,000 | (f) | | | 3,900,000 | (f) | | | 400,000 | (c) | | | 600,000 | (c) | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(c) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 4:1 stock split effective January 13, 2022.
(f) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 4:1 stock split effective May 27, 2022.
See accompanying notes to the financial statements.
210 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
| | | Ultra Consumer Services | | Ultra Dow30SM | | Ultra Financials | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (99,163 | ) | | $ | (104,853 | ) | | $ | 2,693,521 | | | $ | 1,887,567 | | | $ | 2,962,867 | | | $ | 2,423,942 | | |
| Net realized gain (loss) | | | 6,652,019 | | | | 8,370,076 | | | | 128,878,710 | | | | 80,659,309 | | | | 168,451,268 | | | | 302,224,245 | | |
Change in net unrealized
appreciation/depreciation | | | (17,438,299 | ) | | | 6,627,092 | | | | (173,849,484 | ) | | | 142,486,666 | | | | (238,312,634 | ) | | | 190,640,287 | | |
Change in net assets resulting
from operations | | | (10,885,443 | ) | | | 14,892,315 | | | | (42,277,253 | ) | | | 225,033,542 | | | | (66,898,499 | ) | | | 495,288,474 | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | — | | | | — | | | | (1,513,762 | ) | | | (558,454 | ) | | | (42,664,109 | ) | | | (2,781,787 | ) | |
| Total distributions | | | — | | | | — | | | | (1,513,762 | ) | | | (558,454 | ) | | | (42,664,109 | ) | | | (2,781,787 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 17,917,755 | | | | 11,835,241 | | | | 184,408,771 | | | | 551,703,099 | | | | 1,178,507,703 | | | | 145,060,479 | | |
| Cost of shares redeemed | | | (24,780,629 | ) | | | (13,552,011 | ) | | | (253,346,080 | ) | | | (575,640,753 | ) | | | (1,321,139,297 | ) | | | (162,148,943 | ) | |
Change in net assets resulting
from capital transactions | | | (6,862,874 | ) | | | (1,716,770 | ) | | | (68,937,309 | ) | | | (23,937,654 | ) | | | (142,631,594 | ) | | | (17,088,464 | ) | |
| Change in net assets | | | (17,748,317 | ) | | | 13,175,545 | | | | (112,728,324 | ) | | | 200,537,434 | | | | (252,194,202 | ) | | | 475,418,223 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 31,622,062 | | | $ | 18,446,517 | | | $ | 498,320,422 | | | $ | 297,782,988 | | | $ | 923,716,879 | | | $ | 448,298,656 | | |
| End of period | | $ | 13,873,745 | | | $ | 31,622,062 | | | $ | 385,592,098 | | | $ | 498,320,422 | | | $ | 671,522,677 | | | $ | 923,716,879 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 650,000 | (d) | | | 700,000 | (d) | | | 6,900,000 | | | | 7,550,000 | | | | 14,507,750 | | | | 15,207,750 | | |
| Issued | | | 350,000 | (d) | | | 200,000 | (d) | | | 2,500,000 | | | | 11,100,000 | | | | 18,550,000 | | | | 2,650,000 | | |
| Issued in-kind | | | — | (d) | | | 50,000 | (d) | | | — | | | | — | | | | — | | | | — | | |
| Redeemed | | | — | (d) | | | — | (d) | | | — | | | | — | | | | — | | | | — | | |
| Redemption in-kind | | | (525,000 | )(d) | | | (300,000 | )(d) | | | (3,500,000 | ) | | | (11,750,000 | ) | | | (20,600,000 | ) | | | (3,350,000 | ) | |
| Shares outstanding, end of period | | | 475,000 | (d) | | | 650,000 | (d) | | | 5,900,000 | | | | 6,900,000 | | | | 12,457,750 | | | | 14,507,750 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(d) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective January 13, 2022.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 211
| | | Ultra FTSE China 50 | | Ultra FTSE Europe | | Ultra Health Care | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (166,197 | ) | | $ | (313,663 | ) | | $ | (44,794 | ) | | $ | (42,088 | ) | | $ | 376,362 | | | $ | 190,611 | | |
| Net realized gain (loss) | | | 248,528 | | | | 2,932,833 | | | | 1,391,855 | | | | 1,896,339 | | | | 56,128,216 | | | | 24,659,344 | | |
Change in net unrealized
appreciation/depreciation | | | (14,756,734 | ) | | | 4,227,489 | | | | (2,301,983 | ) | | | 1,252,036 | | | | (48,714,621 | ) | | | 18,153,574 | | |
Change in net assets resulting
from operations | | | (14,674,403 | ) | | | 6,846,659 | | | | (954,922 | ) | | | 3,106,287 | | | | 7,789,957 | | | | 43,003,529 | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | — | | | | — | | | | — | | | | — | | | | (247,844 | ) | | | (116,619 | ) | |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (247,844 | ) | | | (116,619 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 13,222,258 | | | | 17,688,326 | | | | 2,942,584 | | | | 1,422,507 | | | | 305,986,945 | | | | 17,528,027 | | |
| Cost of shares redeemed | | | (16,214,710 | ) | | | (16,606,011 | ) | | | (3,257,674 | ) | | | (2,789,027 | ) | | | (326,091,063 | ) | | | (40,726,691 | ) | |
Change in net assets resulting
from capital transactions | | | (2,992,452 | ) | | | 1,082,315 | | | | (315,090 | ) | | | (1,366,520 | ) | | | (20,104,118 | ) | | | (23,198,664 | ) | |
| Change in net assets | | | (17,666,855 | ) | | | 7,928,974 | | | | (1,270,012 | ) | | | 1,739,767 | | | | (12,562,005 | ) | | | 19,688,246 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 28,090,931 | | | $ | 20,161,957 | | | $ | 5,239,462 | | | $ | 3,499,695 | | | $ | 130,404,660 | | | $ | 110,716,414 | | |
| End of period | | $ | 10,424,076 | | | $ | 28,090,931 | | | $ | 3,969,450 | | | $ | 5,239,462 | | | $ | 117,842,655 | | | $ | 130,404,660 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 400,000 | | | | 400,000 | | | | 75,000 | | | | 100,000 | | | | 1,475,000 | | | | 1,800,000 | | |
| Issued | | | 300,000 | | | | 250,000 | | | | 50,000 | | | | 25,000 | | | | 2,575,000 | | | | 175,000 | | |
| Issued in-kind | | | — | | | | — | | | | — | | | | — | | | | 525,000 | | | | 50,000 | | |
| Redeemed | | | (350,000 | ) | | | (250,000 | ) | | | (50,000 | ) | | | (50,000 | ) | | | (200,000 | ) | | | (125,000 | ) | |
| Redemption in-kind | | | — | | | | — | | | | — | | | | — | | | | (3,100,000 | ) | | | (425,000 | ) | |
| Shares outstanding, end of period | | | 350,000 | | | | 400,000 | | | | 75,000 | | | | 75,000 | | | | 1,275,000 | | | | 1,475,000 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
See accompanying notes to the financial statements.
212 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
| | | Ultra High Yield | | Ultra Industrials | | Ultra MidCap400 | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (200,987 | ) | | $ | (109,709 | ) | | $ | 13,114 | | | $ | 14,941 | | | $ | 455,000 | | | $ | 217,770 | | |
| Net realized gain (loss) | | | 2,079,332 | | | | 154,302 | | | | 11,020,393 | | | | 3,514,515 | | | | 47,716,473 | | | | 38,598,782 | | |
Change in net unrealized
appreciation/depreciation | | | (3,822,149 | ) | | | 1,324,987 | | | | (18,114,684 | ) | | | 13,903,043 | | | | (78,959,083 | ) | | | 82,578,947 | | |
Change in net assets resulting
from operations | | | (1,943,804 | ) | | | 1,369,580 | | | | (7,081,177 | ) | | | 17,432,499 | | | | (30,787,610 | ) | | | 121,395,499 | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | (135,724 | ) | | | (319,707 | ) | | | (5,279 | ) | | | (36,211 | ) | | | (321,289 | ) | | | (268,889 | ) | |
| Total distributions | | | (135,724 | ) | | | (319,707 | ) | | | (5,279 | ) | | | (36,211 | ) | | | (321,289 | ) | | | (268,889 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 116,463,565 | | | | 46,566,158 | | | | 34,328,479 | | | | 11,512,934 | | | | 53,890,439 | | | | 35,618,242 | | |
| Cost of shares redeemed | | | (122,571,396 | ) | | | (24,015,252 | ) | | | (50,998,764 | ) | | | (3,296,459 | ) | | | (89,029,395 | ) | | | (72,618,438 | ) | |
Change in net assets resulting
from capital transactions | | | (6,107,831 | ) | | | 22,550,906 | | | | (16,670,285 | ) | | | 8,216,475 | | | | (35,138,956 | ) | | | (37,000,196 | ) | |
| Change in net assets | | | (8,187,359 | ) | | | 23,600,779 | | | | (23,756,741 | ) | | | 25,612,763 | | | | (66,247,855 | ) | | | 84,126,414 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 28,413,945 | | | $ | 4,813,166 | | | $ | 40,450,543 | | | $ | 14,837,780 | | | $ | 189,162,187 | | | $ | 105,035,773 | | |
| End of period | | $ | 20,226,586 | | | $ | 28,413,945 | | | $ | 16,693,802 | | | $ | 40,450,543 | | | $ | 122,914,332 | | | $ | 189,162,187 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 375,000 | | | | 75,000 | | | | 1,225,000 | | | | 1,000,000 | | | | 2,875,000 | | | | 3,675,000 | | |
| Issued | | | 1,525,000 | | | | 625,000 | | | | 1,000,000 | | | | 275,000 | | | | 600,000 | | | | 600,000 | | |
| Issued in-kind | | | — | | | | — | | | | 50,000 | | | | 100,000 | | | | 200,000 | | | | 500,000 | | |
| Redeemed | | | (1,600,000 | ) | | | (300,000 | ) | | | — | | | | — | | | | (600,000 | ) | | | (150,000 | ) | |
| Redemption in-kind | | | — | | | | (25,000 | ) | | | (1,575,000 | ) | | | (150,000 | ) | | | (800,000 | ) | | | (1,750,000 | ) | |
| Shares outstanding, end of period | | | 300,000 | | | | 375,000 | | | | 700,000 | | | | 1,225,000 | | | | 2,275,000 | | | | 2,875,000 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 213
| | | Ultra MSCI Brazil Capped | | Ultra MSCI EAFE | | Ultra MSCI Emerging Markets | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (64,563 | ) | | $ | (64,854 | ) | | $ | (114,722 | ) | | $ | (97,380 | ) | | $ | (483,344 | ) | | $ | (501,330 | ) | |
| Net realized gain (loss) | | | 3,040,927 | | | | 1,918,387 | | | | 3,370,053 | | | | 2,805,983 | | | | 2,161,182 | | | | 12,230,299 | | |
Change in net unrealized
appreciation/depreciation | | | (3,732,576 | ) | | | 2,303,302 | | | | (6,735,618 | ) | | | 3,187,495 | | | | (29,812,128 | ) | | | 12,404,023 | | |
Change in net assets resulting
from operations | | | (756,212 | ) | | | 4,156,835 | | | | (3,480,287 | ) | | | 5,896,098 | | | | (28,134,290 | ) | | | 24,132,992 | | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 10,315,500 | | | | 1,247,283 | | | | 7,541,381 | | | | 7,417,253 | | | | 20,744,168 | | | | 81,768,155 | | |
| Cost of shares redeemed | | | (7,156,563 | ) | | | (3,150,599 | ) | | | (8,205,537 | ) | | | (3,697,312 | ) | | | (58,484,193 | ) | | | (26,057,083 | ) | |
Change in net assets resulting
from capital transactions | | | 3,158,937 | | | | (1,903,316 | ) | | | (664,156 | ) | | | 3,719,941 | | | | (37,740,025 | ) | | | 55,711,072 | | |
| Change in net assets | | | 2,402,725 | | | | 2,253,519 | | | | (4,144,443 | ) | | | 9,616,039 | | | | (65,874,315 | ) | | | 79,844,064 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 7,139,788 | | | $ | 4,886,269 | | | $ | 13,208,204 | | | $ | 3,592,165 | | | $ | 92,605,000 | | | $ | 12,760,936 | | |
| End of period | | $ | 9,542,513 | | | $ | 7,139,788 | | | $ | 9,063,761 | | | $ | 13,208,204 | | | $ | 26,730,685 | | | $ | 92,605,000 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 191,557 | | | | 241,557 | | | | 250,000 | | | | 125,000 | | | | 875,000 | | | | 250,000 | | |
| Issued | | | 375,000 | | | | 50,000 | | | | 150,000 | | | | 200,000 | | | | 225,000 | | | | 900,000 | | |
| Issued in-kind | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Redeemed | | | (275,000 | ) | | | (100,000 | ) | | | (175,000 | ) | | | (75,000 | ) | | | (675,000 | ) | | | (275,000 | ) | |
| Redemption in-kind | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Shares outstanding, end of period | | | 291,557 | | | | 191,557 | | | | 225,000 | | | | 250,000 | | | | 425,000 | | | | 875,000 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
See accompanying notes to the financial statements.
214 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
| | | Ultra MSCI Japan | | Ultra Nasdaq Biotechnology | | Ultra Nasdaq Cloud Computing | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | January 19,
2021* through
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (60,339 | ) | | $ | (50,938 | ) | | $ | (576,731 | ) | | $ | (999,348 | ) | | $ | (10,891 | ) | | $ | (5,495 | ) | |
| Net realized gain (loss) | | | 1,541,413 | | | | 1,074,325 | | | | 3,383,233 | | | | 74,081,880 | | | | (239,922 | ) | | | 144,108 | | |
Change in net unrealized
appreciation/depreciation | | | (5,167,279 | ) | | | 1,025,730 | | | | (80,992,074 | ) | | | (35,130,549 | ) | | | (1,746,897 | ) | | | 77,658 | | |
Change in net assets resulting
from operations | | | (3,686,205 | ) | | | 2,049,117 | | | | (78,185,572 | ) | | | 37,951,983 | | | | (1,997,710 | ) | | | 216,271 | | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 36,793,949 | | | | 2,296,581 | | | | 99,642,381 | | | | 280,939,595 | | | | 1,868,676 | | | | 4,000,040 | | |
| Cost of shares redeemed | | | (33,245,054 | ) | | | (2,367,519 | ) | | | (215,160,010 | ) | | | (215,482,923 | ) | | | — | | | | (2,257,309 | ) | |
Change in net assets resulting
from capital transactions | | | 3,548,895 | | | | (70,938 | ) | | | (115,517,629 | ) | | | 65,456,672 | | | | 1,868,676 | | | | 1,742,731 | | |
| Change in net assets | | | (137,310 | ) | | | 1,978,179 | | | | (193,703,201 | ) | | | 103,408,655 | | | | (129,034 | ) | | | 1,959,002 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 5,897,111 | | | $ | 3,918,932 | | | $ | 287,388,294 | | | $ | 183,979,639 | | | $ | 1,959,002 | | | $ | — | | |
| End of period | | $ | 5,759,801 | | | $ | 5,897,111 | | | $ | 93,685,093 | | | $ | 287,388,294 | | | $ | 1,829,968 | | | $ | 1,959,002 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 125,000 | | | | 125,000 | | | | 3,400,000 | | | | 2,600,000 | | | | 50,001 | | | | — | | |
| Issued | | | 750,000 | | | | 50,000 | | | | 100,000 | | | | 200,000 | | | | — | | | | 100,001 | | |
| Issued in-kind | | | — | | | | — | | | | 1,000,000 | | | | 3,300,000 | | | | 50,000 | | | | — | | |
| Redeemed | | | (575,000 | ) | | | (50,000 | ) | | | (550,000 | ) | | | (350,000 | ) | | | — | | | | — | | |
| Redemption in-kind | | | (125,000 | ) | | | — | | | | (2,000,000 | ) | | | (2,350,000 | ) | | | — | | | | (50,000 | ) | |
| Shares outstanding, end of period | | | 175,000 | | | | 125,000 | | | | 1,950,000 | | | | 3,400,000 | | | | 100,001 | | | | 50,001 | | |
* 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 10 to the Financial Statements.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 215
| | | Ultra Nasdaq Cybersecurity | | Ultra Oil & Gas | | Ultra QQQ | |
| | Year Ended
May 31, 2022 | | January 19,
2021* through
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (35,168 | ) | | $ | (9,770 | ) | | $ | 4,091,799 | | | $ | 4,014,682 | | | $ | (15,459,260 | ) | | $ | (11,682,255 | ) | |
| Net realized gain (loss) | | | 443,600 | | | | — | | | | 139,254,242 | | | | 26,090,175 | | | | 1,370,868,620 | | | | 1,710,052,490 | | |
Change in net unrealized
appreciation/depreciation | | | (1,357,037 | ) | | | (163,862 | ) | | | 63,160,845 | | | | 63,220,343 | | | | (2,404,399,785 | ) | | | 410,296,228 | | |
Change in net assets resulting
from operations | | | (948,605 | ) | | | (173,632 | ) | | | 206,506,886 | | | | 93,325,200 | | | | (1,048,990,425 | ) | | | 2,108,666,463 | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | (29,506 | ) | | | — | | | | (4,771,573 | ) | | | (4,169,364 | ) | | | — | | | | — | | |
| Total distributions | | | (29,506 | ) | | | — | | | | (4,771,573 | ) | | | (4,169,364 | ) | | | — | | | | — | | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 6,528,568 | | | | 4,000,040 | | | | 48,974,498 | | | | 81,427,791 | | | | 4,485,156,617 | | | | 1,454,540,260 | | |
| Cost of shares redeemed | | | (6,032,433 | ) | | | (1,011,283 | ) | | | (243,215,147 | ) | | | (75,852,503 | ) | | | (4,051,362,587 | ) | | | (1,639,798,684 | ) | |
Change in net assets resulting
from capital transactions | | | 496,135 | | | | 2,988,757 | | | | (194,240,649 | ) | | | 5,575,288 | | | | 433,794,030 | | | | (185,258,424 | ) | |
| Change in net assets | | | (481,976 | ) | | | 2,815,125 | | | | 7,494,664 | | | | 94,731,124 | | | | (615,196,395 | ) | | | 1,923,408,039 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 2,815,125 | | | $ | — | | | $ | 211,206,667 | | | $ | 116,475,543 | | | $ | 4,294,520,528 | | | $ | 2,371,112,489 | | |
| End of period | | $ | 2,333,149 | | | $ | 2,815,125 | | | $ | 218,701,331 | | | $ | 211,206,667 | | | $ | 3,679,324,133 | | | $ | 4,294,520,528 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 75,001 | | | | — | | | | 12,652,944 | (f) | | | 11,652,944 | (f) | | | 67,500,000 | | | | 72,000,000 | | |
| Issued | | | 100,000 | | | | 100,001 | | | | 1,200,000 | (f) | | | 3,000,000 | (f) | | | 41,200,000 | | | | 15,200,000 | | |
| Issued in-kind | | | 25,000 | | | | — | | | | 1,400,000 | (f) | | | 4,800,000 | (f) | | | 22,100,000 | | | | 11,750,000 | | |
| Redeemed | | | (75,000 | ) | | | (25,000 | ) | | | (1,400,000 | )(f) | | | — | (f) | | | — | | | | — | | |
| Redemption in-kind | | | (50,000 | ) | | | — | | | | (8,850,000 | )(f) | | | (6,800,000 | )(f) | | | (58,200,000 | ) | | | (31,450,000 | ) | |
| Shares outstanding, end of period | | | 75,001 | | | | 75,001 | | | | 5,002,944 | (f) | | | 12,652,944 | (f) | | | 72,600,000 | | | | 67,500,000 | | |
* 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 10 to the Financial Statements.
(f) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 4:1 stock split effective May 27, 2022.
See accompanying notes to the financial statements.
216 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
| | | Ultra Real Estate | | Ultra Russell2000 | | Ultra S&P500® | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | 820,659 | | | $ | 774,013 | | | $ | (219,293 | ) | | $ | (1,028,961 | ) | | $ | 13,820,233 | | | $ | 11,160,299 | | |
| Net realized gain (loss) | | | 36,020,755 | | | | (19,075,577 | ) | | | 120,586,647 | | | | 173,833,379 | | | | 1,557,367,937 | | | | 918,063,517 | | |
Change in net unrealized
appreciation/depreciation | | | (37,730,729 | ) | | | 64,427,810 | | | | (234,321,144 | ) | | | 152,603,267 | | | | (1,806,969,584 | ) | | | 870,708,018 | | |
Change in net assets resulting
from operations | | | (889,315 | ) | | | 46,126,246 | | | | (113,953,790 | ) | | | 325,407,685 | | | | (235,781,414 | ) | | | 1,799,931,834 | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | (888,447 | ) | | | (613,192 | ) | | | — | | | | (58,617 | ) | | | (9,133,655 | ) | | | (5,190,269 | ) | |
| Total distributions | | | (888,447 | ) | | | (613,192 | ) | | | — | | | | (58,617 | ) | | | (9,133,655 | ) | | | (5,190,269 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 23,294,422 | | | | 32,896,676 | | | | 384,304,250 | | | | 775,638,701 | | | | 5,124,560,438 | | | | 2,324,587,585 | | |
| Cost of shares redeemed | | | (36,327,183 | ) | | | (37,931,952 | ) | | | (831,269,828 | ) | | | (482,962,530 | ) | | | (5,282,901,568 | ) | | | (2,457,702,513 | ) | |
Change in net assets resulting
from capital transactions | | | (13,032,761 | ) | | | (5,035,276 | ) | | | (446,965,578 | ) | | | 292,676,171 | | | | (158,341,130 | ) | | | (133,114,928 | ) | |
| Change in net assets | | | (14,810,523 | ) | | | 40,477,778 | | | | (560,919,368 | ) | | | 618,025,239 | | | | (403,256,199 | ) | | | 1,661,626,637 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 117,123,962 | | | $ | 76,646,184 | | | $ | 742,689,467 | | | $ | 124,664,228 | | | $ | 3,827,455,513 | | | $ | 2,165,828,876 | | |
| End of period | | $ | 102,313,439 | | | $ | 117,123,962 | | | $ | 181,770,099 | | | $ | 742,689,467 | | | $ | 3,424,199,314 | | | $ | 3,827,455,513 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 1,383,744 | | | | 1,483,744 | | | | 12,850,000 | | | | 5,400,000 | | | | 67,000,000 | (d) | | | 71,200,000 | (d) | |
| Issued | | | 100,000 | | | | 100,000 | | | | 7,550,000 | | | | 19,100,000 | | | | 38,900,000 | (d) | | | 34,300,000 | (d) | |
| Issued in-kind | | | 125,000 | | | | 400,000 | | | | 100,000 | | | | — | | | | 40,750,000 | (d) | | | 20,300,000 | (d) | |
| Redeemed | | | — | | | | — | | | | (50,000 | ) | | | (3,200,000 | ) | | | — | (d) | | | — | (d) | |
| Redemption in-kind | | | (375,000 | ) | | | (600,000 | ) | | | (15,550,000 | ) | | | (8,450,000 | ) | | | (83,100,000 | )(d) | | | (58,800,000 | )(d) | |
| Shares outstanding, end of period | | | 1,233,744 | | | | 1,383,744 | | | | 4,900,000 | | | | 12,850,000 | | | | 63,550,000 | (d) | | | 67,000,000 | (d) | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(d) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective January 13, 2022.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 217
| | | Ultra Semiconductors | | Ultra SmallCap600 | | Ultra Technology | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (236,009 | ) | | $ | (19,155 | ) | | $ | 31,109 | | | $ | (30,131 | ) | | $ | (3,942,192 | ) | | $ | (2,695,348 | ) | |
| Net realized gain (loss) | | | 75,443,570 | | | | 57,643,268 | | | | 12,318,883 | | | | 1,917,689 | | | | 475,853,274 | | | | 237,700,185 | | |
Change in net unrealized
appreciation/depreciation | | | (123,028,262 | ) | | | 51,908,796 | | | | (21,836,803 | ) | | | 22,951,072 | | | | (571,308,630 | ) | | | 195,420,094 | | |
Change in net assets resulting
from operations | | | (47,820,701 | ) | | | 109,532,909 | | | | (9,486,811 | ) | | | 24,838,630 | | | | (99,397,548 | ) | | | 430,424,931 | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | — | | | | (105,331 | ) | | | — | | | | (7,958 | ) | | | — | | | | — | | |
| Total distributions | | | — | | | | (105,331 | ) | | | — | | | | (7,958 | ) | | | — | | | | — | | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 365,953,832 | | | | 140,489,154 | | | | 4,390,038 | | | | 12,318,475 | | | | 486,250,284 | | | | 214,327,328 | | |
| Cost of shares redeemed | | | (323,870,726 | ) | | | (74,223,284 | ) | | | (8,077,079 | ) | | | (5,518,371 | ) | | | (610,701,807 | ) | | | (299,261,412 | ) | |
Change in net assets resulting
from capital transactions | | | 42,083,106 | | | | 66,265,870 | | | | (3,687,041 | ) | | | 6,800,104 | | | | (124,451,523 | ) | | | (84,934,084 | ) | |
| Change in net assets | | | (5,737,595 | ) | | | 175,693,448 | | | | (13,173,852 | ) | | | 31,630,776 | | | | (223,849,071 | ) | | | 345,490,847 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 253,317,251 | | | $ | 77,623,803 | | | $ | 46,108,873 | | | $ | 14,478,097 | | | $ | 763,228,698 | | | $ | 417,737,851 | | |
| End of period | | $ | 247,579,656 | | | $ | 253,317,251 | | | $ | 32,935,021 | | | $ | 46,108,873 | | | $ | 539,379,627 | | | $ | 763,228,698 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 8,075,000 | | | | 5,600,000 | | | | 1,450,000 | | | | 1,250,000 | | | | 18,300,000 | (d) | | | 20,200,000 | (d) | |
| Issued | | | 5,575,000 | | | | 900,000 | | | | 25,000 | | | | 25,000 | | | | 7,650,000 | (d) | | | 2,000,000 | (d) | |
| Issued in-kind | | | 4,125,000 | | | | 4,700,000 | | | | 125,000 | | | | 375,000 | | | | 1,975,000 | (d) | | | 4,900,000 | (d) | |
| Redeemed | | | — | | | | — | | | | — | | | | — | | | | — | (d) | | | — | (d) | |
| Redemption in-kind | | | (9,025,000 | ) | | | (3,125,000 | ) | | | (275,000 | ) | | | (200,000 | ) | | | (12,500,000 | )(d) | | | (8,800,000 | )(d) | |
| Shares outstanding, end of period | | | 8,750,000 | | | | 8,075,000 | | | | 1,325,000 | | | | 1,450,000 | | | | 15,425,000 | (d) | | | 18,300,000 | (d) | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(d) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective January 13, 2022.
See accompanying notes to the financial statements.
218 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
| | | Ultra Telecommunications | | Ultra Utilities | | UltraPro Dow30SM | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | 29,522 | | | $ | 18,392 | | | $ | 374,035 | | | $ | 186,284 | | | $ | 4,581,143 | | | $ | 3,756,328 | | |
| Net realized gain (loss) | | | 195,138 | | | | (12,542 | ) | | | 674,397 | | | | (1,568,487 | ) | | | 298,708,374 | | | | 333,836,349 | | |
Change in net unrealized
appreciation/depreciation | | | (615,435 | ) | | | 470,827 | | | | 3,252,710 | | | | 4,235,552 | | | | (377,844,228 | ) | | | 314,154,037 | | |
Change in net assets resulting
from operations | | | (390,775 | ) | | | 476,677 | | | | 4,301,142 | | | | 2,853,349 | | | | (74,554,711 | ) | | | 651,746,714 | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | (34,809 | ) | | | (14,027 | ) | | | (308,736 | ) | | | (89,337 | ) | | | (2,586,002 | ) | | | (1,653,264 | ) | |
| Total distributions | | | (34,809 | ) | | | (14,027 | ) | | | (308,736 | ) | | | (89,337 | ) | | | (2,586,002 | ) | | | (1,653,264 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | — | | | | 1,068,573 | | | | 21,966,904 | | | | 1,176,993 | | | | 2,965,496,366 | | | | 1,157,370,619 | | |
| Cost of shares redeemed | | | — | | | | — | | | | (15,816,548 | ) | | | (5,518,309 | ) | | | (3,154,717,709 | ) | | | (1,554,430,853 | ) | |
Change in net assets resulting
from capital transactions | | | — | | | | 1,068,573 | | | | 6,150,356 | | | | (4,341,316 | ) | | | (189,221,343 | ) | | | (397,060,234 | ) | |
| Change in net assets | | | (425,584 | ) | | | 1,531,223 | | | | 10,142,762 | | | | (1,577,304 | ) | | | (266,362,056 | ) | | | 253,033,216 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 2,390,666 | | | $ | 859,443 | | | $ | 13,737,391 | | | $ | 15,314,695 | | | $ | 958,085,541 | | | $ | 705,052,325 | | |
| End of period | | $ | 1,965,082 | | | $ | 2,390,666 | | | $ | 23,880,153 | | | $ | 13,737,391 | | | $ | 691,723,485 | | | $ | 958,085,541 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 50,000 | | | | 25,000 | | | | 225,000 | | | | 300,000 | | | | 13,050,000 | | | | 22,800,000 | | |
| Issued | | | — | | | | 25,000 | | | | 150,000 | | | | 25,000 | | | | 12,150,000 | | | | 9,900,000 | | |
| Issued in-kind | | | — | | | | — | | | | 175,000 | | | | — | | | | 27,700,000 | | | | 16,700,000 | | |
| Redeemed | | | — | | | | — | | | | (100,000 | ) | | | (25,000 | ) | | | — | | | | — | | |
| Redemption in-kind | | | — | | | | — | | | | (150,000 | ) | | | (75,000 | ) | | | (41,600,000 | ) | | | (36,350,000 | ) | |
| Shares outstanding, end of period | | | 50,000 | | | | 50,000 | | | | 300,000 | | | | 225,000 | | | | 11,300,000 | | | | 13,050,000 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 219
| | | UltraPro MidCap400 | | UltraPro QQQ | | UltraPro Russell2000 | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | 16,578 | | | $ | (56,428 | ) | | $ | (36,817,307 | ) | | $ | (36,239,925 | ) | | $ | (305,613 | ) | | $ | (842,388 | ) | |
| Net realized gain (loss) | | | 28,918,082 | | | | 15,327,376 | | | | 4,497,365,040 | | | | 5,905,595,254 | | | | 133,218,287 | | | | 178,693,170 | | |
Change in net unrealized
appreciation/depreciation | | | (44,696,364 | ) | | | 30,522,251 | | | | (11,665,515,121 | ) | | | 2,072,765,461 | | | | (367,824,360 | ) | | | 161,433,711 | | |
Change in net assets resulting
from operations | | | (15,761,704 | ) | | | 45,793,199 | | | | (7,204,967,388 | ) | | | 7,942,120,790 | | | | (234,911,686 | ) | | | 339,284,493 | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | (51,309 | ) | | | (9,726 | ) | | | (15,428 | ) | | | (15,367 | ) | | | — | | | | (11,923 | ) | |
| Total distributions | | | (51,309 | ) | | | (9,726 | ) | | | (15,428 | ) | | | (15,367 | ) | | | — | | | | (11,923 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 24,576,472 | | | | 17,526,663 | | | | 25,961,592,213 | | | | 14,695,431,557 | | | | 791,082,250 | | | | 754,634,730 | | |
| Cost of shares redeemed | | | (40,824,039 | ) | | | (22,398,463 | ) | | | (17,121,308,190 | ) | | | (16,407,531,794 | ) | | | (707,251,591 | ) | | | (868,342,638 | ) | |
Change in net assets resulting
from capital transactions | | | (16,247,567 | ) | | | (4,871,800 | ) | | | 8,840,284,023 | | | | (1,712,100,237 | ) | | | 83,830,659 | | | | (113,707,908 | ) | |
| Change in net assets | | | (32,060,580 | ) | | | 40,911,673 | | | | 1,635,301,207 | | | | 6,230,005,186 | | | | (151,081,027 | ) | | | 225,564,662 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 61,859,190 | | | $ | 20,947,517 | | | $ | 12,061,877,850 | | | $ | 5,831,872,664 | | | $ | 410,520,270 | | | $ | 184,955,608 | | |
| End of period | | $ | 29,798,610 | | | $ | 61,859,190 | | | $ | 13,697,179,057 | | | $ | 12,061,877,850 | | | $ | 259,439,243 | | | $ | 410,520,270 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 1,925,000 | | | | 2,125,000 | | | | 235,800,000 | (d) | | | 281,600,000 | (d) | | | 3,700,000 | | | | 6,000,000 | | |
| Issued | | | 625,000 | | | | 375,000 | | | | 202,200,000 | (d) | | | 225,400,000 | (d) | | | 9,300,000 | | | | 12,900,000 | | |
| Issued in-kind | | | 175,000 | | | | 500,000 | | | | 248,250,000 | (d) | | | 173,000,000 | (d) | | | — | | | | — | | |
| Redeemed | | | — | | | | — | | | | — | (d) | | | — | (d) | | | — | | | | (6,500,000 | ) | |
| Redemption in-kind | | | (1,400,000 | ) | | | (1,075,000 | ) | | | (271,500,000 | )(d) | | | (444,200,000 | )(d) | | | (8,050,000 | ) | | | (8,700,000 | ) | |
| Shares outstanding, end of period | | | 1,325,000 | | | | 1,925,000 | | | | 414,750,000 | (d) | | | 235,800,000 | (d) | | | 4,950,000 | | | | 3,700,000 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(d) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective January 13, 2022.
See accompanying notes to the financial statements.
220 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
| | | UltraPro S&P500® | | UltraPro Short 20+ Year Treasury | | UltraPro Short Dow30SM | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | 5,388,296 | | | $ | 2,078,867 | | | $ | (1,610,227 | ) | | $ | (372,392 | ) | | $ | (3,328,622 | ) | | $ | (4,173,147 | ) | |
| Net realized gain (loss) | | | 1,345,015,963 | | | | 773,683,671 | | | | 121,179,056 | | | | 15,232,679 | | | | (264,289,497 | ) | | | (995,442,595 | ) | |
Change in net unrealized
appreciation/depreciation | | | (1,805,603,484 | ) | | | 808,847,102 | | | | 10,580,231 | | | | (844,586 | ) | | | 254,247,251 | | | | 384,710,999 | | |
Change in net assets resulting
from operations | | | (455,199,225 | ) | | | 1,584,609,640 | | | | 130,149,060 | | | | 14,015,701 | | | | (13,370,868 | ) | | | (614,904,743 | ) | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | (3,324,709 | ) | | | (1,265,472 | ) | | | — | | | | — | | | | — | | | | — | | |
| Total distributions | | | (3,324,709 | ) | | | (1,265,472 | ) | | | — | | | | — | | | | — | | | | — | | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 5,797,360,726 | | | | 2,242,123,359 | | | | 260,672,851 | | | | 121,956,972 | | | | 1,300,969,673 | | | | 907,813,074 | | |
| Cost of shares redeemed | | | (5,161,666,508 | ) | | | (2,802,958,861 | ) | | | (76,482,016 | ) | | | (69,876,736 | ) | | | (1,295,357,297 | ) | | | (749,537,285 | ) | |
Change in net assets resulting
from capital transactions | | | 635,694,218 | | | | (560,835,502 | ) | | | 184,190,835 | | | | 52,080,236 | | | | 5,612,376 | | | | 158,275,789 | | |
| Change in net assets | | | 177,170,284 | | | | 1,022,508,666 | | | | 314,339,895 | | | | 66,095,937 | | | | (7,758,492 | ) | | | (456,628,954 | ) | |
| NET ASSETS: | |
| Beginning of period | | $ | 2,395,902,850 | | | $ | 1,373,394,184 | | | $ | 89,600,735 | | | $ | 23,504,798 | | | $ | 359,346,367 | | | $ | 815,975,321 | | |
| End of period | | $ | 2,573,073,134 | | | $ | 2,395,902,850 | | | $ | 403,940,630 | | | $ | 89,600,735 | | | $ | 351,587,875 | | | $ | 359,346,367 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 45,100,000 | (d) | | | 63,800,000 | (d) | | | 2,143,605 | | | | 793,605 | | | | 10,845,991 | | | | 7,595,991 | | |
| Issued | | | 41,300,000 | (d) | | | 36,400,000 | (d) | | | 6,950,000 | | | | 3,600,000 | | | | 43,500,000 | | | | 14,700,000 | | |
| Issued in-kind | | | 52,400,000 | (d) | | | 26,800,000 | (d) | | | — | | | | — | | | | — | | | | — | | |
| Redeemed | | | — | (d) | | | — | (d) | | | (1,950,000 | ) | | | (2,250,000 | ) | | | (43,003,711 | ) | | | (11,450,000 | ) | |
| Redemption in-kind | | | (83,350,000 | )(d) | | | (81,900,000 | )(d) | | | — | | | | — | | | | — | | | | — | | |
| Shares outstanding, end of period | | | 55,450,000 | (d) | | | 45,100,000 | (d) | | | 7,143,605 | | | | 2,143,605 | | | | 11,342,280 | | | | 10,845,991 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(d) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective January 13, 2022.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 221
| | | UltraPro Short MidCap400 | | UltraPro Short QQQ | | UltraPro Short Russell2000 | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (56,043 | ) | | $ | (92,392 | ) | | $ | (17,074,636 | ) | | $ | (11,931,418 | ) | | $ | (1,255,157 | ) | | $ | (1,104,079 | ) | |
| Net realized gain (loss) | | | (5,454,238 | ) | | | (19,330,034 | ) | | | 12,374,104 | | | | (2,512,427,211 | ) | | | 841,996 | | | | (326,798,271 | ) | |
Change in net unrealized
appreciation/depreciation | | | 4,905,549 | | | | 3,228,971 | | | | 358,590,653 | | | | 759,223,222 | | | | 54,710,886 | | | | 90,168,684 | | |
Change in net assets resulting
from operations | | | (604,732 | ) | | | (16,193,455 | ) | | | 353,890,121 | | | | (1,765,135,407 | ) | | | 54,297,725 | | | | (237,733,666 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 5,629,202 | | | | 10,182,789 | | | | 8,702,950,687 | | | | 7,199,409,693 | | | | 503,283,235 | | | | 435,956,128 | | |
| Cost of shares redeemed | | | (1,487,579 | ) | | | (4,673,660 | ) | | | (7,990,990,311 | ) | | | (4,788,822,629 | ) | | | (514,755,014 | ) | | | (260,945,478 | ) | |
Change in net assets resulting
from capital transactions | | | 4,141,623 | | | | 5,509,129 | | | | 711,960,376 | | | | 2,410,587,064 | | | | (11,471,779 | ) | | | 175,010,650 | | |
| Change in net assets | | | 3,536,891 | | | | (10,684,326 | ) | | | 1,065,850,497 | | | | 645,451,657 | | | | 42,825,946 | | | | (62,723,016 | ) | |
| NET ASSETS: | |
| Beginning of period | | $ | 4,001,805 | | | $ | 14,686,131 | | | $ | 1,758,960,621 | | | $ | 1,113,508,964 | | | $ | 107,591,800 | | | $ | 170,314,816 | | |
| End of period | | $ | 7,538,696 | | | $ | 4,001,805 | | | $ | 2,824,811,118 | | | $ | 1,758,960,621 | | | $ | 150,417,746 | | | $ | 107,591,800 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 148,946 | | | | 105,235 | | | | 31,687,817 | (e) | | | 4,728,849 | (e) | | | 2,228,368 | (e) | | | 524,526 | (e) | |
| Issued | | | 200,000 | | | | 106,250 | | | | 218,040,000 | (e) | | | 79,942,000 | (e) | | | 9,690,000 | (e) | | | 4,144,000 | (e) | |
| Issued in-kind | | | — | | | | — | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | |
| Redeemed | | | (50,303 | ) | | | (62,539 | ) | | | (190,127,270 | )(e) | | | (52,983,032 | )(e) | | | (9,360,722 | )(e) | | | (2,440,158 | )(e) | |
| Redemption in-kind | | | — | | | | — | | | | — | (e) | | | — | (e) | | | — | (e) | | | — | (e) | |
| Shares outstanding, end of period | | | 298,643 | | | | 148,946 | | | | 59,600,547 | (e) | | | 31,687,817 | (e) | | | 2,557,646 | (e) | | | 2,228,368 | (e) | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(e) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective January 13, 2022.
See accompanying notes to the financial statements.
222 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
| | | UltraPro Short S&P500® | | UltraShort 7-10 Year Treasury | | UltraShort 20+ Year Treasury | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (4,656,193 | ) | | $ | (5,711,368 | ) | | $ | (642,442 | ) | | $ | (298,260 | ) | | $ | (11,598,774 | ) | | $ | (5,708,594 | ) | |
| Net realized gain (loss) | | | (385,690,820 | ) | | | (1,793,836,595 | ) | | | 24,176,507 | | | | (4,070,102 | ) | | | 243,764,816 | | | | (19,240,773 | ) | |
Change in net unrealized
appreciation/depreciation | | | 328,980,456 | | | | 837,064,215 | | | | (2,262,148 | ) | | | 6,401,272 | | | | 81,317,525 | | | | 183,835,207 | | |
Change in net assets resulting
from operations | | | (61,366,557 | ) | | | (962,483,748 | ) | | | 21,271,917 | | | | 2,032,910 | | | | 313,483,567 | | | | 158,885,840 | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | — | | | | — | | | | — | | | | — | | | | — | | | | (1,039 | ) | |
| Tax return of capital | | | — | | | | — | | | | — | | | | — | | | | — | | | | (6,804 | ) | |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | — | | | | (7,843 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 2,783,384,071 | | | | 1,458,234,773 | | | | 171,120,287 | | | | 24,534,135 | | | | 1,096,405,024 | | | | 1,120,112,194 | | |
| Cost of shares redeemed | | | (2,477,314,661 | ) | | | (1,343,407,933 | ) | | | (113,122,009 | ) | | | (12,948,525 | ) | | | (1,434,789,753 | ) | | | (298,573,461 | ) | |
Change in net assets resulting
from capital transactions | | | 306,069,410 | | | | 114,826,840 | | | | 57,998,278 | | | | 11,585,610 | | | | (338,384,729 | ) | | | 821,538,733 | | |
| Change in net assets | | | 244,702,853 | | | | (847,656,908 | ) | | | 79,270,195 | | | | 13,618,520 | | | | (24,901,162 | ) | | | 980,416,730 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 476,011,984 | | | $ | 1,323,668,892 | | | $ | 43,489,786 | | | $ | 29,871,266 | | | $ | 1,415,114,801 | | | $ | 434,698,071 | | |
| End of period | | $ | 720,714,837 | | | $ | 476,011,984 | | | $ | 122,759,981 | | | $ | 43,489,786 | | | $ | 1,390,213,639 | | | $ | 1,415,114,801 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 24,297,347 | | | | 20,349,727 | | | | 2,600,000 | | | | 1,950,000 | | | | 69,006,929 | | | | 27,056,929 | | |
| Issued | | | 178,450,000 | | | | 45,540,000 | | | | 9,850,000 | | | | 1,500,000 | | | | 58,850,000 | | | | 59,000,000 | | |
| Issued in-kind | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Redeemed | | | (158,450,000 | ) | | | (41,592,380 | ) | | | (6,150,000 | ) | | | (850,000 | ) | | | (73,750,000 | ) | | | (17,050,000 | ) | |
| Redemption in-kind | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Shares outstanding, end of period | | | 44,297,347 | | | | 24,297,347 | | | | 6,300,000 | | | | 2,600,000 | | | | 54,106,929 | | | | 69,006,929 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 223
| | | UltraShort Basic Materials | | UltraShort Consumer Goods | | UltraShort Consumer Services | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (20,216 | ) | | $ | (22,442 | ) | | $ | (8,129 | ) | | $ | (9,329 | ) | | $ | (12,260 | ) | | $ | (10,443 | ) | |
| Net realized gain (loss) | | | (1,071,618 | ) | | | (3,638,965 | ) | | | (374,846 | ) | | | (1,482,825 | ) | | | (190,764 | ) | | | (1,713,108 | ) | |
Change in net unrealized
appreciation/depreciation | | | 356,984 | | | | 797,931 | | | | 260,346 | | | | 509,340 | | | | 1,179,180 | | | | 789,116 | | |
Change in net assets resulting
from operations | | | (734,850 | ) | | | (2,863,476 | ) | | | (122,629 | ) | | | (982,814 | ) | | | 976,156 | | | | (934,435 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 5,071,122 | | | | 1,039,261 | | | | 1,407,478 | | | | 442,847 | | | | 3,473,748 | | | | 1,000,852 | | |
| Cost of shares redeemed | | | (3,620,442 | ) | | | (878,145 | ) | | | (473 | ) | | | (450 | ) | | | (2,151,998 | ) | | | (890,718 | ) | |
Change in net assets resulting
from capital transactions | | | 1,450,680 | | | | 161,116 | | | | 1,407,005 | | | | 442,397 | | | | 1,321,750 | | | | 110,134 | | |
| Change in net assets | | | 715,830 | | | | (2,702,360 | ) | | | 1,284,376 | | | | (540,417 | ) | | | 2,297,906 | | | | (824,301 | ) | |
| NET ASSETS: | |
| Beginning of period | | $ | 1,718,138 | | | $ | 4,420,498 | | | $ | 1,027,928 | | | $ | 1,568,345 | | | $ | 939,836 | | | $ | 1,764,137 | | |
| End of period | | $ | 2,433,968 | | | $ | 1,718,138 | | | $ | 2,312,304 | | | $ | 1,027,928 | | | $ | 3,237,742 | | | $ | 939,836 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 135,178 | | | | 110,178 | | | | 65,598 | | | | 40,615 | | | | 46,800 | (g) | | | 40,580 | (g) | |
| Issued | | | 400,000 | | | | 50,000 | | | | 100,000 | | | | 25,000 | | | | 150,000 | (g) | | | 37,500 | (g) | |
| Issued in-kind | | | — | | | | — | | | | — | | | | — | | | | — | (g) | | | — | (g) | |
| Redeemed | | | (300,095 | ) | | | (25,000 | ) | | | (30 | ) | | | (17 | ) | | | (75,000 | )(g) | | | (31,280 | )(g) | |
| Redemption in-kind | | | — | | | | — | | | | — | | | | — | | | | — | (g) | | | — | (g) | |
| Shares outstanding, end of period | | | 235,083 | | | | 135,178 | | | | 165,568 | | | | 65,598 | | | | 121,800 | (g) | | | 46,800 | (g) | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(g) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective May 27, 2022.
See accompanying notes to the financial statements.
224 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
| | | UltraShort Dow30SM | | UltraShort Financials | | UltraShort FTSE China 50 | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (880,530 | ) | | $ | (1,240,886 | ) | | $ | (115,306 | ) | | $ | (248,277 | ) | | $ | (192,733 | ) | | $ | (236,739 | ) | |
| Net realized gain (loss) | | | (34,508,299 | ) | | | (175,964,457 | ) | | | (9,393,016 | ) | | | (21,905,967 | ) | | | 2,795,138 | | | | (11,378,838 | ) | |
Change in net unrealized
appreciation/depreciation | | | 32,222,600 | | | | 64,709,490 | | | | 8,658,777 | | | | (2,187,218 | ) | | | 2,887,793 | | | | (6,808,173 | ) | |
Change in net assets resulting
from operations | | | (3,166,229 | ) | | | (112,495,853 | ) | | | (849,545 | ) | | | (24,341,462 | ) | | | 5,490,198 | | | | (18,423,750 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 127,646,368 | | | | 91,975,438 | | | | 9,180,072 | | | | 7,210,780 | | | | 18,280,085 | | | | 16,555,429 | | |
| Cost of shares redeemed | | | (115,912,424 | ) | | | (89,399,482 | ) | | | (5,234,581 | ) | | | (12,223,203 | ) | | | (15,939,969 | ) | | | (22,684,768 | ) | |
Change in net assets resulting
from capital transactions | | | 11,733,944 | | | | 2,575,956 | | | | 3,945,491 | | | | (5,012,423 | ) | | | 2,340,116 | | | | (6,129,339 | ) | |
| Change in net assets | | | 8,567,715 | | | | (109,919,897 | ) | | | 3,095,946 | | | | (29,353,885 | ) | | | 7,830,314 | | | | (24,553,089 | ) | |
| NET ASSETS: | |
| Beginning of period | | $ | 100,429,969 | | | $ | 210,349,866 | | | $ | 12,909,356 | | | $ | 42,263,241 | | | $ | 16,598,585 | | | $ | 41,151,674 | | |
| End of period | | $ | 108,997,684 | | | $ | 100,429,969 | | | $ | 16,005,302 | | | $ | 12,909,356 | | | $ | 24,428,899 | | | $ | 16,598,585 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 2,130,854 | (e) | | | 2,100,854 | (e) | | | 648,348 | (b) | | | 786,208 | (b) | | | 551,947 | | | | 751,947 | | |
| Issued | | | 2,830,000 | (e) | | | 1,190,000 | (e) | | | 487,500 | (b) | | | 168,750 | (b) | | | 450,000 | | | | 500,000 | | |
| Issued in-kind | | | — | (e) | | | — | (e) | | | — | (b) | | | — | (b) | | | — | | | | — | | |
| Redeemed | | | (2,601,068 | )(e) | | | (1,160,000 | )(e) | | | (288,182 | )(b) | | | (306,610 | )(b) | | | (350,000 | ) | | | (700,000 | ) | |
| Redemption in-kind | | | — | (e) | | | — | (e) | | | — | (b) | | | — | (b) | | | — | | | | — | | |
| Shares outstanding, end of period | | | 2,359,786 | (e) | | | 2,130,854 | (e) | | | 847,666 | (b) | | | 648,348 | (b) | | | 651,947 | | | | 551,947 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(b) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective January 13, 2022.
(e) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective January 13, 2022.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 225
| | | UltraShort FTSE Europe | | UltraShort Health Care | | UltraShort Industrials | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (126,419 | ) | | $ | (116,485 | ) | | $ | (15,848 | ) | | $ | (17,397 | ) | | $ | (19,403 | ) | | $ | (15,384 | ) | |
| Net realized gain (loss) | | | (3,554,883 | ) | | | (15,763,355 | ) | | | (622,726 | ) | | | (1,631,347 | ) | | | (412,765 | ) | | | (3,053,067 | ) | |
Change in net unrealized
appreciation/depreciation | | | 2,085,442 | | | | 4,275,387 | | | | 21,513 | | | | 745,770 | | | | 859,127 | | | | 1,327,126 | | |
Change in net assets resulting
from operations | | | (1,595,860 | ) | | | (11,604,453 | ) | | | (617,061 | ) | | | (902,974 | ) | | | 426,959 | | | | (1,741,325 | ) | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
| Distributable earnings | | | (425 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Total distributions | | | (425 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 68,873,982 | | | | 1,830,466 | | | | 10,737,275 | | | | 1,573,009 | | | | 8,195,100 | | | | 847,786 | | |
| Cost of shares redeemed | | | (18,697,523 | ) | | | (5,849,968 | ) | | | (7,993,306 | ) | | | (1,480,796 | ) | | | (6,741,361 | ) | | | (1,431,542 | ) | |
Change in net assets resulting
from capital transactions | | | 50,176,459 | | | | (4,019,502 | ) | | | 2,743,969 | | | | 92,213 | | | | 1,453,739 | | | | (583,756 | ) | |
| Change in net assets | | | 48,580,174 | | | | (15,623,955 | ) | | | 2,126,908 | | | | (810,761 | ) | | | 1,880,698 | | | | (2,325,081 | ) | |
| NET ASSETS: | |
| Beginning of period | | $ | 7,300,381 | | | $ | 22,924,336 | | | $ | 1,267,383 | | | $ | 2,078,144 | | | $ | 943,190 | | | $ | 3,268,271 | | |
| End of period | | $ | 55,880,555 | | | $ | 7,300,381 | | | $ | 3,394,291 | | | $ | 1,267,383 | | | $ | 2,823,888 | | | $ | 943,190 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 612,119 | | | | 812,119 | | | | 80,453 | | | | 80,453 | | | | 65,187 | | | | 83,961 | | |
| Issued | | | 5,025,000 | | | | 100,000 | | | | 775,000 | | | | 62,500 | | | | 550,000 | | | | 31,250 | | |
| Issued in-kind | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Redeemed | | | (1,375,000 | ) | | | (300,000 | ) | | | (600,023 | ) | | | (62,500 | ) | | | (450,052 | ) | | | (50,024 | ) | |
| Redemption in-kind | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Shares outstanding, end of period | | | 4,262,119 | | | | 612,119 | | | | 255,430 | | | | 80,453 | | | | 165,135 | | | | 65,187 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
See accompanying notes to the financial statements.
226 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
| | | UltraShort MidCap400 | | UltraShort MSCI Brazil Capped | | UltraShort MSCI EAFE | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (17,962 | ) | | $ | (36,423 | ) | | $ | (129,635 | ) | | $ | (195,245 | ) | | $ | (11,623 | ) | | $ | (19,119 | ) | |
| Net realized gain (loss) | | | (903,345 | ) | | | (6,797,539 | ) | | | (6,012,223 | ) | | | (21,538,222 | ) | | | (372,938 | ) | | | (1,314,138 | ) | |
Change in net unrealized
appreciation/depreciation | | | 392,592 | | | | 2,923,599 | | | | 3,142,811 | | | | (2,321,890 | ) | | | 603,554 | | | | (257,751 | ) | |
Change in net assets resulting
from operations | | | (528,715 | ) | | | (3,910,363 | ) | | | (2,999,047 | ) | | | (24,055,357 | ) | | | 218,993 | | | | (1,591,008 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 6,910,584 | | | | 1,150,336 | | | | 22,396,394 | | | | 31,863,363 | | | | 1,643,923 | | | | — | | |
| Cost of shares redeemed | | | (5,490,865 | ) | | | (1,625,743 | ) | | | (18,338,125 | ) | | | (33,070,783 | ) | | | (1,648,923 | ) | | | — | | |
Change in net assets resulting
from capital transactions | | | 1,419,719 | | | | (475,407 | ) | | | 4,058,269 | | | | (1,207,420 | ) | | | (5,000 | ) | | | — | | |
| Change in net assets | | | 891,004 | | | | (4,385,770 | ) | | | 1,059,222 | | | | (25,262,777 | ) | | | 213,993 | | | | (1,591,008 | ) | |
| NET ASSETS: | |
| Beginning of period | | $ | 2,007,332 | | | $ | 6,393,102 | | | $ | 12,435,373 | | | $ | 37,698,150 | | | $ | 1,410,405 | | | $ | 3,001,413 | | |
| End of period | | $ | 2,898,336 | | | $ | 2,007,332 | | | $ | 13,494,595 | | | $ | 12,435,373 | | | $ | 1,624,398 | | | $ | 1,410,405 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 113,590 | | | | 126,125 | | | | 458,720 | (g) | | | 433,720 | (g) | | | 137,428 | | | | 137,428 | | |
| Issued | | | 350,000 | | | | 25,000 | | | | 800,000 | (g) | | | 675,000 | (g) | | | 150,000 | | | | — | | |
| Issued in-kind | | | — | | | | — | | | | — | (g) | | | — | (g) | | | — | | | | — | | |
| Redeemed | | | (300,080 | ) | | | (37,535 | ) | | | (600,053 | )(g) | | | (650,000 | )(g) | | | (150,000 | ) | | | — | | |
| Redemption in-kind | | | — | | | | — | | | | — | (g) | | | — | (g) | | | — | | | | — | | |
| Shares outstanding, end of period | | | 163,510 | | | | 113,590 | | | | 658,667 | (g) | | | 458,720 | (g) | | | 137,428 | | | | 137,428 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(g) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective May 27, 2022.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 227
| | | UltraShort MSCI
Emerging Markets | | UltraShort MSCI Japan | | UltraShort Nasdaq Biotechnology | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (63,933 | ) | | $ | (84,675 | ) | | $ | (38,426 | ) | | $ | (62,001 | ) | | $ | (75,609 | ) | | $ | (106,474 | ) | |
| Net realized gain (loss) | | | 2,237,679 | | | | (14,009,251 | ) | | | (1,013,755 | ) | | | (2,822,311 | ) | | | (7,146,131 | ) | | | (8,241,188 | ) | |
Change in net unrealized
appreciation/depreciation | | | (313,630 | ) | | | 3,913,349 | | | | 1,734,955 | | | | (911,084 | ) | | | 9,072,853 | | | | 3,869,641 | | |
Change in net assets resulting
from operations | | | 1,860,116 | | | | (10,180,577 | ) | | | 682,774 | | | | (3,795,396 | ) | | | 1,851,113 | | | | (4,478,021 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 11,291,272 | | | | 4,337,729 | | | | 4,445,824 | | | | 517,911 | | | | 12,707,538 | | | | 23,184,039 | | |
| Cost of shares redeemed | | | (7,489,954 | ) | | | (5,351,898 | ) | | | (3,619,099 | ) | | | (3,137,290 | ) | | | (15,801,058 | ) | | | (21,595,981 | ) | |
Change in net assets resulting
from capital transactions | | | 3,801,318 | | | | (1,014,169 | ) | | | 826,725 | | | | (2,619,379 | ) | | | (3,093,520 | ) | | | 1,588,058 | | |
| Change in net assets | | | 5,661,434 | | | | (11,194,746 | ) | | | 1,509,499 | | | | (6,414,775 | ) | | | (1,242,407 | ) | | | (2,889,963 | ) | |
| NET ASSETS: | |
| Beginning of period | | $ | 5,466,771 | | | $ | 16,661,517 | | | $ | 4,799,765 | | | $ | 11,214,540 | | | $ | 9,666,226 | | | $ | 12,556,189 | | |
| End of period | | $ | 11,128,205 | | | $ | 5,466,771 | | | $ | 6,309,264 | | | $ | 4,799,765 | | | $ | 8,423,819 | | | $ | 9,666,226 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 363,771 | | | | 438,771 | | | | 349,913 | | | | 474,913 | | | | 446,096 | | | | 371,250 | | |
| Issued | | | 600,000 | | | | 150,000 | | | | 300,000 | | | | 25,000 | | | | 550,000 | | | | 937,500 | | |
| Issued in-kind | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Redeemed | | | (425,000 | ) | | | (225,000 | ) | | | (275,000 | ) | | | (150,000 | ) | | | (700,000 | ) | | | (862,654 | ) | |
| Redemption in-kind | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | |
| Shares outstanding, end of period | | | 538,771 | | | | 363,771 | | | | 374,913 | | | | 349,913 | | | | 296,096 | | | | 446,096 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
See accompanying notes to the financial statements.
228 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
| | | UltraShort Oil & Gas | | UltraShort QQQ | | UltraShort Real Estate | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (171,033 | ) | | $ | (162,235 | ) | | $ | (2,337,801 | ) | | $ | (2,083,885 | ) | | $ | (141,718 | ) | | $ | (276,418 | ) | |
| Net realized gain (loss) | | | (10,704,330 | ) | | | (23,104,837 | ) | | | (40,370,935 | ) | | | (371,427,541 | ) | | | (20,186,947 | ) | | | (22,401,573 | ) | |
Change in net unrealized
appreciation/depreciation | | | (12,993,449 | ) | | | 7,911,197 | | | | 94,159,711 | | | | 147,327,079 | | | | 20,370,032 | | | | 1,359,407 | | |
Change in net assets resulting
from operations | | | (23,868,812 | ) | | | (15,355,875 | ) | | | 51,450,975 | | | | (226,184,347 | ) | | | 41,367 | | | | (21,318,584 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 71,553,140 | | | | 38,941,467 | | | | 1,325,163,725 | | | | 737,455,753 | | | | 21,812,410 | | | | 21,783,218 | | |
| Cost of shares redeemed | | | (34,261,373 | ) | | | (22,732,728 | ) | | | (1,232,988,157 | ) | | | (538,075,095 | ) | | | (10,360,730 | ) | | | (38,707,472 | ) | |
Change in net assets resulting
from capital transactions | | | 37,291,767 | | | | 16,208,739 | | | | 92,175,568 | | | | 199,380,658 | | | | 11,451,680 | | | | (16,924,254 | ) | |
| Change in net assets | | | 13,422,955 | | | | 852,864 | | | | 143,626,543 | | | | (26,803,689 | ) | | | 11,493,047 | | | | (38,242,838 | ) | |
| NET ASSETS: | |
| Beginning of period | | $ | 17,253,532 | | | $ | 16,400,668 | | | $ | 221,703,424 | | | $ | 248,507,113 | | | $ | 16,426,594 | | | $ | 54,669,432 | | |
| End of period | | $ | 30,676,487 | | | $ | 17,253,532 | | | $ | 365,329,967 | | | $ | 221,703,424 | | | $ | 27,919,641 | | | $ | 16,426,594 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 263,422 | (e) | | | 73,422 | (e) | | | 9,445,774 | | | | 4,261,058 | | | | 947,919 | | | | 1,572,919 | | |
| Issued | | | 2,700,000 | (e) | | | 310,000 | (e) | | | 68,600,000 | | | | 22,100,000 | | | | 1,600,000 | | | | 750,000 | | |
| Issued in-kind | | | — | (e) | | | — | (e) | | | — | | | | — | | | | — | | | | — | | |
| Redeemed | | | (1,110,168 | )(e) | | | (120,000 | )(e) | | | (61,750,000 | ) | | | (16,915,284 | ) | | | (700,842 | ) | | | (1,375,000 | ) | |
| Redemption in-kind | | | — | (e) | | | — | (e) | | | — | | | | — | | | | — | | | | — | | |
| Shares outstanding, end of period | | | 1,853,254 | (e) | | | 263,422 | (e) | | | 16,295,774 | | | | 9,445,774 | | | | 1,847,077 | | | | 947,919 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(e) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective January 13, 2022.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 229
| | | UltraShort Russell2000 | | UltraShort S&P500® | | UltraShort Semiconductors | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (772,458 | ) | | $ | (799,032 | ) | | $ | (5,028,891 | ) | | $ | (6,884,645 | ) | | $ | (29,198 | ) | | $ | (41,773 | ) | |
| Net realized gain (loss) | | | (11,276,620 | ) | | | (194,691,650 | ) | | | (329,022,816 | ) | | | (1,136,300,751 | ) | | | (1,900,531 | ) | | | (5,907,472 | ) | |
Change in net unrealized
appreciation/depreciation | | | 29,668,565 | | | | 81,375,979 | | | | 303,502,644 | | | | 399,483,934 | | | | 546,756 | | | | (19,542 | ) | |
Change in net assets resulting
from operations | | | 17,619,487 | | | | (114,114,703 | ) | | | (30,549,063 | ) | | | (743,701,462 | ) | | | (1,382,973 | ) | | | (5,968,787 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 263,101,783 | | | | 194,590,688 | | | | 2,391,220,902 | | | | 827,177,086 | | | | 8,654,749 | | | | 3,855,421 | | |
| Cost of shares redeemed | | | (238,788,601 | ) | | | (139,653,180 | ) | | | (2,043,460,606 | ) | | | (980,866,395 | ) | | | (3,279,458 | ) | | | (2,706,281 | ) | |
Change in net assets resulting
from capital transactions | | | 24,313,182 | | | | 54,937,508 | | | | 347,760,296 | | | | (153,689,309 | ) | | | 5,375,291 | | | | 1,149,140 | | |
| Change in net assets | | | 41,932,669 | | | | (59,177,195 | ) | | | 317,211,233 | | | | (897,390,771 | ) | | | 3,992,318 | | | | (4,819,647 | ) | |
| NET ASSETS: | |
| Beginning of period | | $ | 73,769,517 | | | $ | 132,946,712 | | | $ | 582,647,743 | | | $ | 1,480,038,514 | | | $ | 2,733,869 | | | $ | 7,553,516 | | |
| End of period | | $ | 115,702,186 | | | $ | 73,769,517 | | | $ | 899,858,976 | | | $ | 582,647,743 | | | $ | 6,726,187 | | | $ | 2,733,869 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 5,313,966 | | | | 2,864,859 | | | | 12,269,213 | (e) | | | 14,389,213 | (e) | | | 74,586 | | | | 58,997 | | |
| Issued | | | 17,300,000 | | | | 8,850,000 | | | | 57,480,000 | (e) | | | 11,970,000 | (e) | | | 375,000 | | | | 71,875 | | |
| Issued in-kind | | | — | | | | — | | | | — | (e) | | | — | (e) | | | — | | | | — | | |
| Redeemed | | | (15,700,000 | ) | | | (6,400,893 | ) | | | (48,942,964 | )(e) | | | (14,090,000 | )(e) | | | (150,126 | ) | | | (56,286 | ) | |
| Redemption in-kind | | | — | | | | — | | | | — | (e) | | | — | (e) | | | — | | | | — | | |
| Shares outstanding, end of period | | | 6,913,966 | | | | 5,313,966 | | | | 20,806,249 | (e) | | | 12,269,213 | (e) | | | 299,460 | | | | 74,586 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(e) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective January 13, 2022.
See accompanying notes to the financial statements.
230 :: FOR THE PERIODS INDICATED :: STATEMENTS OF CHANGES IN NET ASSETS PROSHARES TRUST
| | | UltraShort SmallCap600 | | UltraShort Technology | | UltraShort Utilities | |
| | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | | Year Ended
May 31, 2022 | | Year Ended
May 31, 2021 | |
| FROM INVESTMENT ACTIVITIES: | |
| OPERATIONS: | |
| Net investment income (loss) | | $ | (27,486 | ) | | $ | (44,801 | ) | | $ | (48,590 | ) | | $ | (52,912 | ) | | $ | (16,267 | ) | | $ | (19,890 | ) | |
| Net realized gain (loss) | | | (379,198 | ) | | | (10,893,634 | ) | | | (4,057,952 | ) | | | (7,248,960 | ) | | | (1,490,063 | ) | | | (161,695 | ) | |
Change in net unrealized
appreciation/depreciation | | | 607,339 | | | | 4,556,384 | | | | 4,848,322 | | | | 1,477,267 | | | | 882,779 | | | | (539,269 | ) | |
Change in net assets resulting
from operations | | | 200,655 | | | | (6,382,051 | ) | | | 741,780 | | | | (5,824,605 | ) | | | (623,551 | ) | | | (720,854 | ) | |
| CAPITAL TRANSACTIONS (a): | |
| Proceeds from shares issued | | | 2,379,702 | | | | — | | | | 20,266,014 | | | | 16,341,690 | | | | 1,420,525 | | | | 4,516,358 | | |
| Cost of shares redeemed | | | (4,964 | ) | | | (1,053,066 | ) | | | (18,110,127 | ) | | | (10,507,138 | ) | | | (742,347 | ) | | | (3,320,041 | ) | |
Change in net assets resulting
from capital transactions | | | 2,374,738 | | | | (1,053,066 | ) | | | 2,155,887 | | | | 5,834,552 | | | | 678,178 | | | | 1,196,317 | | |
| Change in net assets | | | 2,575,393 | | | | (7,435,117 | ) | | | 2,897,667 | | | | 9,947 | | | | 54,627 | | | | 475,463 | | |
| NET ASSETS: | |
| Beginning of period | | $ | 2,064,185 | | | $ | 9,499,302 | | | $ | 4,865,818 | | | $ | 4,855,871 | | | $ | 2,347,189 | | | $ | 1,871,726 | | |
| End of period | | $ | 4,639,578 | | | $ | 2,064,185 | | | $ | 7,763,485 | | | $ | 4,865,818 | | | $ | 2,401,816 | | | $ | 2,347,189 | | |
| SHARE TRANSACTIONS: | |
| Beginning of period | | | 84,141 | | | | 102,916 | | | | 218,867 | (b) | | | 81,441 | (b) | | | 143,720 | | | | 81,245 | | |
| Issued | | | 100,000 | | | | — | | | | 1,162,500 | (b) | | | 506,250 | (b) | | | 125,000 | | | | 237,500 | | |
| Issued in-kind | | | — | | | | — | | | | — | (b) | | | — | (b) | | | — | | | | — | | |
| Redeemed | | | (195 | ) | | | (18,775 | ) | | | (975,264 | )(b) | | | (368,824 | )(b) | | | (50,000 | ) | | | (175,025 | ) | |
| Redemption in-kind | | | — | | | | — | | | | — | (b) | | | — | (b) | | | — | | | | — | | |
| Shares outstanding, end of period | | | 183,946 | | | | 84,141 | | | | 406,103 | (b) | | | 218,867 | (b) | | | 218,720 | | | | 143,720 | | |
(a) Capital share transactions may include transaction fees associated with Creation and Redemption transactions which occurred during the period. See Note 10 to the Financial Statements.
(b) As described in Note 13, share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective January 13, 2022.
See accompanying notes to the financial statements.
PROSHARES TRUST STATEMENTS OF CHANGES IN NET ASSETS :: FOR THE PERIODS INDICATED :: 231
FINANCIAL HIGHLIGHTS
232 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Short 7-10 Year Treasury | |
Year ended
May 31, 2022 | | $ | 24.82 | | | $ | (0.21 | ) | | $ | 2.12 | | | $ | — | | | $ | 1.91 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 26.73 | | | | 7.67 | % | | | 8.04 | % | | | 0.96 | % | | | 0.95 | % | | | (0.86 | )% | | | (0.85 | )% | | $ | 171,717 | | | | — | % | |
Year ended
May 31, 2021 | | | 23.86 | | | | (0.23 | ) | | | 1.19 | | | | — | | | | 0.96 | | | | — | | | | — | | | | — | | | | — | | | | 24.82 | | | | 4.04 | | | | 3.77 | | | | 1.10 | | | | 0.95 | | | | (1.09 | ) | | | (0.94 | ) | | | 89,977 | | | | — | | |
Year ended
May 31, 2020 | | | 27.27 | | | | 0.17 | | | | (3.24 | ) | | | — | | | | (3.07 | ) | | | (0.32 | ) | | | — | | | | (0.02 | )# | | | (0.34 | ) | | | 23.86 | | | | (11.40 | ) | | | (11.28 | ) | | | 1.22 | | | | 0.95 | | | | 0.40 | | | | 0.67 | | | | 15,507 | | | | — | | |
Year ended
May 31, 2019 | | | 29.07 | | | | 0.32 | | | | (1.82 | ) | | | — | | | | (1.50 | ) | | | (0.30 | ) | | | — | | | | — | | | | (0.30 | ) | | | 27.27 | | | | (5.21 | ) | | | (5.36 | ) | | | 1.04 | | | | 0.95 | | | | 1.00 | | | | 1.09 | | | | 25,228 | | | | — | | |
Year ended
May 31, 2018 | | | 28.08 | | | | 0.06 | | | | 0.93 | | | | — | | | | 0.99 | | | | — | | | | — | | | | — | | | | — | | | | 29.07 | | | | 3.53 | | | | 3.75 | | | | 1.05 | | | | 0.95 | | | | 0.11 | | | | 0.21 | | | | 83,576 | | | | — | | |
| Short 20+ Year Treasury | |
Year ended
May 31, 2022 | | | 17.60 | | | | (0.14 | ) | | | 2.40 | | | | — | | | | 2.26 | | | | — | | | | — | | | | — | | | | — | | | | 19.86 | | | | 12.81 | | | | 12.33 | | | | 0.90 | | | | 0.90 | | | | (0.81 | ) | | | (0.81 | ) | | | 675,163 | | | | — | | |
Year ended
May 31, 2021 | | | 15.53 | | | | (0.15 | ) | | | 2.22 | | | | — | | | | 2.07 | | | | — | | | | — | | | | — | | | | — | | | | 17.60 | | | | 13.36 | | | | 13.62 | | | | 0.92 | | | | 0.92 | | | | (0.87 | ) | | | (0.87 | ) | | | 597,553 | | | | — | | |
Year ended
May 31, 2020 | | | 20.67 | | | | 0.22 | | | | (5.06 | ) | | | — | | | | (4.84 | ) | | | (0.26 | ) | | | — | | | | (0.04 | )# | | | (0.30 | ) | | | 15.53 | | | | (23.72 | ) | | | (23.43 | ) | | | 0.94 | | | | 0.94 | | | | 1.18 | | | | 1.18 | | | | 159,921 | | | | — | | |
Year ended
May 31, 2019 | | | 22.67 | | | | 0.28 | | | | (2.02 | ) | | | — | | | | (1.74 | ) | | | (0.26 | ) | | | — | | | | — | | | | (0.26 | ) | | | 20.67 | | | | (7.75 | ) | | | (8.42 | ) | | | 0.92 | | | | 0.92 | | | | 1.23 | | | | 1.23 | | | | 317,346 | | | | — | | |
Year ended
May 31, 2018 | | | 22.62 | | | | 0.07 | | | | (0.02 | ) | | | — | | | | 0.05 | | | | — | | | | — | | | | — | | | | — | | | | 22.67 | | | | 0.23 | | | | 0.57 | | | | 0.91 | | | | 0.91 | | | | 0.30 | | | | 0.30 | | | | 631,426 | | | | — | | |
| Short Dow30SM | |
Year ended
May 31, 2022 | | | 34.12 | | | | (0.29 | ) | | | 0.16 | (i) | | | — | | | | (0.13 | ) | | | — | | | | — | | | | — | | | | — | | | | 33.99 | | | | (0.39 | ) | | | (0.38 | ) | | | 0.95 | | | | 0.95 | | | | (0.86 | ) | | | (0.86 | ) | | | 255,737 | | | | — | | |
Year ended
May 31, 2021 | | | 49.16 | | | | (0.36 | ) | | | (14.68 | ) | | | — | | | | (15.04 | ) | | | — | | | | — | | | | — | | | | — | | | | 34.12 | | | | (30.59 | ) | | | (30.65 | ) | | | 0.96 | | | | 0.95 | | | | (0.88 | ) | | | (0.86 | ) | | | 232,824 | | | | — | | |
Year ended
May 31, 2020 | | | 57.46 | | | | 0.27 | | | | (7.93 | ) | | | — | | | | (7.66 | ) | | | (0.59 | ) | | | — | | | | (0.05 | )# | | | (0.64 | ) | | | 49.16 | | | | (13.40 | ) | | | (13.38 | ) | | | 0.99 | | | | 0.95 | | | | 0.47 | | | | 0.51 | | | | 502,585 | | | | — | | |
Year ended
May 31, 2019 | | | 59.62 | | | | 0.77 | | | | (2.29 | ) | | | — | | | | (1.52 | ) | | | (0.64 | ) | | | — | | | | — | | | | (0.64 | ) | | | 57.46 | | | | (2.54 | ) | | | (2.55 | ) | | | 0.98 | | | | 0.95 | | | | 1.32 | | | | 1.35 | | | | 268,563 | | | | — | | |
Year ended
May 31, 2018(m) | | | 70.91 | | | | 0.26 | | | | (11.47 | ) | | | — | | | | (11.21 | ) | | | (0.08 | ) | | | — | | | | — | | | | (0.08 | ) | | | 59.62 | | | | (15.82 | ) | | | (15.78 | ) | | | 0.97 | | | | 0.95 | | | | 0.39 | | | | 0.41 | | | | 233,932 | | | | — | | |
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 233
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Short Financials | |
Year ended
May 31, 2022 | | $ | 12.72 | | | $ | (0.10 | ) | | $ | (0.08 | )(i) | | $ | — | | | $ | (0.18 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 12.54 | | | | (1.41 | )% | | | (1.34 | )% | | | 1.56 | % | | | 0.95 | % | | | (1.45 | )% | | | (0.84 | )% | | $ | 18,494 | | | | — | % | |
Year ended
May 31, 2021 | | | 20.49 | | | | (0.16 | ) | | | (7.61 | ) | | | — | | | | (7.77 | ) | | | — | | | | — | | | | — | | | | — | | | | 12.72 | | | | (37.93 | ) | | | (37.85 | ) | | | 1.29 | | | | 0.95 | | | | (1.28 | ) | | | (0.93 | ) | | | 9,855 | | | | — | | |
Year ended
May 31, 2020 | | | 22.52 | | | | 0.09 | | | | (1.92 | ) | | | — | | | | (1.83 | ) | | | (0.18 | ) | | | — | | | | (0.02 | )# | | | (0.20 | ) | | | 20.49 | | | | (8.12 | ) | | | (8.43 | ) | | | 1.27 | | | | 0.95 | | | | 0.11 | | | | 0.43 | | | | 32,272 | | | | — | | |
Year ended
May 31, 2019 | | | 23.14 | | | | 0.23 | | | | (0.69 | )(i) | | | — | | | | (0.46 | ) | | | (0.16 | ) | | | — | | | | — | | | | (0.16 | ) | | | 22.52 | | | | (2.03 | ) | | | (1.94 | ) | | | 1.27 | | | | 0.95 | | | | 0.68 | | | | 1.01 | | | | 21,956 | | | | — | | |
Year ended
May 31, 2018(n) | | | 27.22 | | | | 0.03 | | | | (4.11 | ) | | | — | | | | (4.08 | ) | | | — | | | | — | | | | — | | | | — | | | | 23.14 | | | | (14.99 | ) | | | (15.14 | ) | | | 1.22 | | | | 0.95 | | | | (0.15 | ) | | | 0.11 | | | | 19,089 | | | | — | | |
| Short FTSE China 50 | |
Year ended
May 31, 2022 | | | 14.18 | | | | (0.15 | ) | | | 3.06 | | | | — | | | | 2.91 | | | | — | | | | — | | | | — | | | | — | | | | 17.09 | | | | 20.55 | | | | 20.62 | | | | 2.06 | | | | 0.95 | | | | (2.00 | ) | | | (0.89 | ) | | | 6,836 | | | | — | | |
Year ended
May 31, 2021 | | | 18.64 | | | | (0.14 | ) | | | (4.32 | ) | | | — | | | | (4.46 | ) | | | — | | | | — | | | | — | | | | — | | | | 14.18 | | | | (23.94 | ) | | | (24.08 | ) | | | 2.34 | | | | 0.95 | | | | (2.33 | ) | | | (0.94 | ) | | | 2,835 | | | | — | | |
Year ended
May 31, 2020 | | | 20.20 | | | | 0.05 | | | | (1.46 | ) | | | — | | | | (1.41 | ) | | | (0.14 | ) | | | — | | | | (0.01 | )# | | | (0.15 | ) | | | 18.64 | | | | (6.97 | ) | | | (6.84 | ) | | | 1.98 | | | | 0.95 | | | | (0.75 | ) | | | 0.28 | | | | 6,524 | | | | — | | |
Year ended
May 31, 2019 | | | 18.57 | | | | 0.19 | | | | 1.53 | | | | — | | | | 1.72 | | | | (0.09 | ) | | | — | | | | — | | | | (0.09 | ) | | | 20.20 | | | | 9.30 | | | | 9.77 | | | | 2.05 | | | | 0.95 | | | | (0.15 | ) | | | 0.95 | | | | 8,079 | | | | — | | |
Year ended
May 31, 2018 | | | 23.07 | | | | 0.02 | | | | (4.52 | ) | | | — | | | | (4.50 | ) | | | — | | | | — | | | | — | | | | — | | | | 18.57 | | | | (19.52 | ) | | | (20.01 | ) | | | 2.00 | | | | 0.95 | | | | (0.94 | ) | | | 0.11 | | | | 5,570 | | | | — | | |
| Short High Yield | |
Year ended
May 31, 2022 | | | 18.23 | | | | (0.14 | ) | | | 0.35 | | | | — | | | | 0.21 | | | | — | | | | — | | | | — | | | | — | | | | 18.44 | | | | 1.17 | | | | 1.26 | | | | 1.03 | | | | 0.95 | | | | (0.87 | ) | | | (0.79 | ) | | | 343,042 | | | | — | | |
Year ended
May 31, 2021 | | | 20.88 | | | | (0.18 | ) | | | (2.47 | ) | | | — | | | | (2.65 | ) | | | — | | | | — | | | | — | | | | — | | | | 18.23 | | | | (12.70 | ) | | | (12.70 | ) | | | 1.05 | | | | 0.95 | | | | (1.01 | ) | | | (0.91 | ) | | | 54,685 | | | | — | | |
Year ended
May 31, 2020 | | | 22.17 | | | | 0.10 | | | | (1.17 | ) | | | — | | | | (1.07 | ) | | | (0.21 | ) | | | — | | | | (0.01 | )# | | | (0.22 | ) | | | 20.88 | | | | (4.83 | ) | | | (4.81 | ) | | | 1.02 | | | | 0.95 | | | | 0.42 | | | | 0.48 | | | | 119,021 | | | | — | | |
Year ended
May 31, 2019 | | | 23.25 | | | | 0.24 | | | | (1.10 | ) | | | — | | | | (0.86 | ) | | | (0.22 | ) | | | — | | | | — | | | | (0.22 | ) | | | 22.17 | | | | (3.75 | ) | | | (3.89 | ) | | | 1.00 | | | | 0.95 | | | | 1.00 | | | | 1.05 | | | | 113,047 | | | | — | | |
Year ended
May 31, 2018 | | | 23.58 | | | | 0.08 | | | | (0.41 | ) | | | — | | | | (0.33 | ) | | | — | (h) | | | — | | | | — | | | | — | (h) | | | 23.25 | | | | (1.37 | ) | | | (1.38 | ) | | | 0.99 | | | | 0.95 | | | | 0.29 | | | | 0.33 | | | | 140,683 | | | | — | | |
See accompanying notes to the financial statements.
234 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Short MidCap400 | |
Year ended
May 31, 2022 | | $ | 24.32 | | | $ | (0.21 | ) | | $ | 0.62 | | | $ | — | | | $ | 0.41 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 24.73 | | | | 1.68 | % | | | 1.73 | % | | | 1.53 | % | | | 0.95 | % | | | (1.46 | )% | | | (0.88 | )% | | $ | 12,206 | | | | — | % | |
Year ended
May 31, 2021 | | | 40.36 | | | | (0.30 | ) | | | (15.74 | ) | | | — | | | | (16.04 | ) | | | — | | | | — | | | | — | | | | — | | | | 24.32 | | | | (39.75 | ) | | | (39.76 | ) | | | 1.22 | | | | 0.95 | | | | (1.21 | ) | | | (0.94 | ) | | | 12,004 | | | | — | | |
Year ended
May 31, 2020 | | | 46.08 | | | | 0.09 | | | | (5.33 | ) | | | — | | | | (5.24 | ) | | | (0.46 | ) | | | — | | | | (0.02 | )# | | | (0.48 | ) | | | 40.36 | | | | (11.42 | ) | | | (11.51 | ) | | | 1.37 | | | | 0.95 | | | | (0.22 | ) | | | 0.20 | | | | 31,022 | | | | — | | |
Year ended
May 31, 2019 | | | 43.50 | | | | 0.57 | | | | 2.32 | (i) | | | — | | | | 2.89 | | | | (0.31 | ) | | | — | | | | — | | | | (0.31 | ) | | | 46.08 | | | | 6.65 | | | | 6.74 | | | | 1.38 | | | | 0.95 | | | | 0.84 | | | | 1.28 | | | | 14,683 | | | | — | | |
Year ended
May 31, 2018(m) | | | 50.02 | | | | 0.09 | | | | (6.61 | ) | | | — | | | | (6.52 | ) | | | — | | | | — | | | | — | | | | — | | | | 43.50 | | | | (13.03 | ) | | | (13.16 | ) | | | 1.40 | | | | 0.95 | | | | (0.25 | ) | | | 0.20 | | | | 10,600 | | | | — | | |
| Short MSCI EAFE | |
Year ended
May 31, 2022 | | | 18.19 | | | | (0.15 | ) | | | 1.50 | (i) | | | — | | | | 1.35 | | | | — | | | | — | | | | — | | | | — | | | | 19.54 | | | | 7.41 | | | | 7.43 | | | | 1.22 | | | | 0.95 | | | | (1.06 | ) | | | (0.79 | ) | | | 64,958 | | | | — | | |
Year ended
May 31, 2021 | | | 26.23 | | | | (0.21 | ) | | | (7.83 | ) | | | — | | | | (8.04 | ) | | | — | | | | — | | | | — | | | | — | | | | 18.19 | | | | (30.66 | ) | | | (30.69 | ) | | | 1.28 | | | | 0.95 | | | | (1.26 | ) | | | (0.93 | ) | | | 9,549 | | | | — | | |
Year ended
May 31, 2020 | | | 27.52 | | | | 0.11 | | | | (1.10 | ) | | | — | | | | (0.99 | ) | | | (0.29 | ) | | | — | | | | (0.01 | )# | | | (0.30 | ) | | | 26.23 | | | | (3.54 | ) | | | (3.55 | ) | | | 1.15 | | | | 0.95 | | | | 0.19 | | | | 0.39 | | | | 45,247 | | | | — | | |
Year ended
May 31, 2019 | | | 25.74 | | | | 0.32 | | | | 1.64 | | | | — | | | | 1.96 | | | | (0.18 | ) | | | — | | | | — | | | | (0.18 | ) | | | 27.52 | | | | 7.62 | | | | 7.72 | | | | 1.12 | | | | 0.95 | | | | 1.00 | | | | 1.16 | | | | 40,588 | | | | — | | |
Year ended
May 31, 2018 | | | 27.79 | | | | 0.04 | | | | (2.09 | ) | | | — | | | | (2.05 | ) | | | — | | | | — | | | | — | | | | — | | | | 25.74 | | | | (7.38 | ) | | | (7.42 | ) | | | 1.22 | | | | 0.95 | | | | (0.12 | ) | | | 0.15 | | | | 18,662 | | | | — | | |
| Short MSCI Emerging Markets | |
Year ended
May 31, 2022 | | | 11.86 | | | | (0.11 | ) | | | 2.36 | | | | — | | | | 2.25 | | | | — | | | | — | | | | — | | | | — | | | | 14.11 | | | | 19.04 | | | | 18.97 | | | | 1.19 | | | | 0.95 | | | | (1.12 | ) | | | (0.87 | ) | | | 43,046 | | | | — | | |
Year ended
May 31, 2021 | | | 18.52 | | | | (0.13 | ) | | | (6.53 | ) | | | — | | | | (6.66 | ) | | | — | | | | — | | | | — | | | | — | | | | 11.86 | | | | (35.98 | ) | | | (35.96 | ) | | | 1.12 | | | | 0.95 | | | | (1.10 | ) | | | (0.93 | ) | | | 20,747 | | | | — | | |
Year ended
May 31, 2020 | | | 19.50 | | | | 0.11 | | | | (0.89 | ) | | | — | | | | (0.78 | ) | | | (0.18 | ) | | | — | | | | (0.02 | )# | | | (0.20 | ) | | | 18.52 | | | | (3.96 | ) | | | (3.83 | ) | | | 1.05 | | | | 0.95 | | | | 0.47 | | | | 0.57 | | | | 87,971 | | | | — | | |
Year ended
May 31, 2019 | | | 18.24 | | | | 0.21 | | | | 1.28 | | | | — | | | | 1.49 | | | | (0.23 | ) | | | — | | | | — | | | | (0.23 | ) | | | 19.50 | | | | 8.11 | | | | 7.97 | | | | 0.99 | | | | 0.95 | | | | 1.02 | | | | 1.06 | | | | 95,536 | | | | — | | |
Year ended
May 31, 2018 | | | 21.06 | | | | 0.04 | | | | (2.86 | ) | | | — | | | | (2.82 | ) | | | — | | | | — | | | | — | | | | — | | | | 18.24 | | | | (13.39 | ) | | | (13.39 | ) | | | 0.98 | | | | 0.95 | | | | 0.19 | | | | 0.22 | | | | 156,881 | | | | — | | |
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 235
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Short QQQ | |
Year ended
May 31, 2022 | | $ | 13.22 | | | $ | (0.10 | ) | | $ | 0.14 | | | $ | — | | | $ | 0.04 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 13.26 | | | | 0.35 | % | | | 0.38 | % | | | 1.00 | % | | | 0.95 | % | | | (0.87 | )% | | | (0.82 | )% | | $ | 1,083,760 | | | | — | % | |
Year ended
May 31, 2021 | | | 20.33 | | | | (0.13 | ) | | | (6.98 | ) | | | — | | | | (7.11 | ) | | | — | | | | — | | | | — | | | | — | | | | 13.22 | | | | (34.99 | ) | | | (35.09 | ) | | | 1.00 | | | | 0.95 | | | | (0.90 | ) | | | (0.85 | ) | | | 595,528 | | | | — | | |
Year ended
May 31, 2020 | | | 30.49 | | | | 0.24 | | | | (10.03 | ) | | | — | | | | (9.79 | ) | | | (0.33 | ) | | | — | | | | (0.04 | )# | | | (0.37 | ) | | | 20.33 | | | | (32.40 | ) | | | (32.33 | ) | | | 1.02 | | | | 0.95 | | | | 0.86 | | | | 0.92 | | | | 502,349 | | | | — | | |
Year ended
May 31, 2019 | | | 32.17 | | | | 0.46 | | | | (1.75 | ) | | | — | | | | (1.29 | ) | | | (0.39 | ) | | | — | | | | — | | | | (0.39 | ) | | | 30.49 | | | | (4.03 | ) | | | (3.97 | ) | | | 1.01 | | | | 0.95 | | | | 1.42 | | | | 1.48 | | | | 652,888 | | | | — | | |
Year ended
May 31, 2018 | | | 39.55 | | | | 0.16 | | | | (7.49 | ) | | | — | | | | (7.33 | ) | | | (0.05 | ) | | | — | | | | — | | | | (0.05 | ) | | | 32.17 | | | | (18.55 | ) | | | (18.62 | ) | | | 1.01 | | | | 0.95 | | | | 0.37 | | | | 0.43 | | | | 330,128 | | | | — | | |
| Short Real Estate | |
Year ended
May 31, 2022(ii) | | | 19.13 | | | | (0.15 | ) | | | (0.91 | ) | | | — | | | | (1.06 | ) | | | — | | | | — | | | | — | | | | — | | | | 18.07 | | | | (5.55 | ) | | | (5.34 | ) | | | 1.74 | | | | 0.95 | | | | (1.63 | ) | | | (0.84 | ) | | | 16,259 | | | | — | | |
Year ended
May 31, 2021(ii) | | | 26.61 | | | | (0.22 | ) | | | (7.26 | ) | | | — | | | | (7.48 | ) | | | — | | | | — | | | | — | | | | — | | | | 19.13 | | | | (28.07 | ) | | | (28.20 | ) | | | 1.37 | | | | 0.95 | | | | (1.35 | ) | | | (0.94 | ) | | | 7,652 | | | | — | | |
Year ended
May 31, 2020(ii) | | | 28.38 | | | | 0.02 | | | | (1.53 | ) | | | — | | | | (1.51 | ) | | | (0.24 | ) | | | — | | | | (0.02 | )# | | | (0.26 | ) | | | 26.61 | | | | (5.31 | ) | | | (5.43 | ) | | | 1.60 | | | | 0.95 | | | | (0.57 | ) | | | 0.08 | | | | 27,274 | | | | — | | |
Year ended
May 31, 2019(ii) | | | 32.50 | | | | 0.35 | | | | (4.25 | ) | | | — | | | | (3.90 | ) | | | (0.22 | ) | | | — | | | | — | | | | (0.22 | ) | | | 28.38 | | | | (12.06 | ) | | | (11.88 | ) | | | 1.70 | | | | 0.95 | | | | 0.40 | | | | 1.14 | | | | 8,513 | | | | — | | |
Year ended
May 31, 2018(ii) | | | 33.53 | | | | 0.04 | | | | (1.07 | ) | | | — | | | | (1.03 | ) | | | — | | | | — | | | | — | | | | — | | | | 32.50 | | | | (3.07 | ) | | | (3.19 | ) | | | 1.39 | | | | 0.95 | | | | (0.33 | ) | | | 0.11 | | | | 9,750 | | | | — | | |
| Short Russell2000 | |
Year ended
May 31, 2022 | | | 21.42 | | | | (0.18 | ) | | | 2.85 | | | | — | | | | 2.67 | | | | — | | | | — | | | | — | | | | — | | | | 24.09 | | | | 12.47 | | | | 12.62 | | | | 1.00 | | | | 0.95 | | | | (0.87 | ) | | | (0.82 | ) | | | 453,284 | | | | — | | |
Year ended
May 31, 2021 | | | 38.01 | | | | (0.24 | ) | | | (16.35 | ) | | | — | | | | (16.59 | ) | | | — | | | | — | | | | — | | | | — | | | | 21.42 | | | | (43.66 | ) | | | (43.71 | ) | | | 1.02 | | | | 0.95 | | | | (0.92 | ) | | | (0.85 | ) | | | 273,412 | | | | — | | |
Year ended
May 31, 2020 | | | 42.76 | | | | 0.26 | | | | (4.49 | ) | | | — | | | | (4.23 | ) | | | (0.47 | ) | | | — | | | | (0.05 | )# | | | (0.52 | ) | | | 38.01 | | | | (9.94 | ) | | | (9.96 | ) | | | 1.03 | | | | 0.95 | | | | 0.55 | | | | 0.63 | | | | 485,265 | | | | — | | |
Year ended
May 31, 2019 | | | 39.36 | | | | 0.58 | | | | 3.29 | | | | — | | | | 3.87 | | | | (0.47 | ) | | | — | | | | — | | | | (0.47 | ) | | | 42.76 | | | | 9.89 | | | | 9.98 | | | | 1.02 | | | | 0.95 | | | | 1.36 | | | | 1.43 | | | | 351,303 | | | | — | | |
Year ended
May 31, 2018 | | | 47.91 | | | | 0.19 | | | | (8.67 | ) | | | — | | | | (8.48 | ) | | | (0.07 | ) | | | — | | | | — | | | | (0.07 | ) | | | 39.36 | | | | (17.71 | ) | | | (17.75 | ) | | | 1.02 | | | | 0.95 | | | | 0.37 | | | | 0.44 | | | | 248,618 | | | | — | | |
See accompanying notes to the financial statements.
236 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Short S&P500® | |
Year ended
May 31, 2022 | | $ | 15.77 | | | $ | (0.11 | ) | | $ | (0.43 | ) | | $ | — | | | $ | (0.54 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 15.23 | | | | (3.46 | )% | | | (3.55 | )% | | | 0.89 | % | | | 0.89 | % | | | (0.76 | )% | | | (0.76 | )% | | $ | 2,350,459 | | | | — | % | |
Year ended
May 31, 2021 | | | 22.96 | | | | (0.15 | ) | | | (7.04 | ) | | | — | | | | (7.19 | ) | | | — | | | | — | | | | — | | | | — | | | | 15.77 | | | | (31.31 | ) | | | (31.38 | ) | | | 0.88 | | | | 0.88 | | | | (0.77 | ) | | | (0.77 | ) | | | 1,404,720 | | | | — | | |
Year ended
May 31, 2020 | | | 28.53 | | | | 0.16 | | | | (5.38 | ) | | | — | | | | (5.22 | ) | | | (0.32 | ) | | | — | | | | (0.03 | )# | | | (0.35 | ) | | | 22.96 | | | | (18.45 | ) | | | (18.40 | ) | | | 0.90 | | | | 0.90 | | | | 0.63 | | | | 0.63 | | | | 3,697,429 | | | | — | | |
Year ended
May 31, 2019 | | | 29.53 | | | | 0.44 | | | | (1.06 | ) | | | — | | | | (0.62 | ) | | | (0.38 | ) | | | — | | | | — | | | | (0.38 | ) | | | 28.53 | | | | (2.10 | ) | | | (2.10 | ) | | | 0.89 | | | | 0.89 | | | | 1.52 | | | | 1.52 | | | | 2,060,778 | | | | — | | |
Year ended
May 31, 2018 | | | 33.69 | | | | 0.15 | | | | (4.25 | ) | | | — | | | | (4.10 | ) | | | (0.06 | ) | | | — | | | | — | | | | (0.06 | ) | | | 29.53 | | | | (12.20 | ) | | | (12.18 | ) | | | 0.89 | | | | 0.89 | | | | 0.46 | | | | 0.46 | | | | 1,374,040 | | | | — | | |
| Short SmallCap600 | |
Year ended
May 31, 2022 | | | 17.35 | | | | (0.15 | ) | | | 0.76 | | | | — | | | | 0.61 | | | | — | | | | — | | | | — | | | | — | | | | 17.96 | | | | 3.51 | | | | 3.57 | | | | 2.32 | | | | 0.95 | | | | (2.22 | ) | | | (0.85 | ) | | | 7,071 | | | | — | | |
Year ended
May 31, 2021 | | | 32.60 | | | | (0.23 | ) | | | (15.02 | ) | | | — | | | | (15.25 | ) | | | — | | | | — | | | | — | | | | — | | | | 17.35 | | | | (46.78 | ) | | | (46.75 | ) | | | 1.66 | | | | 0.95 | | | | (1.65 | ) | | | (0.94 | ) | | | 4,662 | | | | — | | |
Year ended
May 31, 2020 | | | 34.96 | | | | — | (h) | | | (2.08 | ) | | | — | | | | (2.08 | ) | | | (0.27 | ) | | | — | | | | (0.01 | )# | | | (0.28 | ) | | | 32.60 | | | | (5.93 | ) | | | (5.96 | ) | | | 2.21 | | | | 0.95 | | | | (1.27 | ) | | | (0.01 | ) | | | 13,651 | | | | — | | |
Year ended
May 31, 2019 | | | 31.57 | | | | 0.35 | | | | 3.19 | | | | — | | | | 3.54 | | | | (0.15 | ) | | | — | | | | — | | | | (0.15 | ) | | | 34.96 | | | | 11.22 | | | | 11.11 | | | | 2.63 | | | | 0.95 | | | | (0.59 | ) | | | 1.08 | | | | 4,149 | | | | — | | |
Year ended
May 31, 2018 | | | 39.09 | | | | 0.04 | | | | (7.56 | ) | | | — | | | | (7.52 | ) | | | — | | | | — | | | | — | | | | — | | | | 31.57 | | | | (19.25 | ) | | | (19.31 | ) | | | 1.68 | | | | 0.95 | | | | (0.62 | ) | | | 0.11 | | | | 3,747 | | | | — | | |
| Ultra 7-10 Year Treasury | |
Year ended
May 31, 2022 | | | 67.14 | | | | (0.06 | ) | | | (11.92 | ) | | | — | | | | (11.98 | ) | | | (0.14 | ) | | | — | | | | — | | | | (0.14 | ) | | | 55.02 | | | | (17.88 | ) | | | (18.01 | ) | | | 1.41 | | | | 0.95 | | | | (0.55 | ) | | | (0.09 | ) | | | 17,882 | | | | 57 | | |
Year ended
May 31, 2021 | | | 75.97 | | | | 0.29 | | | | (8.79 | ) | | | — | | | | (8.50 | ) | | | (0.33 | ) | | | — | | | | — | | | | (0.33 | ) | | | 67.14 | | | | (11.23 | ) | | | (11.19 | ) | | | 1.25 | | | | 0.95 | | | | 0.09 | | | | 0.39 | | | | 18,464 | | | | 56 | | |
Year ended
May 31, 2020 | | | 60.72 | | | | 0.68 | | | | 15.28 | | | | — | | | | 15.96 | | | | (0.71 | ) | | | — | | | | — | | | | (0.71 | ) | | | 75.97 | | | | 26.49 | | | | 26.24 | | | | 1.20 | | | | 0.95 | | | | 0.77 | | | | 1.02 | | | | 34,187 | | | | 193 | | |
Year ended
May 31, 2019 | | | 54.31 | | | | 0.94 | | | | 6.56 | | | | — | | | | 7.50 | | | | (1.09 | ) | | | — | | | | — | | | | (1.09 | ) | | | 60.72 | | | | 14.05 | | | | 14.70 | | | | 1.18 | | | | 0.95 | | | | 1.50 | | | | 1.73 | | | | 24,289 | | | | 327 | | |
Year ended
May 31, 2018 | | | 59.02 | | | | 0.63 | | | | (4.76 | ) | | | — | | | | (4.13 | ) | | | (0.58 | ) | | | — | | | | — | | | | (0.58 | ) | | | 54.31 | | | | (7.03 | ) | | | (7.25 | ) | | | 1.12 | | | | 0.95 | | | | 0.94 | | | | 1.12 | | | | 24,440 | | | | 234 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 237
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Ultra 20+ Year Treasury | |
Year ended
May 31, 2022 | | $ | 48.00 | | | $ | (0.25 | ) | | $ | (14.09 | ) | | $ | — | | | $ | (14.34 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 33.66 | | | | (29.86 | )% | | | (29.47 | )% | | | 1.11 | % | | | 0.95 | % | | | (0.66 | )% | | | (0.50 | )% | | $ | 36,189 | | | | 58 | % | |
Year ended
May 31, 2021(u) | | | 66.77 | | | | (0.17 | ) | | | (18.60 | ) | | | — | | | | (18.77 | ) | | | — | | | | — | | | | — | | | | — | | | | 48.00 | | | | (28.12 | ) | | | (28.26 | ) | | | 1.14 | | | | 0.95 | | | | (0.47 | ) | | | (0.28 | ) | | | 28,797 | | | | 5 | | |
Year ended
May 31, 2020(u) | | | 44.89 | | | | 0.46 | | | | 22.16 | | | | — | | | | 22.62 | | | | (0.74 | ) | | | — | | | | — | | | | (0.74 | ) | | | 66.77 | | | | 50.92 | | | | 49.64 | | | | 1.17 | | | | 0.95 | | | | 0.61 | | | | 0.84 | | | | 50,076 | | | | 292 | | |
Year ended
May 31, 2019(u) | | | 38.47 | | | | 0.70 | | | | 6.34 | | | | — | | | | 7.04 | | | | (0.62 | ) | | | — | | | | — | | | | (0.62 | ) | | | 44.89 | | | | 18.62 | | | | 20.55 | | | | 1.26 | | | | 0.95 | | | | 1.55 | | | | 1.86 | | | | 31,423 | | | | 264 | | |
Year ended
May 31, 2018(u) | | | 40.03 | | | | 0.54 | | | | (1.59 | ) | | | — | | | | (1.05 | ) | | | (0.51 | ) | | | — | | | | — | | | | (0.51 | ) | | | 38.47 | | | | (2.64 | ) | | | (3.29 | ) | | | 1.14 | | | | 0.95 | | | | 1.17 | | | | 1.36 | | | | 23,085 | | | | 75 | | |
| Ultra Basic Materials | |
Year ended
May 31, 2022(mm) | | | 26.79 | | | | 0.16 | | | | (0.02 | ) | | | — | | | | 0.14 | | | | (0.16 | ) | | | — | | | | — | | | | (0.16 | ) | | | 26.77 | | | | 0.54 | | | | 0.22 | | | | 1.10 | | | | 0.95 | | | | 0.50 | | | | 0.65 | | | | 62,229 | | | | 5 | | |
Year ended
May 31, 2021(mm) | | | 11.08 | | | | 0.08 | | | | 15.72 | | | | — | | | | 15.80 | | | | (0.09 | ) | | | — | | | | — | | | | (0.09 | ) | | | 26.79 | | | | 143.30 | | | | 143.29 | | | | 1.15 | | | | 0.95 | | | | 0.25 | | | | 0.45 | | | | 104,477 | | | | 12 | | |
Year ended
May 31, 2020(mm) | | | 11.89 | | | | 0.15 | | | | (0.77 | ) | | | — | | | | (0.62 | ) | | | (0.19 | ) | | | — | | | | — | | | | (0.19 | ) | | | 11.08 | | | | (5.43 | ) | | | (5.04 | ) | | | 1.23 | | | | 0.95 | | | | 0.85 | | | | 1.13 | | | | 27,696 | | | | 6 | | |
Year ended
May 31, 2019(mm) | | | 17.19 | | | | 0.19 | | | | (5.36 | ) | | | — | | | | (5.17 | ) | | | (0.13 | ) | | | — | | | | — | | | | (0.13 | ) | | | 11.89 | | | | (30.15 | ) | | | (30.33 | ) | | | 1.16 | | | | 0.95 | | | | 1.07 | | | | 1.27 | | | | 35,681 | | | | 38 | | |
Year ended
May 31, 2018(mm) | | | 13.79 | | | | 0.10 | | | | 3.39 | | | | — | | | | 3.49 | | | | (0.09 | ) | | | — | | | | — | | | | (0.09 | ) | | | 17.19 | | | | 25.23 | | | | 25.89 | | | | 1.11 | | | | 0.95 | | | | 0.45 | | | | 0.61 | | | | 60,156 | | | | 11 | | |
| Ultra Consumer Goods | |
Year ended
May 31, 2022(jj) | | | 22.44 | | | | 0.09 | | | | (1.56 | ) | | | — | | | | (1.47 | ) | | | (0.07 | ) | | | — | | | | — | | | | (0.07 | ) | | | 20.90 | | | | (6.57 | ) | | | (6.61 | ) | | | 1.80 | | | | 0.95 | | | | (0.50 | ) | | | 0.35 | | | | 8,362 | | | | 9 | | |
Year ended
May 31, 2021(jj) | | | 10.78 | | | | 0.05 | | | | 11.67 | | | | — | | | | 11.72 | | | | (0.06 | ) | | | — | | | | — | | | | (0.06 | ) | | | 22.44 | | | | 109.16 | | | | 108.35 | | | | 1.94 | | | | 0.95 | | | | (0.69 | ) | | | 0.30 | | | | 13,463 | | | | 4 | | |
Year ended
May 31, 2020(jj) | | | 9.92 | | | | 0.15 | | | | 0.83 | | | | — | | | | 0.98 | | | | (0.12 | ) | | | — | | | | — | | | | (0.12 | ) | | | 10.78 | | | | 9.90 | | | | 10.30 | | | | 2.71 | | | | 0.95 | | | | (0.45 | ) | | | 1.31 | | | | 5,389 | | | | 23 | | |
Year ended
May 31, 2019(jj) | | | 9.85 | | | | 0.18 | | | | (0.04 | )(i) | | | — | | | | 0.14 | | | | (0.07 | ) | | | — | | | | — | | | | (0.07 | ) | | | 9.92 | | | | 1.54 | | | | 1.83 | | | | 2.35 | | | | 0.95 | | | | 0.36 | | | | 1.76 | | | | 6,946 | | | | 3 | | |
Year ended
May 31, 2018(jj) | | | 11.32 | | | | 0.13 | | | | (1.52 | ) | | | — | | | | (1.39 | ) | | | (0.08 | ) | | | — | | | | — | | | | (0.08 | ) | | | 9.85 | | | | (12.45 | ) | | | (13.15 | ) | | | 1.71 | | | | 0.95 | | | | 0.36 | | | | 1.12 | | | | 9,846 | | | | 8 | | |
See accompanying notes to the financial statements.
238 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Ultra Consumer Services | |
Year ended
May 31, 2022(kk) | | $ | 48.65 | | | $ | (0.16 | ) | | $ | (19.28 | ) | | $ | — | | | $ | (19.44 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 29.21 | | | | (39.97 | )% | | | (39.99 | )% | | | 1.32 | % | | | 0.95 | % | | | (0.71 | )% | | | (0.35 | )% | | $ | 13,874 | | | | 18 | % | |
Year ended
May 31, 2021(u)(kk) | | | 26.35 | | | | (0.16 | ) | | | 22.46 | | | | — | | | | 22.30 | | | | — | | | | — | | | | — | | | | — | | | | 48.65 | | | | 84.62 | | | | 86.48 | | | | 1.40 | | | | 0.95 | | | | (0.85 | ) | | | (0.40 | ) | | | 31,622 | | | | 5 | | |
Year ended
May 31, 2020(u)(kk) | | | 24.45 | | | | 0.03 | | | | 1.93 | | | | — | | | | 1.96 | | | | (0.06 | ) | | | — | | | | — | | | | (0.06 | ) | | | 26.35 | | | | 8.01 | | | | 6.98 | | | | 1.51 | | | | 0.95 | | | | (0.45 | ) | | | 0.11 | | | | 18,447 | | | | 37 | | |
Year ended
May 31, 2019(u)(kk) | | | 21.69 | | | | 0.03 | | | | 2.76 | | | | — | | | | 2.79 | | | | (0.03 | ) | | | — | | | | — | | | | (0.03 | ) | | | 24.45 | | | | 12.92 | | | | 12.99 | | | | 1.35 | | | | 0.95 | | | | (0.30 | ) | | | 0.10 | | | | 22,009 | | | | 9 | | |
Year ended
May 31, 2018(u)(kk) | | | 17.65 | | | | 0.03 | | | | 4.04 | | | | — | | | | 4.07 | | | | (0.03 | ) | | | — | | | | — | | | | (0.03 | ) | | | 21.69 | | | | 23.05 | | | | 24.53 | | | | 1.47 | | | | 0.95 | | | | (0.38 | ) | | | 0.14 | | | | 23,856 | | | | 8 | | |
| Ultra Dow30SM | |
Year ended
May 31, 2022 | | | 72.22 | | | | 0.43 | | | | (7.05 | ) | | | — | | | | (6.62 | ) | | | (0.25 | ) | | | — | | | | — | | | | (0.25 | ) | | | 65.35 | | | | (9.21 | ) | | | (9.21 | ) | | | 0.95 | | | | 0.95 | | | | 0.59 | | | | 0.59 | | | | 385,592 | | | | 4 | | |
Year ended
May 31, 2021 | | | 39.44 | | | | 0.26 | | | | 32.60 | | | | — | | | | 32.86 | | | | (0.08 | ) | | | — | | | | — | | | | (0.08 | ) | | | 72.22 | | | | 83.38 | | | | 83.65 | | | | 0.96 | | | | 0.95 | | | | 0.47 | | | | 0.49 | | | | 498,320 | | | | 18 | | |
Year ended
May 31, 2020 | | | 42.44 | | | | 0.55 | | | | (3.17 | ) | | | — | | | | (2.62 | ) | | | (0.38 | ) | | | — | | | | — | | | | (0.38 | ) | | | 39.44 | | | | (6.20 | ) | | | (6.29 | ) | | | 0.98 | | | | 0.95 | | | | 1.15 | | | | 1.18 | | | | 297,783 | | | | 31 | | |
Year ended
May 31, 2019 | | | 42.33 | | | | 0.46 | | | | 0.01 | | | | — | | | | 0.47 | | | | (0.36 | ) | | | — | | | | — | | | | (0.36 | ) | | | 42.44 | | | | 1.08 | | | | 1.13 | | | | 0.97 | | | | 0.95 | | | | 1.01 | | | | 1.03 | | | | 318,329 | | | | 35 | | |
Year ended
May 31, 2018(o) | | | 31.66 | | | | 0.32 | | | | 10.63 | | | | — | | | | 10.95 | | | | (0.28 | ) | | | — | | | | — | | | | (0.28 | ) | | | 42.33 | | | | 34.72 | | | | 34.67 | | | | 0.96 | | | | 0.95 | | | | 0.80 | | | | 0.81 | | | | 421,225 | | | | 6 | | |
| Ultra Financials | |
Year ended
May 31, 2022 | | | 63.67 | | | | 0.22 | | | | (6.71 | ) | | | — | | | | (6.49 | ) | | | (0.18 | ) | | | (3.10 | ) | | | — | | | | (3.28 | ) | | | 53.90 | | | | (11.16 | ) | | | (11.22 | ) | | | 0.95 | | | | 0.95 | | | | 0.35 | | | | 0.35 | | | | 671,523 | | | | 9 | | |
Year ended
May 31, 2021 | | | 29.48 | | | | 0.17 | | | | 34.21 | | | | — | | | | 34.38 | | | | (0.19 | ) | | | — | | | | — | | | | (0.19 | ) | | | 63.67 | | | | 117.16 | | | | 117.29 | | | | 0.95 | | | | 0.95 | | | | 0.40 | | | | 0.40 | | | | 923,717 | | | | 7 | | |
Year ended
May 31, 2020 | | | 40.74 | | | | 0.45 | | | | (11.19 | ) | | | — | | | | (10.74 | ) | | | (0.52 | ) | | | — | | | | — | | | | (0.52 | ) | | | 29.48 | | | | (26.67 | ) | | | (26.57 | ) | | | 0.97 | | | | 0.95 | | | | 1.02 | | | | 1.04 | | | | 448,299 | | | | 21 | | |
Year ended
May 31, 2019 | | | 41.06 | | | | 0.43 | | | | (0.30 | ) | | | — | | | | 0.13 | | | | (0.45 | ) | | | — | | | | — | | | | (0.45 | ) | | | 40.74 | | | | 0.42 | | | | 0.40 | | | | 0.95 | | | | 0.95 | | | | 1.05 | | | | 1.06 | | | | 735,704 | | | | 10 | | |
Year ended
May 31, 2018(o) | | | 31.67 | | | | 0.34 | | | | 9.31 | | | | — | | | | 9.65 | | | | (0.26 | ) | | | — | | | | — | | | | (0.26 | ) | | | 41.06 | | | | 30.49 | | | | 30.49 | | | | 0.95 | | | | 0.95 | | | | 0.86 | | | | 0.86 | | | | 883,120 | | | | 3 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 239
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Ultra FTSE China 50 | |
Year ended
May 31, 2022 | | $ | 70.23 | | | $ | (0.44 | ) | | $ | (40.01 | ) | | $ | — | | | $ | (40.45 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 29.78 | | | | (57.59 | )% | | | (57.66 | )% | | | 1.49 | % | | | 0.95 | % | | | (1.47 | )% | | | (0.93 | )% | | $ | 10,424 | | | | — | % | |
Year ended
May 31, 2021 | | | 50.40 | | | | (0.66 | ) | | | 20.49 | | | | — | | | | 19.83 | | | | — | | | | — | | | | — | | | | — | | | | 70.23 | | | | 39.33 | | | | 39.60 | | | | 1.19 | | | | 0.95 | | | | (1.18 | ) | | | (0.95 | ) | | | 28,091 | | | | — | | |
Year ended
May 31, 2020 | | | 58.75 | | | | 0.09 | | | | (5.94 | ) | | | — | | | | (5.85 | ) | | | (2.50 | ) | | | — | | | | — | | | | (2.50 | ) | | | 50.40 | | | | (10.42 | ) | | | (10.64 | ) | | | 1.95 | | | | 0.95 | | | | (0.86 | ) | | | 0.15 | | | | 20,162 | | | | — | | |
Year ended
May 31, 2019 | | | 82.45 | | | | 0.47 | | | | (23.25 | ) | | | — | | | | (22.78 | ) | | | (0.18 | ) | | | (0.74 | ) | | | — | | | | (0.92 | ) | | | 58.75 | | | | (27.63 | ) | | | (27.37 | ) | | | 1.19 | | | | 0.95 | | | | 0.47 | | | | 0.70 | | | | 38,189 | | | | — | | |
Year ended
May 31, 2018 | | | 61.80 | | | | (0.24 | ) | | | 20.89 | | | | — | | | | 20.65 | | | | — | | | | — | | | | — | | | | — | | | | 82.45 | | | | 33.41 | | | | 32.72 | | | | 1.11 | | | | 0.95 | | | | (0.46 | ) | | | (0.30 | ) | | | 43,285 | | | | — | | |
| Ultra FTSE Europe | |
Year ended
May 31, 2022 | | | 69.86 | | | | (0.59 | ) | | | (16.34 | ) | | | — | | | | (16.93 | ) | | | — | | | | — | | | | — | | | | — | | | | 52.93 | | | | (24.25 | ) | | | (24.74 | ) | | | 2.61 | | | | 0.95 | | | | (2.56 | ) | | | (0.90 | ) | | | 3,969 | | | | — | | |
Year ended
May 31, 2021 | | | 35.00 | | | | (0.47 | ) | | | 35.33 | | | | — | | | | 34.86 | | | | — | | | | — | | | | — | | | | — | | | | 69.86 | | | | 99.64 | | | | 100.63 | | | | 2.94 | | | | 0.95 | | | | (2.93 | ) | | | (0.95 | ) | | | 5,239 | | | | — | | |
Year ended
May 31, 2020 | | | 43.65 | | | | 0.09 | | | | (8.46 | ) | | | — | | | | (8.37 | ) | | | (0.28 | ) | | | — | | | | — | | | | (0.28 | ) | | | 35.00 | | | | (19.36 | ) | | | (18.74 | ) | | | 2.33 | | | | 0.95 | | | | (1.18 | ) | | | 0.20 | | | | 3,500 | | | | — | | |
Year ended
May 31, 2019 | | | 55.05 | | | | 0.28 | | | | (10.16 | ) | | | — | | | | (9.88 | ) | | | (0.13 | ) | | | (1.39 | ) | | | — | | | | (1.52 | ) | | | 43.65 | | | | (17.51 | ) | | | (18.68 | ) | | | 1.77 | | | | 0.95 | | | | (0.24 | ) | | | 0.58 | | | | 5,456 | | | | — | | |
Year ended
May 31, 2018 | | | 51.03 | | | | (0.09 | ) | | | 4.11 | | | | — | | | | 4.02 | | | | — | | | | — | | | | — | | | | — | | | | 55.05 | | | | 7.88 | | | | 9.22 | | | | 1.37 | | | | 0.95 | | | | (0.58 | ) | | | (0.16 | ) | | | 11,010 | | | | — | | |
| Ultra Health Care | |
Year ended
May 31, 2022 | | | 88.41 | | | | 0.23 | | | | 3.95 | | | | — | | | | 4.18 | | | | (0.16 | ) | | | — | | | | — | | | | (0.16 | ) | | | 92.43 | | | | 4.70 | | | | 4.60 | | | | 1.02 | | | | 0.95 | | | | 0.17 | | | | 0.24 | | | | 117,843 | | | | 12 | | |
Year ended
May 31, 2021(z) | | | 61.51 | | | | 0.12 | | | | 26.86 | | | | — | | | | 26.98 | | | | (0.08 | ) | | | — | | | | — | | | | (0.08 | ) | | | 88.41 | | | | 43.89 | | | | 43.81 | | | | 1.04 | | | | 0.95 | | | | 0.07 | | | | 0.17 | | | | 130,405 | | | | 4 | | |
Year ended
May 31, 2020(z) | | | 46.34 | | | | 0.35 | | | | 15.01 | | | | — | | | | 15.36 | | | | (0.19 | ) | | | — | | | | — | | | | (0.19 | ) | | | 61.51 | | | | 33.26 | | | | 33.58 | | | | 1.08 | | | | 0.95 | | | | 0.50 | | | | 0.63 | | | | 110,716 | | | | 21 | | |
Year ended
May 31, 2019(z) | | | 43.63 | | | | 0.29 | | | | 2.59 | (i) | | | — | | | | 2.88 | | | | (0.17 | ) | | | — | | | | — | | | | (0.17 | ) | | | 46.34 | | | | 6.58 | | | | 6.48 | | | | 1.05 | | | | 0.95 | | | | 0.47 | | | | 0.57 | | | | 99,639 | | | | 11 | | |
Year ended
May 31, 2018(z) | | | 36.46 | | | | 0.17 | | | | 7.08 | | | | — | | | | 7.25 | | | | (0.08 | ) | | | — | | | | — | | | | (0.08 | ) | | | 43.63 | | | | 19.90 | | | | 20.43 | | | | 1.06 | | | | 0.95 | | | | 0.29 | | | | 0.40 | | | | 89,443 | | | | 6 | | |
See accompanying notes to the financial statements.
240 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Ultra High Yield | |
Year ended
May 31, 2022 | | $ | 75.77 | | | $ | (0.71 | ) | | $ | (7.39 | ) | | $ | — | | | $ | (8.10 | ) | | $ | — | | | $ | (0.25 | ) | | $ | — | | | $ | (0.25 | ) | | $ | 67.42 | | | | (10.74 | )% | | | (10.63 | )% | | | 1.17 | % | | | 0.95 | % | | | (1.15 | )% | | | (0.93 | )% | | $ | 20,227 | | | | — | % | |
Year ended
May 31, 2021 | | | 64.18 | | | | (0.63 | ) | | | 14.17 | | | | — | | | | 13.54 | | | | (1.95 | ) | | | — | | | | — | | | | (1.95 | ) | | | 75.77 | | | | 21.27 | | | | 21.30 | | | | 1.95 | | | | 0.97 | | | | (1.84 | ) | | | (0.86 | ) | | | 28,414 | | | | — | | |
Year ended
May 31, 2020 | | | 66.69 | | | | 1.16 | | | | (0.95 | ) | | | — | | | | 0.21 | | | | (2.72 | ) | | | — | | | | — | | | | (2.72 | ) | | | 64.18 | | | | 0.03 | | | | 0.34 | | | | 2.86 | | | | 1.04 | | | | (0.13 | ) | | | 1.70 | | | | 4,813 | | | | — | | |
Year ended
May 31, 2019 | | | 63.95 | | | | 1.93 | | | | 2.74 | | | | — | | | | 4.67 | | | | (1.93 | ) | | | — | | | | — | | | | (1.93 | ) | | | 66.69 | | | | 7.47 | | | | 7.79 | | | | 5.64 | | | | 0.95 | | | | (1.74 | ) | | | 2.95 | | | | 3,334 | | | | 1 | | |
Year ended
May 31, 2018 | | | 65.06 | | | | 1.82 | | | | (1.11 | ) | | | — | | | | 0.71 | | | | (1.82 | ) | | | — | | | | — | | | | (1.82 | ) | | | 63.95 | | | | 1.09 | | | | 1.58 | | | | 5.35 | | | | 0.95 | | | | (1.61 | ) | | | 2.79 | | | | 3,198 | | | | — | | |
| Ultra Industrials | |
Year ended
May 31, 2022 | | | 33.02 | | | | 0.01 | | | | (9.17 | ) | | | — | | | | (9.16 | ) | | | (0.01 | ) | | | — | | | | — | | | | (0.01 | ) | | | 23.85 | | | | (27.77 | ) | | | (27.70 | ) | | | 1.32 | | | | 0.95 | | | | (0.33 | ) | | | 0.05 | | | | 16,694 | | | | 9 | | |
Year ended
May 31, 2021(dd) | | | 14.84 | | | | 0.02 | | | | 18.20 | | | | — | | | | 18.22 | | | | (0.04 | ) | | | — | | | | — | | | | (0.04 | ) | | | 33.02 | | | | 123.00 | | | | 122.38 | | | | 1.55 | | | | 0.95 | | | | (0.53 | ) | | | 0.07 | | | | 40,451 | | | | 3 | | |
Year ended
May 31, 2020(dd) | | | 17.09 | | | | 0.14 | | | | (2.26 | ) | | | — | | | | (2.12 | ) | | | (0.13 | ) | | | — | | | | — | | | | (0.13 | ) | | | 14.84 | | | | (12.47 | ) | | | (12.37 | ) | | | 1.61 | | | | 0.95 | | | | 0.09 | | | | 0.74 | | | | 14,838 | | | | 31 | | |
Year ended
May 31, 2019(dd) | | | 17.59 | | | | 0.12 | | | | (0.53 | ) | | | — | | | | (0.41 | ) | | | (0.09 | ) | | | — | | | | — | | | | (0.09 | ) | | | 17.09 | | | | (2.29 | ) | | | (2.20 | ) | | | 1.43 | | | | 0.95 | | | | 0.21 | | | | 0.70 | | | | 18,804 | | | | 5 | | |
Year ended
May 31, 2018(dd) | | | 14.16 | | | | 0.07 | | | | 3.40 | | | | — | | | | 3.47 | | | | (0.04 | ) | | | — | | | | — | | | | (0.04 | ) | | | 17.59 | | | | 24.50 | | | | 24.44 | | | | 1.40 | | | | 0.95 | | | | (0.03 | ) | | | 0.43 | | | | 26,392 | | | | 6 | | |
| Ultra MidCap400 | |
Year ended
May 31, 2022 | | | 65.80 | | | | 0.18 | | | | (11.82 | ) | | | — | | | | (11.64 | ) | | | (0.13 | ) | | | — | | | | — | | | | (0.13 | ) | | | 54.03 | | | | (17.73 | ) | | | (17.75 | ) | | | 0.99 | | | | 0.95 | | | | 0.24 | | | | 0.28 | | | | 122,914 | | | | 52 | | |
Year ended
May 31, 2021 | | | 28.58 | | | | 0.06 | | | | 37.24 | | | | — | | | | 37.30 | | | | (0.08 | ) | | | — | | | | — | | | | (0.08 | ) | | | 65.80 | | | | 130.66 | | | | 130.86 | | | | 1.06 | | | | 0.95 | | | | 0.04 | | | | 0.15 | | | | 189,162 | | | | 18 | | |
Year ended
May 31, 2020 | | | 35.41 | | | | 0.26 | | | | (6.77 | ) | | | — | | | | (6.51 | ) | | | (0.32 | ) | | | — | | | | — | | | | (0.32 | ) | | | 28.58 | | | | (18.51 | ) | | | (18.50 | ) | | | 1.06 | | | | 0.95 | | | | 0.58 | | | | 0.69 | | | | 105,036 | | | | 73 | | |
Year ended
May 31, 2019 | | | 42.46 | | | | 0.22 | | | | (7.07 | ) | | | — | | | | (6.85 | ) | | | (0.20 | ) | | | — | | | | — | | | | (0.20 | ) | | | 35.41 | | | | (16.13 | ) | | | (16.26 | ) | | | 1.04 | | | | 0.95 | | | | 0.47 | | | | 0.56 | | | | 130,137 | | | | 31 | | |
Year ended
May 31, 2018(o) | | | 33.70 | | | | 0.15 | | | | 8.71 | | | | — | | | | 8.86 | | | | (0.10 | ) | | | — | | | | — | | | | (0.10 | ) | | | 42.46 | | | | 26.30 | | | | 26.46 | | | | 1.02 | | | | 0.95 | | | | 0.32 | | | | 0.39 | | | | 153,913 | | | | 42 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 241
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Ultra MSCI Brazil Capped | |
Year ended
May 31, 2022 | | $ | 37.27 | | | $ | (0.27 | ) | | $ | (4.27 | ) | | $ | — | | | $ | (4.54 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 32.73 | | | | (12.21 | )% | | | (11.88 | )% | | | 2.22 | % | | | 0.95 | % | | | (2.17 | )% | | | (0.90 | )% | | $ | 9,543 | | | | — | % | |
Year ended
May 31, 2021 | | | 20.23 | | | | (0.27 | ) | | | 17.31 | | | | — | | | | 17.04 | | | | — | | | | — | | | | — | | | | — | | | | 37.27 | | | | 84.28 | | | | 85.11 | | | | 2.00 | | | | 0.95 | | | | (2.00 | ) | | | (0.95 | ) | | | 7,140 | | | | — | | |
Year ended
May 31, 2020 | | | 70.62 | | | | 0.06 | | | | (50.07 | ) | | | — | | | | (50.01 | ) | | | (0.38 | ) | | | — | | | | — | | | | (0.38 | ) | | | 20.23 | | | | (71.21 | ) | | | (71.30 | ) | | | 2.10 | | | | 0.96 | | | | (1.03 | ) | | | 0.10 | | | | 4,886 | | | | — | | |
Year ended
May 31, 2019 | | | 57.70 | | | | 0.33 | | | | 12.77 | | | | — | | | | 13.10 | | | | (0.18 | ) | | | — | | | | — | | | | (0.18 | ) | | | 70.62 | | | | 22.70 | | | | 21.48 | | | | 1.70 | | | | 0.95 | | | | (0.22 | ) | | | 0.53 | | | | 8,231 | | | | — | | |
Year ended
May 31, 2018 | | | 59.23 | | | | (0.07 | ) | | | (1.46 | ) | | | — | | | | (1.53 | ) | | | — | | | | — | | | | — | | | | — | | | | 57.70 | | | | (2.59 | ) | | | (1.67 | ) | | | 1.26 | | | | 0.95 | | | | (0.40 | ) | | | (0.09 | ) | | | 9,611 | | | | — | | |
| Ultra MSCI EAFE | |
Year ended
May 31, 2022 | | | 52.83 | | | | (0.45 | ) | | | (12.10 | ) | | | — | | | | (12.55 | ) | | | — | | | | — | | | | — | | | | — | | | | 40.28 | | | | (23.76 | ) | | | (23.48 | ) | | | 1.68 | | | | 0.95 | | | | (1.64 | ) | | | (0.91 | ) | | | 9,064 | | | | — | | |
Year ended
May 31, 2021 | | | 28.74 | | | | (0.39 | ) | | | 24.48 | | | | — | | | | 24.09 | | | | — | | | | — | | | | — | | | | — | | | | 52.83 | | | | 83.86 | | | | 82.35 | | | | 1.56 | | | | 0.95 | | | | (1.56 | ) | | | (0.95 | ) | | | 13,208 | | | | — | | |
Year ended
May 31, 2020 | | | 34.62 | | | | 0.01 | | | | (5.77 | ) | | | — | | | | (5.76 | ) | | | (0.12 | ) | | | — | | | | — | | | | (0.12 | ) | | | 28.74 | | | | (16.71 | ) | | | (16.08 | ) | | | 2.22 | | | | 0.95 | | | | (1.23 | ) | | | 0.04 | | | | 3,592 | | | | — | | |
Year ended
May 31, 2019 | | | 41.92 | | | | 0.15 | | | | (7.38 | ) | | | — | | | | (7.23 | ) | | | (0.07 | ) | | | — | | | | — | | | | (0.07 | ) | | | 34.62 | | | | (17.25 | ) | | | (17.54 | ) | | | 1.72 | | | | 0.95 | | | | (0.37 | ) | | | 0.41 | | | | 6,058 | | | | — | | |
Year ended
May 31, 2018(o) | | | 37.71 | | | | (0.09 | ) | | | 4.30 | | | | — | | | | 4.21 | | | | — | | | | — | | | | — | | | | — | | | | 41.92 | | | | 11.17 | | | | 11.29 | | | | 1.35 | | | | 0.95 | | | | (0.62 | ) | | | (0.22 | ) | | | 11,528 | | | | — | | |
| Ultra MSCI Emerging Markets | |
Year ended
May 31, 2022 | | | 105.83 | | | | (0.80 | ) | | | (42.13 | ) | | | — | | | | (42.93 | ) | | | — | | | | — | | | | — | | | | — | | | | 62.90 | | | | (40.57 | ) | | | (40.56 | ) | | | 1.09 | | | | 0.95 | | | | (1.05 | ) | | | (0.90 | ) | | | 26,731 | | | | — | | |
Year ended
May 31, 2021 | | | 51.04 | | | | (0.87 | ) | | | 55.66 | | | | — | | | | 54.79 | | | | — | | | | — | | | | — | | | | — | | | | 105.83 | | | | 107.34 | | | | 107.36 | | | | 1.09 | | | | 0.95 | | | | (1.08 | ) | | | (0.95 | ) | | | 92,605 | | | | — | | |
Year ended
May 31, 2020 | | | 65.46 | | | | 0.22 | | | | (13.61 | ) | | | — | | | | (13.39 | ) | | | (1.03 | ) | | | — | | | | — | | | | (1.03 | ) | | | 51.04 | | | | (20.88 | ) | | | (20.89 | ) | | | 1.39 | | | | 0.95 | | | | (0.10 | ) | | | 0.34 | | | | 12,761 | | | | — | | |
Year ended
May 31, 2019 | | | 85.50 | | | | 0.63 | | | | (20.46 | ) | | | — | | | | (19.83 | ) | | | (0.21 | ) | | | — | | | | — | | | | (0.21 | ) | | | 65.46 | | | | (23.20 | ) | | | (23.21 | ) | | | 1.13 | | | | 0.95 | | | | 0.69 | | | | 0.87 | | | | 36,005 | | | | — | | |
Year ended
May 31, 2018 | | | 70.55 | | | | (0.11 | ) | | | 15.06 | | | | — | | | | 14.95 | | | | — | | | | — | | | | — | | | | — | | | | 85.50 | | | | 21.20 | | | | 21.43 | | | | 1.06 | | | | 0.95 | | | | (0.23 | ) | | | (0.13 | ) | | | 51,299 | | | | — | | |
See accompanying notes to the financial statements.
242 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Ultra MSCI Japan | |
Year ended
May 31, 2022 | | $ | 47.18 | | | $ | (0.33 | ) | | $ | (13.94 | ) | | $ | — | | | $ | (14.27 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 32.91 | | | | (30.24 | )% | | | (30.26 | )% | | | 2.25 | % | | | 0.96 | % | | | (2.05 | )% | | | (0.76 | )% | | $ | 5,760 | | | | 579 | % | |
Year ended
May 31, 2021 | | | 31.35 | | | | (0.39 | ) | | | 16.22 | | | | — | | | | 15.83 | | | | — | | | | — | | | | — | | | | — | | | | 47.18 | | | | 50.48 | | | | 50.81 | | | | 2.34 | | | | 0.95 | | | | (2.34 | ) | | | (0.95 | ) | | | 5,897 | | | | — | | |
Year ended
May 31, 2020 | | | 30.01 | | | | (0.09 | ) | | | 1.48 | | | | — | | | | 1.39 | | | | (0.04 | ) | | | — | | | | (0.01 | ) | | | (0.05 | ) | | | 31.35 | | | | 4.61 | | | | 4.49 | | | | 2.33 | | | | 0.95 | | | | (1.66 | ) | | | (0.28 | ) | | | 3,919 | | | | — | | |
Year ended
May 31, 2019 | | | 41.94 | | | | 0.14 | | | | (10.73 | ) | | | — | | | | (10.59 | ) | | | (0.06 | ) | | | (1.28 | ) | | | — | | | | (1.34 | ) | | | 30.01 | | | | (25.03 | ) | | | (25.04 | ) | | | 4.18 | | | | 0.95 | | | | (2.82 | ) | | | 0.41 | | | | 5,251 | | | | — | | |
Year ended
May 31, 2018(o) | | | 34.24 | | | | (0.10 | ) | | | 7.80 | | | | — | | | | 7.70 | | | | — | | | | — | | | | — | | | | — | | | | 41.94 | | | | 22.51 | | | | 22.82 | | | | 1.42 | | | | 0.95 | | | | (0.71 | ) | | | (0.25 | ) | | | 9,437 | | | | — | | |
| Ultra Nasdaq Biotechnology | |
Year ended
May 31, 2022 | | | 84.53 | | | | (0.23 | ) | | | (36.26 | ) | | | — | | | | (36.49 | ) | | | — | | | | — | | | | — | | | | — | | | | 48.04 | | | | (43.17 | ) | | | (43.05 | ) | | | 1.08 | | | | 0.95 | | | | (0.41 | ) | | | (0.28 | ) | | | 93,685 | | | | 27 | | |
Year ended
May 31, 2021 | | | 70.76 | | | | (0.36 | ) | | | 14.13 | | | | — | | | | 13.77 | | | | — | | | | — | | | | — | | | | — | | | | 84.53 | | | | 19.46 | | | | 19.50 | | | | 1.08 | | | | 0.95 | | | | (0.58 | ) | | | (0.45 | ) | | | 287,388 | | | | 27 | | |
Year ended
May 31, 2020 | | | 43.67 | | | | (0.09 | ) | | | 27.18 | | | | — | | | | 27.09 | | | | — | | | | — | | | | — | | | | — | | | | 70.76 | | | | 62.03 | | | | 61.87 | | | | 1.10 | | | | 0.95 | | | | (0.31 | ) | | | (0.17 | ) | | | 183,980 | | | | 37 | | |
Year ended
May 31, 2019 | | | 55.88 | | | | (0.13 | ) | | | (12.08 | ) | | | — | | | | (12.21 | ) | | | — | | | | — | | | | — | | | | — | | | | 43.67 | | | | (21.85 | ) | | | (21.82 | ) | | | 1.06 | | | | 0.95 | | | | (0.35 | ) | | | (0.24 | ) | | | 207,454 | | | | 31 | | |
Year ended
May 31, 2018 | | | 45.61 | | | | (0.21 | ) | | | 10.48 | | | | — | | | | 10.27 | | | | — | | | | — | | | | — | | | | — | | | | 55.88 | | | | 22.54 | | | | 22.71 | | | | 1.04 | | | | 0.95 | | | | (0.46 | ) | | | (0.37 | ) | | | 363,252 | | | | 25 | | |
| Ultra Nasdaq Cloud Computing | |
Year ended
May 31, 2022 | | | 39.18 | | | | (0.16 | ) | | | (20.72 | ) | | | — | | | | (20.88 | ) | | | — | | | | — | | | | — | | | | — | | | | 18.30 | | | | (53.30 | ) | | | (53.81 | ) | | | 3.49 | | | | 0.95 | | | | (2.96 | ) | | | (0.43 | ) | | | 1,830 | | | | 74 | | |
January 19, 2021*
through
May 31, 2021 | | | 40.00 | | | | (0.09 | ) | | | (0.73 | )(i) | | | — | | | | (0.82 | ) | | | — | | | | — | | | | — | | | | — | | | | 39.18 | | | | (2.04 | ) | | | (0.95 | ) | | | 3.85 | | | | 0.95 | | | | (3.47 | ) | | | (0.57 | ) | | | 1,959 | | | | 6 | | |
* Commencement of investment operations.
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 243
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Ultra Nasdaq Cybersecurity | |
Year ended
May 31, 2022 | | $ | 37.53 | | | $ | (0.41 | ) | | $ | (5.77 | ) | | $ | — | | | $ | (6.18 | ) | | $ | — | | | $ | (0.24 | ) | | $ | — | | | $ | (0.24 | ) | | $ | 31.11 | | | | (16.75 | )% | | | (16.09 | )% | | | 2.07 | % | | | 0.95 | % | | | (2.01 | )% | | | (0.89 | )% | | $ | 2,333 | | | | — | % | |
January 19, 2021*
through
May 31, 2021 | | | 40.00 | | | | (0.13 | ) | | | (2.34 | ) | | | — | | | | (2.47 | ) | | | — | | | | — | | | | — | | | | — | | | | 37.53 | | | | (6.15 | ) | | | (6.40 | ) | | | 3.52 | | | | 0.95 | | | | (3.52 | ) | | | (0.95 | ) | | | 2,815 | | | | — | | |
| Ultra Oil & Gas | |
Year ended
May 31, 2022(mm) | | | 16.69 | | | | 0.43 | | | | 27.11 | | | | — | | | | 27.54 | | | | (0.52 | ) | | | — | | | | — | | | | (0.52 | ) | | | 43.71 | | | | 168.23 | | | | 167.93 | | | | 0.99 | | | | 0.95 | | | | 1.95 | | | | 1.99 | | | | 218,701 | | | | 31 | | |
Year ended
May 31, 2021
(ee)(mm) | | | 10.00 | | | | 0.31 | | | | 6.71 | | | | — | | | | 7.02 | | | | (0.33 | ) | | | — | | | | — | | | | (0.33 | ) | | | 16.69 | | | | 73.14 | | | | 72.84 | | | | 1.03 | | | | 0.95 | | | | 2.84 | | | | 2.92 | | | | 211,207 | | | | 24 | | |
Year ended
May 31, 2020
(s)(ee)(mm) | | | 29.90 | | | | 0.62 | | | | (19.79 | ) | | | — | | | | (19.17 | ) | | | (0.73 | ) | | | — | | | | — | | | | (0.73 | ) | | | 10.00 | | | | (65.49 | ) | | | (65.44 | ) | | | 1.14 | | | | 0.95 | | | | 3.27 | | | | 3.47 | | | | 116,476 | | | | 4 | | |
Year ended
May 31, 2019
(s)(ee)(mm) | | | 54.14 | | | | 0.70 | | | | (24.23 | ) | | | — | | | | (23.53 | ) | | | (0.71 | ) | | | — | | | | — | | | | (0.71 | ) | | | 29.90 | | | | (43.83 | ) | | | (43.77 | ) | | | 1.07 | | | | 0.95 | | | | 1.53 | | | | 1.65 | | | | 71,168 | | | | 14 | | |
Year ended
May 31, 2018
(s)(ee)(mm) | | | 40.22 | | | | 0.85 | | | | 13.94 | | | | — | | | | 14.79 | | | | (0.87 | ) | | | — | | | | — | | | | (0.87 | ) | | | 54.14 | | | | 37.30 | | | | 37.33 | | | | 1.04 | | | | 0.95 | | | | 1.83 | | | | 1.92 | | | | 126,699 | | | | 14 | | |
| Ultra QQQ | |
Year ended
May 31, 2022 | | | 63.62 | | | | (0.22 | ) | | | (12.72 | ) | | | — | | | | (12.94 | ) | | | — | | | | — | | | | — | | | | — | | | | 50.68 | | | | (20.35 | ) | | | (20.44 | ) | | | 0.98 | | | | 0.95 | | | | (0.33 | ) | | | (0.30 | ) | | | 3,679,324 | | | | 54 | | |
Year ended
May 31, 2021(u)(ee) | | | 32.93 | | | | (0.17 | ) | | | 30.86 | | | | — | | | | 30.69 | | | | — | | | | — | | | | — | | | | — | | | | 63.62 | | | | 93.20 | | | | 93.78 | | | | 0.97 | | | | 0.95 | | | | (0.35 | ) | | | (0.33 | ) | | | 4,294,521 | | | | 8 | | |
Year ended
May 31, 2020(u)(ee) | | | 20.83 | | | | — | | | | 12.13 | | | | — | | | | 12.13 | | | | (0.03 | ) | | | — | | | | — | | | | (0.03 | ) | | | 32.93 | | | | 58.25 | | | | 58.04 | | | | 0.99 | | | | 0.95 | | | | (0.04 | ) | | | 0.01 | | | | 2,371,112 | | | | 33 | | |
Year ended
May 31, 2019(u)(ee) | | | 21.23 | | | | 0.03 | | | | (0.40 | ) | | | — | | | | (0.37 | ) | | | (0.03 | ) | | | — | | | | — | | | | (0.03 | ) | | | 20.83 | | | | (1.74 | ) | | | (1.92 | ) | | | 0.99 | | | | 0.95 | | | | 0.10 | | | | 0.13 | | | | 1,691,571 | | | | 7 | | |
Year ended
May 31, 2018
(l)(u)(ee) | | | 15.19 | | | | (0.01 | ) | | | 6.05 | | | | — | | | | 6.04 | | | | — | (h) | | | — | | | | — | | | | — | (h) | | | 21.23 | | | | 39.75 | | | | 39.85 | | | | 0.99 | | | | 0.95 | | | | (0.07 | ) | | | (0.03 | ) | | | 1,783,133 | | | | 2 | | |
* Commencement of investment operations.
See accompanying notes to the financial statements.
244 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Ultra Real Estate | |
Year ended
May 31, 2022 | | $ | 84.64 | | | $ | 0.63 | | | $ | (1.66 | ) | | $ | — | | | $ | (1.03 | ) | | $ | (0.68 | ) | | $ | — | | | $ | — | | | $ | (0.68 | ) | | $ | 82.93 | | | | (1.39 | )% | | | (1.59 | )% | | | 1.04 | % | | | 0.95 | % | | | 0.56 | % | | | 0.65 | % | | $ | 102,313 | | | | 10 | % | |
Year ended
May 31, 2021 | | | 51.66 | | | | 0.56 | | | | 32.86 | | | | — | | | | 33.42 | | | | (0.44 | ) | | | — | | | | — | | | | (0.44 | ) | | | 84.64 | | | | 65.16 | | | | 65.51 | | | | 1.07 | | | | 0.95 | | | | 0.77 | | | | 0.89 | | | | 117,124 | | | | 6 | | |
Year ended
May 31, 2020 | | | 75.11 | | | | 1.16 | | | | (23.52 | ) | | | — | | | | (22.36 | ) | | | (1.09 | ) | | | — | | | | — | | | | (1.09 | ) | | | 51.66 | | | | (30.18 | ) | | | (30.15 | ) | | | 1.06 | | | | 0.95 | | | | 1.40 | | | | 1.51 | | | | 76,646 | | | | 41 | | |
Year ended
May 31, 2019 | | | 61.06 | | | | 1.26 | | | | 13.65 | | | | — | | | | 14.91 | | | | (0.86 | ) | | | — | | | | — | | | | (0.86 | ) | | | 75.11 | | | | 24.82 | | | | 24.75 | | | | 1.04 | | | | 0.95 | | | | 1.79 | | | | 1.88 | | | | 137,733 | | | | 6 | | |
Year ended
May 31, 2018(l) | | | 60.63 | | | | 1.06 | | | | (0.01 | )(i) | | | — | | | | 1.05 | | | | (0.62 | ) | | | — | | | | — | | | | (0.62 | ) | | | 61.06 | | | | 1.68 | | | | 1.64 | | | | 1.03 | | | | 0.95 | | | | 1.63 | | | | 1.71 | | | | 131,803 | | | | 4 | | |
| Ultra Russell2000 | |
Year ended
May 31, 2022 | | | 57.80 | | | | (0.03 | ) | | | (20.67 | ) | | | — | | | | (20.70 | ) | | | — | | | | — | | | | — | | | | — | | | | 37.10 | | | | (35.82 | ) | | | (35.93 | ) | | | 1.31 | | | | 0.95 | | | | (0.42 | ) | | | (0.06 | ) | | | 181,770 | | | | 47 | | |
Year ended
May 31, 2021(ee) | | | 23.09 | | | | (0.11 | ) | | | 34.83 | | | | — | | | | 34.72 | | | | (0.01 | ) | | | — | | | | — | | | | (0.01 | ) | | | 57.80 | | | | 150.40 | | | | 151.15 | | | | 1.15 | | | | 0.95 | | | | (0.44 | ) | | | (0.24 | ) | | | 742,689 | | | | 20 | | |
Year ended
May 31, 2020(ee) | | | 30.32 | | | | 0.16 | | | | (7.18 | ) | | | — | | | | (7.02 | ) | | | (0.21 | ) | | | — | | | | — | | | | (0.21 | ) | | | 23.09 | | | | (23.32 | ) | | | (23.49 | ) | | | 1.24 | | | | 0.95 | | | | 0.21 | | | | 0.51 | | | | 124,664 | | | | 73 | | |
Year ended
May 31, 2019(ee) | | | 39.40 | | | | 0.16 | | | | (9.11 | ) | | | — | | | | (8.95 | ) | | | (0.13 | ) | | | — | | | | — | | | | (0.13 | ) | | | 30.32 | | | | (22.70 | ) | | | (22.78 | ) | | | 1.25 | | | | 0.95 | | | | 0.14 | | | | 0.44 | | | | 160,681 | | | | 41 | | |
Year ended
May 31, 2018(l)(ee) | | | 28.24 | | | | 0.06 | | | | 11.14 | | | | — | | | | 11.20 | | | | (0.04 | ) | | | — | | | | — | | | | (0.04 | ) | | | 39.40 | | | | 39.66 | | | | 39.78 | | | | 1.37 | | | | 0.95 | | | | (0.24 | ) | | | 0.18 | | | | 263,967 | | | | 15 | | |
| Ultra S&P500® | |
Year ended
May 31, 2022(kk) | | | 57.13 | | | | 0.20 | | | | (3.32 | ) | | | — | | | | (3.12 | ) | | | (0.13 | ) | | | — | | | | — | | | | (0.13 | ) | | | 53.88 | | | | (5.49 | ) | | | (5.53 | ) | | | 0.89 | | | | 0.89 | | | | 0.31 | | | | 0.32 | | | | 3,424,199 | | | | 19 | | |
Year ended
May 31, 2021(u)(kk) | | | 30.42 | | | | 0.16 | | | | 26.63 | | | | — | | | | 26.79 | | | | (0.08 | ) | | | — | | | | — | | | | (0.08 | ) | | | 57.13 | | | | 88.11 | | | | 88.62 | | | | 0.89 | | | | 0.89 | | | | 0.38 | | | | 0.38 | | | | 3,827,456 | | | | 3 | | |
Year ended
May 31, 2020(u)(kk) | | | 27.69 | | | | 0.28 | | | | 2.63 | | | | — | | | | 2.91 | | | | (0.18 | ) | | | — | | | | — | | | | (0.18 | ) | | | 30.42 | | | | 10.56 | | | | 10.46 | | | | 0.91 | | | | 0.91 | | | | 0.88 | | | | 0.88 | | | | 2,165,829 | | | | 46 | | |
Year ended
May 31, 2019(u)(kk) | | | 27.60 | | | | 0.25 | | | | 0.03 | (i) | | | — | | | | 0.28 | | | | (0.19 | ) | | | — | | | | — | | | | (0.19 | ) | | | 27.69 | | | | 1.04 | | | | 1.00 | | | | 0.90 | | | | 0.90 | | | | 0.87 | | | | 0.87 | | | | 2,215,265 | | | | 5 | | |
Year ended
May 31, 2018(u)(kk) | | | 22.15 | | | | 0.19 | | | | 5.38 | | | | — | | | | 5.57 | | | | (0.12 | ) | | | — | | | | — | | | | (0.12 | ) | | | 27.60 | | | | 25.17 | | | | 25.13 | | | | 0.90 | | | | 0.90 | | | | 0.72 | | | | 0.72 | | | | 2,340,284 | | | | 3 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 245
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Ultra Semiconductors | |
Year ended
May 31, 2022 | | $ | 31.37 | | | $ | (0.03 | ) | | $ | (3.05 | ) | | $ | — | | | $ | (3.08 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 28.29 | | | | (9.81 | )% | | | (9.79 | )% | | | 0.97 | % | | | 0.95 | % | | | (0.09 | )% | | | (0.07 | )% | | $ | 247,580 | | | | 83 | % | |
Year ended
May 31, 2021(dd) | | | 13.86 | | | | — | (h) | | | 17.53 | | | | — | | | | 17.53 | | | | (0.02 | ) | | | — | | | | — | | | | (0.02 | ) | | | 31.37 | | | | 126.56 | | | | 127.69 | | | | 1.01 | | | | 0.95 | | | | (0.07 | ) | | | (0.01 | ) | | | 253,317 | | | | 11 | | |
Year ended
May 31, 2020(dd) | | | 8.19 | | | | 0.10 | | | | 5.68 | | | | — | | | | 5.78 | | | | (0.11 | ) | | | — | | | | — | | | | (0.11 | ) | | | 13.86 | | | | 70.79 | | | | 69.70 | | | | 1.11 | | | | 0.95 | | | | 0.63 | | | | 0.80 | | | | 77,624 | | | | 58 | | |
Year ended
May 31, 2019(dd) | | | 12.28 | | | | 0.10 | | | | (4.11 | ) | | | — | | | | (4.01 | ) | | | (0.08 | ) | | | — | | | | — | | | | (0.08 | ) | | | 8.19 | | | | (32.72 | ) | | | (32.67 | ) | | | 1.13 | | | | 0.95 | | | | 0.84 | | | | 1.02 | | | | 38,511 | | | | 38 | | |
Year ended
May 31, 2018(o)(dd) | | | 7.50 | | | | 0.06 | | | | 4.76 | | | | — | | | | 4.82 | | | | (0.04 | ) | | | — | | | | — | | | | (0.04 | ) | | | 12.28 | | | | 64.38 | | | | 64.91 | | | | 1.09 | | | | 0.95 | | | | 0.51 | | | | 0.65 | | | | 79,845 | | | | 18 | | |
| Ultra SmallCap600 | |
Year ended
May 31, 2022 | | | 31.80 | | | | 0.02 | | | | (6.96 | ) | | | — | | | | (6.94 | ) | | | — | | | | — | | | | — | | | | — | | | | 24.86 | | | | (21.84 | ) | | | (21.78 | ) | | | 1.29 | | | | 0.95 | | | | (0.26 | ) | | | 0.08 | | | | 32,935 | | | | 27 | | |
Year ended
May 31, 2021(ff) | | | 11.58 | | | | (0.02 | ) | | | 20.25 | | | | — | | | | 20.23 | | | | (0.01 | ) | | | — | | | | — | | | | (0.01 | ) | | | 31.80 | | | | 174.63 | | | | 173.87 | | | | 1.35 | | | | 0.95 | | | | (0.51 | ) | | | (0.11 | ) | | | 46,109 | | | | 17 | | |
Year ended
May 31, 2020(ff) | | | 16.91 | | | | 0.10 | | | | (5.36 | ) | | | — | | | | (5.26 | ) | | | (0.07 | ) | | | — | | | | — | | | | (0.07 | ) | | | 11.58 | | | | (31.26 | ) | | | (30.98 | ) | | | 1.59 | | | | 0.95 | | | | (0.08 | ) | | | 0.56 | | | | 14,478 | | | | 53 | | |
Year ended
May 31, 2019(ff) | | | 22.73 | | | | 0.09 | | | | (5.86 | ) | | | — | | | | (5.77 | ) | | | (0.05 | ) | | | — | | | | — | | | | (0.05 | ) | | | 16.91 | | | | (25.36 | ) | | | (25.80 | ) | | | 1.35 | | | | 0.95 | | | | 0.02 | | | | 0.42 | | | | 23,249 | | | | 18 | | |
Year ended
May 31, 2018(ff) | | | 15.82 | | | | 0.01 | | | | 6.90 | | | | — | | | | 6.91 | | | | — | | | | — | | | | — | | | | — | | | | 22.73 | | | | 43.68 | | | | 44.31 | | | | 1.53 | | | | 0.95 | | | | (0.50 | ) | | | 0.08 | | | | 28,407 | | | | 17 | | |
| Ultra Technology | |
Year ended
May 31, 2022(kk) | | | 41.71 | | | | (0.22 | ) | | | (6.52 | ) | | | — | | | | (6.74 | ) | | | — | | | | — | | | | — | | | | — | | | | 34.97 | | | | (16.16 | ) | | | (16.21 | ) | | | 0.95 | | | | 0.95 | | | | (0.43 | ) | | | (0.43 | ) | | | 539,380 | | | | 41 | | |
Year ended
May 31, 2021(v)(kk) | | | 20.68 | | | | (0.13 | ) | | | 21.16 | | | | — | | | | 21.03 | | | | — | | | | — | | | | — | | | | — | | | | 41.71 | | | | 101.68 | | | | 102.46 | | | | 0.95 | | | | 0.95 | | | | (0.40 | ) | | | (0.40 | ) | | | 763,229 | | | | 7 | | |
Year ended
May 31, 2020(v)(kk) | | | 12.73 | | | | 0.03 | | | | 7.96 | | | | — | | | | 7.99 | | | | (0.04 | ) | | | — | | | | — | | | | (0.04 | ) | | | 20.68 | | | | 62.84 | | | | 62.48 | | | | 0.99 | | | | 0.95 | | | | 0.13 | | | | 0.16 | | | | 417,738 | | | | 31 | | |
Year ended
May 31, 2019(v)(kk) | | | 13.15 | | | | 0.03 | | | | (0.41 | ) | | | — | | | | (0.38 | ) | | | (0.04 | ) | | | — | | | | — | | | | (0.04 | ) | | | 12.73 | | | | (2.92 | ) | | | (3.09 | ) | | | 0.99 | | | | 0.95 | | | | 0.21 | | | | 0.25 | | | | 300,442 | | | | 14 | | |
Year ended
May 31, 2018(l)(v)(kk) | | | 8.69 | | | | 0.02 | | | | 4.45 | | | | — | | | | 4.47 | | | | (0.01 | ) | | | — | | | | — | | | | (0.01 | ) | | | 13.15 | | | | 51.57 | | | | 51.56 | | | | 1.00 | | | | 0.95 | | | | 0.12 | | | | 0.17 | | | | 342,018 | | | | 5 | | |
See accompanying notes to the financial statements.
246 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| Ultra Telecommunications | |
Year ended
May 31, 2022 | | $ | 47.81 | | | $ | 0.59 | | | $ | (8.40 | ) | | $ | — | | | $ | (7.81 | ) | | $ | (0.70 | ) | | $ | — | | | $ | — | | | $ | (0.70 | ) | | $ | 39.30 | | | | (16.64 | )% | | | (16.77 | )% | | | 5.55 | % | | | 0.95 | % | | | (3.37 | )% | | | 1.23 | % | | $ | 1,965 | | | | 34 | % | |
Year ended
May 31, 2021 | | | 34.38 | | | | 0.53 | | | | 13.40 | | | | — | | | | 13.93 | | | | (0.50 | ) | | | — | | | | — | | | | (0.50 | ) | | | 47.81 | | | | 41.06 | | | | 41.47 | | | | 8.63 | | | | 0.95 | | | | (6.37 | ) | | | 1.31 | | | | 2,391 | | | | 18 | | |
Year ended
May 31, 2020 | | | 36.53 | | | | 0.60 | | | | (2.33 | ) | | | — | | | | (1.73 | ) | | | (0.42 | ) | | | — | | | | — | | | | (0.42 | ) | | | 34.38 | | | | (4.66 | ) | | | (5.08 | ) | | | 9.92 | | | | 0.95 | | | | (7.40 | ) | | | 1.57 | | | | 859 | | | | 29 | | |
Year ended
May 31, 2019 | | | 35.66 | | | | 0.66 | | | | 0.91 | | | | — | | | | 1.57 | | | | (0.70 | ) | | | — | | | | — | | | | (0.70 | ) | | | 36.53 | | | | 4.67 | | | | (0.19 | ) | | | 7.94 | | | | 0.95 | | | | (5.29 | ) | | | 1.70 | | | | 913 | | | | 221 | | |
Year ended
May 31, 2018 | | | 52.69 | | | | 0.52 | | | | (16.91 | ) | | | — | | | | (16.39 | ) | | | (0.64 | ) | | | — | | | | — | | | | (0.64 | ) | | | 35.66 | | | | (31.38 | ) | | | (27.70 | ) | | | 3.82 | | | | 0.95 | | | | (1.70 | ) | | | 1.16 | | | | 2,674 | | | | 106 | | |
| Ultra Utilities | |
Year ended
May 31, 2022 | | | 61.06 | | | | 1.16 | | | | 18.30 | | | | — | | | | 19.46 | | | | (0.92 | ) | | | — | | | | — | | | | (0.92 | ) | | | 79.60 | | | | 32.18 | | | | 31.65 | | | | 1.36 | | | | 0.95 | | | | 1.29 | | | | 1.70 | | | | 23,880 | | | | 20 | | |
Year ended
May 31, 2021 | | | 51.05 | | | | 0.72 | | | | 9.69 | | | | — | | | | 10.41 | | | | (0.40 | ) | | | — | | | | — | | | | (0.40 | ) | | | 61.06 | | | | 20.47 | | | | 20.81 | | | | 1.91 | | | | 0.95 | | | | 0.37 | | | | 1.32 | | | | 13,737 | | | | 3 | | |
Year ended
May 31, 2020 | | | 56.78 | | | | 1.06 | | | | (5.98 | ) | | | — | | | | (4.92 | ) | | | (0.81 | ) | | | — | | | | — | | | | (0.81 | ) | | | 51.05 | | | | (8.74 | ) | | | (8.51 | ) | | | 1.41 | | | | 0.95 | | | | 1.21 | | | | 1.67 | | | | 15,315 | | | | 13 | | |
Year ended
May 31, 2019 | | | 44.68 | | | | 0.94 | | | | 11.97 | | | | — | | | | 12.91 | | | | (0.81 | ) | | | — | | | | — | | | | (0.81 | ) | | | 56.78 | | | | 29.38 | | | | 29.52 | | | | 1.65 | | | | 0.95 | | | | 1.14 | | | | 1.85 | | | | 17,035 | | | | 5 | | |
Year ended
May 31, 2018 | | | 47.88 | | | | 0.85 | | | | (3.33 | ) | | | — | | | | (2.48 | ) | | | (0.72 | ) | | | — | | | | — | | | | (0.72 | ) | | | 44.68 | | | | (5.22 | ) | | | (6.99 | ) | | | 1.51 | | | | 0.95 | | | | 1.26 | | | | 1.82 | | | | 12,286 | | | | 25 | | |
| UltraPro Dow30SM | |
Year ended
May 31, 2022 | | | 73.42 | | | | 0.38 | | | | (12.38 | ) | | | — | | | | (12.00 | ) | | | (0.21 | ) | | | — | | | | — | | | | (0.21 | ) | | | 61.21 | | | | (16.40 | ) | | | (16.40 | ) | | | 0.95 | | | | 0.95 | | | | 0.51 | | | | 0.51 | | | | 691,723 | | | | 36 | | |
Year ended
May 31, 2021(ee) | | | 30.92 | | | | 0.23 | | | | 42.39 | | | | — | | | | 42.62 | | | | (0.12 | ) | | | — | | | | — | | | | (0.12 | ) | | | 73.42 | | | | 137.92 | | | | 138.58 | | | | 0.95 | | | | 0.95 | | | | 0.50 | | | | 0.50 | | | | 958,086 | | | | 15 | | |
Year ended
May 31, 2020(ee) | | | 42.05 | | | | 0.44 | | | | (11.26 | )(i) | | | — | | | | (10.82 | ) | | | (0.31 | ) | | | — | | | | — | | | | (0.31 | ) | | | 30.92 | | | | (25.94 | ) | | | (25.95 | ) | | | 0.98 | | | | 0.95 | | | | 1.04 | | | | 1.07 | | | | 705,052 | | | | 61 | | |
Year ended
May 31, 2019(ee) | | | 43.35 | | | | 0.48 | | | | (1.48 | )(i) | | | — | | | | (1.00 | ) | | | (0.30 | ) | | | — | | | | — | | | | (0.30 | ) | | | 42.05 | | | | (2.33 | ) | | | (2.46 | ) | | | 0.96 | | | | 0.95 | | | | 1.02 | | | | 1.04 | | | | 407,844 | | | | 2 | | |
Year ended
May 31, 2018(l)(ee) | | | 28.73 | | | | 0.31 | | | | 14.43 | | | | — | | | | 14.74 | | | | (0.12 | ) | | | — | | | | — | | | | (0.12 | ) | | | 43.35 | | | | 51.32 | | | | 51.32 | | | | 0.96 | | | | 0.95 | | | | 0.71 | | | | 0.72 | | | | 576,616 | | | | 1 | | |
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 247
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| UltraPro MidCap400 | |
Year ended
May 31, 2022 | | $ | 32.13 | | | $ | 0.01 | | | $ | (9.62 | ) | | $ | — | | | $ | (9.61 | ) | | $ | (0.03 | ) | | $ | — | | | $ | — | | | $ | (0.03 | ) | | $ | 22.49 | | | | (29.95 | )% | | | (30.05 | )% | | | 1.32 | % | | | 0.95 | % | | | (0.33 | )% | | | 0.03 | % | | $ | 29,799 | | | | 96 | % | |
Year ended
May 31, 2021(ff) | | | 9.86 | | | | (0.03 | ) | | | 22.30 | | | | — | | | | 22.27 | | | | — | (h) | | | — | | | | — | | | | — | (h) | | | 32.13 | | | | 226.00 | | | | 225.64 | | | | 1.23 | | | | 0.95 | | | | (0.42 | ) | | | (0.14 | ) | | | 61,859 | | | | 19 | | |
Year ended
May 31, 2020(ff) | | | 17.42 | | | | 0.10 | | | | (7.57 | ) | | | — | | | | (7.47 | ) | | | (0.09 | ) | | | — | | | | — | | | | (0.09 | ) | | | 9.86 | | | | (43.06 | ) | | | (43.03 | ) | | | 1.61 | | | | 0.95 | | | | (0.08 | ) | | | 0.58 | | | | 20,948 | | | | 51 | | |
Year ended
May 31, 2019(ff) | | | 23.84 | | | | 0.12 | | | | (6.48 | ) | | | — | | | | (6.36 | ) | | | (0.06 | ) | | | — | | | | — | | | | (0.06 | ) | | | 17.42 | | | | (26.64 | ) | | | (28.43 | ) | | | 1.32 | | | | 0.95 | | | | 0.19 | | | | 0.56 | | | | 19,593 | | | | 41 | | |
Year ended
May 31, 2018(ff) | | | 17.29 | | | | 0.03 | | | | 6.52 | | | | — | | | | 6.55 | | | | — | | | | — | | | | — | | | | — | | | | 23.84 | | | | 37.87 | | | | 41.22 | | | | 1.28 | | | | 0.95 | | | | (0.19 | ) | | | 0.14 | | | | 35,754 | | | | 16 | | |
| UltraPro QQQ | |
Year ended
May 31, 2022(kk) | | | 51.15 | | | | (0.14 | ) | | | (17.98 | ) | | | — | | | | (18.12 | ) | | | — | (h) | | | — | | | | — | | | | — | (h) | | | 33.03 | | | | (35.44 | ) | | | (35.57 | ) | | | 0.98 | | | | 0.86 | | | | (0.35 | ) | | | (0.23 | ) | | | 13,697,179 | | | | 127 | | |
Year ended
May 31, 2021(z)(kk) | | | 20.71 | | | | (0.15 | ) | | | 30.59 | | | | — | | | | 30.44 | | | | — | | | | — | | | | — | | | | — | | | | 51.15 | | | | 147.00 | | | | 147.89 | | | | 1.01 | | | | 0.95 | | | | (0.46 | ) | | | (0.39 | ) | | | 12,061,878 | | | | 10 | | |
Year ended
May 31, 2020(z)(kk) | | | 12.55 | | | | — | (h) | | | 8.17 | | | | — | | | | 8.17 | | | | (0.01 | ) | | | — | | | | — | | | | (0.01 | ) | | | 20.71 | | | | 65.11 | | | | 64.87 | | | | 0.98 | | | | 0.95 | | | | (0.06 | ) | | | (0.03 | ) | | | 5,831,873 | | | | 53 | | |
Year ended
May 31, 2019(z)(kk) | | | 13.94 | | | | 0.03 | | | | (1.40 | ) | | | — | | | | (1.37 | ) | | | (0.02 | ) | | | — | | | | — | | | | (0.02 | ) | | | 12.55 | | | | (9.85 | ) | | | (10.01 | ) | | | 0.98 | | | | 0.95 | | | | 0.22 | | | | 0.25 | | | | 3,189,760 | | | | 15 | | |
Year ended
May 31, 2018
(o)(z)(kk) | | | 8.84 | | | | (0.01 | ) | | | 5.11 | | | | — | | | | 5.10 | | | | — | | | | — | | | | — | | | | — | | | | 13.94 | | | | 57.64 | | | | 57.84 | | | | 0.98 | | | | 0.95 | | | | (0.15 | ) | | | (0.12 | ) | | | 3,448,958 | | | | 2 | | |
| UltraPro Russell2000 | |
Year ended
May 31, 2022 | | | 110.95 | | | | (0.07 | ) | | | (58.47 | ) | | | — | | | | (58.54 | ) | | | — | | | | — | | | | — | | | | — | | | | 52.41 | | | | (52.76 | ) | | | (52.92 | ) | | | 1.29 | | | | 0.95 | | | | (0.42 | ) | | | (0.08 | ) | | | 259,439 | | | | 60 | | |
Year ended
May 31, 2021 | | | 30.83 | | | | (0.18 | ) | | | 80.30 | | | | — | | | | 80.12 | | | | — | (h) | | | — | | | | — | | | | — | (h) | | | 110.95 | | | | 259.95 | | | | 261.40 | | | | 1.26 | | | | 0.95 | | | | (0.58 | ) | | | (0.27 | ) | | | 410,520 | | | | 43 | | |
Year ended
May 31, 2020 | | | 60.84 | | | | 0.21 | | | | (30.10 | )(i) | | | — | | | | (29.89 | ) | | | (0.12 | ) | | | — | | | | — | | | | (0.12 | ) | | | 30.83 | | | | (49.27 | ) | | | (49.46 | ) | | | 1.99 | | | | 0.95 | | | | (0.61 | ) | | | 0.43 | | | | 184,956 | | | | 68 | | |
Year ended
May 31, 2019 | | | 95.44 | | | | 0.29 | | | | (34.72 | ) | | | — | | | | (34.43 | ) | | | (0.17 | ) | | | — | | | | — | | | | (0.17 | ) | | | 60.84 | | | | (36.03 | ) | | | (36.02 | ) | | | 1.56 | | | | 0.95 | | | | (0.26 | ) | | | 0.35 | | | | 76,056 | | | | 24 | | |
Year ended
May 31, 2018(l) | | | 59.65 | | | | — | (h) | | | 35.79 | | | | — | | | | 35.79 | | | | — | | | | — | | | | — | | | | — | | | | 95.44 | | | | 59.98 | | | | 60.17 | | | | 1.53 | | | | 0.95 | | | | (0.58 | ) | | | — | (j) | | | 152,699 | | | | 14 | | |
See accompanying notes to the financial statements.
248 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| UltraPro S&P500® | |
Year ended
May 31, 2022(kk) | | $ | 53.12 | | | $ | 0.11 | | | $ | (6.76 | ) | | $ | — | | | $ | (6.65 | ) | | $ | (0.07 | ) | | $ | — | | | $ | — | | | $ | (0.07 | ) | | $ | 46.40 | | | | (12.57 | )% | | | (12.58 | )% | | | 0.91 | % | | | 0.91 | % | | | 0.18 | % | | | 0.18 | % | | $ | 2,573,073 | | | | 66 | % | |
Year ended
May 31, 2021(kk) | | | 21.53 | | | | 0.04 | | | | 31.58 | | | | — | | | | 31.62 | | | | (0.03 | ) | | | — | | | | — | | | | (0.03 | ) | | | 53.12 | | | | 146.97 | | | | 147.74 | | | | 0.91 | | | | 0.91 | | | | 0.12 | | | | 0.12 | | | | 2,395,903 | | | | 4 | | |
Year ended
May 31, 2020(kk) | | | 22.37 | | | | 0.20 | | | | (0.91 | )(i) | | | — | | | | (0.71 | ) | | | (0.13 | ) | | | — | | | | — | | | | (0.13 | ) | | | 21.53 | | | | (3.23 | ) | | | (3.33 | ) | | | 0.93 | | | | 0.93 | | | | 0.76 | | | | 0.76 | | | | 1,373,394 | | | | 69 | | |
Year ended
May 31, 2019(kk) | | | 23.16 | | | | 0.21 | | | | (0.86 | )(i) | | | — | | | | (0.65 | ) | | | (0.14 | ) | | | — | | | | — | | | | (0.14 | ) | | | 22.37 | | | | (2.77 | ) | | | (2.89 | ) | | | 0.92 | | | | 0.92 | | | | 0.87 | | | | 0.87 | | | | 1,105,011 | | | | 15 | | |
Year ended
May 31, 2018
(o)(kk) | | | 17.06 | | | | 0.09 | | | | 6.03 | | | | — | | | | 6.12 | | | | (0.02 | ) | | | — | | | | — | | | | (0.02 | ) | | | 23.16 | | | | 35.82 | | | | 35.93 | | | | 0.92 | | | | 0.92 | | | | 0.43 | | | | 0.43 | | | | 1,445,225 | | | | 3 | | |
| UltraPro Short 20+ Year Treasury | |
Year ended
May 31, 2022 | | | 41.80 | | | | (0.30 | ) | | | 15.05 | | | | — | | | | 14.75 | | | | — | | | | — | | | | — | | | | — | | | | 56.55 | | | | 35.27 | | | | 34.06 | | | | 0.95 | | | | 0.95 | | | | (0.79 | ) | | | (0.79 | ) | | | 403,941 | | | | — | | |
Year ended
May 31, 2021 | | | 29.62 | | | | (0.34 | ) | | | 12.52 | | | | — | | | | 12.18 | | | | — | | | | — | | | | — | | | | — | | | | 41.80 | | | | 41.13 | | | | 41.82 | | | | 1.07 | | | | 0.95 | | | | (1.06 | ) | | | (0.94 | ) | | | 89,601 | | | | — | | |
Year ended
May 31, 2020(t) | | | 78.88 | | | | 0.71 | | | | (48.91 | ) | | | — | | | | (48.20 | ) | | | (0.97 | ) | | | — | | | | (0.09 | )# | | | (1.06 | ) | | | 29.62 | | | | (61.79 | ) | | | (61.45 | ) | | | 1.15 | | | | 0.95 | | | | 1.11 | | | | 1.31 | | | | 23,505 | | | | — | | |
Year ended
May 31, 2019(t) | | | 106.43 | | | | 0.94 | | | | (27.77 | ) | | | — | | | | (26.83 | ) | | | (0.72 | ) | | | — | | | | — | | | | (0.72 | ) | | | 78.88 | | | | (25.37 | ) | | | (27.02 | ) | | | 1.00 | | | | 0.95 | | | | 0.82 | | | | 0.87 | | | | 36,975 | | | | — | | |
Year ended
May 31, 2018(t) | | | 109.74 | | | | 0.17 | | | | (3.48 | ) | | | — | | | | (3.31 | ) | | | — | | | | — | | | | — | | | | — | | | | 106.43 | | | | (3.02 | ) | | | (1.89 | ) | | | 0.98 | | | | 0.95 | | | | 0.13 | | | | 0.16 | | | | 95,117 | | | | — | | |
| UltraPro Short Dow30SM | |
Year ended
May 31, 2022 | | | 33.13 | | | | (0.26 | ) | | | (1.87 | ) | | | — | | | | (2.13 | ) | | | — | | | | — | | | | — | | | | — | | | | 31.00 | | | | (6.45 | ) | | | (6.47 | ) | | | 0.95 | | | | 0.95 | | | | (0.87 | ) | | | (0.87 | ) | | | 351,588 | | | | — | | |
Year ended
May 31, 2021(gg) | | | 107.42 | | | | (0.46 | ) | | | (73.83 | ) | | | — | | | | (74.29 | ) | | | — | | | | — | | | | — | | | | — | | | | 33.13 | | | | (69.16 | ) | | | (69.27 | ) | | | 0.96 | | | | 0.95 | | | | (0.81 | ) | | | (0.79 | ) | | | 359,346 | | | | — | | |
Year ended
May 31, 2020(gg) | | | 246.00 | | | | 0.86 | | | | (136.56 | ) | | | — | | | | (135.70 | ) | | | (2.60 | ) | | | — | | | | (0.28 | )# | | | (2.88 | ) | | | 107.42 | | | | (55.65 | ) | | | (55.55 | ) | | | 0.99 | | | | 0.95 | | | | 0.50 | | | | 0.54 | | | | 815,975 | | | | — | | |
Year ended
May 31, 2019
(q)(gg) | | | 296.19 | | | | 4.43 | | | | (50.66 | ) | | | — | | | | (46.23 | ) | | | (3.96 | ) | | | — | | | | — | | | | (3.96 | ) | | | 246.00 | | | | (15.73 | ) | | | (15.64 | ) | | | 0.98 | | | | 0.95 | | | | 1.77 | | | | 1.81 | | | | 254,249 | | | | — | | |
Year ended
May 31, 2018
(q)(gg) | | | 526.84 | | | | 2.54 | | | | (232.39 | ) | | | — | | | | (229.85 | ) | | | (0.80 | ) | | | — | | | | — | | | | (0.80 | ) | | | 296.19 | | | | (43.63 | ) | | | (43.65 | ) | | | 1.00 | | | | 0.95 | | | | 0.65 | | | | 0.70 | | | | 177,459 | | | | — | | |
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 249
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| UltraPro Short MidCap400 | |
Year ended
May 31, 2022 | | $ | 26.87 | | | $ | (0.22 | ) | | $ | (1.41 | ) | | $ | — | | | $ | (1.63 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 25.24 | | | | (6.05 | )% | | | (6.07 | )% | | | 2.11 | % | | | 0.95 | % | | | (2.04 | )% | | | (0.88 | )% | | $ | 7,539 | | | | — | % | |
Year ended
May 31, 2021
(aa)(gg) | | | 139.56 | | | | (0.63 | ) | | | (112.06 | ) | | | — | | | | (112.69 | ) | | | — | | | | — | | | | — | | | | — | | | | 26.87 | | | | (80.75 | ) | | | (80.78 | ) | | | 1.67 | | | | 0.95 | | | | (1.66 | ) | | | (0.94 | ) | | | 4,002 | | | | — | | |
Year ended
May 31, 2020
(t)(aa)(gg) | | | 315.61 | | | | (0.56 | ) | | | (173.22 | ) | | | — | | | | (173.78 | ) | | | (2.19 | ) | | | — | | | | (0.08 | )# | | | (2.27 | ) | | | 139.56 | | | | (55.37 | ) | | | (55.36 | ) | | | 2.31 | | | | 0.95 | | | | (1.61 | ) | | | (0.24 | ) | | | 14,686 | | | | — | | |
Year ended
May 31, 2019
(t)(aa)(gg) | | | 288.41 | | | | 3.09 | | | | 25.25 | (i) | | | — | | | | 28.34 | | | | (1.14 | ) | | | — | | | | — | | | | (1.14 | ) | | | 315.61 | | | | 9.82 | | | | 12.55 | | | | 4.18 | | | | 0.95 | | | | (2.18 | ) | | | 1.04 | | | | 2,650 | | | | — | | |
Year ended
May 31, 2018
(t)(aa)(gg) | | | 461.94 | | | | 0.11 | | | | (173.64 | ) | | | — | | | | (173.53 | ) | | | — | | | | — | | | | — | | | | — | | | | 288.41 | | | | (37.57 | ) | | | (37.90 | ) | | | 3.42 | | | | 0.95 | | | | (2.44 | ) | | | 0.03 | | | | 1,971 | | | | — | | |
| UltraPro Short QQQ | |
Year ended
May 31, 2022(ll) | | | 55.51 | | | | (0.34 | ) | | | (7.77 | )(i) | | | — | | | | (8.11 | ) | | | — | | | | — | | | | — | | | | — | | | | 47.40 | | | | (14.62 | ) | | | (14.53 | ) | | | 0.98 | | | | 0.95 | | | | (0.88 | ) | | | (0.84 | ) | | | 2,824,811 | | | | — | | |
Year ended
May 31, 2021
(w)(ll) | | | 235.47 | | | | (0.69 | ) | | | (179.27 | ) | | | — | | | | (179.96 | ) | | | — | | | | — | | | | — | | | | — | | | | 55.51 | | | | (76.43 | ) | | | (76.52 | ) | | | 1.00 | | | | 0.95 | | | | (0.86 | ) | | | (0.81 | ) | | | 1,758,961 | | | | — | | |
Year ended
May 31, 2020
(w)(ll) | | | 1,111.93 | | | | 6.91 | | | | (868.32 | ) | | | — | | | | (861.41 | ) | | | (13.45 | ) | | | — | | | | (1.60 | )# | | | (15.05 | ) | | | 235.47 | | | | (78.39 | ) | | | (78.35 | ) | | | 1.02 | | | | 0.95 | | | | 1.19 | | | | 1.26 | | | | 1,113,509 | | | | — | | |
Year ended
May 31, 2019
(q)(w)(ll) | | | 1,498.39 | | | | 25.01 | | | | (387.46 | ) | | | — | | | | (362.45 | ) | | | (24.01 | ) | | | — | | | | — | | | | (24.01 | ) | | | 1,111.93 | | | | (24.46 | ) | | | (24.35 | ) | | | 1.00 | | | | 0.95 | | | | 2.06 | | | | 2.11 | | | | 1,130,668 | | | | — | | |
Year ended
May 31, 2018
(q)(w)(ll) | | | 3,035.67 | | | | 19.52 | | | | (1,550.24 | ) | | | — | | | | (1,530.72 | ) | | | (6.56 | ) | | | — | | | | — | | | | (6.56 | ) | | | 1,498.39 | | | | (50.46 | ) | | | (50.55 | ) | | | 1.01 | | | | 0.95 | | | | 0.84 | | | | 0.89 | | | | 584,899 | | | | — | | |
See accompanying notes to the financial statements.
250 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| UltraPro Short Russell2000 | |
Year ended
May 31, 2022(ll) | | $ | 48.28 | | | $ | (0.42 | ) | | $ | 10.95 | | | $ | — | | | $ | 10.53 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 58.81 | | | | 21.80 | % | | | 21.89 | % | | | 1.04 | % | | | 0.95 | % | | | (0.94 | )% | | | (0.85 | )% | | $ | 150,418 | | | | — | % | |
Year ended
May 31, 2021
(bb)(ll) | | | 324.70 | | | | (0.90 | ) | | | (275.52 | ) | | | — | | | | (276.42 | ) | | | — | | | | — | | | | — | | | | — | | | | 48.28 | | | | (85.13 | ) | | | (85.15 | ) | | | 1.08 | | | | 0.95 | | | | (0.97 | ) | | | (0.84 | ) | | | 107,592 | | | | — | | |
Year ended
May 31, 2020
(bb)(ll) | | | 723.77 | | | | 2.60 | | | | (393.61 | ) | | | — | | | | (391.01 | ) | | | (7.21 | ) | | | — | | | | (0.85 | )# | | | (8.06 | ) | | | 324.70 | | | | (54.50 | ) | | | (54.49 | ) | | | 1.11 | | | | 0.95 | | | | 0.33 | | | | 0.49 | | | | 170,315 | | | | — | | |
Year ended
May 31, 2019
(bb)(ll) | | | 628.62 | | | | 8.71 | | | | 94.25 | | | | — | | | | 102.96 | | | | (7.81 | ) | | | — | | | | — | | | | (7.81 | ) | | | 723.77 | | | | 16.43 | | | | 16.48 | | | | 1.11 | | | | 0.95 | | | | 1.21 | | | | 1.36 | | | | 81,442 | | | | — | | |
Year ended
May 31, 2018
(bb)(ll) | | | 1,204.26 | | | | 3.94 | | | | (577.86 | ) | | | — | | | | (573.92 | ) | | | (1.72 | ) | | | — | | | | — | | | | (1.72 | ) | | | 628.62 | | | | (47.68 | ) | | | (47.68 | ) | | | 1.09 | | | | 0.95 | | | | 0.30 | | | | 0.44 | | | | 69,478 | | | | — | | |
| UltraPro Short S&P500® | |
Year ended
May 31, 2022 | | | 19.59 | | | | (0.12 | ) | | | (3.20 | ) | | | — | | | | (3.32 | ) | | | — | | | | — | | | | — | | | | — | | | | 16.27 | | | | (16.96 | ) | | | (17.15 | ) | | | 0.90 | | | | 0.90 | | | | (0.80 | ) | | | (0.80 | ) | | | 720,715 | | | | — | | |
Year ended
May 31, 2021(bb) | | | 65.05 | | | | (0.26 | ) | | | (45.20 | ) | | | — | | | | (45.46 | ) | | | — | | | | — | | | | — | | | | — | | | | 19.59 | | | | (69.88 | ) | | | (69.98 | ) | | | 0.90 | | | | 0.90 | | | | (0.73 | ) | | | (0.73 | ) | | | 476,012 | | | | — | | |
Year ended
May 31, 2020(bb) | | | 171.06 | | | | 0.75 | | | | (104.83 | ) | | | — | | | | (104.08 | ) | | | (1.72 | ) | | | — | | | | (0.21 | )# | | | (1.93 | ) | | | 65.05 | | | | (61.39 | ) | | | (61.26 | ) | | | 0.93 | | | | 0.93 | | | | 0.71 | | | | 0.71 | | | | 1,323,669 | | | | — | | |
Year ended
May 31, 2019(bb) | | | 204.34 | | | | 3.25 | | | | (33.36 | ) | | | — | | | | (30.11 | ) | | | (3.17 | ) | | | — | | | | — | | | | (3.17 | ) | | | 171.06 | | | | (14.89 | ) | | | (14.86 | ) | | | 0.91 | | | | 0.91 | | | | 1.84 | | | | 1.84 | | | | 610,645 | | | | — | | |
Year ended
May 31, 2018
(m)(bb) | | | 319.03 | | | | 1.87 | | | | (115.79 | ) | | | — | | | | (113.92 | ) | | | (0.77 | ) | | | — | | | | — | | | | (0.77 | ) | | | 204.34 | | | | (35.72 | ) | | | (35.76 | ) | | | 0.91 | | | | 0.91 | | | | 0.75 | | | | 0.75 | | | | 463,787 | | | | — | | |
| UltraShort 7-10 Year Treasury | |
Year ended
May 31, 2022 | | | 16.73 | | | | (0.13 | ) | | | 2.89 | | | | — | | | | 2.76 | | | | — | | | | — | | | | — | | | | — | | | | 19.49 | | | | 16.48 | | | | 16.50 | | | | 0.99 | | | | 0.95 | | | | (0.82 | ) | | | (0.78 | ) | | | 122,760 | | | | — | | |
Year ended
May 31, 2021 | | | 15.32 | | | | (0.15 | ) | | | 1.56 | | | | — | | | | 1.41 | | | | — | | | | — | | | | — | | | | — | | | | 16.73 | | | | 9.20 | | | | 9.13 | | | | 1.10 | | | | 0.95 | | | | (1.08 | ) | | | (0.92 | ) | | | 43,490 | | | | — | | |
Year ended
May 31, 2020 | | | 19.99 | | | | 0.21 | | | | (4.57 | ) | | | — | | | | (4.36 | ) | | | (0.29 | ) | | | — | | | | (0.02 | )# | | | (0.31 | ) | | | 15.32 | | | | (22.11 | ) | | | (21.90 | ) | | | 1.06 | | | | 0.95 | | | | 1.03 | | | | 1.15 | | | | 29,871 | | | | — | | |
Year ended
May 31, 2019 | | | 22.73 | | | | 0.26 | | | | (2.79 | ) | | | — | | | | (2.53 | ) | | | (0.21 | ) | | | — | | | | — | | | | (0.21 | ) | | | 19.99 | | | | (11.21 | ) | | | (11.83 | ) | | | 0.97 | | | | 0.95 | | | | 1.12 | | | | 1.14 | | | | 66,966 | | | | — | | |
Year ended
May 31, 2018 | | | 21.23 | | | | 0.04 | | | | 1.46 | | | | — | | | | 1.50 | | | | — | | | | — | | | | — | | | | — | | | | 22.73 | | | | 7.03 | | | | 7.53 | | | | 0.95 | | | | 0.95 | | | | 0.19 | | | | 0.19 | | | | 142,045 | | | | — | | |
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 251
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| UltraShort 20+ Year Treasury | |
Year ended
May 31, 2022 | | $ | 20.51 | | | $ | (0.15 | ) | | $ | 5.33 | | | $ | — | | | $ | 5.18 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 25.69 | | | | 25.29 | % | | | 24.21 | % | | | 0.89 | % | | | 0.89 | % | | | (0.80 | )% | | | (0.80 | )% | | $ | 1,390,214 | | | | — | % | |
Year ended
May 31, 2021 | | | 16.07 | | | | (0.15 | ) | | | 4.59 | | | | — | | | | 4.44 | | | | — | (h) | | | — | | | | — | (h) | | | — | (h) | | | 20.51 | | | | 27.64 | | | | 27.87 | | | | 0.90 | | | | 0.90 | | | | (0.83 | ) | | | (0.83 | ) | | | 1,415,115 | | | | — | | |
Year ended
May 31, 2020 | | | 29.69 | | | | 0.37 | | | | (13.49 | ) | | | — | | | | (13.12 | ) | | | (0.45 | ) | | | — | | | | (0.05 | )# | | | (0.50 | ) | | | 16.07 | | | | (44.80 | ) | | | (44.32 | ) | | | 0.92 | | | | 0.92 | | | | 1.58 | | | | 1.58 | | | | 434,698 | | | | — | | |
Year ended
May 31, 2019 | | | 36.01 | | | | 0.45 | | | | (6.34 | ) | | | — | | | | (5.89 | ) | | | (0.43 | ) | | | — | | | | — | | | | (0.43 | ) | | | 29.69 | | | | (16.54 | ) | | | (17.80 | ) | | | 0.90 | | | | 0.90 | | | | 1.22 | | | | 1.22 | | | | 886,565 | | | | — | | |
Year ended
May 31, 2018 | | | 36.35 | | | | 0.13 | | | | (0.44 | )(i) | | | — | | | | (0.31 | ) | | | (0.03 | ) | | | — | | | | — | | | | (0.03 | ) | | | 36.01 | | | | (0.86 | ) | | | (0.07 | ) | | | 0.89 | | | | 0.89 | | | | 0.35 | | | | 0.35 | | | | 1,843,935 | | | | — | | |
| UltraShort Basic Materials | |
Year ended
May 31, 2022 | | | 12.71 | | | | (0.11 | ) | | | (2.25 | ) | | | — | | | | (2.36 | ) | | | — | | | | — | | | | — | | | | — | | | | 10.35 | | | | (18.55 | ) | | | (18.45 | ) | | | 4.04 | | | | 0.95 | | | | (3.97 | ) | | | (0.88 | ) | | | 2,434 | | | | — | | |
Year ended
May 31, 2021(hh) | | | 40.12 | | | | (0.22 | ) | | | (27.19 | ) | | | — | | | | (27.41 | ) | | | — | | | | — | | | | — | | | | — | | | | 12.71 | | | | (68.32 | ) | | | (68.30 | ) | | | 3.84 | | | | 0.95 | | | | (3.84 | ) | | | (0.94 | ) | | | 1,718 | | | | — | | |
Year ended
May 31, 2020(hh) | | | 65.72 | | | | 0.08 | | | | (25.42 | ) | | | — | | | | (25.34 | ) | | | (0.26 | ) | | | — | | | | — | | | | (0.26 | ) | | | 40.12 | | | | (38.64 | ) | | | (38.75 | ) | | | 2.12 | | | | 0.95 | | | | (1.03 | ) | | | 0.14 | | | | 4,420 | | | | — | | |
Year ended
May 31, 2019(hh) | | | 53.00 | | | | 0.30 | | | | 12.54 | | | | — | | | | 12.84 | | | | (0.12 | ) | | | — | | | | — | | | | (0.12 | ) | | | 65.72 | | | | 24.22 | | | | 25.02 | | | | 2.15 | | | | 0.95 | | | | (0.68 | ) | | | 0.51 | | | | 5,598 | | | | — | | |
Year ended
May 31, 2018
(n)(hh) | | | 73.60 | | | | (0.06 | ) | | | (20.54 | ) | | | — | | | | (20.60 | ) | | | — | | | | — | | | | — | | | | — | | | | 53.00 | | | | (27.99 | ) | | | (29.37 | ) | | | 2.01 | | | | 0.95 | | | | (1.16 | ) | | | (0.10 | ) | | | 4,515 | | | | — | | |
| UltraShort Consumer Goods | |
Year ended
May 31, 2022 | | | 15.67 | | | | (0.12 | ) | | | (1.58 | ) | | | — | | | | (1.70 | ) | | | — | | | | — | | | | — | | | | — | | | | 13.97 | | | | (10.88 | ) | | | (10.29 | ) | | | 9.05 | | | | 0.95 | | | | (8.96 | ) | | | (0.85 | ) | | | 2,312 | | | | — | | |
Year ended
May 31, 2021
(x)(hh) | | | 38.62 | | | | (0.21 | ) | | | (22.74 | ) | | | — | | | | (22.95 | ) | | | — | | | | — | | | | — | | | | — | | | | 15.67 | | | | (59.42 | ) | | | (59.33 | ) | | | 7.90 | | | | 0.95 | | | | (7.89 | ) | | | (0.94 | ) | | | 1,028 | | | | — | | |
Year ended
May 31, 2020
(x)(hh) | | | 60.88 | | | | 0.32 | | | | (21.98 | ) | | | — | | | | (21.66 | ) | | | (0.56 | ) | | | — | | | | (0.04 | )# | | | (0.60 | ) | | | 38.62 | | | | (35.81 | ) | | | (36.03 | ) | | | 4.28 | | | | 0.95 | | | | (2.68 | ) | | | 0.66 | | | | 1,568 | | | | — | | |
Year ended
May 31, 2019
(x)(hh) | | | 65.62 | | | | 0.67 | | | | (4.88 | ) | | | — | | | | (4.21 | ) | | | (0.53 | ) | | | — | | | | — | | | | (0.53 | ) | | | 60.88 | | | | (6.43 | ) | | | (6.18 | ) | | | 3.75 | | | | 0.95 | | | | (1.70 | ) | | | 1.10 | | | | 3,234 | | | | — | | |
Year ended
May 31, 2018
(x)(hh) | | | 60.79 | | | | 0.16 | | | | 4.67 | | | | — | | | | 4.83 | | | | — | | | | — | | | | — | | | | — | | | | 65.62 | | | | 7.94 | | | | 7.99 | | | | 3.75 | | | | 0.95 | | | | (2.53 | ) | | | 0.27 | | | | 2,665 | | | | — | | |
See accompanying notes to the financial statements.
252 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| UltraShort Consumer Services | |
Year ended
May 31, 2022(nn) | | $ | 20.08 | | | $ | (0.17 | ) | | $ | 6.67 | | | $ | — | | | $ | 6.50 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 26.58 | | | | 32.36 | % | | | 31.85 | % | | | 5.83 | % | | | 0.95 | % | | | (5.70 | )% | | | (0.81 | )% | | $ | 3,238 | | | | — | % | |
Year ended
May 31, 2021(x)(nn) | | | 43.47 | | | | (0.25 | ) | | | (23.14 | ) | | | — | | | | (23.39 | ) | | | — | | | | — | | | | — | | | | — | | | | 20.08 | | | | (53.81 | ) | | | (53.74 | ) | | | 7.25 | | | | 0.95 | | | | (7.24 | ) | | | (0.94 | ) | | | 940 | | | | — | | |
Year ended
May 31, 2020(x)(nn) | | | 66.77 | | | | 0.28 | | | | (22.47 | ) | | | — | | | | (22.19 | ) | | | (1.09 | ) | | | — | | | | (0.02 | )# | | | (1.11 | ) | | | 43.47 | | | | (33.62 | ) | | | (33.86 | ) | | | 6.72 | | | | 0.95 | | | | (5.28 | ) | | | 0.49 | | | | 1,764 | | | | — | | |
Year ended
May 31, 2019(x)(nn) | | | 86.26 | | | | 1.16 | | | | (19.68 | ) | | | — | | | | (18.52 | ) | | | (0.97 | ) | | | — | | | | — | | | | (0.97 | ) | | | 66.77 | | | | (21.58 | ) | | | (21.30 | ) | | | 7.14 | | | | 0.95 | | | | (4.63 | ) | | | 1.57 | | | | 623 | | | | — | | |
Year ended
May 31, 2018(x)(nn) | | | 114.02 | | | | 0.33 | | | | (28.00 | ) | | | — | | | | (27.67 | ) | | | (0.09 | ) | | | — | | | | — | | | | (0.09 | ) | | | 86.26 | | | | (24.27 | ) | | | (28.36 | ) | | | 4.82 | | | | 0.95 | | | | (3.55 | ) | | | 0.32 | | | | 1,344 | | | | — | | |
| UltraShort Dow30SM | |
Year ended
May 31, 2022(ll) | | | 47.13 | | | | (0.39 | ) | | | (0.55 | ) | | | — | | | | (0.94 | ) | | | — | | | | — | | | | — | | | | — | | | | 46.19 | | | | (2.01 | ) | | | (1.93 | ) | | | 1.00 | | | | 0.95 | | | | (0.92 | ) | | | (0.86 | ) | | | 108,998 | | | | — | | |
Year ended
May 31, 2021(ll) | | | 100.13 | | | | (0.58 | ) | | | (52.42 | ) | | | — | | | | (53.00 | ) | | | — | | | | — | | | | — | | | | — | | | | 47.13 | | | | (52.93 | ) | | | (53.02 | ) | | | 1.00 | | | | 0.95 | | | | (0.90 | ) | | | (0.84 | ) | | | 100,430 | | | | — | | |
Year ended
May 31, 2020(ll) | | | 153.73 | | | | 1.02 | | | | (52.92 | ) | | | — | | | | (51.90 | ) | | | (1.50 | ) | | | — | | | | (0.20 | )# | | | (1.70 | ) | | | 100.13 | | | | (33.99 | ) | | | (33.94 | ) | | | 1.01 | | | | 0.95 | | | | 0.75 | | | | 0.81 | | | | 210,350 | | | | — | | |
Year ended
May 31, 2019(ll) | | | 170.27 | | | | 2.52 | | | | (16.81 | ) | | | — | | | | (14.29 | ) | | | (2.25 | ) | | | — | | | | — | | | | (2.25 | ) | | | 153.73 | | | | (8.44 | ) | | | (8.45 | ) | | | 1.01 | | | | 0.95 | | | | 1.59 | | | | 1.64 | | | | 143,100 | | | | — | | |
Year ended
May 31, 2018(m)(ll) | | | 245.94 | | | | 1.23 | | | | (76.40 | ) | | | — | | | | (75.17 | ) | | | (0.50 | ) | | | — | | | | — | | | | (0.50 | ) | | | 170.27 | | | | (30.57 | ) | | | (30.61 | ) | | | 0.99 | | | | 0.95 | | | | 0.59 | | | | 0.63 | | | | 143,173 | | | | — | | |
| UltraShort Financials | |
Year ended
May 31, 2022(ii) | | | 19.91 | | | | (0.16 | ) | | | (0.87 | ) | | | — | | | | (1.03 | ) | | | — | | | | — | | | | — | | | | — | | | | 18.88 | | | | (5.18 | ) | | | (5.27 | ) | | | 1.50 | | | | 0.95 | | | | (1.43 | ) | | | (0.89 | ) | | | 16,005 | | | | — | | |
Year ended
May 31, 2021(aa)(ii) | | | 53.76 | | | | (0.35 | ) | | | (33.50 | ) | | | — | | | | (33.85 | ) | | | — | | | | — | | | | — | | | | — | | | | 19.91 | | | | (62.96 | ) | | | (62.84 | ) | | | 1.21 | | | | 0.95 | | | | (1.20 | ) | | | (0.94 | ) | | | 12,909 | | | | — | | |
Year ended
May 31, 2020(aa)(ii) | | | 75.89 | | | | 0.23 | | | | (21.76 | ) | | | — | | | | (21.53 | ) | | | (0.56 | ) | | | — | | | | (0.04 | )# | | | (0.60 | ) | | | 53.76 | | | | (28.50 | ) | | | (28.66 | ) | | | 1.20 | | | | 0.95 | | | | 0.11 | | | | 0.36 | | | | 42,263 | | | | — | | |
Year ended
May 31, 2019(aa)(ii) | | | 82.20 | | | | 0.45 | | | | (6.56 | ) | | | — | | | | (6.11 | ) | | | (0.20 | ) | | | — | | | | — | | | | (0.20 | ) | | | 75.89 | | | | (7.44 | ) | | | (7.38 | ) | | | 1.20 | | | | 0.95 | | | | 0.32 | | | | 0.57 | | | | 27,413 | | | | — | | |
Year ended
May 31, 2018(aa)(ii) | | | 116.11 | | | | 0.02 | | | | (33.93 | ) | | | — | | | | (33.91 | ) | | | — | | | | — | | | | — | | | | — | | | | 82.20 | | | | (29.21 | ) | | | (29.41 | ) | | | 1.13 | | | | 0.95 | | | | (0.16 | ) | | | 0.02 | | | | 27,635 | | | | — | | |
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 253
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| UltraShort FTSE China 50 | |
Year ended
May 31, 2022 | | $ | 30.07 | | | $ | (0.33 | ) | | $ | 7.73 | | | $ | — | | | $ | 7.40 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 37.47 | | | | 24.57 | % | | | 24.58 | % | | | 1.38 | % | | | 0.95 | % | | | (1.31 | )% | | | (0.89 | )% | | $ | 24,429 | | | | — | % | |
Year ended
May 31, 2021 | | | 54.73 | | | | (0.34 | ) | | | (24.32 | ) | | | — | | | | (24.66 | ) | | | — | | | | — | | | | — | | | | — | | | | 30.07 | | | | (45.04 | ) | | | (45.15 | ) | | | 1.26 | | | | 0.95 | | | | (1.24 | ) | | | (0.93 | ) | | | 16,599 | | | | — | | |
Year ended
May 31, 2020 | | | 69.54 | | | | 0.19 | | | | (14.48 | ) | | | — | | | | (14.29 | ) | | | (0.50 | ) | | | — | | | | (0.02 | )# | | | (0.52 | ) | | | 54.73 | | | | (20.64 | ) | | | (20.38 | ) | | | 1.17 | | | | 0.95 | | | | 0.08 | | | | 0.30 | | | | 41,152 | | | | — | | |
Year ended
May 31, 2019 | | | 61.78 | | | | 0.63 | | | | 7.39 | | | | — | | | | 8.02 | | | | (0.26 | ) | | | — | | | | — | | | | (0.26 | ) | | | 69.54 | | | | 13.02 | | | | 12.97 | | | | 1.20 | | | | 0.95 | | | | 0.68 | | | | 0.93 | | | | 38,384 | | | | — | | |
Year ended
May 31, 2018(m) | | | 99.51 | | | | 0.03 | | | | (37.76 | ) | | | — | | | | (37.73 | ) | | | — | | | | — | | | | — | | | | — | | | | 61.78 | | | | (37.91 | ) | | | (38.02 | ) | | | 1.20 | | | | 0.95 | | | | (0.21 | ) | | | 0.04 | | | | 27,923 | | | | — | | |
| UltraShort FTSE Europe | |
Year ended
May 31, 2022 | | | 11.93 | | | | (0.10 | ) | | | 1.28 | (i) | | | — | | | | 1.18 | | | | — | (h) | | | — | | | | — | | | | — | (h) | | | 13.11 | | | | 9.93 | | | | 9.91 | | | | 1.50 | | | | 0.95 | | | | (1.34 | ) | | | (0.79 | ) | | | 55,881 | | | | — | | |
Year ended
May 31, 2021 | | | 28.23 | | | | (0.18 | ) | | | (16.12 | ) | | | — | | | | (16.30 | ) | | | — | | | | — | | | | — | | | | — | | | | 11.93 | | | | (57.75 | ) | | | (57.48 | ) | | | 1.48 | | | | 0.95 | | | | (1.46 | ) | | | (0.93 | ) | | | 7,300 | | | | — | | |
Year ended
May 31, 2020 | | | 34.43 | | | | 0.06 | | | | (6.03 | ) | | | — | | | | (5.97 | ) | | | (0.22 | ) | | | — | | | | (0.01 | )# | | | (0.23 | ) | | | 28.23 | | | | (17.37 | ) | | | (17.90 | ) | | | 1.37 | | | | 0.95 | | | | (0.24 | ) | | | 0.17 | | | | 22,924 | | | | — | | |
Year ended
May 31, 2019 | | | 31.32 | | | | 0.27 | | | | 2.98 | | | | — | | | | 3.25 | | | | (0.14 | ) | | | — | | | | — | | | | (0.14 | ) | | | 34.43 | | | | 10.37 | | | | 10.13 | | | | 1.31 | | | | 0.95 | | | | 0.43 | | | | 0.79 | | | | 16,770 | | | | — | | |
Year ended
May 31, 2018 | | | 36.36 | | | | 0.04 | | | | (5.08 | ) | | | — | | | | (5.04 | ) | | | — | | | | — | | | | — | | | | — | | | | 31.32 | | | | (13.87 | ) | | | (13.74 | ) | | | 1.17 | | | | 0.95 | | | | (0.11 | ) | | | 0.11 | | | | 18,386 | | | | — | | |
| UltraShort Health Care | |
Year ended
May 31, 2022 | | | 15.75 | | | | (0.12 | ) | | | (2.34 | ) | | | — | | | | (2.46 | ) | | | — | | | | — | | | | — | | | | — | | | | 13.29 | | | | (15.65 | ) | | | (15.79 | ) | | | 5.11 | | | | 0.95 | | | | (5.01 | ) | | | (0.85 | ) | | | 3,394 | | | | — | | |
Year ended
May 31, 2021(hh) | | | 25.83 | | | | (0.20 | ) | | | (9.88 | ) | | | — | | | | (10.08 | ) | | | — | | | | — | | | | — | | | | — | | | | 15.75 | | | | (39.01 | ) | | | (38.97 | ) | | | 4.61 | | | | 0.95 | | | | (4.60 | ) | | | (0.94 | ) | | | 1,267 | | | | — | | |
Year ended
May 31, 2020(hh) | | | 49.12 | | | | 0.27 | | | | (23.06 | ) | | | — | | | | (22.79 | ) | | | (0.46 | ) | | | — | | | | (0.04 | )# | | | (0.50 | ) | | | 25.83 | | | | (46.77 | ) | | | (46.67 | ) | | | 4.01 | | | | 0.95 | | | | (2.36 | ) | | | 0.70 | | | | 2,078 | | | | — | | |
Year ended
May 31, 2019(hh) | | | 57.71 | | | | 0.62 | | | | (8.97 | ) | | | — | | | | (8.35 | ) | | | (0.24 | ) | | | — | | | | — | | | | (0.24 | ) | | | 49.12 | | | | (14.46 | ) | | | (13.10 | ) | | | 4.94 | | | | 0.95 | | | | (2.67 | ) | | | 1.32 | | | | 2,724 | | | | — | | |
Year ended
May 31, 2018(hh) | | | 75.14 | | | | 0.09 | | | | (17.52 | ) | | | — | | | | (17.43 | ) | | | — | | | | — | | | | — | | | | — | | | | 57.71 | | | | (23.19 | ) | | | (26.26 | ) | | | 6.35 | | | | 0.95 | | | | (5.25 | ) | | | 0.14 | | | | 1,036 | | | | — | | |
See accompanying notes to the financial statements.
254 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| UltraShort Industrials | |
Year ended
May 31, 2022 | | $ | 14.47 | | | $ | (0.13 | ) | | $ | 2.76 | | | $ | — | | | $ | 2.63 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 17.10 | | | | 18.18 | % | | | 18.34 | % | | | 4.39 | % | | | 0.95 | % | | | (4.29 | )% | | | (0.85 | )% | | $ | 2,824 | | | | — | % | |
Year ended
May 31, 2021(aa)(hh) | | | 38.93 | | | | (0.23 | ) | | | (24.23 | ) | | | — | | | | (24.46 | ) | | | — | | | | — | | | | — | | | | — | | | | 14.47 | | | | (62.83 | ) | | | (62.72 | ) | | | 5.16 | | | | 0.95 | | | | (5.15 | ) | | | (0.94 | ) | | | 943 | | | | — | | |
Year ended
May 31, 2020(aa)(hh) | | | 59.34 | | | | 0.09 | | | | (19.98 | ) | | | — | | | | (19.89 | ) | | | (0.52 | ) | | | — | | | | — | | | | (0.52 | ) | | | 38.93 | | | | (33.71 | ) | | | (34.02 | ) | | | 3.89 | | | | 0.95 | | | | (2.76 | ) | | | 0.18 | | | | 3,268 | | | | — | | |
Year ended
May 31, 2019(aa)(hh) | | | 65.48 | | | | 0.64 | | | | (6.33 | ) | | | — | | | | (5.69 | ) | | | (0.45 | ) | | | — | | | | — | | | | (0.45 | ) | | | 59.34 | | | | (8.75 | ) | | | (8.49 | ) | | | 3.38 | | | | 0.95 | | | | (1.41 | ) | | | 1.02 | | | | 2,386 | | | | — | | |
Year ended
May 31, 2018(aa)(hh) | | | 88.41 | | | | 0.15 | | | | (23.08 | ) | | | — | | | | (22.93 | ) | | | — | | | | — | | | | — | | | | — | | | | 65.48 | | | | (25.93 | ) | | | (26.47 | ) | | | 3.16 | | | | 0.95 | | | | (2.00 | ) | | | 0.21 | | | | 3,042 | | | | — | | |
| UltraShort MidCap400 | |
Year ended
May 31, 2022 | | | 17.67 | | | | (0.15 | ) | | | 0.21 | (i) | | | — | | | | 0.06 | | | | — | | | | — | | | | — | | | | — | | | | 17.73 | | | | 0.30 | | | | 0.45 | | | | 4.53 | | | | 0.95 | | | | (4.44 | ) | | | (0.86 | ) | | | 2,898 | | | | — | | |
Year ended
May 31, 2021(aa)(hh) | | | 50.69 | | | | (0.30 | ) | | | (32.72 | ) | | | — | | | | (33.02 | ) | | | — | | | | — | | | | — | | | | — | | | | 17.67 | | | | (65.14 | ) | | | (65.04 | ) | | | 2.78 | | | | 0.95 | | | | (2.77 | ) | | | (0.94 | ) | | | 2,007 | | | | — | | |
Year ended
May 31, 2020(aa)(hh) | | | 75.68 | | | | 0.17 | | | | (24.45 | ) | | | — | | | | (24.28 | ) | | | (0.65 | ) | | | — | | | | (0.06 | )# | | | (0.71 | ) | | | 50.69 | | | | (32.29 | ) | | | (32.63 | ) | | | 2.95 | | | | 0.95 | | | | (1.74 | ) | | | 0.26 | | | | 6,393 | | | | — | | |
Year ended
May 31, 2019(aa)(hh) | | | 69.55 | | | | 0.88 | | | | 5.94 | | | | — | | | | 6.82 | | | | (0.69 | ) | | | — | | | | — | | | | (0.69 | ) | | | 75.68 | | | | 9.83 | | | | 11.13 | | | | 2.90 | | | | 0.95 | | | | (0.72 | ) | | | 1.23 | | | | 2,923 | | | | — | | |
Year ended
May 31, 2018(aa)(hh) | | | 93.64 | | | | 0.17 | | | | (24.26 | ) | | | — | | | | (24.09 | ) | | | — | | | | — | | | | — | | | | — | | | | 69.55 | | | | (25.73 | ) | | | (26.36 | ) | | | 2.39 | | | | 0.95 | | | | (1.23 | ) | | | 0.22 | | | | 3,556 | | | | — | | |
| UltraShort MSCI Brazil Capped | |
Year ended
May 31, 2022(nn) | | | 27.11 | | | | (0.26 | ) | | | (6.36 | ) | | | — | | | | (6.62 | ) | | | — | | | | — | | | | — | | | | — | | | | 20.49 | | | | (24.45 | ) | | | (24.28 | ) | | | 1.60 | | | | 0.95 | | | | (1.54 | ) | | | (0.89 | ) | | | 13,495 | | | | — | | |
Year ended
May 31, 2021
(hh)(nn) | | | 86.92 | | | | (0.44 | ) | | | (59.37 | ) | | | — | | | | (59.81 | ) | | | — | | | | — | | | | — | | | | — | | | | 27.11 | | | | (68.80 | ) | | | (68.92 | ) | | | 1.27 | | | | 0.95 | | | | (1.26 | ) | | | (0.93 | ) | | | 12,435 | | | | — | | |
Year ended
May 31, 2020
(hh)(nn) | | | 109.20 | | | | 0.72 | | | | (21.80 | )(i) | | | — | | | | (21.08 | ) | | | (1.12 | ) | | | — | | | | (0.08 | )# | | | (1.20 | ) | | | 86.92 | | | | (19.34 | ) | | | (19.03 | ) | | | 1.16 | | | | 0.95 | | | | 0.52 | | | | 0.72 | | | | 37,698 | | | | — | | |
Year ended
May 31, 2019
(hh)(nn) | | | 215.55 | | | | 1.67 | | | | (107.22 | ) | | | — | | | | (105.55 | ) | | | (0.80 | ) | | | — | | | | — | | | | (0.80 | ) | | | 109.20 | | | | (49.00 | ) | | | (49.02 | ) | | | 1.14 | | | | 0.95 | | | | 0.96 | | | | 1.15 | | | | 29,616 | | | | — | | |
Year ended
May 31, 2018
(p)(hh)(nn) | | | 272.96 | | | | 0.22 | | | | (57.63 | ) | | | — | | | | (57.41 | ) | | | — | | | | — | | | | — | | | | — | | | | 215.55 | | | | (21.04 | ) | | | (21.01 | ) | | | 1.18 | | | | 0.95 | | | | (0.11 | ) | | | 0.12 | | | | 30,170 | | | | — | | |
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 255
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| UltraShort MSCI EAFE | |
Year ended
May 31, 2022 | | $ | 10.26 | | | $ | (0.09 | ) | | $ | 1.65 | | | $ | — | | | $ | 1.56 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 11.82 | | | | 15.16 | % | | | 15.41 | % | | | 7.40 | % | | | 0.95 | % | | | (7.31 | )% | | | (0.86 | )% | | $ | 1,624 | | | | — | % | |
Year ended
May 31, 2021 | | | 21.84 | | | | (0.14 | ) | | | (11.44 | ) | | | — | | | | (11.58 | ) | | | — | | | | — | | | | — | | | | — | | | | 10.26 | | | | (53.01 | ) | | | (52.98 | ) | | | 4.29 | | | | 0.95 | | | | (4.28 | ) | | | (0.94 | ) | | | 1,410 | | | | — | | |
Year ended
May 31, 2020 | | | 25.89 | | | | 0.03 | | | | (3.92 | ) | | | — | | | | (3.89 | ) | | | (0.15 | ) | | | — | | | | (0.01 | )# | | | (0.16 | ) | | | 21.84 | | | | (15.05 | ) | | | (15.10 | ) | | | 3.83 | | | | 0.95 | | | | (2.76 | ) | | | 0.12 | | | | 3,001 | | | | — | | |
Year ended
May 31, 2019 | | | 23.15 | | | | 0.18 | | | | 2.65 | | | | — | | | | 2.83 | | | | (0.09 | ) | | | — | | | | — | | | | (0.09 | ) | | | 25.89 | | | | 12.24 | | | | 12.11 | | | | 2.87 | | | | 0.95 | | | | (1.23 | ) | | | 0.70 | | | | 3,557 | | | | — | | |
Year ended
May 31, 2018 | | | 27.32 | | | | 0.03 | | | | (4.20 | ) | | | — | | | | (4.17 | ) | | | — | | | | — | | | | — | | | | — | | | | 23.15 | | | | (15.26 | ) | | | (15.09 | ) | | | 3.00 | | | | 0.95 | | | | (1.94 | ) | | | 0.11 | | | | 3,181 | | | | — | | |
| UltraShort MSCI Emerging Markets | |
Year ended
May 31, 2022 | | | 15.03 | | | | (0.15 | ) | | | 5.77 | | | | — | | | | 5.62 | | | | — | | | | — | | | | — | | | | — | | | | 20.65 | | | | 37.43 | | | | 37.63 | | | | 2.13 | | | | 0.95 | | | | (2.04 | ) | | | (0.87 | ) | | | 11,128 | | | | — | | |
Year ended
May 31, 2021 | | | 37.97 | | | | (0.20 | ) | | | (22.74 | ) | | | — | | | | (22.94 | ) | | | — | | | | — | | | | — | | | | — | | | | 15.03 | | | | (60.42 | ) | | | (60.55 | ) | | | 1.71 | | | | 0.95 | | | | (1.69 | ) | | | (0.93 | ) | | | 5,467 | | | | — | | |
Year ended
May 31, 2020 | | | 46.57 | | | | 0.15 | | | | (8.37 | ) | | | — | | | | (8.22 | ) | | | (0.36 | ) | | | — | | | | (0.02 | )# | | | (0.38 | ) | | | 37.97 | | | | (17.70 | ) | | | (17.50 | ) | | | 1.31 | | | | 0.95 | | | | (0.01 | ) | | | 0.35 | | | | 16,662 | | | | — | | |
Year ended
May 31, 2019 | | | 42.20 | | | | 0.47 | | | | 4.21 | | | | — | | | | 4.68 | | | | (0.31 | ) | | | — | | | | — | | | | (0.31 | ) | | | 46.57 | | | | 11.11 | | | | 11.05 | | | | 1.26 | | | | 0.95 | | | | 0.70 | | | | 1.01 | | | | 19,271 | | | | — | | |
Year ended
May 31, 2018(p) | | | 58.06 | | | | 0.10 | | | | (15.96 | ) | | | — | | | | (15.86 | ) | | | — | | | | — | | | | — | | | | — | | | | 42.20 | | | | (27.31 | ) | | | (27.45 | ) | | | 1.18 | | | | 0.95 | | | | (0.01 | ) | | | 0.22 | | | | 15,352 | | | | — | | |
| UltraShort MSCI Japan | |
Year ended
May 31, 2022 | | | 13.72 | | | | (0.12 | ) | | | 3.23 | | | | — | | | | 3.11 | | | | — | | | | — | | | | — | | | | — | | | | 16.83 | | | | 22.67 | | | | 22.79 | | | | 2.93 | | | | 0.95 | | | | (2.86 | ) | | | (0.88 | ) | | | 6,309 | | | | — | | |
Year ended
May 31, 2021 | | | 23.61 | | | | (0.17 | ) | | | (9.72 | ) | | | — | | | | (9.89 | ) | | | — | | | | — | | | | — | | | | — | | | | 13.72 | | | | (41.91 | ) | | | (41.84 | ) | | | 1.98 | | | | 0.95 | | | | (1.97 | ) | | | (0.94 | ) | | | 4,800 | | | | — | | |
Year ended
May 31, 2020 | | | 31.53 | | | | (0.06 | ) | | | (7.79 | ) | | | — | | | | (7.85 | ) | | | (0.07 | ) | | | — | | | | — | | | | (0.07 | ) | | | 23.61 | | | | (24.89 | ) | | | (24.92 | ) | | | 1.78 | | | | 0.95 | | | | (1.03 | ) | | | (0.21 | ) | | | 11,215 | | | | — | | |
Year ended
May 31, 2019 | | | 26.01 | | | | 0.02 | | | | 5.51 | | | | — | | | | 5.53 | | | | (0.01 | ) | | | — | | | | — | | | | (0.01 | ) | | | 31.53 | | | | 21.26 | | | | 21.50 | | | | 2.01 | | | | 0.95 | | | | (1.00 | ) | | | 0.06 | | | | 7,091 | | | | — | | |
Year ended
May 31, 2018 | | | 34.57 | | | | (0.04 | ) | | | (8.52 | ) | | | — | | | | (8.56 | ) | | | — | | | | — | | | | — | | | | — | | | | 26.01 | | | | (24.78 | ) | | | (25.42 | ) | | | 1.66 | | | | 0.95 | | | | (0.84 | ) | | | (0.13 | ) | | | 5,199 | | | | — | | |
See accompanying notes to the financial statements.
256 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| UltraShort Nasdaq Biotechnology | |
Year ended
May 31, 2022 | | $ | 21.67 | | | $ | (0.20 | ) | | $ | 6.98 | | | $ | — | | | $ | 6.78 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 28.45 | | | | 31.29 | % | | | 31.59 | % | | | 1.83 | % | | | 0.95 | % | | | (1.79 | )% | | | (0.91 | )% | | $ | 8,424 | | | | — | % | |
Year ended
May 31, 2021(y) | | | 33.82 | | | | (0.24 | ) | | | (11.91 | ) | | | — | | | | (12.15 | ) | | | — | | | | — | | | | — | | | | — | | | | 21.67 | | | | (35.93 | ) | | | (36.17 | ) | | | 1.55 | | | | 0.95 | | | | (1.53 | ) | | | (0.93 | ) | | | 9,666 | | | | — | | |
Year ended
May 31, 2020(y) | | | 82.20 | | | | 0.58 | | | | (47.98 | ) | | | — | | | | (47.40 | ) | | | (0.88 | ) | | | — | | | | (0.10 | )# | | | (0.98 | ) | | | 33.82 | | | | (58.25 | ) | | | (58.11 | ) | | | 1.31 | | | | 0.95 | | | | 0.59 | | | | 0.94 | | | | 12,556 | | | | — | | |
Year ended
May 31, 2019(y) | | | 80.47 | | | | 0.94 | | | | 1.39 | | | | — | | | | 2.33 | | | | (0.60 | ) | | | — | | | | — | | | | (0.60 | ) | | | 82.20 | | | | 2.95 | | | | 3.15 | | | | 1.21 | | | | 0.95 | | | | 1.03 | | | | 1.28 | | | | 26,408 | | | | — | | |
Year ended
May 31, 2018(y) | | | 116.10 | | | | 0.09 | | | | (35.72 | ) | | | — | | | | (35.63 | ) | | | — | | | | — | | | | — | | | | — | | | | 80.47 | | | | (30.69 | ) | | | (30.75 | ) | | | 1.12 | | | | 0.95 | | | | (0.06 | ) | | | 0.10 | | | | 31,888 | | | | — | | |
| UltraShort Oil & Gas | |
Year ended
May 31, 2022(ll) | | | 65.50 | | | | (0.29 | ) | | | (48.66 | ) | | | — | | | | (48.95 | ) | | | — | | | | — | | | | — | | | | — | | | | 16.55 | | | | (74.73 | ) | | | (74.74 | ) | | | 1.31 | | | | 0.95 | | | | (1.21 | ) | | | (0.85 | ) | | | 30,676 | | | | — | | |
Year ended
May 31, 2021(ll) | | | 223.38 | | | | (1.23 | ) | | | (156.65 | ) | | | — | | | | (157.88 | ) | | | — | | | | — | | | | — | | | | — | | | | 65.50 | | | | (70.68 | ) | | | (70.58 | ) | | | 1.32 | | | | 0.95 | | | | (1.31 | ) | | | (0.94 | ) | | | 17,254 | | | | — | | |
Year ended
May 31, 2020(ll) | | | 230.37 | | | | 0.36 | | | | (6.35 | )(i) | | | — | | | | (5.99 | ) | | | (0.85 | ) | | | — | | | | (0.15 | )# | | | (1.00 | ) | | | 223.38 | | | | (2.59 | ) | | | (3.03 | ) | | | 1.33 | | | | 0.95 | | | | (0.23 | ) | | | 0.15 | | | | 16,401 | | | | — | | |
Year ended
May 31, 2019(ll) | | | 155.14 | | | | 1.30 | | | | 74.88 | | | | — | | | | 76.18 | | | | (0.95 | ) | | | — | | | | — | | | | (0.95 | ) | | | 230.37 | | | | 49.15 | | | | 49.61 | | | | 1.31 | | | | 0.95 | | | | 0.37 | | | | 0.74 | | | | 19,218 | | | | — | | |
Year ended
May 31, 2018(ll) | | | 242.00 | | | | 0.17 | | | | (87.03 | ) | | | — | | | | (86.86 | ) | | | — | | | | — | | | | — | | | | — | | | | 155.14 | | | | (35.89 | ) | | | (35.92 | ) | | | 1.18 | | | | 0.95 | | | | (0.15 | ) | | | 0.08 | | | | 23,801 | | | | — | | |
| UltraShort QQQ | |
Year ended
May 31, 2022 | | | 23.47 | | | | (0.17 | ) | | | (0.88 | )(i) | | | — | | | | (1.05 | ) | | | — | | | | — | | | | — | | | | — | | | | 22.42 | | | | (4.49 | ) | | | (4.48 | ) | | | 1.02 | | | | 0.95 | | | | (0.93 | ) | | | (0.86 | ) | | | 365,330 | | | | — | | |
Year ended
May 31, 2021(cc) | | | 58.32 | | | | (0.26 | ) | | | (34.59 | ) | | | — | | | | (34.85 | ) | | | — | | | | — | | | | — | | | | — | | | | 23.47 | | | | (59.75 | ) | | | (59.83 | ) | | | 1.03 | | | | 0.95 | | | | (0.90 | ) | | | (0.82 | ) | | | 221,703 | | | | — | | |
Year ended
May 31, 2020(cc) | | | 146.74 | | | | 1.26 | | | | (87.51 | ) | | | — | | | | (86.25 | ) | | | (1.91 | ) | | | — | | | | (0.26 | )# | | | (2.17 | ) | | | 58.32 | | | | (59.49 | ) | | | (59.44 | ) | | | 1.04 | | | | 0.95 | | | | 1.18 | | | | 1.27 | | | | 248,507 | | | | — | | |
Year ended
May 31, 2019(cc) | | | 171.61 | | | | 2.98 | | | | (25.10 | ) | | | — | | | | (22.12 | ) | | | (2.75 | ) | | | — | | | | — | | | | (2.75 | ) | | | 146.74 | | | | (13.01 | ) | | | (12.94 | ) | | | 1.03 | | | | 0.95 | | | | 1.88 | | | | 1.95 | | | | 355,626 | | | | — | | |
Year ended
May 31, 2018
(m)(cc) | | | 267.36 | | | | 1.44 | | | | (96.67 | ) | | | — | | | | (95.23 | ) | | | (0.52 | ) | | | — | | | | — | | | | (0.52 | ) | | | 171.61 | | | | (35.64 | ) | | | (35.63 | ) | | | 1.02 | | | | 0.95 | | | | 0.59 | | | | 0.66 | | | | 257,160 | | | | — | | |
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 257
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| UltraShort Real Estate | |
Year ended
May 31, 2022 | | $ | 17.33 | | | $ | (0.12 | ) | | $ | (2.09 | )(i) | | $ | — | | | $ | (2.21 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 15.12 | | | | (12.78 | )% | | | (12.77 | )% | | | 1.41 | % | | | 0.95 | % | | | (1.31 | )% | | | (0.86 | )% | | $ | 27,920 | | | | — | % | |
Year ended
May 31, 2021(hh) | | | 34.76 | | | | (0.24 | ) | | | (17.19 | ) | | | — | | | | (17.43 | ) | | | — | | | | — | | | | — | | | | — | | | | 17.33 | | | | (50.14 | ) | | | (50.29 | ) | | | 1.20 | | | | 0.95 | | | | (1.19 | ) | | | (0.94 | ) | | | 16,427 | | | | — | | |
Year ended
May 31, 2020(hh) | | | 45.29 | | | | 0.17 | | | | (10.12 | ) | | | — | | | | (9.95 | ) | | | (0.54 | ) | | | — | | | | (0.04 | )# | | | (0.58 | ) | | | 34.76 | | | | (22.18 | ) | | | (22.10 | ) | | | 1.31 | | | | 0.95 | | | | 0.06 | | | | 0.42 | | | | 54,669 | | | | — | | |
Year ended
May 31, 2019(hh) | | | 60.82 | | | | 0.66 | | | | (15.75 | ) | | | — | | | | (15.09 | ) | | | (0.44 | ) | | | — | | | | — | | | | (0.44 | ) | | | 45.29 | | | | (24.94 | ) | | | (24.88 | ) | | | 1.32 | | | | 0.95 | | | | 0.88 | | | | 1.25 | | | | 21,421 | | | | — | | |
Year ended
May 31, 2018(hh) | | | 65.72 | | | | 0.10 | | | | (5.00 | ) | | | — | | | | (4.90 | ) | | | — | | | | — | | | | — | | | | — | | | | 60.82 | | | | (7.45 | ) | | | (7.63 | ) | | | 1.18 | | | | 0.95 | | | | (0.07 | ) | | | 0.16 | | | | 21,160 | | | | — | | |
| UltraShort Russell2000 | |
Year ended
May 31, 2022 | | | 13.88 | | | | (0.12 | ) | | | 2.97 | | | | — | | | | 2.85 | | | | — | | | | — | | | | — | | | | — | | | | 16.73 | | | | 20.54 | | | | 20.61 | | | | 1.07 | | | | 0.95 | | | | (0.98 | ) | | | (0.86 | ) | | | 115,702 | | | | — | | |
Year ended
May 31, 2021(cc) | | | 46.41 | | | | (0.20 | ) | | | (32.33 | ) | | | — | | | | (32.53 | ) | | | — | | | | — | | | | — | | | | — | | | | 13.88 | | | | (70.09 | ) | | | (70.11 | ) | | | 1.09 | | | | 0.95 | | | | (0.98 | ) | | | (0.85 | ) | | | 73,770 | | | | — | | |
Year ended
May 31, 2020(cc) | | | 67.88 | | | | 0.31 | | | | (21.10 | ) | | | — | | | | (20.79 | ) | | | (0.60 | ) | | | — | | | | (0.08 | )# | | | (0.68 | ) | | | 46.41 | | | | (30.85 | ) | | | (30.72 | ) | | | 1.09 | | | | 0.95 | | | | 0.38 | | | | 0.52 | | | | 132,947 | | | | — | | |
Year ended
May 31, 2019(cc) | | | 59.72 | | | | 0.71 | | | | 8.10 | | | | — | | | | 8.81 | | | | (0.65 | ) | | | — | | | | — | | | | (0.65 | ) | | | 67.88 | | | | 14.83 | | | | 14.83 | | | | 1.08 | | | | 0.95 | | | | 1.03 | | | | 1.16 | | | | 98,592 | | | | — | | |
Year ended
May 31, 2018(cc) | | | 90.34 | | | | 0.35 | | | | (30.84 | ) | | | — | | | | (30.49 | ) | | | (0.13 | ) | | | — | | | | — | | | | (0.13 | ) | | | 59.72 | | | | (33.77 | ) | | | (33.84 | ) | | | 1.06 | | | | 0.95 | | | | 0.36 | | | | 0.47 | | | | 88,972 | | | | — | | |
| UltraShort S&P500® | |
Year ended
May 31, 2022(ll) | | | 47.49 | | | | (0.33 | ) | | | (3.91 | ) | | | — | | | | (4.24 | ) | | | — | | | | — | | | | — | | | | — | | | | 43.25 | | | | (8.93 | ) | | | (9.07 | ) | | | 0.90 | | | | 0.90 | | | | (0.80 | ) | | | (0.80 | ) | | | 899,859 | | | | — | | |
Year ended
May 31, 2021(ll) | | | 102.86 | | | | (0.53 | ) | | | (54.84 | ) | | | — | | | | (55.37 | ) | | | — | | | | — | | | | — | | | | — | | | | 47.49 | | | | (53.83 | ) | | | (53.86 | ) | | | 0.90 | | | | 0.90 | | | | (0.75 | ) | | | (0.75 | ) | | | 582,648 | | | | — | | |
Year ended
May 31, 2020(ll) | | | 176.27 | | | | 1.13 | | | | (72.44 | ) | | | — | | | | (71.31 | ) | | | (1.80 | ) | | | — | | | | (0.30 | )# | | | (2.10 | ) | | | 102.86 | | | | (40.80 | ) | | | (40.72 | ) | | | 0.91 | | | | 0.91 | | | | 0.83 | | | | 0.83 | | | | 1,480,039 | | | | — | | |
Year ended
May 31, 2019(ll) | | | 193.67 | | | | 2.94 | | | | (17.54 | ) | | | — | | | | (14.60 | ) | | | (2.80 | ) | | | — | | | | — | | | | (2.80 | ) | | | 176.27 | | | | (7.60 | ) | | | (7.60 | ) | | | 0.89 | | | | 0.89 | | | | 1.65 | | | | 1.65 | | | | 1,131,491 | | | | — | | |
Year ended
May 31, 2018(k)(ll) | | | 256.60 | | | | 1.38 | | | | (63.76 | ) | | | — | | | | (62.38 | ) | | | (0.55 | ) | | | — | | | | — | | | | (0.55 | ) | | | 193.67 | | | | (24.31 | ) | | | (24.33 | ) | | | 0.90 | | | | 0.90 | | | | 0.63 | | | | 0.63 | | | | 848,104 | | | | — | | |
See accompanying notes to the financial statements.
258 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| UltraShort Semiconductors | |
Year ended
May 31, 2022 | | $ | 36.65 | | | $ | (0.20 | ) | | $ | (13.99 | ) | | $ | — | | | $ | (14.19 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 22.46 | | | | (38.73 | )% | | | (38.85 | )% | | | 2.95 | % | | | 0.95 | % | | | (2.84 | )% | | | (0.84 | )% | | $ | 6,726 | | | | — | % | |
Year ended
May 31, 2021
(y)(gg) | | | 128.03 | | | | (0.62 | ) | | | (90.76 | ) | | | — | | | | (91.38 | ) | | | — | | | | — | | | | — | | | | — | | | | 36.65 | | | | (71.37 | ) | | | (71.48 | ) | | | 2.52 | | | | 0.95 | | | | (2.51 | ) | | | (0.94 | ) | | | 2,734 | | | | — | | |
Year ended
May 31, 2020
(y)(gg) | | | 520.18 | | | | 1.17 | | | | (390.11 | ) | | | — | | | | (388.94 | ) | | | (3.01 | ) | | | — | | | | (0.20 | )# | | | (3.21 | ) | | | 128.03 | | | | (75.16 | ) | | | (75.02 | ) | | | 1.85 | | | | 0.95 | | | | (0.45 | ) | | | 0.45 | | | | 7,554 | | | | — | | |
Year ended
May 31, 2019
(r)(y)(gg) | | | 477.08 | | | | 5.91 | | | | 42.55 | (i) | | | — | | | | 48.46 | | | | (5.36 | ) | | | — | | | | — | | | | (5.36 | ) | | | 520.18 | | | | 10.15 | | | | 9.44 | | | | 2.47 | | | | 0.95 | | | | (0.33 | ) | | | 1.19 | | | | 7,119 | | | | — | | |
Year ended
May 31, 2018
(n)(r)(y)(gg) | | | 986.67 | | | | 1.87 | | | | (511.46 | ) | | | — | | | | (509.59 | ) | | | — | | | | — | | | | — | | | | — | | | | 477.08 | | | | (51.65 | ) | | | (51.57 | ) | | | 2.71 | | | | 0.95 | | | | (1.50 | ) | | | 0.26 | | | | 3,920 | | | | — | | |
| UltraShort SmallCap600 | |
Year ended
May 31, 2022 | | | 24.53 | | | | (0.21 | ) | | | 0.90 | | | | — | | | | 0.69 | | | | — | | | | — | | | | — | | | | — | | | | 25.22 | | | | 2.81 | | | | 2.77 | | | | 3.20 | | | | 0.95 | | | | (3.10 | ) | | | (0.86 | ) | | | 4,640 | | | | — | | |
Year ended
May 31, 2021
(aa)(gg) | | | 92.30 | | | | (0.49 | ) | | | (67.28 | ) | | | — | | | | (67.77 | ) | | | — | | | | — | | | | — | | | | — | | | | 24.53 | | | | (73.42 | ) | | | (73.28 | ) | | | 2.41 | | | | 0.95 | | | | (2.40 | ) | | | (0.94 | ) | | | 2,064 | | | | — | | |
Year ended
May 31, 2020
(aa)(gg) | | | 123.90 | | | | (0.13 | ) | | | (30.72 | ) | | | — | | | | (30.85 | ) | | | (0.75 | ) | | | — | | | | — | | | | (0.75 | ) | | | 92.30 | | | | (24.97 | ) | | | (25.26 | ) | | | 2.65 | | | | 0.95 | | | | (1.82 | ) | | | (0.11 | ) | | | 9,499 | | | | — | | |
Year ended
May 31, 2019
(aa)(gg) | | | 105.26 | | | | 1.33 | | | | 18.37 | | | | — | | | | 19.70 | | | | (1.06 | ) | | | — | | | | — | | | | (1.06 | ) | | | 123.90 | | | | 18.83 | | | | 17.33 | | | | 3.39 | | | | 0.95 | | | | (1.22 | ) | | | 1.22 | | | | 3,459 | | | | — | | |
Year ended
May 31, 2018
(aa)(gg) | | | 164.75 | | | | 0.28 | | | | (59.77 | ) | | | — | | | | (59.49 | ) | | | — | | | | — | | | | — | | | | — | | | | 105.26 | | | | (36.11 | ) | | | (35.88 | ) | | | 3.37 | | | | 0.95 | | | | (2.21 | ) | | | 0.22 | | | | 2,281 | | | | — | | |
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 259
ProShares Trust Financial Highlights FOR THE PERIODS INDICATED
| | | SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED | | | |
| | PER SHARE OPERATING PERFORMANCE | | RATIOS/SUPPLEMENTAL DATA | |
| | INVESTMENT OPERATIONS | | DISTRIBUTIONS | | | | TOTAL
RETURN (c) | | RATIOS TO AVERAGE NET ASSETS (f) | | SUPPLEMENTAL
DATA | |
| | Net asset
value,
beginning
of period | | Net
investment
income
(loss) (a) | | Net
realized
and
unrealized
gains
(losses) on
investments | | Transaction
fees (b) | | Total from
investment
operations | | Net
investment
income | | Net
realized
gains | | Tax
return
of
capital | | Total
distributions | | Net
asset
value,
end of
period | | Net
asset
value (d) | | Market
value (e) | | Expenses
before
expense
reductions | | Expenses
net of
waivers,
if any | | Net
investment
income
(loss)
before
expense
reductions | | Net
investment
income
(loss) net
of waivers,
if any | | Net
assets,
end of
period
(000) | | Portfolio
turnover
rate (c)(g) | |
| UltraShort Technology | |
Year ended
May 31, 2022(ii) | | $ | 22.23 | | | $ | (0.15 | ) | | $ | (2.96 | )(i) | | $ | — | | | $ | (3.11 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 19.12 | | | | (14.02 | )% | | | (14.14 | )% | | | 2.26 | % | | | 0.95 | % | | | (2.17 | )% | | | (0.86 | )% | | $ | 7,763 | | | | — | % | |
Year ended
May 31, 2021(y)(ii) | | | 59.62 | | | | (0.29 | ) | | | (37.10 | ) | | | — | | | | (37.39 | ) | | | — | | | | — | | | | — | | | | — | | | | 22.23 | | | | (62.71 | ) | | | (62.60 | ) | | | 2.18 | | | | 0.95 | | | | (2.17 | ) | | | (0.94 | ) | | | 4,866 | | | | — | | |
Year ended
May 31, 2020(y)(ii) | | | 170.28 | | | | 0.53 | | | | (109.86 | ) | | | — | | | | (109.33 | ) | | | (1.25 | ) | | | — | | | | (0.08 | )# | | | (1.33 | ) | | | 59.62 | | | | (64.62 | ) | | | (64.72 | ) | | | 2.40 | | | | 0.95 | | | | (0.95 | ) | | | 0.50 | | | | 4,856 | | | | — | | |
Year ended
May 31, 2019
(r)(y)(ii) | | | 203.06 | | | | 2.42 | | | | (33.45 | ) | | | — | | | | (31.03 | ) | | | (1.75 | ) | | | — | | | | — | | | | (1.75 | ) | | | 170.28 | | | | (15.34 | ) | | | (15.28 | ) | | | 2.68 | | | | 0.95 | | | | (0.43 | ) | | | 1.30 | | | | 5,354 | | | | — | | |
Year ended
May 31, 2018
(r)(y)(ii) | | | 352.34 | | | | 0.56 | | | | (149.84 | ) | | | — | | | | (149.28 | ) | | | — | | | | — | | | | — | | | | — | | | | 203.06 | | | | (42.37 | ) | | | (42.74 | ) | | | 2.87 | | | | 0.95 | | | | (1.71 | ) | | | 0.21 | | | | 3,212 | | | | — | | |
| UltraShort Utilities | |
Year ended
May 31, 2022 | | | 16.33 | | | | (0.12 | ) | | | (5.23 | ) | | | — | | | | (5.35 | ) | | | — | | | | — | | | | — | | | | — | | | | 10.98 | | | | (32.77 | ) | | | (32.52 | ) | | | 4.68 | | | | 0.95 | | | | (4.60 | ) | | | (0.87 | ) | | | 2,402 | | | | — | | |
Year ended
May 31, 2021(aa) | | | 23.04 | | | | (0.18 | ) | | | (6.53 | ) | | | — | | | | (6.71 | ) | | | — | | | | — | | | | — | | | | — | | | | 16.33 | | | | (29.11 | ) | | | (29.19 | ) | | | 4.17 | | | | 0.95 | | | | (4.16 | ) | | | (0.95 | ) | | | 2,347 | | | | — | | |
Year ended
May 31, 2020(aa) | | | 37.28 | | | | 0.10 | | | | (14.11 | ) | | | — | | | | (14.01 | ) | | | (0.21 | ) | | | — | | | | (0.02 | )# | | | (0.23 | ) | | | 23.04 | | | | (37.75 | ) | | | (37.77 | ) | | | 2.66 | | | | 0.95 | | | | (1.39 | ) | | | 0.33 | | | | 1,872 | | | | — | | |
Year ended
May 31, 2019(aa) | | | 51.64 | | | | 0.21 | | | | (14.50 | ) | | | — | | | | (14.29 | ) | | | (0.07 | ) | | | — | | | | — | | | | (0.07 | ) | | | 37.28 | | | | (27.69 | ) | | | (27.75 | ) | | | 2.41 | | | | 0.95 | | | | (0.98 | ) | | | 0.49 | | | | 4,427 | | | | — | | |
Year ended
May 31, 2018(aa) | | | 51.81 | | | | (0.08 | ) | | | (0.09 | )(i) | | | — | | | | (0.17 | ) | | | — | | | | — | | | | — | | | | — | | | | 51.64 | | | | (0.32 | ) | | | 0.00 | (j) | | | 1.78 | | | | 0.95 | | | | (0.98 | ) | | | (0.15 | ) | | | 5,487 | | | | — | | |
See accompanying notes to the financial statements.
260 :: FINANCIAL HIGHLIGHTS PROSHARES TRUST
ProShares Trust Notes to Financial Highlights:
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Includes transaction fees associated with the issuance and redemption of Creation Units.
(c) Not annualized for periods less than one year.
(d) 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, if any, and redemption on the last day of the period at net asset value. 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.
(e) 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, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., NYSE and NASDAQ) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund's closing price on the listing market.
(f) Annualized for periods less than one year.
(g) 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. In-Kind transactions are not included in the portfolio turnover calculations.
(h) Per share amount is less than $0.005.
(i) The amount shown for a share outstanding throughout the period is not in accordance with the aggregate net realized and unrealized gain (loss) for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund.
(j) Less than 0.005%.
(k) Per share amounts have been restated on a retroactive basis to reflect a 1:4 reverse stock split effective July 17, 2017.
(l) Per share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective July 17, 2017.
(m) Per share amounts have been restated on a retroactive basis to reflect a 1:4 reverse stock split effective May 24, 2018.
(n) Per share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective May 24, 2018.
(o) Per share amounts have been restated on a retroactive basis to reflect a 3:1 stock split effective May 24, 2018.
(p) Per share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective May 24, 2018.
(q) Per share amounts have been restated on a retroactive basis to reflect a 1:4 reverse stock split effective May 24, 2019.
(r) Per share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective May 24, 2019.
(s) Per share amounts have been restated on a retroactive basis to reflect a 1:10 reverse stock split effective April 21, 2020.
(t) Per share amounts have been restated on a retroactive basis to reflect a 1:4 reverse stock split effective April 21, 2020.
(u) Per share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective August 18, 2020.
(v) Per share amounts have been restated on a retroactive basis to reflect a 4:1 stock split effective August 18, 2020.
(w) Per share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective August 18, 2020.
(x) Per share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective August 18, 2020.
(y) Per share amounts have been restated on a retroactive basis to reflect a 1:4 reverse stock split effective August 18, 2020.
(z) Per share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective January 21, 2021.
(aa) Per share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective January 21, 2021.
(bb) Per share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective January 21, 2021.
(cc) Per share amounts have been restated on a retroactive basis to reflect a 1:4 reverse stock split effective January 21, 2021.
(dd) Per share amounts have been restated on a retroactive basis to reflect a 4:1 stock split effective May 25, 2021.
(ee) Per share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective May 25, 2021.
(ff) Per share amounts have been restated on a retroactive basis to reflect a 5:1 stock split effective May 25, 2021.
(gg) Per share amounts have been restated on a retroactive basis to reflect a 1:4 reverse stock split effective May 25, 2021.
(hh) Per share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective May 25, 2021.
(ii) Per share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective January 13, 2022.
(jj) Per share amounts have been restated on a retroactive basis to reflect a 4:1 stock split effective January 13, 2022.
(kk) Per share amounts have been restated on a retroactive basis to reflect a 2:1 stock split effective January 13, 2022.
(ll) Per share amounts have been restated on a retroactive basis to reflect a 1:5 reverse stock split effective January 13, 2022.
(mm) Per share amounts have been restated on a retroactive basis to reflect a 4:1 stock split effective May 27, 2022.
(nn) Per share amounts have been restated on a retroactive basis to reflect a 1:2 reverse stock split effective May 27, 2022.
# Amount has been reclassified based on the tax character of the distributions for the tax year ended October 31, 2020.
See accompanying notes to the financial statements.
PROSHARES TRUST FINANCIAL HIGHLIGHTS :: 261
NOTES TO FINANCIAL STATEMENTS
262 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
1. Organization
ProShares Trust (the "Trust") is registered as an open-end management investment company under the Investment Company Act of 1940 ("1940 Act"). The Trust was formed as a Delaware statutory trust on May 29, 2002, has authorized capital of an unlimited number of shares at no par value and is comprised of 119 operational funds. These accompanying Notes to Financial Statements relate to the portfolios of the Trust included in this report (collectively, the "Funds" and individually, a "Fund"). Each Fund qualifies as an investment company as defined in the Financial Accounting Standards Codification Topic 946 — Financial Services — Investment Companies. Each Fund is a "non-diversified" series of the Trust pursuant to the 1940 Act.
ProShares Short Basic Materials and ProShares Short Oil & Gas were liquidated on May 17, 2022.
2. Significant Accounting Policies
The net asset value per share ("NAV") of each Fund is generally determined as of the close of the regular trading session of the exchange on which it is listed (is typically calculated as of 4:00 p.m. Eastern Time) on each business day.
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 ("GAAP"). The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts. The actual results could differ from those estimates.
Investment Valuation
The Funds record their investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The securities in the portfolio of a Fund that are listed or traded on a stock exchange or the NASDAQ Stock Market, except as otherwise noted, are generally valued at the closing price, if available, or the last sale price on the exchange or system where the security is principally traded, generally using information provided by a third party pricing service, or market quotations. These valuations are typically categorized as Level 1 in the fair value hierarchy described below. If there have been no sales for that day on the exchange or system where the security is principally traded, then fair value may be determined with reference to the mean of the latest bid and asked quotes, if applicable, on the exchange or system. If there have been no sales or quotes of the security for that day on the exchange or system, the security will be valued in accordance with procedures approved by the Trust's Board of Trustees (the "Board").
Exchange traded funds are generally valued at the closing price, if available, or at the last sale price as described above, and are typically categorized as Level 1 in the fair value hierarchy.
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 furnished
by primary market makers for those instruments. U.S. Treasury securities are valued according to prices as furnished by an independent pricing service, generally at the mean of the bid and asked quotes. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Exchange traded equity and bond futures contracts are generally valued at the official futures settlement price. These valuations are typically categorized as Level 1 in the fair value hierarchy. If there was no sale on that day, fair valuation procedures as described below may be applied. Non-exchange traded derivatives (e.g. non-exchange traded swap agreements) are generally valued using independent sources and/or agreement with counterparties or other procedures approved by the Board and are typically categorized as Level 2 in the fair value hierarchy.
When ProShare Advisors LLC (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 prices become stale, or an event occurs that materially affects the furnished price), the Advisor 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 Board. Fair value pricing may require subjective determinations about the value of a security. While the Trust's policy is intended to result in a calculation of a Fund's NAV that fairly reflects security values as of the time of pricing, the Trust cannot ensure that fair values determined by the Advisor or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold and the differences could be material to the financial statements. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy.
The Funds disclose the fair value of their investments in a hierarchy that distinguishes between: (1) market participant assumptions which are developed based on market data obtained from sources independent of the Funds (observable inputs) and (2) the Funds' own assumptions about market participant assumptions which are developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the hierarchy are as follows:
• Level 1 — Quoted prices in active markets for identical assets.
• Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
• Level 3 — Significant unobservable inputs (including assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For example, short-term debt securities maturing in sixty days or less may be valued at amortized cost. Generally, amortized cost approximates the current fair value of a security, but since the valuation is not obtained from a quoted price in an active market, such securities are typically reflected as Level 2. Fair value measurements may also
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 263
require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.
The following is a summary of the valuations as of May 31, 2022, for each Fund based upon the three levels defined above:
Please refer to the Schedules of Portfolio Investments to view equity and debt securities segregated by industry type.
| | | LEVEL 1 - Quoted Prices | | LEVEL 2 - Other Significant Observable Inputs | | Total | |
| | Common
Stocks/
Shares of
Beneficial
Interest | | Securities
Lending
Reinvestments | | Futures
Contracts* | | Rights/
Warrants | | U.S.
Treasury
Obligations | | Repurchase
Agreements | | Swap
Agreements* | | Investment
Securities,
including
Repurchase
Agreements | | Other
Financial
Instruments,
including
Futures
Contracts,
Swap
Agreements,
and Forward
Currency
Contracts* | |
Short 7-10 Year
Treasury | | | — | | | | — | | | $ | 11,352 | | | | — | | | $ | 74,942,747 | | | $ | 61,355,455 | | | $ | (464,630 | ) | | $ | 136,298,202 | | | $ | (453,278 | ) | |
Short 20+ Year
Treasury | | | — | | | | — | | | | 136,935 | | | | — | | | | 599,090,626 | | | | 79,737,186 | | | | 954,414 | | | | 678,827,812 | | | | 1,091,349 | | |
| Short Dow30SM | | | — | | | | — | | | | 818,524 | | | | — | | | | 199,534,643 | | | | 44,244,479 | | | | 9,977,594 | | | | 243,779,122 | | | | 10,796,118 | | |
| Short Financials | | | — | | | | — | | | | — | | | | — | | | | — | | | | 15,866,010 | | | | 289,216 | | | | 15,866,010 | | | | 289,216 | | |
Short FTSE
China 50 | | | — | | | | — | | | | — | | | | — | | | | — | | | | 5,704,241 | | | | (504,961 | ) | | | 5,704,241 | | | | (504,961 | ) | |
| Short High Yield | | | — | | | | — | | | | — | | | | — | | | | 224,909,979 | | | | 71,481,391 | | | | 1,927,477 | | | | 296,391,370 | | | | 1,927,477 | | |
Short
MidCap400 | | | — | | | | — | | | | 4,582 | | | | — | | | | — | | | | 10,726,113 | | | | 538,624 | | | | 10,726,113 | | | | 543,206 | | |
Short
MSCI EAFE | | | — | | | | — | | | | — | | | | — | | | | 34,990,628 | | | | 35,847,364 | | | | (154,943 | ) | | | 70,837,992 | | | | (154,943 | ) | |
Short MSCI
Emerging
Markets | | | — | | | | — | | | | — | | | | — | | | | — | | | | 36,552,480 | | | | 3,164,814 | | | | 36,552,480 | | | | 3,164,814 | | |
| Short QQQ | | | — | | | | — | | | | 3,143,700 | | | | — | | | | 883,957,951 | | | | 120,636,549 | | | | 130,190,158 | | | | 1,004,594,500 | | | | 133,333,858 | | |
Short
Real Estate | | | — | | | | — | | | | — | | | | — | | | | — | | | | 14,964,240 | | | | (99,868 | ) | | | 14,964,240 | | | | (99,868 | ) | |
Short
Russell2000 | | | — | | | | — | | | | 2,224,738 | | | | — | | | | 339,370,274 | | | | 65,006,851 | | | | 45,879,351 | | | | 404,377,125 | | | | 48,104,089 | | |
| Short S&P500® | | | — | | | | — | | | | 2,095,719 | | | | — | | | | 2,152,861,080 | | | | 208,763,865 | | | | 101,603,118 | | | | 2,361,624,945 | | | | 103,698,837 | | |
Short
SmallCap600 | | | — | | | | — | | | | — | | | | — | | | | — | | | | 6,309,515 | | | | (44,853 | ) | | | 6,309,515 | | | | (44,853 | ) | |
Ultra 7-10 Year
Treasury | | | — | | | | — | | | | (877 | ) | | | — | | | | — | | | | 17,384,871 | | | | (3,260,294 | ) | | | 17,384,871 | | | | (3,261,171 | ) | |
Ultra 20+ Year
Treasury | | | — | | | | — | | | | (3,004 | ) | | | — | | | | — | | | | 35,088,590 | | | | (373,104 | ) | | | 35,088,590 | | | | (376,108 | ) | |
Ultra Basic
Materials | | $ | 47,814,765 | | | $ | 221,659 | | | | — | | | | — | | | | — | | | | 8,434,210 | | | | (793,337 | ) | | | 56,470,634 | | | | (793,337 | ) | |
Ultra Consumer
Goods | | | 7,095,084 | | | | 48,530 | | | | — | | | | — | | | | — | | | | 2,127,367 | | | | (1,417,084 | ) | | | 9,270,981 | | | | (1,417,084 | ) | |
Ultra Consumer
Services | | | 12,402,074 | | | | 26,435 | | | | — | | | | — | | | | — | | | | 3,904,044 | | | | (7,394,757 | ) | | | 16,332,553 | | | | (7,394,757 | ) | |
| Ultra Dow30SM | | | 336,506,815 | | | | — | | | | (18,976 | ) | | | — | | | | — | | | | 89,649,849 | | | | (41,920,304 | ) | | | 426,156,664 | | | | (41,939,280 | ) | |
| Ultra Financials | | | 509,077,166 | | | | 687,211 | | | | — | | | | — | | | | — | | | | 13,710,246 | | | | 146,142,591 | | | | 523,474,623 | | | | 146,142,591 | | |
Ultra FTSE
China 50 | | | — | | | | — | | | | — | | | | — | | | | — | | | | 4,077,094 | | | | (12,060,166 | ) | | | 4,077,094 | | | | (12,060,166 | ) | |
Ultra FTSE
Europe | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,695,790 | | | | (1,091,360 | ) | | | 2,695,790 | | | | (1,091,360 | ) | |
Ultra Health
Care | | | 106,313,340 | | | | 51,462 | | | | — | | | | — | | | | — | | | | 21,512,698 | | | | (11,204,084 | ) | | | 127,877,500 | | | | (11,204,084 | ) | |
| Ultra High Yield | | | — | | | | — | | | | — | | | | — | | | | — | | | | 4,957,679 | | | | (2,571,284 | ) | | | 4,957,679 | | | | (2,571,284 | ) | |
264 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
| | | LEVEL 1 - Quoted Prices | | LEVEL 2 - Other Significant Observable Inputs | | Total | |
| | Common
Stocks/
Shares of
Beneficial
Interest | | Securities
Lending
Reinvestments | | Futures
Contracts* | | Rights/
Warrants | | U.S.
Treasury
Obligations | | Repurchase
Agreements | | Swap
Agreements* | | Investment
Securities,
including
Repurchase
Agreements | | Other
Financial
Instruments,
including
Futures
Contracts,
Swap
Agreements,
and Forward
Currency
Contracts* | |
| Ultra Industrials | | $ | 15,490,488 | | | $ | 20,871 | | | | — | | | | — | | | | — | | | $ | 3,162,129 | | | $ | (4,966,409 | ) | | $ | 18,673,488 | | | $ | (4,966,409 | ) | |
| Ultra MidCap400 | | | 112,316,474 | | | | 246,710 | | | $ | 111,178 | | | | — | | | | — | | | | 37,348,285 | | | | (26,402,875 | ) | | | 149,911,469 | | | | (26,291,697 | ) | |
Ultra MSCI Brazil
Capped | | | — | | | | — | | | | — | | | | — | | | | — | | | | 5,752,142 | | | | (2,273,213 | ) | | | 5,752,142 | | | | (2,273,213 | ) | |
| Ultra MSCI EAFE | | | — | | | | — | | | | — | | | | — | | | | — | | | | 5,476,481 | | | | (3,028,732 | ) | | | 5,476,481 | | | | (3,028,732 | ) | |
Ultra MSCI
Emerging
Markets | | | — | | | | — | | | | — | | | | — | | | | — | | | | 17,573,951 | | | | (19,799,735 | ) | | | 17,573,951 | | | | (19,799,735 | ) | |
Ultra MSCI
Japan | | | 2,851,199 | | | | — | | | | — | | | | — | | | | — | | | | 1,081,705 | | | | (2,275,777 | ) | | | 3,932,904 | | | | (2,275,777 | ) | |
Ultra Nasdaq
Biotechnology | | | 80,638,998 | | | | 2,366,248 | | | | — | | | $ | 11,641 | | | | — | | | | 8,683,464 | | | | (52,388,108 | ) | | | 91,700,351 | | | | (52,388,108 | ) | |
Ultra Nasdaq
Cloud
Computing | | | 1,577,019 | | | | — | | | | — | | | | — | | | | — | | | | 312,760 | | | | (1,210,948 | ) | | | 1,889,779 | | | | (1,210,948 | ) | |
Ultra Nasdaq
Cybersecurity | | | 210,848 | | | | — | | | | — | | | | — | | | | — | | | | 752,261 | | | | (1,487,155 | ) | | | 963,109 | | | | (1,487,155 | ) | |
| Ultra Oil & Gas | | | 104,531,465 | | | | 242,444 | | | | — | | | | — | | | | — | | | | 694,298 | | | | 98,237,569 | | | | 105,468,207 | | | | 98,237,569 | | |
| Ultra QQQ | | | 3,142,111,659 | | | | 13,789,342 | | | | (9,618,580 | ) | | | — | | | $ | 894,309,241 | | | | 224,175,700 | | | | (891,152,417 | ) | | | 4,274,385,942 | | | | (900,770,997 | ) | |
| Ultra Real Estate | | | 92,680,073 | | | | 98,319 | | | | — | | | | — | | | | — | | | | 15,273,632 | | | | (13,422,796 | ) | | | 108,052,024 | | | | (13,422,796 | ) | |
| Ultra Russell2000 | | | 129,193,235 | | | | 3,360,840 | | | | 415,747 | | | | 4,066 | | | | — | | | | 66,531,831 | | | | (64,522,027 | ) | | | 199,089,972 | | | | (64,106,280 | ) | |
| Ultra S&P500® | | | 3,110,015,513 | | | | 1,589,475 | | | | 8,680,002 | | | | — | | | | 594,076,289 | | | | 219,203,627 | | | | (509,699,401 | ) | | | 3,924,884,904 | | | | (501,019,399 | ) | |
Ultra
Semiconduc-
tors | | | 164,526,677 | | | | 227,427 | | | | — | | | | — | | | | — | | | | 73,963,623 | | | | (50,937,047 | ) | | | 238,717,727 | | | | (50,937,047 | ) | |
Ultra
SmallCap600 | | | 29,774,034 | | | | 226,827 | | | | — | | | | — | | | | — | | | | 6,447,256 | | | | (4,528,332 | ) | | | 36,448,117 | | | | (4,528,332 | ) | |
| Ultra Technology | | | 478,961,088 | | | | 569,684 | | | | — | | | | — | | | | — | | | | 167,884,223 | | | | (224,645,928 | ) | | | 647,414,995 | | | | (224,645,928 | ) | |
Ultra
Telecommuni-
cations | | | 1,704,884 | | | | 53,017 | | | | — | | | | — | | | | — | | | | 357,543 | | | | (361,122 | ) | | | 2,115,444 | | | | (361,122 | ) | |
| Ultra Utilities | | | 18,128,301 | | | | — | | | | — | | | | — | | | | — | | | | 3,924,461 | | | | 1,571,165 | | | | 22,052,762 | | | | 1,571,165 | | |
UltraPro
Dow30SM | | | 571,431,304 | | | | — | | | | 1,457,212 | | | | — | | | | — | | | | 150,844,557 | | | | (42,045,466 | ) | | | 722,275,861 | | | | (40,588,254 | ) | |
UltraPro
MidCap400 | | | 25,234,912 | | | | 9,835 | | | | 18,946 | | | | — | | | | — | | | | 11,048,363 | | | | (14,087,373 | ) | | | 36,293,110 | | | | (14,068,427 | ) | |
| UltraPro QQQ | | | 11,112,096,239 | | | | 43,716,530 | | | | 16,912,746 | | | | — | | | | 4,726,736,090 | | | | 1,925,468,443 | | | | (6,189,845,954 | ) | | | 17,808,017,302 | | | | (6,172,933,208 | ) | |
UltraPro
Russell2000 | | | 213,057,889 | | | | 4,869,345 | | | | 808,915 | | | | 4,806 | | | | — | | | | 50,204,239 | | | | (151,407,546 | ) | | | 268,136,279 | | | | (150,598,631 | ) | |
UltraPro
S&P500® | | | 2,121,864,165 | | | | 278,159 | | | | 75,471 | | | | — | | | | 734,410,336 | | | | 80,239,486 | | | | (769,234,569 | ) | | | 2,936,792,146 | | | | (769,159,098 | ) | |
UltraPro Short 20+
Year Treasury | | | — | | | | — | | | | 152,150 | | | | — | | | | 244,539,637 | | | | 123,998,104 | | | | 5,575,109 | | | | 368,537,741 | | | | 5,727,259 | | |
UltraPro Short
Dow30SM | | | — | | | | — | | | | 161,966 | | | | — | | | | 230,515,470 | | | | 68,056,851 | | | | 38,752,478 | | | | 298,572,321 | | | | 38,914,444 | | |
UltraPro Short
MidCap400 | | | — | | | | — | | | | 16,026 | | | | — | | | | — | | | | 4,589,378 | | | | 517,890 | | | | 4,589,378 | | | | 533,916 | | |
UltraPro
Short QQQ | | | — | | | | — | | | | 1,706,580 | | | | — | | | | 2,236,805,649 | | | | 203,539,959 | | | | (38,071,163 | ) | | | 2,440,345,608 | | | | (36,364,583 | ) | |
UltraPro Short
Russell2000 | | | — | | | | — | | | | 453,293 | | | | — | | | | 85,686,546 | | | | 45,730,619 | | | | (6,159,632 | ) | | | 131,417,165 | | | | (5,706,339 | ) | |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 265
| | | LEVEL 1 - Quoted Prices | | LEVEL 2 - Other Significant Observable Inputs | | Total | |
| | Common
Stocks/
Shares of
Beneficial
Interest | | Securities
Lending
Reinvestments | | Futures
Contracts* | | Rights/
Warrants | | U.S.
Treasury
Obligations | | Repurchase
Agreements | | Swap
Agreements* | | Investment
Securities,
including
Repurchase
Agreements | | Other
Financial
Instruments,
including
Futures
Contracts,
Swap
Agreements,
and Forward
Currency
Contracts* | |
UltraPro Short
S&P500® | | | — | | | | — | | | $ | 394,324 | | | | — | | | $ | 479,246,464 | | | $ | 82,174,813 | | | $ | 91,906,098 | | | $ | 561,421,277 | | | $ | 92,300,422 | | |
UltraShort
7-10 Year
Treasury | | | — | | | | — | | | | 12,225 | | | | — | | | | 49,760,277 | | | | 78,266,369 | | | | (2,779,027 | ) | | | 128,026,646 | | | | (2,766,802 | ) | |
UltraShort
20+ Year
Treasury | | | — | | | | — | | | | 243,440 | | | | — | | | | 1,243,374,577 | | | | 111,695,574 | | | | 34,353,173 | | | | 1,355,070,151 | | | | 34,596,613 | | |
UltraShort Basic
Materials | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,251,937 | | | | (625,828 | ) | | | 2,251,937 | | | | (625,828 | ) | |
UltraShort
Consumer
Goods | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,007,935 | | | | 44,550 | | | | 2,007,935 | | | | 44,550 | | |
UltraShort
Consumer
Services | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,073,388 | | | | 1,028,385 | | | | 2,073,388 | | | | 1,028,385 | | |
UltraShort
Dow30SM | | | — | | | | — | | | | 358,149 | | | | — | | | | 49,943,105 | | | | 36,120,384 | | | | 1,213,303 | | | | 86,063,489 | | | | 1,571,452 | | |
UltraShort
Financials | | | — | | | | — | | | | — | | | | — | | | | — | | | | 10,914,793 | | | | (329,862 | ) | | | 10,914,793 | | | | (329,862 | ) | |
UltraShort
FTSE
China 50 | | | — | | | | — | | | | — | | | | — | | | | — | | | | 19,218,541 | | | | (7,304,111 | ) | | | 19,218,541 | | | | (7,304,111 | ) | |
UltraShort
FTSE Europe | | | — | | | | — | | | | — | | | | — | | | | — | | | | 39,136,139 | | | | (1,792,395 | ) | | | 39,136,139 | | | | (1,792,395 | ) | |
UltraShort Health
Care | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,904,771 | | | | (326,185 | ) | | | 2,904,771 | | | | (326,185 | ) | |
UltraShort
Industrials | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,010,597 | | | | 494,761 | | | | 2,010,597 | | | | 494,761 | | |
UltraShort
MidCap400 | | | — | | | | — | | | | 14,228 | | | | — | | | | — | | | | 2,308,157 | | | | (452,177 | ) | | | 2,308,157 | | | | (437,949 | ) | |
UltraShort
MSCI Brazil
Capped | | | — | | | | — | | | | — | | | | — | | | | — | | | | 10,280,163 | | | | (7,837,556 | ) | | | 10,280,163 | | | | (7,837,556 | ) | |
UltraShort MSCI
EAFE | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,418,701 | | | | (8,648 | ) | | | 1,418,701 | | | | (8,648 | ) | |
UltraShort MSCI
Emerging
Markets | | | — | | | | — | | | | — | | | | — | | | | — | | | | 8,738,608 | | | | (654,455 | ) | | | 8,738,608 | | | | (654,455 | ) | |
UltraShort MSCI
Japan | | | — | | | | — | | | | — | | | | — | | | | — | | | | 4,929,962 | | | | (15,761 | ) | | | 4,929,962 | | | | (15,761 | ) | |
UltraShort Nasdaq
Biotechnology | | | — | | | | — | | | | — | | | | — | | | | — | | | | 3,628,839 | | | | 3,196,139 | | | | 3,628,839 | | | | 3,196,139 | | |
UltraShort
Oil & Gas | | | — | | | | — | | | | — | | | | — | | | | — | | | | 26,446,572 | | | | (21,415,236 | ) | | | 26,446,572 | | | | (21,415,236 | ) | |
| UltraShort QQQ | | | — | | | | — | | | | 1,392,210 | | | | — | | | | 219,699,197 | | | | 71,178,161 | | | | 49,549,009 | | | | 290,877,358 | | | | 50,941,219 | | |
UltraShort
Real Estate | | | — | | | | — | | | | — | | | | — | | | | — | | | | 21,057,903 | | | | 3,149,092 | | | | 21,057,903 | | | | 3,149,092 | | |
UltraShort
Russell2000 | | | — | | | | — | | | | (40,295 | ) | | | — | | | | 34,991,662 | | | | 60,585,395 | | | | (149,959 | ) | | | 95,577,057 | | | | (190,254 | ) | |
UltraShort
S&P500® | | | — | | | | — | | | | 451,409 | | | | — | | | | 522,077,108 | | | | 82,376,178 | | | | 87,697,655 | | | | 604,453,286 | | | | 88,149,064 | | |
UltraShort
Semiconduc-
tors | | | — | | | | — | | | | — | | | | — | | | | — | | | | 6,253,154 | | | | (907,917 | ) | | | 6,253,154 | | | | (907,917 | ) | |
266 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
| | | LEVEL 1 - Quoted Prices | | LEVEL 2 - Other Significant Observable Inputs | | Total | |
| | Common
Stocks/
Shares of
Beneficial
Interest | | Securities
Lending
Reinvestments | | Futures
Contracts* | | Rights/
Warrants | | U.S.
Treasury
Obligations | | Repurchase
Agreements | | Swap
Agreements* | | Investment
Securities,
including
Repurchase
Agreements | | Other
Financial
Instruments,
including
Futures
Contracts,
Swap
Agreements,
and Forward
Currency
Contracts* | |
UltraShort
SmallCap600 | | | — | | | | — | | | | — | | | | — | | | | — | | | $ | 3,783,823 | | | $ | (446,065 | ) | | $ | 3,783,823 | | | $ | (446,065 | ) | |
UltraShort
Technology | | | — | | | | — | | | | — | | | | — | | | | — | | | | 5,112,978 | | | | 2,484,312 | | | | 5,112,978 | | | | 2,484,312 | | |
UltraShort
Utilities | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,281,332 | | | | (368,029 | ) | | | 2,281,332 | | | | (368,029 | ) | |
* These investments are recorded in the financial statements at the unrealized gain or loss on the investment.
Foreign Currency Translation
Each Fund's accounting records are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies and commitments under forward foreign currency exchange contracts are translated into U.S. dollars as of the close of London world markets. The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
Repurchase Agreements
Each of the Funds may enter into repurchase agreements. Repurchase agreements are primarily used by the Funds as short-term investments for cash positions. Under a repurchase agreement, a Fund purchases one or more debt securities and simultaneously agrees to sell those securities back to the seller at a mutually agreed-upon future price and date, normally one day or a few days later. The resale price is greater than the purchase price, reflecting an agreed-upon market interest rate during the purchaser's holding period. While the maturities of the underlying securities in repurchase transactions may be more than one year, the term of each repurchase agreement will always be less than one year. The Funds follow certain procedures designed to minimize the risks inherent in such agreements. These procedures include affecting repurchase transactions generally with major global financial institutions whose creditworthiness is monitored by the Advisor. In addition, the value of the collateral underlying the repurchase agreement is required to be at least equal to the repurchase price, including any accrued interest income earned on the repurchase agreement. The Funds may invest in repurchase agreements through joint account arrangements; in such cases, each Fund holds a pro rata share of the collateral and interest income based upon the dollar amount of the repurchase agreements entered into by each Fund. The collateral underlying the repurchase agreement is held by the Fund's custodian. A repurchase agreement is subject to 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 declare bankruptcy or the Fund may have difficulty exercising rights to the collateral. During periods of high demand for repurchase agreements, the Funds may be unable to invest available cash in these instruments to the extent desired by the Advisor.
On May 31, 2022, the Funds had interest in joint repurchase agreements with the following counterparties, for the time periods and rates indicated. Amounts shown in the table below represent Principal Amount, Cost and Value for each respective repurchase agreement.
| Fund Name | | Bank of America
Securities, Inc.,
0.77%, dated
05/31/2022 due
06/01/2022 (a) | | Barclays
Capital, Inc.,
0.50%, dated
05/31/2022 due
06/01/2022 (b) | | Barclays
Capital, Inc.,
0.55%, dated
05/31/2022 due
06/01/2022 (c) | | Barclays
Capital, Inc.,
0.65%, dated
05/31/2022 due
06/01/2022 (d) | | Barclays
Capital, Inc.,
0.76%, dated
05/31/2022 due
06/01/2022 (e) | | BNP Paribas
Securities
Corp.,
0.59%, dated
05/31/2022 due
06/01/2022 (f) | | BNP Paribas
Securities
Corp.,
0.77%, dated
05/31/2022 due
06/01/2022 (g) | | ING Financial
Markets LLC,
0.77%, dated
05/31/2022 due
06/01/2022 (h) | | Total | |
| Short 7-10 Year Treasury | | $ | 4,036,864 | | | $ | 749,703 | | | $ | 3,460,169 | | | $ | 5,766,949 | | | $ | 6,915,458 | | | $ | 5,766,949 | | | $ | 29,411,439 | | | $ | 5,247,924 | | | $ | 61,355,455 | | |
| Short 20+ Year Treasury | | | 5,246,285 | | | | 974,310 | | | | 4,496,815 | | | | 7,494,692 | | | | 8,987,290 | | | | 7,494,692 | | | | 38,222,932 | | | | 6,820,170 | | | | 79,737,186 | | |
| Short Dow30SM | | | 2,911,052 | | | | 540,624 | | | | 2,495,188 | | | | 4,158,646 | | | | 4,986,857 | | | | 4,158,646 | | | | 21,209,098 | | | | 3,784,368 | | | | 44,244,479 | | |
| Short Financials | | | 1,043,900 | | | | 193,867 | | | | 894,771 | | | | 1,491,285 | | | | 1,788,280 | | | | 1,491,285 | | | | 7,605,553 | | | | 1,357,069 | | | | 15,866,010 | | |
| Short FTSE China 50 | | | 375,309 | | | | 69,700 | | | | 321,693 | | | | 536,156 | | | | 642,932 | | | | 536,156 | | | | 2,734,393 | | | | 487,902 | | | | 5,704,241 | | |
| Short High Yield | | | 4,703,097 | | | | 873,432 | | | | 4,031,226 | | | | 6,718,710 | | | | 8,056,768 | | | | 6,718,710 | | | | 34,265,422 | | | | 6,114,026 | | | | 71,481,391 | | |
| Short MidCap400 | | | 705,721 | | | | 131,063 | | | | 604,904 | | | | 1,008,173 | | | | 1,208,956 | | | | 1,008,173 | | | | 5,141,685 | | | | 917,438 | | | | 10,726,113 | | |
| Short MSCI EAFE | | | 2,358,567 | | | | 438,020 | | | | 2,021,629 | | | | 3,369,381 | | | | 4,040,406 | | | | 3,369,381 | | | | 17,183,844 | | | | 3,066,136 | | | | 35,847,364 | | |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 267
| Fund Name | | Bank of America
Securities, Inc.,
0.77%, dated
05/31/2022 due
06/01/2022 (a) | | Barclays
Capital, Inc.,
0.50%, dated
05/31/2022 due
06/01/2022 (b) | | Barclays
Capital, Inc.,
0.55%, dated
05/31/2022 due
06/01/2022 (c) | | Barclays
Capital, Inc.,
0.65%, dated
05/31/2022 due
06/01/2022 (d) | | Barclays
Capital, Inc.,
0.76%, dated
05/31/2022 due
06/01/2022 (e) | | BNP Paribas
Securities
Corp.,
0.59%, dated
05/31/2022 due
06/01/2022 (f) | | BNP Paribas
Securities
Corp.,
0.77%, dated
05/31/2022 due
06/01/2022 (g) | | ING Financial
Markets LLC,
0.77%, dated
05/31/2022 due
06/01/2022 (h) | | Total | |
| Short MSCI Emerging Markets | | $ | 2,404,960 | | | $ | 446,635 | | | $ | 2,061,393 | | | $ | 3,435,657 | | | $ | 4,119,881 | | | $ | 3,435,657 | | | $ | 17,521,849 | | | $ | 3,126,448 | | | $ | 36,552,480 | | |
| Short QQQ | | | 7,937,246 | | | | 1,474,060 | | | | 6,803,354 | | | | 11,338,923 | | | | 13,597,115 | | | | 11,338,923 | | | | 57,828,508 | | | | 10,318,420 | | | | 120,636,549 | | |
| Short Real Estate | | | 984,568 | | | | 182,848 | | | | 843,915 | | | | 1,406,525 | | | | 1,686,641 | | | | 1,406,525 | | | | 7,173,280 | | | | 1,279,938 | | | | 14,964,240 | | |
| Short Russell2000 | | | 4,277,107 | | | | 794,320 | | | | 3,666,091 | | | | 6,110,152 | | | | 7,327,013 | | | | 6,110,152 | | | | 31,161,777 | | | | 5,560,239 | | | | 65,006,851 | | |
| Short S&P500® | | | 13,735,557 | | | | 2,550,889 | | | | 11,773,335 | | | | 19,622,224 | | | | 23,530,068 | | | | 19,622,224 | | | | 100,073,344 | | | | 17,856,224 | | | | 208,763,865 | | |
| Short SmallCap600 | | | 415,133 | | | | 77,096 | | | | 355,828 | | | | 593,047 | | | | 711,155 | | | | 593,047 | | | | 3,024,537 | | | | 539,672 | | | | 6,309,515 | | |
| Ultra 7-10 Year Treasury | | | 1,143,833 | | | | 212,426 | | | | 980,428 | | | | 1,634,046 | | | | 1,959,474 | | | | 1,634,046 | | | | 8,333,636 | | | | 1,486,982 | | | | 17,384,871 | | |
| Ultra 20+ Year Treasury | | | 2,308,643 | | | | 428,748 | | | | 1,978,837 | | | | 3,298,062 | | | | 3,954,884 | | | | 3,298,062 | | | | 16,820,117 | | | | 3,001,237 | | | | 35,088,590 | | |
| Ultra Basic Materials | | | 554,926 | | | | 103,058 | | | | 475,651 | | | | 792,752 | | | | 950,631 | | | | 792,752 | | | | 4,043,035 | | | | 721,405 | | | | 8,434,210 | | |
| Ultra Consumer Goods | | | 139,969 | | | | 25,994 | | | | 119,974 | | | | 199,956 | | | | 239,779 | | | | 199,956 | | | | 1,019,779 | | | | 181,960 | | | | 2,127,367 | | |
| Ultra Consumer Services | | | 256,865 | | | | 47,704 | | | | 220,170 | | | | 366,951 | | | | 440,030 | | | | 366,951 | | | | 1,871,448 | | | | 333,925 | | | | 3,904,044 | | |
| Ultra Dow30SM | | | 5,898,485 | | | | 1,095,433 | | | | 5,055,845 | | | | 8,426,408 | | | | 10,104,560 | | | | 8,426,408 | | | | 42,974,679 | | | | 7,668,031 | | | | 89,649,849 | | |
| Ultra Financials | | | 902,062 | | | | 167,526 | | | | 773,196 | | | | 1,288,659 | | | | 1,545,301 | | | | 1,288,659 | | | | 6,572,163 | | | | 1,172,680 | | | | 13,710,246 | | |
| Ultra FTSE China 50 | | | 268,251 | | | | 49,818 | | | | 229,929 | | | | 383,216 | | | | 459,535 | | | | 383,216 | | | | 1,954,402 | | | | 348,727 | | | | 4,077,094 | | |
| Ultra FTSE Europe | | | 177,369 | | | | 32,940 | | | | 152,030 | | | | 253,384 | | | | 303,846 | | | | 253,384 | | | | 1,292,258 | | | | 230,579 | | | | 2,695,790 | | |
| Ultra Health Care | | | 1,415,422 | | | | 262,864 | | | | 1,213,218 | | | | 2,022,031 | | | | 2,424,726 | | | | 2,022,031 | | | | 10,312,358 | | | | 1,840,048 | | | | 21,512,698 | | |
| Ultra High Yield | | | 326,189 | | | | 60,578 | | | | 279,591 | | | | 465,984 | | | | 558,787 | | | | 465,984 | | | | 2,376,521 | | | | 424,045 | | | | 4,957,679 | | |
| Ultra Industrials | | | 208,051 | | | | 38,638 | | | | 178,330 | | | | 297,216 | | | | 356,408 | | | | 297,216 | | | | 1,515,803 | | | | 270,467 | | | | 3,162,129 | | |
| Ultra MidCap400 | | | 2,457,319 | | | | 456,359 | | | | 2,106,274 | | | | 3,510,456 | | | | 4,209,579 | | | | 3,510,456 | | | | 17,903,327 | | | | 3,194,515 | | | | 37,348,285 | | |
| Ultra MSCI Brazil Capped | | | 378,460 | | | | 70,286 | | | | 324,395 | | | | 540,658 | | | | 648,332 | | | | 540,658 | | | | 2,757,355 | | | | 491,998 | | | | 5,752,142 | | |
| Ultra MSCI EAFE | | | 360,323 | | | | 66,917 | | | | 308,849 | | | | 514,748 | | | | 617,262 | | | | 514,748 | | | | 2,625,214 | | | | 468,420 | | | | 5,476,481 | | |
| Ultra MSCI Emerging Markets | | | 1,156,274 | | | | 214,736 | | | | 991,091 | | | | 1,651,818 | | | | 1,980,785 | | | | 1,651,818 | | | | 8,424,274 | | | | 1,503,155 | | | | 17,573,951 | | |
| Ultra MSCI Japan | | | 71,170 | | | | 13,217 | | | | 61,003 | | | | 101,672 | | | | 121,921 | | | | 101,672 | | | | 518,528 | | | | 92,522 | | | | 1,081,705 | | |
| Ultra Nasdaq Biotechnology | | | 571,326 | | | | 106,103 | | | | 489,708 | | | | 816,180 | | | | 978,725 | | | | 816,180 | | | | 4,162,518 | | | | 742,724 | | | | 8,683,464 | | |
| Ultra Nasdaq Cloud Computing | | | 20,578 | | | | 3,822 | | | | 17,638 | | | | 29,397 | | | | 35,252 | | | | 29,397 | | | | 149,925 | | | | 26,751 | | | | 312,760 | | |
| Ultra Nasdaq Cybersecurity | | | 49,495 | | | | 9,192 | | | | 42,424 | | | | 70,707 | | | | 84,789 | | | | 70,707 | | | | 360,604 | | | | 64,343 | | | | 752,261 | | |
| Ultra Oil & Gas | | | 45,681 | | | | 8,484 | | | | 39,155 | | | | 65,259 | | | | 78,255 | | | | 65,259 | | | | 332,819 | | | | 59,386 | | | | 694,298 | | |
| Ultra QQQ | | | 14,749,574 | | | | 2,739,207 | | | | 12,642,492 | | | | 21,070,820 | | | | 25,267,157 | | | | 21,070,820 | | | | 107,461,184 | | | | 19,174,446 | | | | 224,175,700 | | |
| Ultra Real Estate | | | 1,004,924 | | | | 186,629 | | | | 861,364 | | | | 1,435,606 | | | | 1,721,511 | | | | 1,435,606 | | | | 7,321,590 | | | | 1,306,402 | | | | 15,273,632 | | |
| Ultra Russell2000 | | | 4,377,442 | | | | 812,954 | | | | 3,752,093 | | | | 6,253,489 | | | | 7,498,896 | | | | 6,253,489 | | | | 31,892,793 | | | | 5,690,675 | | | | 66,531,831 | | |
| Ultra S&P500® | | | 14,422,438 | | | | 2,678,453 | | | | 12,362,090 | | | | 20,603,483 | | | | 24,706,747 | | | | 20,603,483 | | | | 105,077,763 | | | | 18,749,170 | | | | 219,203,627 | | |
| Ultra Semiconductors | | | 4,866,415 | | | | 903,763 | | | | 4,171,213 | | | | 6,952,021 | | | | 8,336,543 | | | | 6,952,021 | | | | 35,455,308 | | | | 6,326,339 | | | | 73,963,623 | | |
| Ultra SmallCap600 | | | 424,195 | | | | 78,779 | | | | 363,596 | | | | 605,993 | | | | 726,679 | | | | 605,993 | | | | 3,090,567 | | | | 551,454 | | | | 6,447,256 | | |
| Ultra Technology | | | 11,045,893 | | | | 2,051,380 | | | | 9,467,908 | | | | 15,779,847 | | | | 18,922,465 | | | | 15,779,847 | | | | 80,477,222 | | | | 14,359,661 | | | | 167,884,223 | | |
| Ultra Telecommunications | | | 23,524 | | | | 4,369 | | | | 20,164 | | | | 33,606 | | | | 40,300 | | | | 33,606 | | | | 171,392 | | | | 30,582 | | | | 357,543 | | |
| Ultra Utilities | | | 258,209 | | | | 47,953 | | | | 221,322 | | | | 368,870 | | | | 442,332 | | | | 368,870 | | | | 1,881,234 | | | | 335,671 | | | | 3,924,461 | | |
| UltraPro Dow30SM | | | 9,924,773 | | | | 1,843,172 | | | | 8,506,949 | | | | 14,178,248 | | | | 17,001,900 | | | | 14,178,248 | | | | 72,309,062 | | | | 12,902,205 | | | | 150,844,557 | | |
| UltraPro MidCap400 | | | 726,924 | | | | 135,000 | | | | 623,078 | | | | 1,038,463 | | | | 1,245,275 | | | | 1,038,463 | | | | 5,296,159 | | | | 945,001 | | | | 11,048,363 | | |
| UltraPro QQQ | | | 126,685,630 | | | | 23,527,331 | | | | 108,587,683 | | | | 180,979,471 | | | | 217,022,237 | | | | 180,979,471 | | | | 922,995,302 | | | | 164,691,318 | | | | 1,925,468,443 | | |
| UltraPro Russell2000 | | | 3,303,173 | | | | 613,446 | | | | 2,831,291 | | | | 4,718,819 | | | | 5,658,590 | | | | 4,718,819 | | | | 24,065,976 | | | | 4,294,125 | | | | 50,204,239 | | |
| UltraPro S&P500® | | | 5,279,333 | | | | 980,448 | | | | 4,525,142 | | | | 7,541,905 | | | | 9,043,905 | | | | 7,541,905 | | | | 38,463,715 | | | | 6,863,133 | | | | 80,239,486 | | |
| UltraPro Short 20+ Year Treasury | | | 8,158,419 | | | | 1,515,135 | | | | 6,992,930 | | | | 11,654,884 | | | | 13,976,000 | | | | 11,654,884 | | | | 59,439,908 | | | | 10,605,944 | | | | 123,998,104 | | |
| UltraPro Short Dow30SM | | | 4,477,780 | | | | 831,588 | | | | 3,838,098 | | | | 6,396,829 | | | | 7,670,783 | | | | 6,396,829 | | | | 32,623,829 | | | | 5,821,115 | | | | 68,056,851 | | |
| UltraPro Short MidCap400 | | | 301,957 | | | | 56,078 | | | | 258,820 | | | | 431,367 | | | | 517,275 | | | | 431,367 | | | | 2,199,970 | | | | 392,544 | | | | 4,589,378 | | |
| UltraPro Short QQQ | | | 13,391,852 | | | | 2,487,058 | | | | 11,478,730 | | | | 19,131,217 | | | | 22,941,273 | | | | 19,131,217 | | | | 97,569,205 | | | | 17,409,407 | | | | 203,539,959 | | |
| UltraPro Short Russell2000 | | | 3,008,833 | | | | 558,783 | | | | 2,578,999 | | | | 4,298,332 | | | | 5,154,362 | | | | 4,298,332 | | | | 21,921,495 | | | | 3,911,483 | | | | 45,730,619 | | |
| UltraPro Short S&P500® | | | 5,406,668 | | | | 1,004,095 | | | | 4,634,286 | | | | 7,723,811 | | | | 9,262,038 | | | | 7,723,811 | | | | 39,391,436 | | | | 7,028,668 | | | | 82,174,813 | | |
| UltraShort 7-10 Year Treasury | | | 5,149,513 | | | | 956,338 | | | | 4,413,868 | | | | 7,356,447 | | | | 8,821,511 | | | | 7,356,447 | | | | 37,517,878 | | | | 6,694,367 | | | | 78,266,369 | | |
| UltraShort 20+ Year Treasury | | | 7,348,977 | | | | 1,364,810 | | | | 6,299,124 | | | | 10,498,539 | | | | 12,589,364 | | | | 10,498,539 | | | | 53,542,550 | | | | 9,553,671 | | | | 111,695,574 | | |
268 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
| Fund Name | | Bank of America
Securities, Inc.,
0.77%, dated
05/31/2022 due
06/01/2022 (a) | | Barclays
Capital, Inc.,
0.50%, dated
05/31/2022 due
06/01/2022 (b) | | Barclays
Capital, Inc.,
0.55%, dated
05/31/2022 due
06/01/2022 (c) | | Barclays
Capital, Inc.,
0.65%, dated
05/31/2022 due
06/01/2022 (d) | | Barclays
Capital, Inc.,
0.76%, dated
05/31/2022 due
06/01/2022 (e) | | BNP Paribas
Securities
Corp.,
0.59%, dated
05/31/2022 due
06/01/2022 (f) | | BNP Paribas
Securities
Corp.,
0.77%, dated
05/31/2022 due
06/01/2022 (g) | | ING Financial
Markets LLC,
0.77%, dated
05/31/2022 due
06/01/2022 (h) | | Total | |
| UltraShort Basic Materials | | $ | 148,166 | | | $ | 27,516 | | | $ | 126,999 | | | $ | 211,665 | | | $ | 253,819 | | | $ | 211,665 | | | $ | 1,079,491 | | | $ | 192,616 | | | $ | 2,251,937 | | |
| UltraShort Consumer Goods | | | 132,111 | | | | 24,535 | | | | 113,238 | | | | 188,731 | | | | 226,317 | | | | 188,731 | | | | 962,527 | | | | 171,745 | | | | 2,007,935 | | |
| UltraShort Consumer Services | | | 136,418 | | | | 25,335 | | | | 116,930 | | | | 194,883 | | | | 233,694 | | | | 194,883 | | | | 993,901 | | | | 177,344 | | | | 2,073,388 | | |
| UltraShort Dow30SM | | | 2,376,530 | | | | 441,356 | | | | 2,037,026 | | | | 3,395,043 | | | | 4,071,179 | | | | 3,395,043 | | | | 17,314,718 | | | | 3,089,489 | | | | 36,120,384 | | |
| UltraShort Financials | | | 718,136 | | | | 133,368 | | | | 615,545 | | | | 1,025,908 | | | | 1,230,221 | | | | 1,025,908 | | | | 5,232,131 | | | | 933,576 | | | | 10,914,793 | | |
| UltraShort FTSE China 50 | | | 1,264,478 | | | | 234,832 | | | | 1,083,838 | | | | 1,806,398 | | | | 2,166,149 | | | | 1,806,398 | | | | 9,212,627 | | | | 1,643,821 | | | | 19,218,541 | | |
| UltraShort FTSE Europe | | | 2,574,951 | | | | 478,205 | | | | 2,207,101 | | | | 3,678,501 | | | | 4,411,088 | | | | 3,678,501 | | | | 18,760,356 | | | | 3,347,436 | | | | 39,136,139 | | |
| UltraShort Health Care | | | 191,119 | | | | 35,493 | | | | 163,816 | | | | 273,027 | | | | 327,400 | | | | 273,027 | | | | 1,392,435 | | | | 248,454 | | | | 2,904,771 | | |
| UltraShort Industrials | | | 132,287 | | | | 24,568 | | | | 113,389 | | | | 188,981 | | | | 226,617 | | | | 188,981 | | | | 963,802 | | | | 171,972 | | | | 2,010,597 | | |
| UltraShort MidCap400 | | | 151,864 | | | | 28,203 | | | | 130,170 | | | | 216,949 | | | | 260,156 | | | | 216,949 | | | | 1,106,442 | | | | 197,424 | | | | 2,308,157 | | |
| UltraShort MSCI Brazil Capped | | | 676,380 | | | | 125,613 | | | | 579,755 | | | | 966,258 | | | | 1,158,692 | | | | 966,258 | | | | 4,927,913 | | | | 879,294 | | | | 10,280,163 | | |
| UltraShort MSCI EAFE | | | 93,343 | | | | 17,335 | | | | 80,008 | | | | 133,347 | | | | 159,904 | | | | 133,347 | | | | 680,071 | | | | 121,346 | | | | 1,418,701 | | |
| UltraShort MSCI Emerging Markets | | | 574,955 | | | | 106,777 | | | | 492,818 | | | | 821,363 | | | | 984,940 | | | | 821,363 | | | | 4,188,952 | | | | 747,440 | | | | 8,738,608 | | |
| UltraShort MSCI Japan | | | 324,365 | | | | 60,239 | | | | 278,028 | | | | 463,379 | | | | 555,663 | | | | 463,379 | | | | 2,363,234 | | | | 421,675 | | | | 4,929,962 | | |
| UltraShort Nasdaq Biotechnology | | | 238,759 | | | | 44,341 | | | | 204,651 | | | | 341,083 | | | | 409,011 | | | | 341,083 | | | | 1,739,525 | | | | 310,386 | | | | 3,628,839 | | |
| UltraShort Oil & Gas | | | 1,740,044 | | | | 323,151 | | | | 1,491,467 | | | | 2,485,778 | | | | 2,980,830 | | | | 2,485,778 | | | | 12,677,467 | | | | 2,262,057 | | | | 26,446,572 | | |
| UltraShort QQQ | | | 4,683,146 | | | | 869,727 | | | | 4,014,125 | | | | 6,690,209 | | | | 8,022,590 | | | | 6,690,209 | | | | 34,120,065 | | | | 6,088,090 | | | | 71,178,161 | | |
| UltraShort Real Estate | | | 1,385,498 | | | | 257,307 | | | | 1,187,570 | | | | 1,979,284 | | | | 2,373,465 | | | | 1,979,284 | | | | 10,094,347 | | | | 1,801,148 | | | | 21,057,903 | | |
| UltraShort Russell2000 | | | 3,986,198 | | | | 740,294 | | | | 3,416,741 | | | | 5,694,569 | | | | 6,828,665 | | | | 5,694,569 | | | | 29,042,301 | | | | 5,182,058 | | | | 60,585,395 | | |
| UltraShort S&P500® | | | 5,419,916 | | | | 1,006,556 | | | | 4,645,643 | | | | 7,742,738 | | | | 9,284,734 | | | | 7,742,738 | | | | 39,487,962 | | | | 7,045,891 | | | | 82,376,178 | | |
| UltraShort Semiconductors | | | 411,424 | | | | 76,407 | | | | 352,650 | | | | 587,749 | | | | 704,802 | | | | 587,749 | | | | 2,997,521 | | | | 534,852 | | | | 6,253,154 | | |
| UltraShort SmallCap600 | | | 248,956 | | | | 46,235 | | | | 213,390 | | | | 355,651 | | | | 426,480 | | | | 355,651 | | | | 1,813,818 | | | | 323,642 | | | | 3,783,823 | | |
| UltraShort Technology | | | 336,407 | | | | 62,476 | | | | 288,349 | | | | 480,581 | | | | 576,290 | | | | 480,581 | | | | 2,450,965 | | | | 437,329 | | | | 5,112,978 | | |
| UltraShort Utilities | | | 150,100 | | | | 27,876 | | | | 128,657 | | | | 214,428 | | | | 257,132 | | | | 214,428 | | | | 1,093,582 | | | | 195,129 | | | | 2,281,332 | | |
| | $ | 342,278,054 | | | $ | 63,565,924 | | | $ | 293,381,191 | | | $ | 488,968,650 | | | $ | 586,348,662 | | | $ | 488,968,650 | | | $ | 2,493,740,115 | | | $ | 444,961,469 | | | $ | 5,202,212,715 | | |
Each Repurchase Agreement was fully collateralized by U.S. government and/or agency securities at May 31, 2022 as follows:
(a) U.S. Treasury Bonds, 0%, due 11/15/2022 to 5/15/2052, which had an aggregate value at the Trust level of $357,000,024.
(b) U.S. Treasury Bonds, 2.75% to 4.5%, due 8/15/2039 to 11/15/2047, which had an aggregate value at the Trust level of $66,300,000.
(c) U.S. Treasury Bonds, 1.38% to 3%, due 2/15/2047 to 8/15/2050; U.S. Treasury Notes, 0.63% to 1.25%, due 8/31/2024 to 5/15/2030, which had an aggregate value at the Trust level of $306,000,010.
(d) U.S. Treasury Notes, 0.25% to 0.38%, due 1/15/2025 to 7/15/2025, which had an aggregate value at the Trust level of $510,000,118.
(e) U.S. Treasury Notes, 0.13% to 2.38%, due 7/15/2022 to 10/31/2027, which had an aggregate value at the Trust level of $611,568,562.
(f) U.S. Treasury Bonds, 0% to 1.88%, due 2/15/2027 to 11/15/2051; U.S. Treasury Notes, 0.38% to 2.75%, due 11/15/2024 to 1/15/2029, which had an aggregate value at the Trust level of $510,000,000.
(g) U.S. Treasury Bills, 0%, due 11/25/2022; U.S. Treasury Bonds, 0% to 5%, due 2/15/2027 to 11/15/2051; U.S. Treasury Notes, 0.38% to 2.75%, due 7/15/2023 to 5/31/2029, which had an aggregate value at the Trust level of $2,601,000,015.
(h) Federal Farm Credit Bank, 1.12%, due 11/16/2022; Federal Home Loan Bank, 0.5% to 1.2%, due 5/20/2024 to 6/13/2025; Federal Home Loan Mortgage Corp., 0%, due 9/15/2029 to 3/15/2031; Federal National Mortgage Association, 0% to 6.63%, due 9/6/2024 to 11/15/2030; U.S. Treasury Bills, 0%, due 11/3/2022 to 5/18/2023; U.S. Treasury Bonds, 0.63% to 5.5%, due 8/15/2028 to 8/15/2046; U.S. Treasury Notes, 0.13% to 2.88%, due 11/15/2022 to 1/15/2032, which had an aggregate value at the Trust level of $464,103,342.
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 269
Equity Securities
Certain Funds may invest in or seek leveraged, inverse, or inverse leveraged exposure to equity securities, including shares of foreign or U.S. common stock, Real Estate Investment Trusts, Depositary Receipts, and shares of other Investment Companies, including other exchange traded funds ("ETFs").
Real Estate Investment Trusts ("REITs")
REITs report information on the source of their distributions annually. A portion of distributions received from REITs during the period is estimated to be dividend income, realized gain or return of capital. These estimates are adjusted when the actual source of distributions is disclosed by the REITs.
Debt Instruments
Certain Funds may invest in or seek leveraged, inverse, or inverse leveraged exposure to debt instruments, including U.S. government securities. Additionally, certain Funds may invest in or seek leveraged or inverse exposure to (lower rated) debt instruments (also known as "junk bonds"), that are rated below "investment grade" by Moody's, Standard and Poor's and/or Fitch, Inc.
Securities Lending
Each Fund may lend securities to brokers, dealers and financial organizations in exchange for collateral in the amount of at least 102% of the value of U.S. dollar-denominated securities loaned or at least 105% of the value of non-U.S. dollar-denominated securities loaned, marked to market daily. Each security loaned will be secured continuously by collateral in the form of cash, Money Market Instruments or U.S. Government securities. When a Fund lends its securities, it continues to receive payments equal to the dividends and interest paid on the securities loaned and simultaneously may earn interest on the reinvestment of the cash collateral. Any cash collateral received by the Fund in connection with these loans may be reinvested in a variety of short-term investments. Any securities collateral received by the Fund in connection with these loans may not be sold or pledged by the Fund and, accordingly, are not reflected in the Fund's assets and liabilities. The Funds may incur fees and expenses in connection with the reinvestment of cash collateral. For security loans collateralized by cash, borrowers may be entitled to receive a fee based on the amount of collateral. The Funds are typically compensated by the difference between the amount earned on the reinvestment of cash collateral and any fees paid to the borrower. Although voting and other rights attendant to securities loaned pass to the borrower, such loans may be recalled so that the securities may be voted on by the Fund if a material event affecting the Fund's investment in the securities on loan is to occur. Security loans are subject to termination by the Fund or the borrower at any time. Not all Funds may participate in securities lending at any given time. No securities loan shall be made on behalf of a Fund if, as a result, the aggregate value of all securities loaned by the particular Fund exceeds one-third of the value of such Fund's total assets (including the value of the collateral received).
Securities lending involves exposure to certain risks, including "gap" risk (i.e., the risk of a mismatch between the return on cash collateral
reinvestments and any fees a Fund has agreed to pay a borrower), operational risk (i.e., the risk of losses resulting from problems in the settlement and the accounting process), legal, counterparty and credit risk. If a securities lending counterparty were to default, a Fund would be subject to the risk of a possible delay in receiving collateral or in recovering the loaned securities, or to a possible loss of rights in the collateral. In the event a borrower does not return a Fund's securities as agreed, the Fund may experience losses if the proceeds received from liquidating the collateral do not at least equal the value of the loaned security at the time the collateral is liquidated, plus the transaction costs incurred in purchasing replacement securities. This event could trigger adverse tax consequences for a Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market. A Fund could lose money if its short-term reinvestment of the collateral declines in value over the period of the loan. The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund, or excess collateral returned by the Fund, on the next business day.
Accounting for Derivatives Instruments
In seeking to achieve the investment objectives of Funds, the Advisor uses a passive or mathematical approach to investing. Using this approach, the Advisor determines the type, quantity and mix of investment positions, including derivative positions, that a Fund should hold to approximate, on a daily basis, the corresponding performance, inverse, multiple, or inverse multiple of the performance of its index or benchmark, as appropriate, based upon each Fund's investment objective.
In connection with its management of certain series of the Trust included in this report (ProShares Ultra Basic Materials, ProShares Ultra Consumer Good, ProShares Ultra Consumer Services, ProShares Ultra Financials, ProShares Ultra Health Care, ProShares Ultra Industrials, ProShares Ultra Nasdaq Biotechnology, ProShares Ultra Nasdaq Cloud Computing, ProShares Ultra Nasdaq Cybersecurity, ProShares Ultra Oil and Gas, ProShares Ultra Real Estate, ProShares Ultra Technology, ProShares Ultra Telecommunications, ProShares Ultra Utilities, ProShares UltraPro Dow30SM, ProShares UltraPro MidCap400, ProShares UltraPro QQQ, ProShares UltraPro Russell2000, ProShares UltraPro S&P500®, ProShares UltraPro Short Dow 30SM, ProShares UltraPro Short MidCap400, ProShares UltraPro Short QQQ, ProShares UltraPro Short Russell2000, ProShares UltraPro Short S&P500®, ProShares UltraShort Basic Materials, ProShares UltraShort Consumer Goods, ProShares UltraShort Consumer Services, ProShares UltraShort Dow30SM, ProShares UltraShort Financials, ProShares UltraShort Health Care, ProShares UltraShort Industrials, ProShares UltraShort MidCap400, ProShares UltraShort Nasdaq Biotechnology, ProShares UltraShort Oil & Gas, ProShares UltraShort QQQ, ProShares UltraShort Real Estate, ProShares UltraShort S&P500®, ProShares UltraShort SmallCap600, ProShares UltraShort Technology and ProShares UltraShort Utilities (the "Commodity Pools")), the Advisor has registered as a commodity pool operator (a "CPO") and the Commodity Pools are commodity pools under the Commodity Exchange
270 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
Act (the "CEA"). Accordingly, the Advisor is subject to registration and regulation as a CPO under the CEA, and must comply with various regulatory requirements under the CEA and the rules and regulations of the Commodity Futures Trading Commission ("CFTC") and the National Futures Association ("NFA"), including investor protection requirements, antifraud provisions, disclosure requirements and reporting and record keeping requirements. The Advisor is also subject to periodic inspections and audits by the CFTC and NFA. Compliance with these regulatory requirements could adversely affect the Commodity Pools' total return. In this regard, any further amendment to the CEA or its related regulations that subject the Advisor or the Commodity Pools to additional regulation may have adverse impacts on the Commodity Pools' operations and expenses.
All open derivative positions at period end are reflected on each respective Fund's Schedule of Portfolio Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objective during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivative contracts in order to achieve the appropriate exposure to meet its investment objective, with the exception of the Funds listed below, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period.
| | | Average quarterly exposure to
derivatives (notional amounts
in comparison to net assets) | |
| Ultra 7-10 Year Treasury | | | 157 | % | |
| Ultra 20+ Year Treasury | | | 178 | % | |
| Ultra Industrials | | | 119 | % | |
| Ultra MSCI Japan | | | 180 | % | |
| Ultra Nasdaq Cloud Computing | | | 135 | % | |
| Ultra Oil & Gas | | | 126 | % | |
| Ultra Real Estate | | | 120 | % | |
| Ultra Semiconductors | | | 122 | % | |
| Ultra SmallCap600 | | | 125 | % | |
| UltraPro MidCap400 | | | 227 | % | |
For financial reporting purposes, the Trust can offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements in the Statement of Assets and Liabilities. Funds holding non-exchange traded swap agreements present the gross amounts of these assets and liabilities on their Schedule of Portfolio Investments. Information concerning the value of and amounts due under Repurchase Agreement transactions may be found on each Fund's Schedule of Portfolio Investments. Information concerning the counterparties to each Repurchase Agreement and levels of collateralization may be found above, under the caption "Repurchase Agreements."
Following is a description of the Funds' use of derivative instruments, the types of derivatives utilized by the Funds during the reporting period, as well as the primary underlying risk exposures related to each instrument type.
Futures Contracts
Each Fund may purchase or sell futures contracts and options thereon as a substitute for a comparable market position in the underlying securities or to satisfy regulatory requirements. A physical-settlement futures contract generally obligates the seller to deliver (and the purchaser to take delivery of) the specified asset on the expiration date of the contract. A cash-settled futures contract obligates the seller to deliver (and the purchaser to accept) an amount of cash equal to a specific dollar amount (the contract multiplier) multiplied by the difference between the final settlement price of a specific futures contract and the price at which the agreement is made. No physical delivery of the underlying asset is made.
The Funds generally engage in closing or offsetting transactions before final settlement of a futures contract, wherein a second identical futures contract is sold to offset a long position (or bought to offset a short position). In such cases, the obligation is to deliver (or take delivery of) cash equal to a specific dollar amount (the contract multiplier) multiplied by the difference between the price of the offsetting transaction and the price at which the original contract was entered into. If the original position entered into is a long position (futures contract purchased) there will be a gain (loss) if the offsetting sell transaction is carried out at a higher (lower) price, inclusive of commissions. If the original position entered into is a short position (futures contract sold) there will be a gain (loss) if the offsetting buy transaction is carried out at a lower (higher) price, inclusive of commissions.
Whether a Fund realizes a gain or loss from futures activities depends generally upon movements in the underlying security or index. The extent of the Fund's loss from an unhedged short position in futures contracts or from writing options on futures contracts is potentially unlimited. Each Fund will engage in transactions in futures contracts and related options that are traded on a U.S. exchange or board of trade or that have been approved for sale in the U.S. by the CFTC.
Upon entering into a futures contract, each Fund will be required to deposit with the broker an amount of cash or cash equivalents in the range of approximately 5% to 10% of the contract amount for equity, index futures and in the range of approximately 1% to 3% of the contract amount for bond futures (these amounts are subject to change by the exchange on which the contract is traded). This amount, known as "initial margin," is in the nature of a performance bond or good faith deposit on the contract and is returned to the Fund upon termination of the futures contract, assuming all contractual obligations have been satisfied. Subsequent payments, known as "variation margin," to and from the broker will be made as the price of the security or index underlying the futures contract fluctuates, making the long and short positions in the futures contract more or less valuable, a process known as "marking-to-market." At any time prior to expiration of a futures contract, a Fund may elect to close its position by taking an opposite position, which will operate to terminate the Fund's existing position in the contract.
The primary risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures and the market value of the underlying assets, and the possibility of an illiquid market for a futures contract. Although each Fund intends to
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 271
sell futures contracts only if there is an active market for such contracts, no assurance can be given that a liquid market will exist for any particular contract at any particular time. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit, or trading may be suspended for specified periods during the day. Futures contract prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk that the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market. In addition, although the counterparty to a futures contract is often a clearing organization, backed by a group of financial institutions, there may be instances in which the counterparty could fail to perform its obligations, causing significant losses to a Fund.
Forward Currency Contracts
Each Fund may invest in forward currency contracts for investment or risk management purposes. A forward currency contract is an obligation to buy or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. These contracts are entered into on the interbank market conducted directly between currency traders (usually large commercial banks) and their customers.
At or before the maturity of a forward currency contract, a Fund may either sell a portfolio security and make delivery of the currency, or retain the security and terminate its contractual obligation to deliver the currency by buying an "offsetting" contract obligating it to buy, on the same maturity date, the same amount of the currency. If the Fund engages in an offsetting transaction, it may later enter into a new forward currency contract to sell the currency.
If a Fund engages in offsetting transactions, the Fund will incur a gain or loss, to the extent that there has been movement in forward currency contract prices. If forward prices go down during the period between the date a Fund enters into a forward currency contract for the sale of a currency and the date it enters into an offsetting contract for the purchase of the currency, the Fund will realize a gain to the extent that the price of the currency it has agreed to sell exceeds the price of the currency it has agreed to buy. If forward prices go up, the Fund will suffer a loss to the extent the price of the currency it has agreed to buy exceeds the price of the currency it has agreed to sell.
Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency.
Swap Agreements
Each Fund may enter into swap agreements to gain exposure to an underlying asset without actually purchasing such asset (or shorting such asset), or to hedge a position, including in circumstances in which direct investment is restricted for legal reasons or is otherwise impracticable. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year. In a standard "swap" transaction, two parties agree to exchange the return (or differentials in rates of return) earned or realized on a particular pre-determined investment or instrument. The gross return to be exchanged or "swapped" between the parties is calculated with respect to a "notional amount," e.g., the return on or change in value of a particular dollar amount invested in a "basket" of securities or an ETF representing a particular index or group of securities.
Most swap agreements entered into by a Fund calculate and settle the obligations of the parties to the agreement on a "net basis" with a 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 the positions held by each party to the agreement (the "net amount").
When investing in swap agreements, the Funds may hold or gain exposure to only a representative sample of the securities in an index, or to a component of the index.
On a typical long swap, the counterparty will generally agree to pay the Fund the amount, if any, by which the notional amount of the swap agreement would have increased in value had it been invested in the particular underlying assets (e.g., an ETF, or securities comprising an index), plus any dividends or interest that would have been received on those assets. The Fund will agree to pay to the counterparty a floating rate of interest on the notional amount of the swap agreement plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such assets plus, in certain circumstances, commissions or trading spreads on the notional amount. Therefore, the return to the Fund on a long swap should be the gain or loss on the notional amount plus dividends or interest on the assets less the interest paid by the Fund on the notional amount. As a trading technique, the Advisor may substitute physical securities with a swap agreement having investment characteristics substantially similar to the underlying securities.
Some Funds may also enter into swap agreements that provide the opposite return of their index or a security. These swaps are similar to the long swaps disclosed above except that the counterparty pays interest to each Fund on the notional amount outstanding and that dividends or interest on the underlying instruments reduce the value of the swap. In addition, in certain instances, each Fund will agree to pay to the counterparty commissions or trading spreads on the notional amount. These amounts are netted with any unrealized gain or loss to determine the value of the swap.
272 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
A Fund's current obligations under most swap agreements (total return swaps, equity/index swaps, interest rate swaps) 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 or earmarking cash and/or securities determined to be liquid, but typically no payments will be made until the settlement date.
A Fund will not enter into uncleared swap agreements (i.e., not cleared by a central counterparty) unless the Advisor believes that the counterparty to the transaction is creditworthy. The counterparty to an uncleared swap agreement will typically be a major global financial institution. A Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. If such a default occurs, a Fund will have contractual remedies pursuant to the swap agreements, but such remedies may be subject to bankruptcy and insolvency laws that could affect the Fund's rights as a creditor.
In the normal course of business, a Fund enters into International Swaps and Derivatives Association ("ISDA") agreements with certain counterparties for derivative transactions. These agreements contain, among other conditions, events of default and termination events, and various covenants and representations. Certain of the Fund's ISDA agreements contain provisions that require the Fund to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of the Fund's NAV over specific periods of time, which may or may not be exclusive of redemptions. If the Fund were to trigger such provisions and have open derivative positions at that time, counterparties to the ISDA agreements could elect to terminate such ISDA agreements and request immediate payment in an amount equal to the net liability positions, if any, under the relevant ISDA agreement. Pursuant to the terms of its ISDA agreements, the Fund will have already collateralized its liability under such agreements, in some cases only in excess of certain threshold amounts. The Funds seek to mitigate risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds, although the Funds may not always be successful. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to risks, including possible delays in recovering amounts as a result of bankruptcy proceedings.
The use of swaps is a highly specialized activity which involves investment techniques and risks in addition to, and in some cases different from, those associated with ordinary portfolio securities transactions. The primary risks associated with the use of swap agreements are mispricing or improper valuation, imperfect correlation between movements in the notional amount and the price of the underlying investments, and the inability of counterparties or clearing organizations to perform. A Fund may use a combination of swaps on an underlying index and swaps on an ETF that is designed to track the performance of that index, or it may solely use swaps on an ETF to achieve its desired investment exposure. The performance of an ETF may not track the performance of its underlying index due to embedded costs and other factors. Thus, to the extent a Fund invests in swaps that use an ETF as the reference asset, that Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with its index as it would if the Fund used only swaps on the underlying index. The Advisor, under supervision from the Board, is responsible for determining and monitoring the liquidity of the Funds' transactions in swap agreements.
All of the outstanding swap agreements held by the Funds on May 31, 2022 contractually terminate within 23 months but may be terminated without penalty by either party daily. Upon termination, the Fund is entitled to receive or pay the "unrealized appreciation or depreciation" amount existing at the date of termination.
The Financial Accounting Standards Board, pursuant to Accounting Standards Codification 815-10 ("ASC 815-10"), requires companies (including the Trust) to disclose information intended to enable financial statement users to understand how derivative instruments affect the Statements of Assets and Liabilities as well as the effect of derivative instruments on the Statements of Operations during the reporting period, in the context of each entity's risk exposure. ASC 815-10 provides examples of risk exposure, including interest rate, foreign exchange, equity and credit.
As the Funds' investment objective is to approximate, on a daily basis, the corresponding performance, inverse, multiple, or inverse multiple of the performance of its index, the derivatives utilized are aligned to the same primary risk. The primary risk exposure for those Funds benchmarked to an equity index is equity risk, for Funds benchmarked to a fixed-income index the primary risk is interest rate risk.
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 273
The following tables indicate the location of derivative-related items on the Statements of Assets and Liabilities as well as the effect of derivative instruments on the Statements of Operations during the reporting period.
Fair Value of Derivative Instruments as of May 31, 2022
| Asset Derivatives | | Liabilities Derivatives | |
Derivatives not
accounted for as
hedging
instruments under
ASC 815 | | Statements of
Assets
and Liabilities
Location | | Fund | | Unrealized
Appreciation* | | Statements of
Assets
and Liabilities
Location | | Fund | | Unrealized
Depreciation* | |
Equity and Bond
index futures
contracts/
Non-exchange
traded swap
agreements | | Net assets consist of:
Net unrealized
appreciation
(depreciation) on:
futures contracts*;
Assets: Unrealized
appreciation on
non-exchange
traded swap
agreements | | | | | | Net assets consist of:
Net unrealized
appreciation
(depreciation) on:
futures contracts*;
Liabilities: Unrealized
depreciation on
non-exchange
traded swap
agreements | | | | | |
| | | | Short 7-10 Year Treasury | | $ | 2,651,665 | | | | | Short 7-10 Year Treasury | | $ | 3,104,943 | | |
| | | | Short 20+ Year Treasury | | | 8,462,131 | | | | | Short 20+ Year Treasury | | | 7,370,782 | | |
| | | | Short Dow30SM | | | 10,908,993 | | | | | Short Dow30SM | | | 112,875 | | |
| | | | Short Financials | | | 661,249 | | | | | Short Financials | | | 372,033 | | |
| | | | Short FTSE China 50 | | | 243,135 | | | | | Short FTSE China 50 | | | 748,096 | | |
| | | | Short High Yield | | | 2,516,197 | | | | | Short High Yield | | | 588,720 | | |
| | | | Short MidCap400 | | | 756,159 | | | | | Short MidCap400 | | | 212,953 | | |
| | | | Short MSCI EAFE | | | 1,225,695 | | | | | Short MSCI EAFE | | | 1,380,638 | | |
| | | | Short MSCI Emerging
Markets | | | 3,921,247 | | | | | Short MSCI Emerging
Markets | | | 756,433 | | |
| | | | Short QQQ | | | 134,573,076 | | | | | Short QQQ | | | 1,239,218 | | |
| | | | Short Real Estate | | | 326,028 | | | | | Short Real Estate | | | 425,896 | | |
| | | | Short Russell2000 | | | 48,950,569 | | | | | Short Russell2000 | | | 846,480 | | |
| | | | Short S&P500® | | | 108,731,056 | | | | | Short S&P500® | | | 5,032,219 | | |
| | | | Short SmallCap600 | | | 287,375 | | | | | Short SmallCap600 | | | 332,228 | | |
| | | | Ultra 7-10 Year Treasury | | | — | | | | | Ultra 7-10 Year Treasury | | | 3,261,171 | | |
| | | | Ultra 20+ Year Treasury | | | — | | | | | Ultra 20+ Year Treasury | | | 376,108 | | |
| | | | Ultra Basic Materials | | | 697,152 | | | | | Ultra Basic Materials | | | 1,490,489 | | |
| | | | Ultra Consumer Goods | | | 736,392 | | | | | Ultra Consumer Goods | | | 2,153,476 | | |
| | | | Ultra Consumer Services | | | — | | | | | Ultra Consumer Services | | | 7,394,757 | | |
| | | | Ultra Dow30SM | | | 4,217 | | | | | Ultra Dow30SM | | | 41,943,497 | | |
| | | | Ultra Financials | | | 146,142,591 | | | | | Ultra Financials | | | — | | |
| | | | Ultra FTSE China 50 | | | — | | | | | Ultra FTSE China 50 | | | 12,060,166 | | |
| | | | Ultra FTSE Europe | | | 56,204 | | | | | Ultra FTSE Europe | | | 1,147,564 | | |
| | | | Ultra Health Care | | | 48,645 | | | | | Ultra Health Care | | | 11,252,729 | | |
| | | | Ultra High Yield | | | — | | | | | Ultra High Yield | | | 2,571,284 | | |
| | | | Ultra Industrials | | | — | | | | | Ultra Industrials | | | 4,966,409 | | |
| | | | Ultra MidCap400 | | | 111,178 | | | | | Ultra MidCap400 | | | 26,402,875 | | |
| | | | Ultra MSCI Brazil Capped | | | 19,592 | | | | | Ultra MSCI Brazil Capped | | | 2,292,805 | | |
| | | | Ultra MSCI EAFE | | | — | | | | | Ultra MSCI EAFE | | | 3,028,732 | | |
| | | | Ultra MSCI Emerging
Markets | | | — | | | | | Ultra MSCI Emerging
Markets | | | 19,799,735 | | |
| | | | Ultra MSCI Japan | | | — | | | | | Ultra MSCI Japan | | | 2,275,777 | | |
| | | | Ultra Nasdaq Biotechnology | | | — | | | | | Ultra Nasdaq Biotechnology | | | 52,388,108 | | |
| | | | Ultra Nasdaq Cloud
Computing | | | — | | | | | Ultra Nasdaq Cloud
Computing | | | 1,210,948 | | |
| | | | Ultra Nasdaq Cybersecurity | | | — | | | | | Ultra Nasdaq Cybersecurity | | | 1,487,155 | | |
274 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
| Asset Derivatives | | Liabilities Derivatives | |
Derivatives not
accounted for as
hedging
instruments under
ASC 815 | | Statements of
Assets
and Liabilities
Location | | Fund | | Unrealized
Appreciation* | | Statements of
Assets
and Liabilities
Location | | Fund | | Unrealized
Depreciation* | |
Equity and Bond
index futures
contracts/
Non-exchange
traded swap
agreements | | Net assets consist of:
Net unrealized
appreciation
(depreciation) on:
futures contracts*;
Assets: Unrealized
appreciation on
non-exchange
traded swap
agreements | | | | | | Net assets consist of:
Net unrealized
appreciation
(depreciation) on:
futures contracts*;
Liabilities: Unrealized
depreciation on
non-exchange
traded swap
agreements | | | | | |
| | | | Ultra Oil & Gas | | $ | 98,237,569 | | | | | Ultra Oil & Gas | | | — | | |
| | | | Ultra QQQ | | | 88,656,556 | | | | | Ultra QQQ | | $ | 989,427,553 | | |
| | | | Ultra Real Estate | | | 38,372 | | | | | Ultra Real Estate | | | 13,461,168 | | |
| | | | Ultra Russell2000 | | | 444,111 | | | | | Ultra Russell2000 | | | 64,550,391 | | |
| | | | Ultra S&P500® | | | 20,449,846 | | | | | Ultra S&P500® | | | 521,469,245 | | |
| | | | Ultra Semiconductors | | | 19,263,270 | | | | | Ultra Semiconductors | | | 70,200,317 | | |
| | | | Ultra SmallCap600 | | | — | | | | | Ultra SmallCap600 | | | 4,528,332 | | |
| | | | Ultra Technology | | | 6,066,882 | | | | | Ultra Technology | | | 230,712,810 | | |
| | | | Ultra Telecommunications | | | 592 | | | | | Ultra Telecommunications | | | 361,714 | | |
| | | | Ultra Utilities | | | 1,571,165 | | | | | Ultra Utilities | | | — | | |
| | | | UltraPro Dow30SM | | | 54,292,673 | | | | | UltraPro Dow30SM | | | 94,880,927 | | |
| | | | UltraPro MidCap400 | | | 18,946 | | | | | UltraPro MidCap400 | | | 14,087,373 | | |
| | | | UltraPro QQQ | | | 159,742,955 | | | | | UltraPro QQQ | | | 6,332,676,163 | | |
| | | | UltraPro Russell2000 | | | 5,067,891 | | | | | UltraPro Russell2000 | | | 155,666,522 | | |
| | | | UltraPro S&P500® | | | 16,137,665 | | | | | UltraPro S&P500® | | | 785,296,763 | | |
| | | | UltraPro Short 20+ Year
Treasury | | | 13,615,330 | | | | | UltraPro Short 20+ Year
Treasury | | | 7,888,071 | | |
| | | | UltraPro Short Dow30SM | | | 46,460,034 | | | | | UltraPro Short Dow30SM | | | 7,545,590 | | |
| | | | UltraPro Short MidCap400 | | | 940,417 | | | | | UltraPro Short MidCap400 | | | 406,501 | | |
| | | | UltraPro Short QQQ | | | 214,493,039 | | | | | UltraPro Short QQQ | | | 250,857,622 | | |
| | | | UltraPro Short Russell2000 | | | 9,171,169 | | | | | UltraPro Short Russell2000 | | | 14,877,508 | | |
| | | | UltraPro Short S&P500® | | | 144,139,502 | | | | | UltraPro Short S&P500® | | | 51,839,080 | | |
| | | | UltraShort 7-10 Year Treasury | | | 12,225 | | | | | UltraShort 7-10 Year Treasury | | | 2,779,027 | | |
| | | | UltraShort 20+ Year Treasury | | | 45,985,347 | | | | | UltraShort 20+ Year Treasury | | | 11,388,734 | | |
| | | | UltraShort Basic Materials | | | — | | | | | UltraShort Basic Materials | | | 625,828 | | |
| | | | UltraShort Consumer Goods | | | 84,142 | | | | | UltraShort Consumer Goods | | | 39,592 | | |
| | | | UltraShort Consumer
Services | | | 1,039,622 | | | | | UltraShort Consumer
Services | | | 11,237 | | |
| | | | UltraShort Dow30SM | | | 9,854,757 | | | | | UltraShort Dow30SM | | | 8,283,305 | | |
| | | | UltraShort Financials | | | 1,379,102 | | | | | UltraShort Financials | | | 1,708,964 | | |
| | | | UltraShort FTSE China 50 | | | 535,169 | | | | | UltraShort FTSE China 50 | | | 7,839,280 | | |
| | | | UltraShort FTSE Europe | | | 1,553,737 | | | | | UltraShort FTSE Europe | | | 3,346,132 | | |
| | | | UltraShort Health Care | | | 2,012 | | | | | UltraShort Health Care | | | 328,197 | | |
| | | | UltraShort Industrials | | | 494,761 | | | | | UltraShort Industrials | | | — | | |
| | | | UltraShort MidCap400 | | | 242,253 | | | | | UltraShort MidCap400 | | | 680,202 | | |
| | | | UltraShort MSCI Brazil
Capped | | | 54,816 | | | | | UltraShort MSCI Brazil
Capped | | | 7,892,372 | | |
| | | | UltraShort MSCI EAFE | | | 101,182 | | | | | UltraShort MSCI EAFE | | | 109,830 | | |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 275
| Asset Derivatives | | Liabilities Derivatives | |
Derivatives not
accounted for as
hedging
instruments under
ASC 815 | | Statements of
Assets
and Liabilities
Location | | Fund | | Unrealized
Appreciation* | | Statements of
Assets
and Liabilities
Location | | Fund | | Unrealized
Depreciation* | |
Equity and Bond
index futures
contracts/
Non-exchange
traded swap
agreements | | Net assets consist of:
Net unrealized
appreciation
(depreciation) on:
futures contracts*;
Assets: Unrealized
appreciation on
non-exchange
traded swap
agreements | | | | | | Net assets consist of:
Net unrealized
appreciation
(depreciation) on:
futures contracts*;
Liabilities: Unrealized
depreciation on
non-exchange
traded swap
agreements | | | | | |
| | | | UltraShort MSCI Emerging
Markets | | $ | 877,283 | | | | | UltraShort MSCI Emerging
Markets | | $ | 1,531,738 | | |
| | | | UltraShort MSCI Japan | | | 319,564 | | | | | UltraShort MSCI Japan | | | 335,325 | | |
| | | | UltraShort Nasdaq
Biotechnology | | | 3,591,186 | | | | | UltraShort Nasdaq
Biotechnology | | | 395,047 | | |
| | | | UltraShort Oil & Gas | | | — | | | | | UltraShort Oil & Gas | | | 21,415,236 | | |
| | | | UltraShort QQQ | | | 70,838,066 | | | | | UltraShort QQQ | | | 19,896,847 | | |
| | | | UltraShort Real Estate | | | 3,585,116 | | | | | UltraShort Real Estate | | | 436,024 | | |
| | | | UltraShort Russell2000 | | | 13,780,504 | | | | | UltraShort Russell2000 | | | 13,970,758 | | |
| | | | UltraShort S&P500® | | | 92,432,128 | | | | | UltraShort S&P500® | | | 4,283,064 | | |
| | | | UltraShort Semiconductors | | | 304,193 | | | | | UltraShort Semiconductors | | | 1,212,110 | | |
| | | | UltraShort SmallCap600 | | | — | | | | | UltraShort SmallCap600 | | | 446,065 | | |
| | | | UltraShort Technology | | | 2,553,294 | | | | | UltraShort Technology | | | 68,982 | | |
| | | | UltraShort Utilities | | | — | | | | | UltraShort Utilities | | | 368,029 | | |
* Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. For these securities, only the variation margin is reported within the asset and liability sections of the Statements of Assets and Liabilities.
The Effect of Derivative Instruments on the Statements of Operations for the Year Ended May 31, 2022
| | | | |
Derivatives not
accounted for as
hedging
instruments under
ASC 815 | | Location of Gain or (Loss) on
Derivatives on the
Statements of Operations | | Fund | | Realized Gain or
(Loss) on
Derivatives | | Change in
Unrealized
Appreciation or
(Depreciation) on
Derivatives | |
Equity and Bond
index futures
contracts/
Non-exchange traded
swap agreements | | Net realized gain (loss)
on Expiration or closing of:
futures contracts and
non-exchange traded
swap agreements; Change in
net unrealized appreciation
(depreciation) on: Futures
contracts and Non-exchange
traded swap agreements | | | | | | | |
| | | | Short 7-10 Year Treasury | | $ | 13,030,974 | | | $ | 370,737 | | |
| | | | Short 20+ Year Treasury | | | 91,830,113 | | | | 10,086,436 | | |
| | | | Short Dow30SM | | | (55,104,778 | ) | | | 52,436,389 | | |
| | | | Short Financials | | | (4,231,118 | ) | | | 4,256,674 | | |
| | | | Short FTSE China 50 | | | 999,309 | | | | 420,688 | | |
| | | | Short High Yield | | | 2,776,015 | | | | (2,561,667 | ) | |
| | | | Short MidCap400 | | | (4,274,367 | ) | | | 4,367,197 | | |
| | | | Short MSCI EAFE | | | (2,815,363 | ) | | | 1,993,635 | | |
276 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
Derivatives not
accounted for as
hedging
instruments under
ASC 815 | | Location of Gain or (Loss) on
Derivatives on the
Statements of Operations | | Fund | | Realized Gain or
(Loss) on
Derivatives | | Change in
Unrealized
Appreciation or
(Depreciation) on
Derivatives | |
Equity and Bond
index futures
contracts/
Non-exchange traded
swap agreements | | Net realized gain (loss)
on Expiration or closing of:
futures contracts and
non-exchange traded
swap agreements; Change in
net unrealized appreciation
(depreciation) on: Futures
contracts and Non-exchange
traded swap agreements | | | | | | | |
| | | | Short MSCI Emerging Markets | | $ | (646,020 | ) | | $ | 4,739,509 | | |
| | | | Short QQQ | | | (121,805,475 | ) | | | 179,491,870 | | |
| | | | Short Real Estate | | | (2,547,182 | ) | | | 2,081,298 | | |
| | | | Short Russell2000 | | | (43,449,558 | ) | | | 76,547,138 | | |
| | | | Short S&P500® | | | (410,124,568 | ) | | | 374,034,049 | | |
| | | | Short SmallCap600 | | | (773,134 | ) | | | 1,086,075 | | |
| | | | Ultra 7-10 Year Treasury | | | 442,387 | | | | (3,420,463 | ) | |
| | | | Ultra 20+ Year Treasury | | | (17,816,691 | ) | | | (1,008,269 | ) | |
| | | | Ultra Basic Materials | | | 12,690,990 | | | | (14,960,918 | ) | |
| | | | Ultra Consumer Goods | | | 4,568,993 | | | | (4,568,520 | ) | |
| | | | Ultra Consumer Services | | | 6,254,246 | | | | (12,224,031 | ) | |
| | | | Ultra Dow30SM | | | 100,030,621 | | | | (124,801,769 | ) | |
| | | | Ultra Financials | | | (3,123,317 | ) | | | (44,613,124 | ) | |
| | | | Ultra FTSE China 50 | | | 248,528 | | | | (14,756,734 | ) | |
| | | | Ultra FTSE Europe | | | 1,391,855 | | | | (2,301,983 | ) | |
| | | | Ultra Health Care | | | 30,590,422 | | | | (25,990,965 | ) | |
| | | | Ultra High Yield | | | 2,079,332 | | | | (3,822,149 | ) | |
| | | | Ultra Industrials | | | 5,508,220 | | | | (9,555,735 | ) | |
| | | | Ultra MidCap400 | | | 38,204,312 | | | | (54,956,860 | ) | |
| | | | Ultra MSCI Brazil Capped | | | 3,040,927 | | | | (3,732,576 | ) | |
| | | | Ultra MSCI EAFE | | | 3,370,033 | | | | (6,735,618 | ) | |
| | | | Ultra MSCI Emerging Markets | | | 2,159,833 | | | | (29,812,128 | ) | |
| | | | Ultra MSCI Japan | | | 2,031,191 | | | | (4,668,907 | ) | |
| | | | Ultra Nasdaq Biotechnology | | | 20,792,442 | | | | (64,142,754 | ) | |
| | | | Ultra Nasdaq Cloud Computing | | | 202,173 | | | | (1,292,665 | ) | |
| | | | Ultra Nasdaq Cybersecurity | | | 428,661 | | | | (1,326,757 | ) | |
| | | | Ultra Oil & Gas | | | 68,038,458 | | | | 55,975,445 | | |
| | | | Ultra QQQ | | | 907,260,026 | | | | (1,382,684,425 | ) | |
| | | | Ultra Real Estate | | | 29,228,239 | | | | (28,919,955 | ) | |
| | | | Ultra Russell2000 | | | 104,685,051 | | | | (168,101,801 | ) | |
| | | | Ultra S&P500® | | | 1,041,676,226 | | | | (1,116,929,979 | ) | |
| | | | Ultra Semiconductors | | | 67,763,747 | | | | (85,650,513 | ) | |
| | | | Ultra SmallCap600 | | | 10,452,186 | | | | (15,849,578 | ) | |
| | | | Ultra Technology | | | 383,620,147 | | | | (400,933,833 | ) | |
| | | | Ultra Telecommunications | | | 194,294 | | | | (445,510 | ) | |
| | | | Ultra Utilities | | | 370,756 | | | | 2,074,589 | | |
| | | | UltraPro Dow30SM | | | 214,226,893 | | | | (258,111,202 | ) | |
| | | | UltraPro MidCap400 | | | 29,053,729 | | | | (39,020,842 | ) | |
| | | | UltraPro QQQ | | | 4,807,548,216 | | | | (9,257,750,990 | ) | |
| | | | UltraPro Russell2000 | | | 163,816,639 | | | | (326,150,761 | ) | |
| | | | UltraPro S&P500® | | | 1,219,336,664 | | | | (1,458,757,606 | ) | |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 277
Derivatives not
accounted for as
hedging
instruments under
ASC 815 | | Location of Gain or (Loss) on
Derivatives on the
Statements of Operations | | Fund | | Realized Gain or
(Loss) on
Derivatives | | Change in
Unrealized
Appreciation or
(Depreciation) on
Derivatives | |
Equity and Bond
index futures
contracts/
Non-exchange traded
swap agreements | | Net realized gain (loss)
on Expiration or closing of:
futures contracts and
non-exchange traded
swap agreements; Change in
net unrealized appreciation
(depreciation) on: Futures
contracts and Non-exchange
traded swap agreements | | | | | | | |
| | | | UltraPro Short 20+ Year Treasury | | $ | 121,179,056 | | | $ | 10,806,786 | | |
| | | | UltraPro Short Dow30SM | | | (264,247,741 | ) | | | 254,374,161 | | |
| | | | UltraPro Short MidCap400 | | | (5,454,238 | ) | | | 4,905,549 | | |
| | | | UltraPro Short QQQ | | | 12,394,381 | | | | 360,724,419 | | |
| | | | UltraPro Short Russell2000 | | | 842,216 | | | | 54,817,251 | | |
| | | | UltraPro Short S&P500® | | | (385,682,116 | ) | | | 329,581,829 | | |
| | | | UltraShort 7-10 Year Treasury | | | 24,163,076 | | | | (2,130,617 | ) | |
| | | | UltraShort 20+ Year Treasury | | | 243,644,141 | | | | 82,516,993 | | |
| | | | UltraShort Basic Materials | | | (1,081,800 | ) | | | 356,984 | | |
| | | | UltraShort Consumer Goods | | | (376,719 | ) | | | 260,346 | | |
| | | | UltraShort Consumer Services | | | (193,157 | ) | | | 1,179,180 | | |
| | | | UltraShort Dow30SM | | | (34,554,049 | ) | | | 32,228,636 | | |
| | | | UltraShort Financials | | | (9,429,599 | ) | | | 8,658,777 | | |
| | | | UltraShort FTSE China 50 | | | 2,758,393 | | | | 2,887,793 | | |
| | | | UltraShort FTSE Europe | | | (3,555,074 | ) | | | 2,085,442 | | |
| | | | UltraShort Health Care | | | (623,077 | ) | | | 21,513 | | |
| | | | UltraShort Industrials | | | (417,299 | ) | | | 859,127 | | |
| | | | UltraShort MidCap400 | | | (914,575 | ) | | | 392,592 | | |
| | | | UltraShort MSCI Brazil Capped | | | (6,012,333 | ) | | | 3,142,811 | | |
| | | | UltraShort MSCI EAFE | | | (389,345 | ) | | | 603,554 | | |
| | | | UltraShort MSCI Emerging Markets | | | 2,187,973 | | | | (313,630 | ) | |
| | | | UltraShort MSCI Japan | | | (1,017,006 | ) | | | 1,734,955 | | |
| | | | UltraShort Nasdaq Biotechnology | | | (7,146,131 | ) | | | 9,072,853 | | |
| | | | UltraShort Oil & Gas | | | (10,727,538 | ) | | | (12,993,449 | ) | |
| | | | UltraShort QQQ | | | (40,450,422 | ) | | | 94,384,752 | | |
| | | | UltraShort Real Estate | | | (20,225,210 | ) | | | 20,370,032 | | |
| | | | UltraShort Russell2000 | | | (11,276,620 | ) | | | 29,670,407 | | |
| | | | UltraShort S&P500® | | | (329,201,442 | ) | | | 303,969,611 | | |
| | | | UltraShort Semiconductors | | | (1,900,931 | ) | | | 546,756 | | |
| | | | UltraShort SmallCap600 | | | (379,342 | ) | | | 607,339 | | |
| | | | UltraShort Technology | | | (4,058,509 | ) | | | 4,848,322 | | |
| | | | UltraShort Utilities | | | (1,490,625 | ) | | | 882,779 | | |
Taxes and Distributions
Each of the Funds intends to qualify or continue to qualify as a regulated investment company and distribute substantially all of its net investment income and capital gains to shareholders. Accordingly, no provision for Federal income taxes is required in the financial statements.
As of May 31, 2022, management of the Funds has reviewed all open tax years and major jurisdictions (the last four tax year ends including the interim tax periods since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months.
278 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
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 GAAP. These "book/tax" differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales, 1256 mark-to-market, partnerships, passive foreign investment companies mark-to-market, constructive sales adjustments and qualified late-year loss deferrals) do not require a reclassification. The Funds may utilize equalization accounting for tax purposes and designate earnings and profits, including net realized gains distributed to shareholders on redemption of shares, as a part of the dividends paid deduction for income tax purposes. While subject to management's discretion, any available tax equalization is typically applied first to short term capital gains, next to long term capital gains and then to ordinary income. To the extent distributions exceed net investment income and net realized capital gains for tax purposes, they are reported as a tax return of capital.
The Funds' tax year end is October 31st and the tax character of current year distributions and current components of accumulated earnings (deficit) will be determined at the end of the current tax year.
The tax character of distributions paid for the most recent tax years ended October 31, 2021 and October 31, 2020, were as follows:
| | | Year Ended October 31, 2021 | | Year Ended October 31, 2020 | |
| Fund | | Distributions
paid from
ordinary
income | | Distributions
paid from
net long-term
capital gains | | Tax
return of
capital | | Total
Distributions | | Distributions
paid from
ordinary
income | | Distributions
paid from
net long-term
capital gains | | Tax
return of
capital | | Total
Distributions | |
Short 7-10 Year
Treasury | | | — | | | | — | | | | — | | | | — | | | $ | 54,086 | | | | — | | | $ | 22,311 | | | $ | 76,397 | | |
Short 20+ Year
Treasury | | | — | | | | — | | | | — | | | | — | | | | 879,111 | | | | — | | | | 388,121 | | | | 1,267,232 | | |
| Short Dow30SM | | | — | | | | — | | | | — | | | | — | | | | 692,560 | | | | — | | | | 299,826 | | | | 992,386 | | |
| Short Financials | | | — | | | | — | | | | — | | | | — | | | | 44,754 | | | | — | | | | 17,082 | | | | 61,836 | | |
| Short FTSE China 50 | | | — | | | | — | | | | — | | | | — | | | | 9,487 | | | | — | | | | 4,194 | | | | 13,681 | | |
| Short High Yield | | | — | | | | — | | | | — | | | | — | | | | 302,084 | | | | — | | | | 107,021 | | | | 409,105 | | |
| Short MidCap400 | | | — | | | | — | | | | — | | | | — | | | | 23,730 | | | | — | | | | 8,940 | | | | 32,670 | | |
| Short MSCI EAFE | | | — | | | | — | | | | — | | | | — | | | | 79,942 | | | | — | | | | 17,510 | | | | 97,452 | | |
Short MSCI Emerging
Markets | | | — | | | | — | | | | — | | | | — | | | | 158,786 | | | | — | | | | 69,744 | | | | 228,530 | | |
| Short QQQ | | | — | | | | — | | | | — | | | | — | | | | 1,731,258 | | | | — | | | | 896,864 | | | | 2,628,122 | | |
| Short Real Estate | | | — | | | | — | | | | — | | | | — | | | | 14,657 | | | | — | | | | 6,297 | | | | 20,954 | | |
| Short Russell2000 | | | — | | | | — | | | | — | | | | — | | | | 878,934 | | | | — | | | | 335,476 | | | | 1,214,410 | | |
| Short S&P500® | | | — | | | | — | | | | — | | | | — | | | | 6,384,895 | | | | — | | | | 2,968,113 | | | | 9,353,008 | | |
| Short SmallCap600 | | | — | | | | — | | | | — | | | | — | | | | 6,248 | | | | — | | | | 1,608 | | | | 7,856 | | |
Ultra 7-10 Year
Treasury | | $ | 76,339 | | | | — | | | | — | | | $ | 76,339 | | | | 276,412 | | | | — | | | | — | | | | 276,412 | | |
Ultra 20+ Year
Treasury | | | — | | | | — | | | | — | | | | — | | | | 254,346 | | | | — | | | | — | | | | 254,346 | | |
| Ultra Basic Materials | | | 356,640 | | | | — | | | | — | | | | 356,640 | | | | 324,363 | | | | — | | | | — | | | | 324,363 | | |
Ultra Consumer
Goods | | | 34,045 | | | | — | | | | — | | | | 34,045 | | | | 60,331 | | | | — | | | | — | | | | 60,331 | | |
Ultra Consumer
Services | | | — | | | | — | | | | — | | | | — | | | | 25,345 | | | | — | | | | — | | | | 25,345 | | |
| Ultra Dow30SM | | | 539,482 | | | | — | | | | — | | | | 539,482 | | | | 2,020,171 | | | | — | | | | — | | | | 2,020,171 | | |
| Ultra Financials | | | 2,220,362 | | | | — | | | | — | | | | 2,220,362 | | | | 5,671,937 | | | | — | | | | — | | | | 5,671,937 | | |
| Ultra FTSE China 50 | | | — | | | | — | | | | — | | | | — | | | | 70,696 | | | | — | | | | — | | | | 70,696 | | |
| Ultra FTSE Europe | | | — | | | | — | | | | — | | | | — | | | | 6,679 | | | | — | | | | — | | | | 6,679 | | |
| Ultra Health Care | | | 163,582 | | | | — | | | | — | | | | 163,582 | | | | 264,768 | | | | — | | | | — | | | | 264,768 | | |
| Ultra High Yield | | | 303,414 | | | | — | | | | — | | | | 303,414 | | | | 141,213 | | | | — | | | | — | | | | 141,213 | | |
| Ultra Industrials | | | 17,531 | | | | — | | | | — | | | | 17,531 | | | | 91,881 | | | | — | | | | — | | | | 91,881 | | |
| Ultra MidCap400 | | | 301,030 | | | | — | | | | — | | | | 301,030 | | | | 601,053 | | | | — | | | | — | | | | 601,053 | | |
Ultra MSCI Brazil
Capped | | | — | | | | — | | | | — | | | | — | | | | 2,936 | | | | — | | | | — | | | | 2,936 | | |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 279
| | | Year Ended October 31, 2021 | | Year Ended October 31, 2020 | |
| Fund | | Distributions
paid from
ordinary
income | | Distributions
paid from
net long-term
capital gains | | Tax
return of
capital | | Total
Distributions | | Distributions
paid from
ordinary
income | | Distributions
paid from
net long-term
capital gains | | Tax
return of
capital | | Total
Distributions | |
| Ultra MSCI EAFE | | | — | | | | — | | | | — | | | | — | | | $ | 1,483 | | | | — | | | | — | | | $ | 1,483 | | |
Ultra MSCI Emerging
Markets | | | — | | | | — | | | | — | | | | — | | | | 104,695 | | | | — | | | | — | | | | 104,695 | | |
| Ultra Oil & Gas | | $ | 4,379,052 | | | | — | | | | — | | | $ | 4,379,052 | | | | 3,012,678 | | | | — | | | | — | | | | 3,012,678 | | |
| Ultra QQQ | | | — | | | | — | | | | — | | | | — | | | | 1,126,908 | | | | — | | | | — | | | | 1,126,908 | | |
| Ultra Real Estate | | | 713,114 | | | | — | | | | — | | | | 713,114 | | | | 1,133,608 | | | | — | | | | — | | | | 1,133,608 | | |
| Ultra Russell2000 | | | 46,322 | | | | — | | | | — | | | | 46,322 | | | | 545,106 | | | | — | | | | — | | | | 545,106 | | |
| Ultra S&P500® | | | 8,141,946 | | | | — | | | | — | | | | 8,141,946 | | | | 8,847,651 | | | | — | | | | — | | | | 8,847,651 | | |
| Ultra Semiconductors | | | 42,050 | | | | — | | | | — | | | | 42,050 | | | | 371,052 | | | | — | | | | — | | | | 371,052 | | |
| Ultra SmallCap600 | | | 7,958 | | | | — | | | | — | | | | 7,958 | | | | 40,638 | | | | — | | | | — | | | | 40,638 | | |
| Ultra Technology | | | — | | | | — | | | | — | | | | — | | | | 642,135 | | | | — | | | | — | | | | 642,135 | | |
Ultra
Telecommunications | | | 27,025 | | | | — | | | | — | | | | 27,025 | | | | 19,409 | | | | — | | | | — | | | | 19,409 | | |
| Ultra Utilities | | | 241,675 | | | | — | | | | — | | | | 241,675 | | | | 275,313 | | | | — | | | | — | | | | 275,313 | | |
| UltraPro Dow30SM | | | 2,353,835 | | | | — | | | | — | | | | 2,353,835 | | | | 1,951,971 | | | | — | | | | — | | | | 1,951,971 | | |
| UltraPro MidCap400 | | | 9,726 | | | | — | | | | — | | | | 9,726 | | | | 49,563 | | | | — | | | | — | | | | 49,563 | | |
| UltraPro QQQ | | | 15,367 | | | | — | | | | — | | | | 15,367 | | | | 1,544,886 | | | | — | | | | — | | | | 1,544,886 | | |
| UltraPro Russell2000 | | | 11,923 | | | | — | | | | — | | | | 11,923 | | | | 153,599 | | | | — | | | | — | | | | 153,599 | | |
| UltraPro S&P500® | | | 1,265,472 | | | | — | | | | — | | | | 1,265,472 | | | | 4,356,878 | | | | — | | | | — | | | | 4,356,878 | | |
UltraPro Short 20+
Year Treasury | | | — | | | | — | | | | — | | | | — | | | | 158,351 | | | | — | | | $ | 51,453 | | | | 209,804 | | |
UltraPro Short
Dow30SM | | | — | | | | — | | | | — | | | | — | | | | 938,825 | | | | — | | | | 425,931 | | | | 1,364,756 | | |
UltraPro Short
MidCap400 | | | — | | | | — | | | | — | | | | — | | | | 5,194 | | | | — | | | | 1,633 | | | | 6,827 | | |
| UltraPro Short QQQ | | | — | | | | — | | | | — | | | | — | | | | 5,126,703 | | | | — | | | | 2,946,926 | | | | 8,073,629 | | |
UltraPro Short
Russell2000 | | | — | | | | — | | | | — | | | | — | | | | 260,849 | | | | — | | | | 83,391 | | | | 344,240 | | |
UltraPro Short
S&P500® | | | — | | | | — | | | | — | | | | — | | | | 2,403,669 | | | | — | | | | 1,267,615 | | | | 3,671,284 | | |
UltraShort 7-10 Year
Treasury | | | — | | | | — | | | | — | | | | — | | | | 197,830 | | | | — | | | | 34,057 | | | | 231,887 | | |
UltraShort 20+ Year
Treasury | | | — | | | | — | | | | — | | | | — | | | | 3,480,826 | | | | — | | | | 1,226,432 | | | | 4,707,258 | | |
UltraShort Basic
Materials | | | — | | | | — | | | | — | | | | — | | | | 4,529 | | | | — | | | | — | | | | 4,529 | | |
UltraShort Consumer
Goods | | | — | | | | — | | | | — | | | | — | | | | 4,583 | | | | — | | | | 1,337 | | | | 5,920 | | |
UltraShort Consumer
Services | | | — | | | | — | | | | — | | | | — | | | | 2,741 | | | | — | | | | 542 | | | | 3,283 | | |
| UltraShort Dow30SM | | | — | | | | — | | | | — | | | | — | | | | 558,781 | | | | — | | | | 236,306 | | | | 795,087 | | |
| UltraShort Financials | | | — | | | | — | | | | — | | | | — | | | | 79,465 | | | | — | | | | 13,854 | | | | 93,319 | | |
UltraShort FTSE
China 50 | | | — | | | | — | | | | — | | | | — | | | | 65,860 | | | | — | | | | 16,419 | | | | 82,279 | | |
UltraShort FTSE
Europe | | | — | | | | — | | | | — | | | | — | | | | 26,995 | | | | — | | | | 9,432 | | | | 36,427 | | |
UltraShort
Health Care | | | — | | | | — | | | | — | | | | — | | | | 5,765 | | | | — | | | | 2,217 | | | | 7,982 | | |
| UltraShort Industrials | | | — | | | | — | | | | — | | | | — | | | | 3,504 | | | | — | | | | — | | | | 3,504 | | |
UltraShort
MidCap400 | | | — | | | | — | | | | — | | | | — | | | | 6,545 | | | | — | | | | 2,882 | | | | 9,427 | | |
280 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
| | | Year Ended October 31, 2021 | | Year Ended October 31, 2020 | |
| Fund | | Distributions
paid from
ordinary
income | | Distributions
paid from
net long-term
capital gains | | Tax
return of
capital | | Total
Distributions | | Distributions
paid from
ordinary
income | | Distributions
paid from
net long-term
capital gains | | Tax
return of
capital | | Total
Distributions | |
UltraShort MSCI Brazil
Capped | | | — | | | | — | | | | — | | | | — | | | $ | 113,488 | | | | — | | | $ | 10,347 | | | $ | 123,835 | | |
UltraShort MSCI
EAFE | | | — | | | | — | | | | — | | | | — | | | | 2,111 | | | | — | | | | 689 | | | | 2,800 | | |
UltraShort MSCI
Emerging Markets | | | — | | | | — | | | | — | | | | — | | | | 33,851 | | | | — | | | | 11,162 | | | | 45,013 | | |
UltraShort MSCI
Japan | | | — | | | | — | | | | — | | | | — | | | | 2,160 | | | | — | | | | — | | | | 2,160 | | |
UltraShort Nasdaq
Biotechnology | | | — | | | | — | | | | — | | | | — | | | | 66,167 | | | | — | | | | 29,312 | | | | 95,479 | | |
| UltraShort Oil & Gas | | | — | | | | — | | | | — | | | | — | | | | 20,933 | | | | — | | | | 5,805 | | | | 26,738 | | |
| UltraShort QQQ | | | — | | | | — | | | | — | | | | — | | | | 1,270,736 | | | | — | | | | 640,719 | | | | 1,911,455 | | |
UltraShort Real
Estate | | | — | | | | — | | | | — | | | | — | | | | 62,894 | | | | — | | | | 22,372 | | | | 85,266 | | |
UltraShort
Russell2000 | | | — | | | | — | | | | — | | | | — | | | | 233,372 | | | | — | | | | 99,748 | | | | 333,120 | | |
| UltraShort S&P500® | | | — | | | | — | | | | — | | | | — | | | | 3,761,361 | | | | — | | | | 2,070,245 | | | | 5,831,606 | | |
UltraShort
Semiconductors | | | — | | | | — | | | | — | | | | — | | | | 17,435 | | | | — | | | | 4,589 | | | | 22,024 | | |
UltraShort
SmallCap600 | | | — | | | | — | | | | — | | | | — | | | | 3,167 | | | | — | | | | — | | | | 3,167 | | |
UltraShort
Technology | | | — | | | | — | | | | — | | | | — | | | | 9,324 | | | | — | | | | 4,809 | | | | 14,133 | | |
| UltraShort Utilities | | | — | | | | — | | | | — | | | | — | | | | 3,607 | | | | — | | | | 2,040 | | | | 5,647 | | |
At October 31, 2021 (the Funds' most recent tax year end), the components of accumulated earnings (deficit) on a tax basis were as follows:
| Fund | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gain | | Accumulated
Capital and
Other Losses | | Unrealized
Appreciation/
(Depreciation) | |
| Short 7-10 Year Treasury | | | — | | | | — | | | $ | (15,538,627 | ) | | $ | 1,657,141 | | |
| Short 20+ Year Treasury | | | — | | | | — | | | | (659,477,920 | ) | | | (38,065,899 | ) | |
| Short Dow30SM | | | — | | | | — | | | | (486,663,972 | ) | | | (53,013,882 | ) | |
| Short Financials | | | — | | | | — | | | | (91,611,463 | ) | | | (4,548,018 | ) | |
| Short FTSE China 50 | | | — | | | | — | | | | (11,641,752 | ) | | | (1,309,341 | ) | |
| Short High Yield | | | — | | | | — | | | | (55,653,365 | ) | | | (18,917,002 | ) | |
| Short MidCap400 | | | — | | | | — | | | | (51,141,092 | ) | | | (4,147,240 | ) | |
| Short MSCI EAFE | | | — | | | | — | | | | (129,467,848 | ) | | | (2,598,613 | ) | |
| Short MSCI Emerging Markets | | | — | | | | — | | | | (195,802,521 | ) | | | (1,372,980 | ) | |
| Short QQQ | | | — | | | | — | | | | (868,934,375 | ) | | | (130,116,547 | ) | |
| Short Real Estate | | | — | | | | — | | | | (34,368,118 | ) | | | (3,045,025 | ) | |
| Short Russell2000 | | | — | | | | — | | | | (752,714,307 | ) | | | (37,124,022 | ) | |
| Short S&P500® | | | — | | | | — | | | | (3,836,035,723 | ) | | | (384,978,106 | ) | |
| Short SmallCap600 | | | — | | | | — | | | | (39,808,003 | ) | | | (1,237,647 | ) | |
| Ultra 7-10 Year Treasury | | $ | 5,741 | | | | — | | | | (127,541,318 | ) | | | (207,722 | ) | |
| Ultra 20+ Year Treasury | | | — | | | | — | | | | (420,732 | ) | | | 255,659 | | |
| Ultra Basic Materials | | | 14,450 | | | | — | | | | (4,025,251 | ) | | | 7,578,641 | | |
| Ultra Consumer Goods | | | — | | | | — | | | | — | | | | 5,121,439 | | |
| Ultra Consumer Services | | | — | | | | — | | | | (117,414 | ) | | | 5,435,434 | | |
| Ultra Dow30SM | | | — | | | | — | | | | — | | | | 107,871,733 | | |
| Ultra Financials | | | 40,279,077 | | | | — | | | | — | | | | 275,093,790 | | |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 281
| Fund | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gain | | Accumulated
Capital and
Other Losses | | Unrealized
Appreciation/
(Depreciation) | |
| Ultra FTSE China 50 | | | — | | | | — | | | $ | (526,981 | ) | | $ | (8,252,691 | ) | |
| Ultra FTSE Europe | | | — | | | | — | | | | (139,776 | ) | | | 1,198,621 | | |
| Ultra Health Care | | | — | | | | — | | | | — | | | | 4,842,040 | | |
| Ultra High Yield | | $ | 135,724 | | | | — | | | | — | | | | 1,159,443 | | |
| Ultra Industrials | | | — | | | | — | | | | — | | | | 5,050,389 | | |
| Ultra MidCap400 | | | — | | | | — | | | | (138,437,962 | ) | | | 54,985,621 | | |
| Ultra MSCI Brazil Capped | | | — | | | | — | | | | (11,997,614 | ) | | | (3,383,210 | ) | |
| Ultra MSCI EAFE | | | — | | | | — | | | | (6,009,594 | ) | | | 3,003,619 | | |
| Ultra MSCI Emerging Markets | | | — | | | | — | | | | (1,645,424 | ) | | | (3,685,793 | ) | |
| Ultra MSCI Japan | | | — | | | | — | | | | — | | | | 748,508 | | |
| Ultra Nasdaq Biotechnology | | | — | | | | — | | | | (64,068,176 | ) | | | (14,307,770 | ) | |
| Ultra Nasdaq Cloud Computing | | | — | | | | — | | | | (12,524 | ) | | | 692,500 | | |
| Ultra Nasdaq Cybersecurity | | | 29,506 | | | | — | | | | — | | | | 974,608 | | |
| Ultra Oil & Gas | | | — | | | | — | | | | (110,574,349 | ) | | | 79,372,770 | | |
| Ultra QQQ | | | — | | | | — | | | | (15,623,825 | ) | | | 1,488,986,820 | | |
| Ultra Real Estate | | | — | | | | — | | | | (4,783,489 | ) | | | 28,959,620 | | |
| Ultra Russell2000 | | | — | | | | — | | | | (132,688,079 | ) | | | 76,010,453 | | |
| Ultra S&P500® | | | — | | | | — | | | | — | | | | 1,100,215,969 | | |
| Ultra Semiconductors | | | — | | | | — | | | | (238,434 | ) | | | 87,035,501 | | |
| Ultra SmallCap600 | | | — | | | | — | | | | (5,833,697 | ) | | | 12,522,231 | | |
| Ultra Technology | | | — | | | | — | | | | (3,567,227 | ) | | | 456,885,903 | | |
| Ultra Telecommunications | | | 9,258 | | | | — | | | | (708,142 | ) | | | 213,563 | | |
| Ultra Utilities | | | — | | | | — | | | | (1,190,569 | ) | | | (1,360,075 | ) | |
| UltraPro Dow30SM | | | — | | | | — | | | | — | | | | 269,563,285 | | |
| UltraPro MidCap400 | | | — | | | | — | | | | — | | | | 25,619,741 | | |
| UltraPro QQQ | | | — | | | | — | | | | (46,154,294 | ) | | | 7,064,553,590 | | |
| UltraPro Russell2000 | | | — | | | | — | | | | — | | | | 116,718,537 | | |
| UltraPro S&P500® | | | — | | | | — | | | | — | | | | 1,059,877,334 | | |
| UltraPro Short 20+ Year Treasury | | | — | | | | — | | | | (147,535,449 | ) | | | (13,274,898 | ) | |
| UltraPro Short Dow30SM | | | — | | | | — | | | | (1,316,389,169 | ) | | | (274,410,779 | ) | |
| UltraPro Short MidCap400 | | | — | | | | — | | | | (50,948,360 | ) | | | (5,267,807 | ) | |
| UltraPro Short QQQ | | | — | | | | — | | | | (4,644,369,497 | ) | | | (1,074,458,169 | ) | |
| UltraPro Short Russell2000 | | | — | | | | — | | | | (545,887,628 | ) | | | (73,572,672 | ) | |
| UltraPro Short S&P500® | | | — | | | | — | | | | (3,721,859,224 | ) | | | (373,533,668 | ) | |
| UltraShort 7-10 Year Treasury | | | — | | | | — | | | | (152,398,785 | ) | | | 1,251,867 | | |
| UltraShort 20+ Year Treasury | | | — | | | | — | | | | (5,427,344,256 | ) | | | (124,219,365 | ) | |
| UltraShort Basic Materials | | | — | | | | — | | | | (83,585,300 | ) | | | (1,035,769 | ) | |
| UltraShort Consumer Goods | | | — | | | | — | | | | (8,912,890 | ) | | | (427,388 | ) | |
| UltraShort Consumer Services | | | — | | | | — | | | | (20,164,285 | ) | | | (249,279 | ) | |
| UltraShort Dow30SM | | | — | | | | — | | | | (694,994,076 | ) | | | (40,144,849 | ) | |
| UltraShort Financials | | | — | | | | — | | | | (493,849,490 | ) | | | (11,042,846 | ) | |
| UltraShort FTSE China 50 | | | — | | | | — | | | | (242,000,789 | ) | | | (13,850,185 | ) | |
| UltraShort FTSE Europe | | | — | | | | — | | | | (214,302,742 | ) | | | (5,227,847 | ) | |
| UltraShort Health Care | | | — | | | | — | | | | (10,681,088 | ) | | | (629,534 | ) | |
| UltraShort Industrials | | | — | | | | — | | | | (20,753,011 | ) | | | (501,620 | ) | |
| UltraShort MidCap400 | | | — | | | | — | | | | (53,319,435 | ) | | | (976,953 | ) | |
| UltraShort MSCI Brazil Capped | | | — | | | | — | | | | (74,842,621 | ) | | | (9,552,510 | ) | |
| UltraShort MSCI EAFE | | | — | | | | — | | | | (19,968,501 | ) | | | (975,766 | ) | |
| UltraShort MSCI Emerging Markets | | | — | | | | — | | | | (167,595,819 | ) | | | (226,521 | ) | |
282 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
| Fund | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gain | | Accumulated
Capital and
Other Losses | | Unrealized
Appreciation/
(Depreciation) | |
| UltraShort MSCI Japan | | | — | | | | — | | | $ | (25,467,170 | ) | | $ | (2,666,633 | ) | |
| UltraShort Nasdaq Biotechnology | | | — | | | | — | | | | (73,309,426 | ) | | | (1,283,986 | ) | |
| UltraShort Oil & Gas | | | — | | | | — | | | | (93,743,115 | ) | | | (13,236,083 | ) | |
| UltraShort QQQ | | | — | | | | — | | | | (1,565,997,752 | ) | | | (106,726,761 | ) | |
| UltraShort Real Estate | | | — | | | | — | | | | (239,538,722 | ) | | | (7,816,244 | ) | |
| UltraShort Russell2000 | | | — | | | | — | | | | (739,873,532 | ) | | | (35,612,908 | ) | |
| UltraShort S&P500® | | | — | | | | — | | | | (4,976,242,361 | ) | | | (311,147,999 | ) | |
| UltraShort Semiconductors | | | — | | | | — | | | | (42,789,883 | ) | | | (2,349,081 | ) | |
| UltraShort SmallCap600 | | | — | | | | — | | | | (30,626,003 | ) | | | (1,272,905 | ) | |
| UltraShort Technology | | | — | | | | — | | | | (29,097,064 | ) | | | (3,959,740 | ) | |
| UltraShort Utilities | | | — | | | | — | | | | (10,941,598 | ) | | | (1,483,895 | ) | |
Temporary differences are generally due to differing book and tax treatments for the timing of the recognition of gains and losses on certain investment transactions and the timing and the deductibility of certain expenses. Permanent differences, primarily due to gain (loss) on in-kind redemptions, reclassification on sale of derivatives, designation of taxable distributions in excess, utilization of earnings and profits distributed to the shareholders on redemption of shares and nondeductible expenses, resulted in reclassifications as of October 31, 2021 (the Funds' most recent tax year end), among the Funds' components of net assets.
As of October 31, 2021 (the Funds' most recent tax year end), the Funds had capital loss carry forwards ("CLCFs") available to offset future realized gains, if any, to the extent provided for by regulations and to thereby reduce the amount of future taxable capital gain distributions. Under current tax law, CLCFs retain their character as either short-term or long-term capital losses, and are not subject to expiration.
At October 31, 2021 (the Funds' most recent tax year end), the following Funds had available CLCFs:
| | | No Expiration Date | |
| Short 7-10 Year Treasury | | $ | 14,949,159 | | |
| Short 20+ Year Treasury | | | 655,428,513 | | |
| Short Dow30SM | | | 484,641,501 | | |
| Short Financials | | | 91,519,944 | | |
| Short FTSE China 50 | | | 11,598,717 | | |
| Short High Yield | | | 55,191,798 | | |
| Short MidCap400 | | | 51,032,054 | | |
| Short MSCI EAFE | | | 129,377,432 | | |
| Short MSCI Emerging Markets | | | 195,588,133 | | |
| Short QQQ | | | 864,551,562 | | |
| Short Real Estate | | | 34,300,325 | | |
| Short Russell2000 | | | 750,605,516 | | |
| Short S&P500® | | | 3,825,535,994 | | |
| Short SmallCap600 | | | 39,767,261 | | |
| Ultra 7-10 Year Treasury | | | 127,541,318 | | |
| Ultra 20+ Year Treasury | | | 318,208 | | |
| Ultra Basic Materials | | | 4,025,251 | | |
| Ultra FTSE China 50 | | | 383,233 | | |
| Ultra FTSE Europe | | | 100,752 | | |
| Ultra MidCap400 | | | 138,437,962 | | |
| Ultra MSCI Brazil Capped | | | 11,942,570 | | |
| Ultra MSCI EAFE | | | 5,899,371 | | |
| Ultra MSCI Emerging Markets | | | 1,040,331 | | |
| Ultra Nasdaq Biotechnology | | | 63,153,141 | | |
| Ultra Oil & Gas | | | 110,574,349 | | |
| Ultra Real Estate | | | 4,783,489 | | |
| Ultra Russell2000 | | | 131,173,925 | | |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 283
| | | No Expiration Date | |
| Ultra SmallCap600 | | $ | 5,774,256 | | |
| Ultra Telecommunications | | | 708,142 | | |
| Ultra Utilities | | | 1,190,569 | | |
| UltraPro Short 20+ Year Treasury | | | 146,818,742 | | |
| UltraPro Short Dow30SM | | | 1,313,236,058 | | |
| UltraPro Short MidCap400 | | | 50,908,536 | | |
| UltraPro Short QQQ | | | 4,632,109,934 | | |
| UltraPro Short Russell2000 | | | 545,015,542 | | |
| UltraPro Short S&P500® | | | 3,717,966,668 | | |
| UltraShort 7-10 Year Treasury | | | 152,043,643 | | |
| UltraShort 20+ Year Treasury | | | 5,418,290,993 | | |
| UltraShort Basic Materials | | | 83,567,720 | | |
| UltraShort Consumer Goods | | | 8,905,621 | | |
| UltraShort Consumer Services | | | 20,156,940 | | |
| UltraShort Dow30SM | | | 694,154,987 | | |
| UltraShort Financials | | | 493,732,351 | | |
| UltraShort FTSE China 50 | | | 241,847,385 | | |
| UltraShort FTSE Europe | | | 214,239,033 | | |
| UltraShort Health Care | | | 10,669,813 | | |
| UltraShort Industrials | | | 20,742,767 | | |
| UltraShort MidCap400 | | | 53,302,353 | | |
| UltraShort MSCI Brazil Capped | | | 74,725,997 | | |
| UltraShort MSCI EAFE | | | 19,956,953 | | |
| UltraShort MSCI Emerging Markets | | | 167,549,012 | | |
| UltraShort MSCI Japan | | | 25,430,051 | | |
| UltraShort Nasdaq Biotechnology | | | 73,237,852 | | |
| UltraShort Oil & Gas | | | 93,605,511 | | |
| UltraShort QQQ | | | 1,564,304,736 | | |
| UltraShort Real Estate | | | 239,394,947 | | |
| UltraShort Russell2000 | | | 739,255,646 | | |
| UltraShort S&P500® | | | 4,971,788,244 | | |
| UltraShort Semiconductors | | | 42,766,272 | | |
| UltraShort SmallCap600 | | | 30,605,605 | | |
| UltraShort Technology | | | 29,057,293 | | |
| UltraShort Utilities | | | 10,924,492 | | |
At October 31, 2021 (the Funds' most recent tax year end), the following Funds utilized CLCFs and/or elected to defer late-year ordinary losses to November 1, 2021:
| Fund | | CLCFs Utilized | | Ordinary Late Year
Loss Deferrals | |
| Short 7-10 Year Treasury | | $ | 7,915 | | | $ | 589,468 | | |
| Short 20+ Year Treasury | | | 43,392,202 | | | | 4,049,407 | | |
| Short Dow30SM | | | — | | | | 2,022,471 | | |
| Short Financials | | | — | | | | 91,519 | | |
| Short FTSE China 50 | | | — | | | | 43,035 | | |
| Short High Yield | | | — | | | | 461,567 | | |
| Short MidCap400 | | | — | | | | 109,038 | | |
| Short MSCI EAFE | | | — | | | | 90,416 | | |
| Short MSCI Emerging Markets | | | — | | | | 214,388 | | |
| Short QQQ | | | — | | | | 4,382,813 | | |
| Short Real Estate | | | — | | | | 67,793 | | |
284 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
| Fund | | CLCFs Utilized | | Ordinary Late Year
Loss Deferrals | |
| Short Russell2000 | | | — | | | $ | 2,108,791 | | |
| Short S&P500® | | | — | | | | 10,499,729 | | |
| Short SmallCap600 | | | — | | | | 40,742 | | |
| Ultra 7-10 Year Treasury | | $ | 1,255,177 | | | | — | | |
| Ultra 20+ Year Treasury | | | — | | | | 102,524 | | |
| Ultra Basic Materials | | | 6,824,555 | | | | — | | |
| Ultra Consumer Goods | | | 110,266 | | | | — | | |
| Ultra Consumer Services | | | — | | | | 117,414 | | |
| Ultra Financials | | | 195,889,303 | | | | — | | |
| Ultra FTSE China 50 | | | 2,661,945 | | | | 143,748 | | |
| Ultra FTSE Europe | | | 1,521,104 | | | | 39,024 | | |
| Ultra Health Care | | | 3,927,208 | | | | — | | |
| Ultra High Yield | | | 339,304 | | | | — | | |
| Ultra Industrials | | | 665,904 | | | | — | | |
| Ultra MidCap400 | | | 21,649,313 | | | | — | | |
| Ultra MSCI Brazil Capped | | | 1,316,430 | | | | 55,044 | | |
| Ultra MSCI EAFE | | | 2,299,439 | | | | 110,223 | | |
| Ultra MSCI Emerging Markets | | | 12,022,280 | | | | 605,093 | | |
| Ultra MSCI Japan | | | 504,548 | | | | — | | |
| Ultra Nasdaq Biotechnology | | | 47,716,526 | | | | 915,035 | | |
| Ultra Nasdaq Cloud Computing | | | — | | | | 12,524 | | |
| Ultra Oil & Gas | | | 20,327,090 | | | | — | | |
| Ultra QQQ | | | — | | | | 15,623,825 | | |
| Ultra Russell2000 | | | 90,931,814 | | | | 1,514,154 | | |
| Ultra Semiconductors | | | — | | | | 238,434 | | |
| Ultra SmallCap600 | | | 351,368 | | | | 59,441 | | |
| Ultra Technology | | | — | | | | 3,567,227 | | |
| Ultra Telecommunications | | | 26,960 | | | | — | | |
| UltraPro MidCap400 | | | 3,619,159 | | | | — | | |
| UltraPro QQQ | | | — | | | | 46,154,294 | | |
| UltraPro Russell2000 | | | 8,487,658 | | | | — | | |
| UltraPro Short 20+ Year Treasury | | | — | | | | 716,707 | | |
| UltraPro Short Dow30SM | | | — | | | | 3,153,111 | | |
| UltraPro Short MidCap400 | | | — | | | | 39,824 | | |
| UltraPro Short QQQ | | | — | | | | 12,259,563 | | |
| UltraPro Short Russell2000 | | | — | | | | 872,086 | | |
| UltraPro Short S&P500® | | | — | | | | 3,892,556 | | |
| UltraShort 7-10 Year Treasury | | | 12,125 | | | | 355,142 | | |
| UltraShort 20+ Year Treasury | | | 186,606 | | | | 9,053,263 | | |
| UltraShort Basic Materials | | | — | | | | 17,580 | | |
| UltraShort Consumer Goods | | | — | | | | 7,269 | | |
| UltraShort Consumer Services | | | — | | | | 7,345 | | |
| UltraShort Dow30SM | | | — | | | | 839,089 | | |
| UltraShort Financials | | | — | | | | 117,139 | | |
| UltraShort FTSE China 50 | | | — | | | | 153,404 | | |
| UltraShort FTSE Europe | | | — | | | | 63,709 | | |
| UltraShort Health Care | | | — | | | | 11,275 | | |
| UltraShort Industrials | | | — | | | | 10,244 | | |
| UltraShort MidCap400 | | | — | | | | 17,082 | | |
| UltraShort MSCI Brazil Capped | | | 153,132 | | | | 116,624 | | |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 285
| Fund | | CLCFs Utilized | | Ordinary Late Year
Loss Deferrals | |
| UltraShort MSCI EAFE | | | — | | | $ | 11,548 | | |
| UltraShort MSCI Emerging Markets | | | — | | | | 46,807 | | |
| UltraShort MSCI Japan | | | — | | | | 37,119 | | |
| UltraShort Nasdaq Biotechnology | | | — | | | | 71,574 | | |
| UltraShort Oil & Gas | | $ | 3,182 | | | | 137,604 | | |
| UltraShort QQQ | | | — | | | | 1,693,016 | | |
| UltraShort Real Estate | | | — | | | | 143,775 | | |
| UltraShort Russell2000 | | | — | | | | 617,886 | | |
| UltraShort S&P500® | | | — | | | | 4,454,117 | | |
| UltraShort Semiconductors | | | — | | | | 23,611 | | |
| UltraShort SmallCap600 | | | — | | | | 20,398 | | |
| UltraShort Technology | | | — | | | | 39,771 | | |
| UltraShort Utilities | | | — | | | | 17,106 | | |
3. Investment Transactions, Income and Expense Allocations
Throughout the reporting period, investment transactions are generally accounted for no later than one business day following the trade date. For financial reporting purposes, investment transactions on the last business day of the reporting period are accounted for on the trade date.
Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount. Dividend income is recorded on the ex-dividend date except for certain foreign dividends that may be recorded as soon as such information becomes available. Non-cash dividend income received in the form of securities in-lieu of cash are recorded at the fair value of the securities received. Gains or losses realized on sales of securities are determined using the specific identification method by comparing the identified cost of the security lot sold with the net sales proceeds.
Expenses directly attributable to a Fund are charged to that Fund, while expenses which are attributable to more than one Fund or jointly with an affiliate, are allocated among the respective Funds and/or affiliates based upon relative net assets or another reasonable basis.
4. Advisory and Management Service Fees and Transactions with Affiliates
The Advisor serves as the investment adviser to each Fund pursuant to an Investment Advisory Agreement. For its investment advisory services, each Fund pays the Advisor a monthly fee, accrued daily at an annualized rate based on its average daily net assets. Pursuant to a separate Management Services Agreement, the Advisor performs certain administrative services on behalf of the Funds, such as negotiating, coordinating and implementing the Trust's contractual obligations with the Funds' service providers; monitoring, overseeing and reviewing the performance of such service providers to ensure adherence to applicable contractual obligations; and preparing or coordinating reports and presentations to the Board of Trustees with respect to such service providers. For these and other services, each Fund pays the Advisor monthly management services fees, accrued daily at an annualized rate based on its average daily net assets.
The Advisor has contractually agreed to waive advisory and management services fees, and if necessary, reimburse certain other expenses, in order to limit the annual operating expenses of each Fund. These expense limitations remain in effect until the dates specified in the table below, after which they may be terminated or revised.
For the year ended May 31, 2022, advisory and management services fees, waivers, reimbursements, and expense limitations were as follows:
| Fund | | Investment
Advisory
Fee Rate* | | Management
Services
Fee Rate | | Advisory
Fees Waived | | Management
Services
Fees Waived | | Expense
Reimbursements | | Expense
Limitation | | Expense Limitation
Effective Through | |
| Short 7-10 Year Treasury | | | 0.75 | % | | | 0.10 | % | | $ | 17,016 | | | | — | | | | — | | | | 0.95 | % | | September 30, 2022 | |
| Short 20+ Year Treasury | | | 0.75 | | | | 0.10 | | | | — | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Short Dow30SM | | | 0.75 | | | | 0.10 | | | | 2,500 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Short Financials | | | 0.75 | | | | 0.10 | | | | 66,421 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Short FTSE China 50 | | | 0.75 | | | | 0.10 | | | | 58,676 | | | $ | 7,824 | | | $ | 20,246 | | | | 0.95 | | | September 30, 2022 | |
| Short High Yield | | | 0.75 | | | | 0.10 | | | | 80,160 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Short MidCap400 | | | 0.75 | | | | 0.10 | | | | 63,467 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Short MSCI EAFE | | | 0.75 | | | | 0.10 | | | | 78,006 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Short MSCI Emerging Markets | | | 0.75 | | | | 0.10 | | | | 81,822 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Short QQQ | | | 0.75 | | | | 0.10 | | | | 340,304 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
286 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
| Fund | | Investment
Advisory
Fee Rate* | | Management
Services
Fee Rate | | Advisory
Fees Waived | | Management
Services
Fees Waived | | Expense
Reimbursements | | Expense
Limitation | | Expense Limitation
Effective Through | |
| Short Real Estate | | | 0.75 | % | | | 0.10 | % | | $ | 64,582 | | | $ | 3,212 | | | | — | | | | 0.95 | % | | September 30, 2022 | |
| Short Russell2000 | | | 0.75 | | | | 0.10 | | | | 166,456 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Short S&P500® | | | 0.75 | | | | 0.10 | | | | — | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Short SmallCap600 | | | 0.75 | | | | 0.10 | | | | 37,360 | | | | 4,981 | | | $ | 25,972 | | | | 0.95 | | | September 30, 2022 | |
| Ultra 7-10 Year Treasury | | | 0.75 | | | | 0.10 | | | | 89,715 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra 20+ Year Treasury | | | 0.75 | | | | 0.10 | | | | 78,328 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra Basic Materials | | | 0.75 | | | | 0.10 | | | | 109,585 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra Consumer Goods | | | 0.75 | | | | 0.10 | | | | 105,153 | | | | 13,988 | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra Consumer Services | | | 0.75 | | | | 0.10 | | | | 104,632 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra Dow30SM | | | 0.75 | | | | 0.10 | | | | 2,666 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra Financials | | | 0.75 | | | | 0.10 | | | | — | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra FTSE China 50 | | | 0.75 | | | | 0.10 | | | | 95,906 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra FTSE Europe | | | 0.75 | | | | 0.10 | | | | 37,207 | | | | 4,961 | | | | 40,023 | | | | 0.95 | | | September 30, 2022 | |
| Ultra Health Care | | | 0.75 | | | | 0.10 | | | | 107,193 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra High Yield | | | 0.75 | | | | 0.10 | | | | 47,055 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra Industrials | | | 0.75 | | | | 0.10 | | | | 106,704 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra MidCap400 | | | 0.75 | | | | 0.10 | | | | 72,278 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra MSCI Brazil Capped | | | 0.75 | | | | 0.10 | | | | 53,915 | | | | 7,189 | | | | 30,093 | | | | 0.95 | | | September 30, 2022 | |
| Ultra MSCI EAFE | | | 0.75 | | | | 0.10 | | | | 91,543 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra MSCI Emerging Markets | | | 0.75 | | | | 0.10 | | | | 76,441 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra MSCI Japan | | | 0.75 | | | | 0.10 | | | | 59,793 | | | | 7,972 | | | | 34,939 | | | | 0.95 | | | September 30, 2022 | |
| Ultra Nasdaq Biotechnology | | | 0.75 | | | | 0.10 | | | | 267,592 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra Nasdaq Cloud Computing | | | 0.75 | | | | 0.10 | | | | 19,096 | | | | 2,546 | | | | 42,792 | | | | 0.95 | | | September 30, 2022 | |
| Ultra Nasdaq Cybersecurity | | | 0.75 | | | | 0.10 | | | | 29,616 | | | | 3,949 | | | | 10,437 | | | | 0.95 | | | September 30, 2022 | |
| Ultra Oil & Gas | | | 0.75 | | | | 0.10 | | | | 82,533 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra QQQ | | | 0.75 | | | | 0.10 | | | | 1,282,847 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra Real Estate | | | 0.75 | | | | 0.10 | | | | 109,263 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra Russell2000 | | | 0.75 | | | | 0.10 | | | | 1,232,491 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra S&P500® | | | 0.75 | | | | 0.10 | | | | 206,222 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra Semiconductors | | | 0.75 | | | | 0.10 | | | | 63,159 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra SmallCap600 | | | 0.75 | | | | 0.10 | | | | 137,910 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra Technology | | | 0.75 | | | | 0.10 | | | | — | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| Ultra Telecommunications | | | 0.75 | | | | 0.10 | | | | 18,012 | | | | 2,402 | | | | 89,984 | | | | 0.95 | | | September 30, 2022 | |
| Ultra Utilities | | | 0.75 | | | | 0.10 | | | | 90,615 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraPro Dow30SM | | | 0.75 | | | | 0.10 | | | | — | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraPro MidCap400 | | | 0.75 | | | | 0.10 | | | | 179,962 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraPro QQQ | | | 0.75 | | | | 0.10 | | | | 19,125,963 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraPro Russell2000 | | | 0.75 | | | | 0.10 | | | | 1,230,426 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraPro S&P500® | | | 0.75 | | | | 0.10 | | | | — | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraPro Short 20+ Year Treasury | | | 0.75 | | | | 0.10 | | | | — | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraPro Short Dow30SM | | | 0.75 | | | | 0.10 | | | | — | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraPro Short MidCap400 | | | 0.75 | | | | 0.10 | | | | 47,561 | | | | 6,341 | | | | 19,674 | | | | 0.95 | | | September 30, 2022 | |
| UltraPro Short QQQ | | | 0.75 | | | | 0.10 | | | | 666,032 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraPro Short Russell2000 | | | 0.75 | | | | 0.10 | | | | 129,738 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraPro Short S&P500® | | | 0.75 | | | | 0.10 | | | | — | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraShort 7-10 Year Treasury | | | 0.75 | | | | 0.10 | | | | 32,718 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraShort 20+ Year Treasury | | | 0.75 | | | | 0.10 | | | | — | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraShort Basic Materials | | | 0.75 | | | | 0.10 | | | | 17,148 | | | | 2,286 | | | | 51,068 | | | | 0.95 | | | September 30, 2022 | |
| UltraShort Consumer Goods | | | 0.75 | | | | 0.10 | | | | 7,153 | | | | 954 | | | | 69,146 | | | | 0.95 | | | September 30, 2022 | |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 287
| Fund | | Investment
Advisory
Fee Rate* | | Management
Services
Fee Rate | | Advisory
Fees Waived | | Management
Services
Fees Waived | | Expense
Reimbursements | | Expense
Limitation | | Expense Limitation
Effective Through | |
| UltraShort Consumer Services | | | 0.75 | % | | | 0.10 | % | | $ | 11,269 | | | $ | 1,503 | | | $ | 60,723 | | | | 0.95 | % | | September 30, 2022 | |
| UltraShort Dow30SM | | | 0.75 | | | | 0.10 | | | | 55,917 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraShort Financials | | | 0.75 | | | | 0.10 | | | | 70,655 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraShort FTSE China 50 | | | 0.75 | | | | 0.10 | | | | 93,416 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraShort FTSE Europe | | | 0.75 | | | | 0.10 | | | | 87,390 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraShort Health Care | | | 0.75 | | | | 0.10 | | | | 13,933 | | | | 1,858 | | | | 61,377 | | | | 0.95 | | | September 30, 2022 | |
| UltraShort Industrials | | | 0.75 | | | | 0.10 | | | | 17,140 | | | | 2,285 | | | | 59,191 | | | | 0.95 | | | September 30, 2022 | |
| UltraShort MidCap400 | | | 0.75 | | | | 0.10 | | | | 15,639 | | | | 2,085 | | | | 56,807 | | | | 0.95 | | | September 30, 2022 | |
| UltraShort MSCI Brazil Capped | | | 0.75 | | | | 0.10 | | | | 93,871 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraShort MSCI EAFE | | | 0.75 | | | | 0.10 | | | | 10,092 | | | | 1,346 | | | | 75,345 | | | | 0.95 | | | September 30, 2022 | |
| UltraShort MSCI Emerging Markets | | | 0.75 | | | | 0.10 | | | | 55,299 | | | | 7,373 | | | | 24,205 | | | | 0.95 | | | September 30, 2022 | |
| UltraShort MSCI Japan | | | 0.75 | | | | 0.10 | | | | 32,843 | | | | 4,379 | | | | 49,552 | | | | 0.95 | | | September 30, 2022 | |
| UltraShort Nasdaq Biotechnology | | | 0.75 | | | | 0.10 | | | | 62,224 | | | | 8,296 | | | | 2,686 | | | | 0.95 | | | September 30, 2022 | |
| UltraShort Oil & Gas | | | 0.75 | | | | 0.10 | | | | 73,259 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraShort QQQ | | | 0.75 | | | | 0.10 | | | | 193,776 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraShort Real Estate | | | 0.75 | | | | 0.10 | | | | 75,437 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraShort Russell2000 | | | 0.75 | | | | 0.10 | | | | 109,034 | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraShort S&P500® | | | 0.75 | | | | 0.10 | | | | — | | | | — | | | | — | | | | 0.95 | | | September 30, 2022 | |
| UltraShort Semiconductors | | | 0.75 | | | | 0.10 | | | | 26,194 | | | | 3,492 | | | | 40,259 | | | | 0.95 | | | September 30, 2022 | |
| UltraShort SmallCap600 | | | 0.75 | | | | 0.10 | | | | 24,014 | | | | 3,202 | | | | 44,716 | | | | 0.95 | | | September 30, 2022 | |
| UltraShort Technology | | | 0.75 | | | | 0.10 | | | | 42,371 | | | | 5,649 | | | | 26,108 | | | | 0.95 | | | September 30, 2022 | |
| UltraShort Utilities | | | 0.75 | | | | 0.10 | | | | 14,109 | | | | 1,881 | | | | 54,113 | | | | 0.95 | | | September 30, 2022 | |
* In addition to the expense limitations disclosed above, the Advisor has entered into an Advisory Fee Waiver Agreement for each Fund that reduces the annualized advisory fee rate subject to the following breakpoints: 0.75% of the first $4.0 billion of average daily net assets of the Fund, 0.70% of the next $1.5 billion, 0.65% of the next $1.5 billion, 0.60% of the next $1.5 billion and 0.55% of average daily net assets of the Fund over $8.5 billion. To the extent that a Fund achieves an asset breakpoint, the Advisor will waive fees in order to match the corresponding reduction in the tiered advisory fee limit. Any such waivers are reflected as a component of "Expenses waived and/or reimbursed by Advisor" on the Statements of Operations, and are not subject to subsequent recoupment by the Advisor. During the year ended May 31, 2022, advisory fees of $663,915 were waived for Ultra QQQ pursuant to this agreement, resulting in a net advisory fee of 0.74%. During the year ended May 31, 2022, advisory fees of $206,222 were waived for Ultra S&P500 pursuant to this agreement, resulting in a net advisory fee of 0.75%.During the year ended May 31, 2022, advisory fees of $19,125,963 were waived for UltraPro QQQ pursuant to this agreement, resulting in a net advisory fee of 0.63%.
For each Fund, amounts waived or reimbursed by the Advisor may be recouped by the Advisor within five years of the end of the applicable contractual period to the extent that such recoupments would not cause a Fund's annualized operating expenses to exceed the lesser of (1) the expense limitation in effect at the time of waiver, and (2) the expense limitation in effect at the time of recoupment. Any amounts recouped by the Advisor during the period are reflected in the Statements of Operations as "Recoupment of prior expenses waived and/or reimbursed by Advisor". As of May 31, 2022, the amounts eligible for recoupment and the date of expiration are as follows:
| | | Expires September 30, | | Total Amount
Eligible for | |
| Fund | | 2022 | | 2023 | | 2024 | | 2025 | | 2026 | | 2027 | | Recoupment | |
| Short 7-10 Year Treasury | | $ | 37,209 | | | $ | 30,777 | | | $ | 68,440 | | | $ | 58,236 | | | $ | 39,494 | | | $ | 7,364 | | | $ | 241,520 | | |
| Short Dow30SM | | | 63,829 | | | | 56,819 | | | | 58,252 | | | | 81,443 | | | | 71,179 | | | | 658 | | | | 332,180 | | |
| Short Financials | | | 60,938 | | | | 56,880 | | | | 67,106 | | | | 66,465 | | | | 67,738 | | | | 43,542 | | | | 362,669 | | |
| Short FTSE China 50 | | | 63,961 | | | | 64,014 | | | | 72,169 | | | | 73,907 | | | | 69,478 | | | | 63,182 | | | | 406,711 | | |
| Short High Yield | | | 74,384 | | | | 47,725 | | | | 67,482 | | | | 89,319 | | | | 73,328 | | | | 53,049 | | | | 405,287 | | |
| Short MidCap400 | | | 54,461 | | | | 59,003 | | | | 64,470 | | | | 62,288 | | | | 64,925 | | | | 41,203 | | | | 346,350 | | |
| Short MSCI EAFE | | | 75,099 | | | | 50,861 | | | | 65,324 | | | | 67,005 | | | | 77,986 | | | | 54,484 | | | | 390,759 | | |
| Short MSCI Emerging Markets | | | 53,542 | | | | 33,973 | | | | 67,720 | | | | 74,764 | | | | 73,663 | | | | 58,956 | | | | 362,618 | | |
| Short QQQ | | | 239,709 | | | | 217,677 | | | | 289,992 | | | | 356,298 | | | | 296,075 | | | | 246,967 | | | | 1,646,718 | | |
| Short Real Estate | | | 59,167 | | | | 60,323 | | | | 68,486 | | | | 68,631 | | | | 72,237 | | | | 44,295 | | | | 373,139 | | |
| Short Russell2000 | | | 249,456 | | | | 199,443 | | | | 188,717 | | | | 278,667 | | | | 231,769 | | | | 101,015 | | | | 1,249,067 | | |
288 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
| | | Expires September 30, | | Total Amount
Eligible for | |
| Fund | | 2022 | | 2023 | | 2024 | | 2025 | | 2026 | | 2027 | | Recoupment | |
| Short SmallCap600 | | $ | 53,416 | | | $ | 60,957 | | | $ | 69,876 | | | $ | 67,242 | | | $ | 69,001 | | | $ | 45,132 | | | $ | 365,624 | | |
| Ultra 7-10 Year Treasury | | | 62,536 | | | | 71,959 | | | | 89,428 | | | | 90,240 | | | | 91,778 | | | | 57,998 | | | | 463,939 | | |
| Ultra 20+ Year Treasury | | | 76,690 | | | | 73,005 | | | | 92,526 | | | | 88,560 | | | | 86,760 | | | | 51,584 | | | | 469,125 | | |
| Ultra Basic Materials | | | 88,772 | | | | 101,200 | | | | 101,333 | | | | 104,481 | | | | 92,884 | | | | 76,147 | | | | 564,817 | | |
| Ultra Consumer Goods | | | 97,284 | | | | 106,550 | | | | 105,592 | | | | 122,429 | | | | 108,679 | | | | 84,473 | | | | 625,007 | | |
| Ultra Consumer Services | | | 96,358 | | | | 110,784 | | | | 103,519 | | | | 125,868 | | | | 117,859 | | | | 67,635 | | | | 622,023 | | |
| Ultra Dow30SM | | | 52,465 | | | | 42,175 | | | | 83,496 | | | | 88,574 | | | | 44,099 | | | | 4,815 | | | | 315,624 | | |
| Ultra Financials | | | — | | | | — | | | | 37,956 | | | | 123,292 | | | | — | | | | 5,052 | | | | 166,300 | | |
| Ultra FTSE China 50 | | | 68,253 | | | | 87,846 | | | | 77,866 | | | | 88,086 | | | | 79,216 | | | | 69,888 | | | | 471,155 | | |
| Ultra FTSE Europe | | | 53,612 | | | | 57,464 | | | | 67,523 | | | | 68,397 | | | | 91,549 | | | | 56,147 | | | | 394,692 | | |
| Ultra Health Care | | | 93,516 | | | | 119,750 | | | | 135,285 | | | | 131,973 | | | | 94,412 | | | | 80,081 | | | | 655,017 | | |
| Ultra High Yield | | | 144,442 | | | | 143,367 | | | | 157,016 | | | | 76,009 | | | | 127,422 | | | | 10,609 | | | | 658,865 | | |
| Ultra Industrials | | | 99,560 | | | | 117,943 | | | | 101,797 | | | | 124,278 | | | | 143,038 | | | | 64,529 | | | | 651,145 | | |
| Ultra MidCap400 | | | 86,553 | | | | 98,454 | | | | 149,145 | | | | 129,159 | | | | 153,030 | | | | 36,219 | | | | 652,560 | | |
| Ultra MSCI Brazil Capped | | | 57,727 | | | | 57,780 | | | | 68,922 | | | | 68,903 | | | | 73,357 | | | | 67,424 | | | | 394,113 | | |
| Ultra MSCI EAFE | | | 58,174 | | | | 58,330 | | | | 68,038 | | | | 67,971 | | | | 61,981 | | | | 70,437 | | | | 384,931 | | |
| Ultra MSCI Emerging Markets | | | 53,106 | | | | 55,431 | | | | 64,469 | | | | 67,179 | | | | 74,970 | | | | 53,529 | | | | 368,684 | | |
| Ultra MSCI Japan | | | 54,716 | | | | 58,663 | | | | 78,351 | | | | 68,707 | | | | 76,205 | | | | 78,703 | | | | 415,345 | | |
| Ultra Nasdaq Biotechnology | | | 352,874 | | | | 357,572 | | | | 348,301 | | | | 239,152 | | | | 310,901 | | | | 161,614 | | | | 1,770,414 | | |
| Ultra Nasdaq Cloud Computing | | | — | | | | — | | | | — | | | | — | | | | 40,946 | | | | 51,322 | | | | 92,268 | | |
| Ultra Nasdaq Cybersecurity | | | — | | | | — | | | | — | | | | — | | | | 39,101 | | | | 31,371 | | | | 70,472 | | |
| Ultra Oil & Gas | | | 121,239 | | | | 107,939 | | | | 128,797 | | | | 139,377 | | | | 103,663 | | | | 51,164 | | | | 652,179 | | |
| Ultra QQQ | | | 464,316 | | | | 627,801 | | | | 734,603 | | | | 856,753 | | | | 721,976 | | | | 485,529 | | | | 3,890,978 | | |
| Ultra Real Estate | | | 100,745 | | | | 122,540 | | | | 116,571 | | | | 141,016 | | | | 99,269 | | | | 75,782 | | | | 655,923 | | |
| Ultra Russell2000 | | | 678,331 | | | | 826,508 | | | | 598,481 | | | | 325,953 | | | | 1,190,983 | | | | 807,628 | | | | 4,427,884 | | |
| Ultra Semiconductors | | | 75,266 | | | | 96,820 | | | | 104,479 | | | | 116,117 | | | | 78,674 | | | | 48,059 | | | | 519,415 | | |
| Ultra SmallCap600 | | | 115,280 | | | | 150,594 | | | | 112,888 | | | | 144,160 | | | | 105,717 | | | | 101,613 | | | | 730,252 | | |
| Ultra Technology | | | 9,801 | | | | 134,585 | | | | 135,521 | | | | 100,677 | | | | — | | | | 57,269 | | | | 437,853 | | |
| Ultra Telecommunications | | | 93,855 | | | | 91,919 | | | | 108,608 | | | | 107,921 | | | | 108,243 | | | | 74,598 | | | | 585,144 | | |
| Ultra Utilities | | | 94,203 | | | | 92,407 | | | | 102,810 | | | | 121,341 | | | | 137,989 | | | | 51,865 | | | | 600,615 | | |
| UltraPro Dow30SM | | | 11,376 | | | | 19,082 | | | | 91,917 | | | | 78,445 | | | | — | | | | 7,784 | | | | 208,604 | | |
| UltraPro MidCap400 | | | 79,187 | | | | 135,605 | | | | 112,697 | | | | 132,762 | | | | 108,219 | | | | 144,001 | | | | 712,471 | | |
| UltraPro Russell2000 | | | 812,931 | | | | 764,947 | | | | 827,229 | | | | 823,180 | | | | 1,251,635 | | | | 774,126 | | | | 5,254,048 | | |
| UltraPro Short 20+ Year Treasury | | | — | | | | 5,102 | | | | 46,924 | | | | 61,705 | | | | 33,554 | | | | — | | | | 147,285 | | |
| UltraPro Short Dow30SM | | | — | | | | 91,521 | | | | 68,233 | | | | 105,555 | | | | 100,679 | | | | 2,395 | | | | 368,383 | | |
| UltraPro Short MidCap400 | | | 62,493 | | | | 65,192 | | | | 72,678 | | | | 70,658 | | | | 73,860 | | | | 49,444 | | | | 394,325 | | |
| UltraPro Short QQQ | | | 359,287 | | | | 290,662 | | | | 465,760 | | | | 788,628 | | | | 705,136 | | | | 467,991 | | | | 3,077,464 | | |
| UltraPro Short Russell2000 | | | 103,833 | | | | 112,751 | | | | 98,638 | | | | 150,084 | | | | 160,458 | | | | 86,674 | | | | 712,438 | | |
| UltraShort 7-10 Year Treasury | | | 3,327 | | | | — | | | | 38,596 | | | | 53,252 | | | | 46,329 | | | | 18,303 | | | | 159,807 | | |
| UltraShort Basic Materials | | | 64,799 | | | | 63,073 | | | | 70,451 | | | | 71,277 | | | | 68,121 | | | | 47,327 | | | | 385,048 | | |
| UltraShort Consumer Goods | | | 64,050 | | | | 61,744 | | | | 69,385 | | | | 69,579 | | | | 68,984 | | | | 54,164 | | | | 387,906 | | |
| UltraShort Consumer Services | | | 64,734 | | | | 62,218 | | | | 70,715 | | | | 70,585 | | | | 69,905 | | | | 50,206 | | | | 388,363 | | |
| UltraShort Dow30SM | | | 77,135 | | | | 82,051 | | | | 73,406 | | | | 98,336 | | | | 79,732 | | | | 30,829 | | | | 441,489 | | |
| UltraShort Financials | | | 67,185 | | | | 61,995 | | | | 69,598 | | | | 74,558 | | | | 71,867 | | | | 45,795 | | | | 390,998 | | |
| UltraShort FTSE China 50 | | | 90,082 | | | | 76,673 | | | | 84,460 | | | | 90,775 | | | | 74,667 | | | | 67,958 | | | | 484,615 | | |
| UltraShort FTSE Europe | | | 62,101 | | | | 55,794 | | | | 66,712 | | | | 68,772 | | | | 66,885 | | | | 64,443 | | | | 384,707 | | |
| UltraShort Health Care | | | 62,982 | | | | 61,997 | | | | 68,921 | | | | 69,051 | | | | 68,004 | | | | 54,126 | | | | 385,081 | | |
| UltraShort Industrials | | | 61,627 | | | | 61,531 | | | | 69,530 | | | | 70,135 | | | | 68,882 | | | | 55,364 | | | | 387,069 | | |
| UltraShort MidCap400 | | | 61,997 | | | | 64,164 | | | | 72,713 | | | | 72,300 | | | | 72,191 | | | | 49,953 | | | | 393,318 | | |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 289
| | | Expires September 30, | | Total Amount
Eligible for | |
| Fund | | 2022 | | 2023 | | 2024 | | 2025 | | 2026 | | 2027 | | Recoupment | |
| UltraShort MSCI Brazil Capped | | $ | 63,937 | | | $ | 54,325 | | | $ | 62,331 | | | $ | 63,948 | | | $ | 70,621 | | | $ | 70,793 | | | $ | 385,955 | | |
| UltraShort MSCI EAFE | | | 59,845 | | | | 61,180 | | | | 69,545 | | | | 70,471 | | | | 68,132 | | | | 63,600 | | | | 392,773 | | |
| UltraShort MSCI Emerging Markets | | | 62,095 | | | | 59,291 | | | | 67,151 | | | | 69,292 | | | | 69,189 | | | | 63,470 | | | | 390,488 | | |
| UltraShort MSCI Japan | | | 57,556 | | | | 60,345 | | | | 68,641 | | | | 68,361 | | | | 68,340 | | | | 63,859 | | | | 387,102 | | |
| UltraShort Nasdaq Biotechnology | | | 85,111 | | | | 67,576 | | | | 73,296 | | | | 73,070 | | | | 67,920 | | | | 50,441 | | | | 417,414 | | |
| UltraShort Oil & Gas | | | 62,586 | | | | 57,364 | | | | 67,749 | | | | 67,234 | | | | 64,443 | | | | 51,817 | | | | 371,193 | | |
| UltraShort QQQ | | | 246,278 | | | | 213,623 | | | | 230,252 | | | | 263,220 | | | | 185,861 | | | | 134,044 | | | | 1,273,278 | | |
| UltraShort Real Estate | | | 76,125 | | | | 68,322 | | | | 81,940 | | | | 87,665 | | | | 74,474 | | | | 49,845 | | | | 438,371 | | |
| UltraShort Russell2000 | | | 152,686 | | | | 127,910 | | | | 115,973 | | | | 148,967 | | | | 123,449 | | | | 71,194 | | | | 740,179 | | |
| UltraShort Semiconductors | | | 61,295 | | | | 62,679 | | | | 70,672 | | | | 72,127 | | | | 69,723 | | | | 46,623 | | | | 383,119 | | |
| UltraShort SmallCap600 | | | 60,768 | | | | 62,947 | | | | 70,540 | | | | 69,711 | | | | 71,020 | | | | 48,167 | | | | 383,153 | | |
| UltraShort Technology | | | 63,735 | | | | 62,504 | | | | 71,059 | | | | 72,086 | | | | 68,752 | | | | 50,955 | | | | 389,091 | | |
| UltraShort Utilities | | | 60,181 | | | | 60,800 | | | | 68,277 | | | | 69,238 | | | | 67,517 | | | | 47,052 | | | | 373,065 | | |
Employees of the Advisor serve in the roles of Interested Trustee, President, Chief Legal Officer and Secretary of the Trust. These individuals receive no compensation directly from the Trust. Another employee of the Advisor serves as Chief Compliance Officer and Anti-Money Laundering Officer. This individual's related compensation, along with the compensation of staff who administer the Funds' compliance program, and certain other expenses are reimbursed to the Advisor by the Funds and are reflected on the Statements of Operations as "Compliance services fees".
5. Administration Fees
JPMorgan Chase Bank, N.A. acts as the Trust's administrator (the "Administrator"). The Administrator provides certain administrative services to the Funds, including fund accounting, fund administration and certain compliance services, pursuant to a Fund Services Agreement. For these services, each Fund shall pay the Administrator monthly, a fee accrued daily and based on average net assets. Each Fund may also reimburse the Administrator for such out-of-pocket expenses as incurred by the Administrator in the performance of its duties. Such fees are reflected on the Statements of Operations as "Administration Fees". Certain employees of the Administrator are also officers of the Trust.
6. Custodian Fees
JPMorgan Chase Bank, N.A. acts as custodian for the Funds in accordance with a Custody 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. Such fees are reflected on the Statements of Operations as "Custodian Fees".
7. Listing, Data and Related Fees
The Funds may incur costs relating to their initial and ongoing listing on an exchange and for the calculation and dissemination of Indicative Optimized Portfolio Values (IOPVs). Additionally, a Fund may enter into a license agreement for the right to use an Index and the related Trade Mark(s) and to receive data related to the index from the index provider. The portion of such costs attributed to each Fund is reflected on the Statements of Operations as "Listing, Data and related fees".
8. Trustees Fees
The Trust, together with other affiliated trusts, pay each Independent Trustee an aggregate fee consisting of a $325,000 annual retainer (paid in quarterly increments) for services provided as a Board member. Prior to July 1, 2021, each Independent trustee was paid a $185,000 annual retainer for services provided as a Board member, plus a quarterly in-person meeting fee of $10,000, an in-person special meeting fee of $3,000 and a telephonic meeting fee of $3,000. Such fees are allocated between the Funds and other affiliated funds. Each Fund's share of these fees, together with reimbursable expenses of the Trustees, is reflected on the Statements of Operations as "Trustees Fees".
9. Distribution and Service Plan
SEI Investments Distribution Co. 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.
290 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
10. Issuance and Redemption of Fund Shares
Each Fund issues and redeems its shares only to Authorized Participants (typically broker-dealers) in exchange for the deposit or delivery of a basket of assets (securities and/or cash), in large blocks known as Creation Units, each of which is comprised of a specified number of shares.
To the extent the Funds permit the contribution of securities in exchange for the purchase of shares (contribution in-kind), shares may be issued in advance of receipt by the Fund of all or a portion of the applicable Deposit Securities. In these circumstances, the Fund may require the Authorized Participant to maintain with the Trust an amount up to 115% and/or 125% of the daily mark-to-market value of the missing Deposit Securities.
Retail investors may only purchase and sell Fund shares on a national securities exchange through a broker-dealer and such transactions may be subject to customary commission rates imposed by the broker-dealer.
Authorized Participants may pay transaction fees to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units. Transaction fees related to unsettled Creation Unit transactions are included in the receivable for capital shares issued on the Statements of Assets and Liabilities. None of the Funds had any transaction fees for the year ended May 31, 2022 or the year ended May 31, 2021.
11. Investment Transactions
For the year ended May 31, 2022, the cost of securities purchased and proceeds from sales of securities (U.S. government securities for ProShares Ultra 7-10 Year Treasury and ProShares Ultra 20+ Year Treasury), excluding short-term securities, derivatives and in-kind transactions, were:
| Fund | | Purchases | | Sales | |
| Ultra 7-10 Year Treasury | | $ | 5,657,954 | | | $ | 20,802,361 | | |
| Ultra 20+ Year Treasury | | | 21,879,605 | | | | 7,138,246 | | |
| Ultra Basic Materials | | | 11,185,341 | | | | 2,874,592 | | |
| Ultra Consumer Goods | | | 30,670,482 | | | | 1,014,623 | | |
| Ultra Consumer Services | | | 22,727,094 | | | | 4,091,967 | | |
| Ultra Dow30SM | | | 256,492,739 | | | | 15,651,692 | | |
| Ultra Financials | | | 1,290,328,722 | | | | 51,603,827 | | |
| Ultra Health Care | | | 273,582,693 | | | | 15,897,597 | | |
| Ultra Industrials | | | 40,449,691 | | | | 2,046,956 | | |
| Ultra MidCap400 | | | 80,909,103 | | | | 74,420,150 | | |
| Ultra MSCI Japan | | | 25,469,028 | | | | 15,674,619 | | |
| Ultra Nasdaq Biotechnology | | | 47,794,498 | | | | 114,059,286 | | |
| Ultra Nasdaq Cloud Computing | | | 1,206,723 | | | | 1,625,155 | | |
| Ultra Nasdaq Cybersecurity | | | 100,074 | | | | — | | |
| Ultra Oil & Gas | | | 112,971,194 | | | | 46,005,646 | | |
| Ultra QQQ | | | 4,881,233,050 | | | | 2,377,497,010 | | |
| Ultra Real Estate | | | 47,358,323 | | | | 9,796,445 | | |
| Ultra Russell2000 | | | 550,800,007 | | | | 123,767,278 | | |
| Ultra S&P500® | | | 3,478,154,965 | | | | 703,306,097 | | |
| Ultra Semiconductors | | | 373,127,046 | | | | 218,396,519 | | |
| Ultra SmallCap600 | | | 17,420,173 | | | | 8,005,951 | | |
| Ultra Technology | | | 796,408,009 | | | | 282,237,178 | | |
| Ultra Telecommunications | | | 695,444 | | | | 605,773 | | |
| Ultra Utilities | | | 8,235,492 | | | | 3,640,526 | | |
| UltraPro Dow30SM | | | 1,217,911,057 | | | | 252,388,169 | | |
| UltraPro MidCap400 | | | 69,886,538 | | | | 32,016,029 | | |
| UltraPro QQQ | | | 23,303,283,069 | | | | 15,937,978,332 | | |
| UltraPro Russell2000 | | | 924,683,496 | | | | 153,868,814 | | |
| UltraPro S&P500® | | | 4,213,746,582 | | | | 1,463,472,762 | | |
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 291
12. In-Kind Transactions
During the period presented in this report, certain Funds delivered portfolio securities in exchange for the redemption of shares (redemption-in-kind). Cash and securities were transferred for redemptions at fair value. For financial reporting purposes, the Funds recorded net realized gains and losses in connection with each transaction.
For the year ended May 31, 2022, the fair value of the securities transferred for redemptions, and the net realized gains (losses) recorded in connection with the transactions were as follows:
| Fund | | Fair Value | | Net Realized
Gains (Losses) | |
| Ultra 20+ Year Treasury | | $ | 24,464,046 | | | $ | (742,803 | ) | |
| Ultra Basic Materials | | | 50,405,334 | | | | 10,108,504 | | |
| Ultra Consumer Goods | | | 32,406,999 | | | | 1,773,129 | | |
| Ultra Consumer Services | | | 24,874,756 | | | | 1,817,884 | | |
| Ultra Dow30SM | | | 254,218,226 | | | | 33,207,902 | | |
| Ultra Financials | | | 1,275,192,371 | | | | 178,062,449 | | |
| Ultra Health Care | | | 301,378,693 | | | | 27,397,070 | | |
| Ultra Industrials | | | 50,916,228 | | | | 5,920,779 | | |
| Ultra MidCap400 | | | 50,965,023 | | | | 13,421,526 | | |
| Ultra MSCI Japan | | | 5,955,059 | | | | 12,469 | | |
| Ultra Nasdaq Biotechnology | | | 165,095,120 | | | | 16,320,565 | | |
| Ultra Nasdaq Cybersecurity | | | 105,831 | | | | 14,939 | | |
| Ultra Oil & Gas | | | 220,975,976 | | | | 71,112,874 | | |
| Ultra QQQ | | | 4,061,750,970 | | | | 832,746,488 | | |
| Ultra Real Estate | | | 36,288,402 | | | | 6,816,533 | | |
| Ultra Russell2000 | | | 824,759,884 | | | | 29,735,418 | | |
| Ultra S&P500® | | | 5,273,809,214 | | | | 623,194,381 | | |
| Ultra Semiconductors | | | 322,149,785 | | | | 52,205,092 | | |
| Ultra SmallCap600 | | | 8,036,217 | | | | 2,283,773 | | |
| Ultra Technology | | | 612,392,182 | | | | 150,392,191 | | |
| Ultra Utilities | | | 9,328,079 | | | | 594,325 | | |
| UltraPro Dow30SM | | | 3,152,907,560 | | | | 114,080,071 | | |
| UltraPro MidCap400 | | | 40,856,924 | | | | 3,353,681 | | |
| UltraPro QQQ | | | 16,906,163,425 | | | | 2,172,349,139 | | |
| UltraPro Russell2000 | | | 700,314,554 | | | | 4,839,711 | | |
| UltraPro S&P500® | | | 5,159,142,910 | | | | 331,502,190 | | |
In addition, during the period, certain Funds received securities in exchange for subscriptions of shares (subscriptions-in-kind). For the year ended May 31, 2022, the fair value of the securities received for subscriptions were as follows:
| Fund | | Fair Value | |
| Ultra Basic Materials | | $ | 5,333,602 | | |
| Ultra Consumer Goods | | | 1,243,677 | | |
| Ultra Health Care | | | 51,373,562 | | |
| Ultra Industrials | | | 1,690,987 | | |
| Ultra MidCap400 | | | 13,602,165 | | |
| Ultra Nasdaq Biotechnology | | | 90,236,319 | | |
| Ultra Nasdaq Cloud Computing | | | 1,923,968 | | |
| Ultra Nasdaq Cybersecurity | | | 53,898 | | |
| Ultra Oil & Gas | | | 24,919,973 | | |
| Ultra QQQ | | | 1,531,746,155 | | |
| Ultra Real Estate | | | 13,386,364 | | |
| Ultra Russell2000 | | | 5,156,000 | | |
| Ultra S&P500® | | | 2,643,259,790 | | |
| Ultra Semiconductors | | | 166,552,236 | | |
292 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
| Fund | | Fair Value | |
| Ultra SmallCap600 | | $ | 3,699,458 | | |
| Ultra Technology | | | 109,454,186 | | |
| Ultra Utilities | | | 11,244,809 | | |
| UltraPro Dow30SM | | | 2,094,087,262 | | |
| UltraPro MidCap400 | | | 5,749,060 | | |
| UltraPro QQQ | | | 14,699,400,830 | | |
| UltraPro S&P500® | | | 3,349,109,647 | | |
13. Share Splits and Reverse Share Splits
Effective January 13, 2022, each of ProShares Ultra Consumer Services, ProShares Ultra S&P500®, ProShares Ultra Technology, ProShares UltraPro QQQ and ProShares UltraPro S&P500®, underwent a 2-for-1 share split; ProShares Ultra Consumer Goods underwent a 4-for-1 share split; ProShares Short Real Estate, ProShares UltraShort Financials and ProShares UltraShort Technology underwent a 1-for-2 reverse share split and cusip change and ProShares UltraPro Short QQQ, ProShares UltraPro Short Russell2000, ProShares UltraShort Dow30SM, ProShares UltraShort Oil & Gas and UltraShort S&P500® underwent a 1-for-5 reverse share split and cusip change.
Effective May 27, 2022, each of ProShares Ultra Basic Materials and ProShares Ultra Oil & Gas underwent a 4-for-1 share split; ProShares UltraShort Consumer Services and ProShares UltraShort MSCI Brazil Capped underwent a 1-for-2 reverse share split and cusip change.
The effect of the share split transactions was to multiply the number of outstanding shares of the Funds by the split factor, with a corresponding decrease in the net asset value per share; and the effect of the reverse share split transactions was to divide the number of outstanding shares of the Funds by the reverse split factor, with a corresponding increase in the net asset value per share. These transactions did not change the net assets of the Funds or the value of a shareholder's investment. The historical share transactions presented in the Statements of Changes in Net Assets and per share data presented in the Financial Highlights have been adjusted retroactively to give effect to the share splits and reverse share splits. Additionally, when the application of reverse share splits resulted in fractional shares for beneficial shareholders, a portion of the cost of shares redeemed, as presented in the Statements of Changes in Net Assets, reflects payment of fractional share balances on beneficial shareholder accounts.
14. Risk
Some risks apply to all Funds, while others are specific to the investment strategy of certain Funds. Each Fund may be subject to other risks in addition to these identified risks. This section discusses certain common principal risks encountered by the Funds.
• Risks Associated with the Use of Derivatives
Certain Funds obtain investment exposure through derivatives (including investing in futures contracts, options on futures contracts, securities and indexes, forward contracts, swap agreements and similar instruments). Investing in derivatives may be considered aggressive and may expose a Fund to risks different from, or possibly greater than, the risks associated with investing directly in securities underlying the derivative, including: 1) the risk that there may be imperfect correlation between the price of financial instruments and movements in the prices of the underlying reference asset(s); 2) the risk that an instrument is mispriced; 3) credit or counterparty risk on the amount each Fund expects to receive from a counterparty; 4) the risk that securities prices, interest rates and currency markets will move adversely and a Fund will incur significant losses; 5) the risk that the cost of holding a financial instrument might exceed its total return; and 6) the possible absence of a liquid secondary market for a particular instrument and possible exchange-imposed price fluctuation limits, either of which may make it difficult or impossible to adjust a Fund's position in a particular instrument when desired. The occurrence of any of these factors may prevent the Fund from achieving its investment objective. Because derivatives often require limited initial investment, the use of derivatives also may expose the Fund to losses in excess of those amounts initially invested.
Certain Funds may use a combination of swaps on an underlying index or swaps on an ETF that is designed to track the performance of that index. The performance of an ETF may not track the performance of its underlying index due to embedded costs and other factors. Thus, to the extent a Fund invests in swaps that use an ETF as the reference asset, that Fund may be subject to greater correlation risk and may not achieve as high a degree of correlation with its index as it would if the Fund used only swaps on the underlying index.
Moreover, with respect to the use of swap agreements, if an index has a dramatic intraday move that causes a material decline in a Fund's net assets, the terms of a swap agreement between the Fund and its counterparty may permit the counterparty to immediately close out the transaction with the Fund. In that event, the Fund may be unable to enter into another swap agreement or invest in other derivatives to achieve the desired exposure consistent with the Fund's investment objective. This, in turn, may prevent the Fund from achieving its investment objective, even if the Index reverses all or a portion of its intraday move by the end of the day. Any costs associated with using derivatives will also have the effect of lowering the Fund's return.
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 293
• Leverage Risk
Certain Funds utilize leverage (i.e., obtain investment exposure in excess of their assets) in seeking to achieve their investment objective and will lose more money in market environments adverse to their daily objective than similar funds that do not employ leverage.
Because the Funds that utilize leverage include either a -3x or 3x multiplier or a -2x or 2x multiplier, a single day adverse price movement approaching 33% or 50%, respectively, in a relevant benchmark, could result in the total loss of an investor's investment.
• Concentration Risk
Certain Funds may typically concentrate their investments in issuers of one or more particular industries to the same extent that their underlying indexes are so concentrated and to the extent permitted by applicable regulatory guidance. There is a risk that those issuers (or industry sectors) will perform poorly and negatively impact a Fund. Concentration risk results from maintaining exposure (long or short) 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.
• Correlation Risk
There is no guarantee that a Fund will achieve a high degree of correlation with its index or a multiple or inverse thereof. Failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. The percentage change of the Fund's NAV each day may differ, perhaps significantly in amount, and possibly even direction, from the percentage change of the Fund's index on such day. A number of other factors may adversely affect a Fund's correlation with its index, including material over- or under-exposure, fees, expenses, transaction costs, financing costs associated with the use of derivatives, income items, valuation methodology, infrequent trading in the securities underlying its index, accounting standards and disruptions or illiquidity in the markets for the securities or financial instruments in which a Fund invests. While each Fund generally attempts to track the performance of the Index by investing all, or substantially all, of its assets in the securities that make up the Index in approximately the same proportion as their weighting in the Index, at times a Fund may not have investment exposure to all securities in its index, or, with respect to equity funds, its weighting of investment exposure to such securities, financial investments or industries may be different from that of the index. In addition, a Fund may invest in securities or financial investments not included in the index or in financial instruments. Each Fund may take or refrain from taking positions in order to improve tax efficiency or comply with regulatory restrictions, or for other reasons, each of which may negatively affect the Fund's correlation with its index. A Fund may also be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or underexposed to its index and may be impacted by index reconstitutions and index rebalancing events. Additionally, a Fund's underlying investments may trade on markets that may or may not be open on the same day as the Fund. Furthermore, a Fund's currency holdings may be valued at a different time than the level of its index. In addition, the Funds with a foreign currency hedging strategy may also be unable to perfectly match the Index and will introduce additional costs, both sources of additional correlation risk. Any of these factors could decrease correlation between the performance of a Fund and the index and may hinder a Fund's ability to meet its investment objective.
• Counterparty Risk
A Fund will be subject to credit risk (i.e., the risk that a counterparty is unwilling or unable to make timely payments or otherwise meet its contractual obligations) with respect to the amount the Fund expects to receive from counterparties to financial instruments (including derivatives and repurchase agreements) entered into by the Fund. A Fund generally structures the agreements such that either party can terminate the contract without penalty prior to the termination date. If a counterparty terminates a contract, a Fund may not be able to invest in other derivatives to achieve the desired exposure, or achieving such exposure may be more expensive. A Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations under such an agreement.
At May 31, 2022, the ProShares Ultra Consumer Goods, ProShares Ultra Financials, ProShares Ultra Oil & Gas, ProShares Ultra Semiconductors, ProShares UltraPro Dow30SM, ProShares UltraPro Short Dow30SM, ProShares UltraPro Short MidCap400, ProShares UltraPro Short Russell2000, ProShares UltraShort Consumer Services, ProShares UltraShort Industrials, ProShares UltraShort MSCI EAFE, ProShares UltraShort MSCI Emerging Markets, ProShares UltraShort Nasdaq Biotechnology, ProShares UltraShort QQQ, ProShares UltraShort Russell2000 and ProShares UltraShort Technology had net unrealized appreciation on swaps with a single counterparty which exceeded 5% of each Fund's net assets.
• Geographic Concentration Risk
Certain Funds that focus their investments in companies economically tied to particular foreign countries or geographic regions may be particularly susceptible to political, social, economic or regulatory events affecting those countries or regions. The performance of such Funds may be more volatile than a more geographically diversified fund.
• Foreign Currency Risk
Certain Funds may seek leveraged, inverse, or inverse leveraged exposure to investments denominated in foreign currencies. Investments denominated in foreign currencies are exposed to more risk than those investments denominated in U.S. dollars. The value of an investment
294 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
denominated in a foreign currency could change significantly as foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign currency losses could offset or exceed any potential gains, or add to losses, in the related investments. Regulatory fees or higher custody fees maybe imposed on foreign currency holdings.
• Liquidity Risk
In certain circumstances, such as the disruption of the orderly markets for the securities and/or financial instruments in which a Fund invests, the Fund might not be able to acquire or dispose of certain holdings quickly or at prices that represent true market value in the judgment of the Advisor. Markets for the securities and/or financial instruments in which a Fund invests may be disrupted by a number of events, including but not limited to economic crises, natural disasters, new legislation, or regulatory changes inside or outside of the U.S. For example, regulation limiting the ability of certain financial institutions to invest in certain securities would likely reduce the liquidity of those securities. These situations may prevent a Fund from limiting losses, realizing gains or achieving a high correlation with its index.
• Debt Instrument Risk
Certain Funds invest in, or seek leveraged, inverse, or inverse leveraged exposure to, debt instruments. Debt instruments may have varying levels of sensitivity to changes in interest rates and other factors. In addition, changes in the credit quality of the issuer of a debt instrument (including a default) can also affect the price of a debt instrument, as can an issuer's default on its payment obligations. These factors may cause the value of an investment in a Fund to change.
• Natural Disaster/Epidemic Risk
Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Fund may have difficulty achieving its investment objectives which may adversely impact Fund performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Fund's investment advisor, third party service providers and counterparties), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds' investments. These factors can cause substantial market volatility, exchange trading suspensions and closures, changes in the availability of and the margin requirements for certain instruments, and can impact the ability of the Fund to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis would also affect the global economy in ways that cannot necessarily be foreseen. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these could have a significant impact on a Fund's performance, resulting in losses to your investment.
• Risk that Current Assumptions and Expectations Could Become Outdated as a Result of Global Economic Shock
The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions to slow and contain the spread of COVID-19 (including any variants). These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. The global economic shocks being experienced as of the date hereof may cause the underlying assumptions and expectations of the Fund to quickly become outdated or inaccurate, resulting in significant losses. Additionally, other public health issues, war, military conflicts, sanctions, acts of terrorism, sustained elevated inflation, supply chain issues or other events could have a significant negative impact on global financial markets and economies. Russia's recent military incursions in Ukraine have led to, and may lead to additional sanctions being levied by the United States, European Union and other countries against Russia. Russia's military incursion and the resulting sanctions could adversely affect global energy and financial markets and thus could affect the value of the Fund's investments, even beyond any direct exposure the Fund may have to the region or to adjoining geographic regions. The extent and duration of the military action, sanctions and resulting market disruptions are impossible to predict, but could have a severe adverse effect on the region, including significant negative impacts on the economy and the markets for certain securities and commodities, such as oil and natural gas. How long such tensions and related events will last cannot be predicted. These tensions and any related events could have significant impact on the Fund performance and the value of an investment in the Fund.
PROSHARES TRUST NOTES TO FINANCIAL STATEMENTS :: MAY 31, 2022 :: 295
15. Indemnifications
Under the Trust's organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business the Trust enters into contracts that contain a variety of general indemnifications. The Trust's maximum exposure under these arrangements cannot be known; however, the Trust expects risk of significant loss to be remote.
16. Transactions with Lehman Brothers Holdings, Inc.
On September 15, 2008, Lehman Brothers Holdings, Inc. filed a petition for Chapter 11 bankruptcy. Prior thereto, the Funds transacted business with subsidiaries of Lehman (together with Lehman Brothers Holdings, Inc., "Lehman") whereby Lehman acted as a counterparty to certain derivative transactions and as a broker-dealer for certain investment transactions. All derivative and brokerage transactions with Lehman were terminated and executed, respectively, prior to September 15, 2008, but certain settlement payments related to such transactions were not due to be made until on or after September 15. Settlement of these transactions has been delayed due to Lehman's bankruptcy proceedings.
To the extent that Lehman, the Securities Investor Protection Corporation ("SIPC") and/or any clearing agency (the "Potential Paying Parties") fail to pay the Funds in connection with the settlement of such transactions, the Advisor has agreed to reimburse the Funds for any such losses. Specifically, the Receivables Agreement among the Advisor, ProFund Advisors LLC (an investment adviser affiliated with the Advisor), ProFunds Trust, and the Trust (collectively, the "PF Trusts") (each affiliated and under common controls with the other PF Trusts) provides that the investment adviser to specified funds of the PF Trusts will contribute cash to any such fund, equal to the amounts owed to the fund from Lehman for brokerage transactions and/or written over-the-counter derivatives agreements as of September 15, 2008 (the "Lehman Obligations"). The Receivable Agreement will not terminate until all Lehman Obligations are paid. Payments under the Receivable Agreement are triggered if any specified fund of a PF Trust does not recover the full amounts owed to it by Lehman following conclusion of all bankruptcy, liquidation and SIPC proceedings relating to Lehman. Management has determined that the Advisor has a sufficient financial ability to cover any shortfall in payments from the Potential Paying Parties, including the full amount of such outstanding balances if necessary. Accordingly, no loss is expected to be realized by the Funds. The outstanding swap agreement and brokerage transaction balances due from Lehman are included in "Due from (to) counterparty" and "Receivable for investments sold", respectively, on the Statements of Assets and Liabilities.
17. Subsequent Events
Subsequent events occurring after the date of this report have been evaluated for potential impact, for purposes of recognition or disclosure in the financial statements, through the date the report was issued.
296 :: MAY 31, 2022 :: NOTES TO FINANCIAL STATEMENTS PROSHARES TRUST
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of ProShares Trust and Shareholders of each of the eighty-one funds listed below
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments (or summary schedules of portfolio investments for the Funds indicated with an asterisk below), of each of the funds listed below (eighty-one of the funds constituting ProShares Trust, hereafter collectively referred to as the "Funds") as of May 31, 2022, the related statements of operations and of changes in net assets for each of the periods listed below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of May 31, 2022, the results of each of their operations, the changes in each of their net assets for each of the periods listed below, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.
Short 7-10 Year Treasury (a)
Short 20+ Year Treasury (a)
Short Dow30SM (a)
Short Financials (a)
Short FTSE China 50 (a)
Short High Yield (a)
Short MidCap400 (a)
Short MSCI EAFE (a)
Short MSCI Emerging Markets (a)
Short QQQ (a)
Short Real Estate (a)
Short Russell2000 (a)
Short S&P500® (a)
Short SmallCap600 (a)
Ultra 7-10 Year Treasury (a)
Ultra 20+ Year Treasury (a)
Ultra Basic Materials (a)
Ultra Consumer Goods (a)
Ultra Consumer Services (a)
Ultra Dow30SM (a)
Ultra Financials * (a)
Ultra FTSE China 50 (a)
Ultra FTSE Europe (a)
Ultra Health Care (a)
Ultra High Yield (a)
Ultra Industrials * (a)
Ultra MidCap400 * (a)
Ultra MSCI Brazil Capped (a)
Ultra MSCI EAFE (a)
Ultra MSCI Emerging Markets (a)
Ultra MSCI Japan (a)
Ultra Nasdaq Biotechnology * (a)
Ultra Nasdaq Cloud Computing (b)
Ultra Nasdaq Cybersecurity (b)
Ultra Oil & Gas (a)
Ultra QQQ (a)
Ultra Real Estate (a)
Ultra Russell2000 * (a)
Ultra S&P500® * (a)
Ultra Semiconductors (a)
Ultra SmallCap600 * (a)
Ultra Technology (a)
Ultra Telecommunications (a)
Ultra Utilities (a)
UltraPro Dow30SM (a)
UltraPro MidCap400 * (a)
UltraPro QQQ (a)
UltraPro Russell2000 * (a)
UltraPro S&P500® * (a)
UltraPro Short 20+ Year Treasury (a)
UltraPro Short Dow30SM (a)
UltraPro Short MidCap400 (a)
UltraPro Short QQQ (a)
UltraPro Short Russell2000 (a)
UltraPro Short S&P500® (a)
UltraShort 7-10 Year Treasury (a)
UltraShort 20+ Year Treasury (a)
UltraShort Basic Materials (a)
UltraShort Consumer Goods (a)
UltraShort Consumer Services (a)
UltraShort Dow30SM (a)
UltraShort Financials (a)
UltraShort FTSE China 50 (a)
UltraShort FTSE Europe (a)
UltraShort Health Care (a)
UltraShort Industrials (a)
UltraShort MidCap400 (a)
UltraShort MSCI Brazil Capped (a)
UltraShort MSCI EAFE (a)
UltraShort MSCI Emerging Markets (a)
UltraShort MSCI Japan (a)
UltraShort Nasdaq Biotechnology (a)
UltraShort Oil & Gas (a)
UltraShort QQQ (a)
UltraShort Real Estate (a)
UltraShort Russell2000 (a)
UltraShort S&P500® (a)
UltraShort Semiconductors (a)
UltraShort SmallCap600 (a)
UltraShort Technology (a)
UltraShort Utilities (a)
(a) Statement of operations for the year ended May 31, 2022, and statement of changes in net assets for each of the two years in the period ended May 31, 2022.
(b) Statement of operations for the year ended May 31, 2022 and statement of changes in net assets for the year ended May 31, 2022 and for the period January 19, 2021 (commencement of investment operations) through May 31, 2021.
Basis for Opinions
These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation
PROSHARES TRUST REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM :: 297
of securities owned as of May 31, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Baltimore, Maryland
July 27, 2022
We have served as the auditor of one or more investment companies in ProFunds and ProShares Trust group since 1997.
298 :: REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PROSHARES TRUST
Federal Tax Information
Under the Jobs and Growth Tax Relief Reconciliation Act of 2003 (the "Act"), the percentages of ordinary dividends paid during the tax year ended October 31, 2021 are designated as "qualified dividend income" (QDI), as defined in the Act, subject to reduced tax rates in 2021. The Funds also qualify for the dividends received deduction (DRD) for corporate shareholders. The Funds designated up to the maximum amount of qualified interest income (QII) from ordinary distributions paid during the tax year ended October 31, 2021.
Funds with Short-Term Capital Gain Designation
For the tax year ended October 31, 2021, the Trust does not have any ordinary distributions paid during the Trust's tax year that are from qualified short-term capital gain. The funds designate up to the maximum amount of Qualified Short Term Gains.
Funds with Equalization
For the tax year ended October 31, 2021, the following Funds utilized equalization to offset long-term capital gains with the amounts stated below:
| Fund | | Long-Term | |
| Ultra Consumer Services | | $ | 6,993 | | |
| Ultra Dow30SM | | | 4,540,122 | | |
| Ultra MSCI Japan | | | 1,047,452 | | |
| Ultra QQQ | | | 44,589,425 | | |
| Ultra S&P500® | | | 39,510,314 | | |
| Ultra Semiconductors | | | 1 | | |
| Ultra Technology | | | 67,222 | | |
| UltraPro Dow30SM | | | 7,968,810 | | |
| UltraPro QQQ | | | 129,111,385 | | |
| UltraPro S&P500® | | | 23,837,200 | | |
Proxy Voting Information
A description of the Trust's (1) proxy voting policies, (2) proxy voting procedures and (3) information regarding how the Trust voted any proxies related to portfolio securities for the prior twelve-month period ended June 30, is available by August 31 of each year, without charge, upon request by contacting the Fund directly at 1-866-PRO-5125 or on the Securities and Exchange Commission ("SEC") Website (http://www.sec.gov).
Quarterly Portfolio Holdings Information
The Funds will file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT (Form N-Q for filings prior to March 1, 2019). The Funds' Form N-PORT will be available on the SEC's Website at http://www.sec.gov. The Funds' Form N-PORT 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.
Premium/Discount Information
Information about the differences between the daily market price on the secondary markets for shares of a Fund and the Fund's net asset value may be found on the website at www.ProShares.com
PROSHARES TRUST MISC. INFORMATION (UNAUDITED) :: 299
Name, Address and Birth
Date | | Position(s)
Held with
the Trust | | Term of
Office and
Length of
Time Served | | Principal
Occupation(s)
During Past 5 Years | | Number of
Portfolios* in
Fund
Complex
Overseen by
Trustee | | Other
Directorships
Held by Trustee | |
| Independent Trustees | | | | | | | | | | | |
William D. Fertig
c/o ProFunds
7272 Wisconsin Avenue,
21st Floor
Bethesda, MD 20814
Birth Date: 9/56 | | Trustee | | Indefinite; June 2011 to present | | Context Capital Management (Alternative Asset Management): Chief Investment Officer (September 2002 to present) | | ProShares (119) ProFunds (116) | | Context Capital | |
Russell S. Reynolds, III
c/o ProFunds
7272 Wisconsin Avenue,
21st Floor
Bethesda, MD 20814
Birth Date: 7/57 | | Trustee | | Indefinite; November 2005 to present | | RSR Partners and predecessor company (Retained Executive Recruitment and Corporate Governance Consulting): Managing Director (February 1993 to present) | | ProShares (119) ProFunds (116) | | RSR Partners, Inc. | |
Michael C. Wachs
c/o ProFunds
7272 Wisconsin Avenue,
21st Floor
Bethesda, MD 20814
Birth Date: 10/61 | | Trustee | | Indefinite; November 2005 to present | | Linden Lane Capital Partners LLC (Real Estate Investment and Development): Managing Principal (2010 to present) | | ProShares (119) ProFunds (116) | | NAIOP (the Commercial Real Estate Development Association) | |
| Interested Trustee and Chairman of the Board | | | | | | | | | | | |
Michael L. Sapir**
7272 Wisconsin Avenue,
21st Floor
Bethesda, MD 20814
Birth Date: 5/58 | | Trustee and Chairman | | Indefinite; 2002 to present | | Chairman and Chief Executive Officer of the ProShare Advisors (November 2005 to present); ProFund Advisors LLC (April 1997 to present); and ProShare Capital Management LLC (August 2008 to present) | | ProShares (119) ProFunds (116) | | | |
* Represents number of operational portfolios in Fund complex overseen by Trustee.
** Mr. Sapir is an "interested person," as defined by the 1940 Act, because of his ownership interest in ProShare Advisors.
The Statement of Additional Information ("SAI") includes additional information about the Trust's Trustees and is available, without charge, upon request by contacting the Fund directly at 1-866-PRO-5125.
300 :: TRUSTEES AND EXECUTIVE OFFICERS OF PROSHARES TRUST (UNAUDITED) PROSHARES TRUST
Name, Address and Birth
Date | | Position(s)
Held with
the Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation(s) During Past 5 Years | |
| Officers | | | | | | | |
Todd B. Johnson
7272 Wisconsin Avenue,
21st Floor
Bethesda, MD 20814
Birth Date: 1/64 | | President | | Indefinite; January 2014 to present | | Chief Investment Officer of the Proshare Advisors (December 2008 to present); ProFund Advisors LLC (December 2008 to present); and ProShare Capital Management LLC (February 2009 to present) | |
Maria PC Sell
3 Canal Plaza,
Suite 100
Portland, ME 04101
Birth Date: 2/78 | | Treasurer | | Indefinite; June 2022 to present | | Director, Fund Officer Services, Foreside Financial Group, LLC (June 2021 to present); Assistant Treasurer, ProShares Trust (September 2021 to June 2022); Franklin Templeton: Director, Fund Administration and Reporting (April 2014 to April 2021) | |
Victor M. Frye, Esq.
7272 Wisconsin Avenue,
21st Floor
Bethesda, MD 20814
Birth Date: 10/58 | | Chief Compliance Officer and AML Officer | | Indefinite; November 2005 to present | | Counsel and Chief Compliance Officer of the ProShare Advisors (December 2004 to present) and ProFund Advisors LLC (October 2002 to present); Secretary of ProFunds Distributors, Inc. (April 2008 to present) | |
Richard F. Morris
7272 Wisconsin Avenue,
21st Floor
Bethesda, MD 20814
Birth Date: 8/67 | | Chief Legal Officer and Secretary | | Indefinite; December 2015 to present | | General Counsel of ProShareAdvisors; ProFund Advisors LLC; and ProShare Capital Management LLC (December 2015 to present); Chief Legal Officer of ProFunds Distributors, Inc. (December 2015 to present) | |
PROSHARES TRUST TRUSTEES AND EXECUTIVE OFFICERS OF PROSHARES TRUST (UNAUDITED) :: 301
ProShares Trust
7272 Wisconsin Avenue, 21st Floor, Bethesda, MD 20814
866.PRO.5125 866.776.5125
ProShares.com
Geared ETFs seek returns that are either 3x, 2x, -1x, -2x or -3x the return of an index or other benchmark (target) for a single day, as measured from one NAV calculation to the next. Due to the compounding of daily returns, ProShares' returns over periods other than one day will likely differ in amount and possibly direction from the target return for the same period. These effects may be more pronounced in funds with larger or inverse multiples and in funds with volatile benchmarks. Investors should monitor their holdings consistent with their strategies, as frequently as daily. For more on correlation, leverage and other risks, please read the prospectus.
This report is submitted for the general information of the shareholders of ProShares. It is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus. To obtain the most recent month end performance information for each ETF, visit ProShares.com.
"QQQ", "NASDAQ-100®" and "NASDAQ Biotechnology Index®" are trademarks of The NASDAQ OMX Group, Inc. "Standard & Poor's®", "S&P®", "S&P 500®", "S&P MidCap 400®", "S&P SmallCap 600®", "Standard & Poor's 500®", certain "S&P Select Industry Indices", "Dow Jones Index", "DJ", "Dow Jones Industrial AverageSM", "The Dow 30SM", "Dow Jones U.S. Sector Indexes", "Dow Jones Select Sector Indexes" are products of S&P Dow Jones Indices LLC and its affiliates. The "Russell 2000® Index" and "Russell®" are trademarks of Russell Investment Group. "MSCI", "MSCI Inc.", "MSCI Index" and "EAFE" are service marks of MSCI. "ICE U.S. 7-10 Year Bond IndexTM" and "ICE U.S. 20+ Year Bond IndexTM" are trademarks of Intercontinental Exchange, Inc. "iBoxx®" is a registered trademark of Markit Indices Limited. All have been licensed for use by ProShares. "S&P®" is a registered trademark of Standard & Poor's Financial Services LLC ("S&P") and "Dow Jones®" is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones") and have been licensed for use by S&P Dow Jones Indices LLC and its affiliates. "FTSE®" is a trademark of the London Stock Exchange plc and The Financial Times Limited and is used by FTSE International Limited ("FTSE") under license. ProShares have not been passed on by these entities or their subsidiaries or affiliates as to their legality or suitability. ProShares are not sponsored, endorsed, sold or promoted by these entities or their subsidiaries or affiliates, and they make no representation regarding the advisability of investing in ProShares. THESE ENTITIES AND THEIR SUBSIDIARIES AND AFFILIATES MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO PROSHARES.
© 2021 ProShare Advisors LLC. All rights reserved. PSGAN0522
| (b) | Include a copy of each notice transmitted to stockholders in reliance on Rule 30e-3 under the Act (17 CFR 270.30e-3) that contains disclosures specified by paragraph (c)(3) of that rule. |
Not applicable.
Item 2. Code of Ethics.
As of the end of the period, May 31, 2022, the registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. This code of ethics is included as Exhibit 13(a)(1). There were no amendments or waivers to the code of ethics during the period covered by this report.
Item 3. Audit Committee Financial Expert.
The Board of Trustees has determined that William D. Fertig is an audit committee financial expert, as defined in Item 3 of Form N-CSR. William D. Fertig is independent for purposes of Item 3 of Form N-CSR
Item 4. Principal Accountant Fees and Services.
For the fiscal year ended May 31, 2022, PricewaterhouseCoopers LLP (“PwC”), the Fund’s independent registered public accounting firm, billed the Funds aggregate fees of $1,743,249 for professional services rendered for the audit of the Funds’ annual financial statements included in the Funds’ annual report to shareholders.
For the fiscal year ended May 31, 2021, PricewaterhouseCoopers LLP (“PwC”), the Fund’s independent registered public accounting firm, billed the Funds aggregate fees of $1,632,185 for professional services rendered for the audit of the Funds’ annual financial statements included in the Funds’ annual report to shareholders.
For the fiscal year ended May 31, 2022, PwC did not bill the Funds any fees for assurances and related services that are reasonably related to the performance of the audit of the Funds’ financial statements and are not reported under the section Audit Fees above.
For the fiscal year ended May 31, 2021, PwC did not bill the Funds any fees for assurances and related services that are reasonably related to the performance of the audit of the Funds’ financial statements and are not reported under the section Audit Fees above.
For the fiscal year ended May 31, 2022, PwC billed the Funds aggregate fees of $1,038,920 for professional services rendered for tax compliance, tax advice and tax planning. The nature of the services comprising the Tax Fees was the preparation of the Funds’ federal and state income tax returns, preparation of tax returns for certain foreign jurisdictions, excise tax calculations and returns and review of the Funds’ calculations of capital gain and income distributions.
For the fiscal year ended May 31, 2021, PwC billed the Funds aggregate fees of $936,075 for professional services rendered for tax compliance, tax advice and tax planning. The nature of the services comprising the Tax Fees was the preparation of the Funds’ federal and state income tax returns, preparation of tax returns for certain foreign jurisdictions, excise tax calculations and returns and review of the Funds’ calculations of capital gain and income distributions.
For the fiscal year ended May 31, 2022, PwC did not bill the Funds any fees for products and services other than those disclosed above.
For the fiscal year ended May 31, 2021, PwC did not bill the Funds any fees for products and services other than those disclosed above.
| (e)(1) | The Audit Committee may pre-approve at any regularly scheduled Audit Committee meeting audit, audit-related, tax and other non-audit services to be rendered or that may be rendered by the Auditor to the Trust and certain non-audit services to be rendered by the Auditor to the Advisor which require pre-approval by the Audit Committee. In connection with such preapprovals, the Auditor, or a Trust officer, with the assistance of the Auditor, shall provide the Audit Committee with a report containing information about each type of service to be pre-approved at the meeting. |
The Trust will use a combination of the approaches for pre-approving proposed services: (1) the proposed service may be specifically pre-approved by the Audit Committee (“specific pre-approval”) or (2) may be pre-approved without consideration of specific case-by-case services by the audit committee (“general pre-approval”). Unless a type of service has received general pre-approval, it will require specific pre-approval by the Audit Committee. Additionally, any proposed services exceeding pre-approved cost levels will also require specific pre-approval by the Audit Committee.
| (e)(2) | For the fiscal years ended May 31, 2022 and May 31, 2021, the Funds’ Audit Committee did not waive the pre-approval requirement of any non-audit services to be provided to the Funds by PwC. |
| (g) | For the fiscal year ended May 31, 2022, PwC billed aggregate non-audit fees to the Funds of $1,038,920 as disclosed in Items 4(b), 4(c) and 4(d) above. During this period, PwC did not provide any services to the Funds’ investment adviser, ProShare Advisors LLC. |
For the fiscal year ended May 31, 2021, PwC billed aggregate non-audit fees to the Funds of $936,075 as disclosed in Items 4 (b), 4(c) and 4(d) above. During this period, PwC did not provide any services to the Funds’ investment adviser, ProShare Advisors LLC.
Item 5. Audit Committee of Listed Registrants.
| (a) | The registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act of 1934 and has a separately-designated audit committee established in accordance with Section 3(s)(58(A) of the Exchange Act of 1934. The registrant’s audit committee members are Michael C. Wachs, Russell S. Reynolds, III and William D. Fertig. |
Item 6. Investments
| (a) | Schedule I – Investments in securities of unaffiliated issuers |
For those Funds which included a Summary Schedule of Investments in the annual report, full schedules of investments are included below.
Hedge Replication ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| | | | | | |
| COMMON STOCKS - 20.5% |
| | | | | | |
| Aerospace & Defense - 0.2% |
| AAR Corp.* | | | 126 | | | | 6,076 | |
| Aerojet Rocketdyne Holdings, Inc.* | | | 276 | | | | 11,244 | |
| AeroVironment, Inc.* | | | 82 | | | | 7,541 | |
| AerSale Corp.* | | | 57 | | | | 790 | |
| Astronics Corp.* | | | 92 | | | | 966 | |
| Byrna Technologies, Inc.* | | | 68 | | | | 548 | |
| Cadre Holdings, Inc. | | | 24 | | | | 604 | |
| Ducommun, Inc.* | | | 41 | | | | 1,872 | |
| Kaman Corp. | | | 102 | | | | 3,693 | |
| Kratos Defense & Security Solutions, Inc.* | | | 452 | | | | 6,518 | |
| Maxar Technologies, Inc. | | | 267 | | | | 7,973 | |
| Moog, Inc., Class A | | | 107 | | | | 8,709 | |
| National Presto Industries, Inc. | | | 19 | | | | 1,284 | |
| Park Aerospace Corp. | | | 72 | | | | 877 | |
| Parsons Corp.* | | | 97 | | | | 3,787 | |
| Triumph Group, Inc.* | | | 234 | | | | 3,580 | |
| Vectrus, Inc.* | | | 44 | | | | 1,576 | |
| | | | | | | 67,638 | |
| Air Freight & Logistics - 0.1% |
| Air Transport Services Group, Inc.* | | | 219 | | | | 6,618 | |
| Atlas Air Worldwide Holdings, Inc.* | | | 106 | | | | 7,389 | |
| Forward Air Corp. | | | 99 | | | | 9,226 | |
| Hub Group, Inc., Class A* | | | 122 | | | | 8,904 | |
| Radiant Logistics, Inc.* | | | 144 | | | | 955 | |
| | | | | | | 33,092 | |
| Airlines - 0.1% |
| Allegiant Travel Co.* | | | 55 | | | | 8,220 | |
| Frontier Group Holdings, Inc.* | | | 129 | | | | 1,387 | |
| Hawaiian Holdings, Inc.* | | | 187 | | | | 3,319 | |
| Mesa Air Group, Inc.* | | | 131 | | | | 402 | |
| SkyWest, Inc.* | | | 184 | | | | 4,961 | |
| Spirit Airlines, Inc.* | | | 348 | | | | 7,290 | |
| Sun Country Airlines Holdings, Inc.* | | | 120 | | | | 2,838 | |
| | | | | | | 28,417 | |
| Auto Components - 0.3% |
| Adient plc* | | | 348 | | | | 12,316 | |
| American Axle & Manufacturing Holdings, Inc.* | | | 414 | | | | 3,358 | |
| Cooper-Standard Holdings, Inc.* | | | 62 | | | | 348 | |
| Dana, Inc. | | | 535 | | | | 8,860 | |
| Dorman Products, Inc.* | | | 97 | | | | 9,802 | |
| Fox Factory Holding Corp.* | | | 155 | | | | 12,713 | |
| Gentherm, Inc.* | | | 123 | | | | 8,480 | |
| Goodyear Tire & Rubber Co. (The)* | | | 1,019 | | | | 13,165 | |
| LCI Industries | | | 92 | | | | 10,996 | |
| Modine Manufacturing Co.* | | | 185 | | | | 2,187 | |
| Motorcar Parts of America, Inc.* | | | 69 | | | | 1,023 | |
| Patrick Industries, Inc. | | | 83 | | | | 4,989 | |
| Standard Motor Products, Inc. | | | 76 | | | | 3,036 | |
| Stoneridge, Inc.* | | | 96 | | | | 1,985 | |
| Tenneco, Inc., Class A* | | | 250 | | | | 4,328 | |
| Visteon Corp.* | | | 102 | | | | 11,445 | |
| XL Fleet Corp.* | | | 443 | | | | 536 | |
| XPEL, Inc.*(a) | | | 66 | | | | 3,407 | |
| | | | | | | 112,974 | |
| Automobiles - 0.0%(b) |
| Arcimoto, Inc.* | | | 106 | | | | 424 | |
| Canoo, Inc.* | | | 393 | | | | 1,317 | |
| Fisker, Inc.* | | | 601 | | | | 6,238 | |
| Lordstown Motors Corp.* | | | 574 | | | | 1,188 | |
| Winnebago Industries, Inc. | | | 120 | | | | 5,934 | |
| Workhorse Group, Inc.* | | | 570 | | | | 1,761 | |
| | | | | | | 16,862 | |
| Banks - 1.9% |
| 1st Source Corp. | | | 62 | | | | 2,915 | |
| Allegiance Bancshares, Inc. | | | 70 | | | | 2,817 | |
| Amalgamated Financial Corp. | | | 49 | | | | 1,065 | |
| Amerant Bancorp, Inc. | | | 96 | | | | 2,828 | |
| American National Bankshares, Inc. | | | 40 | | | | 1,424 | |
| Ameris Bancorp | | | 245 | | | | 11,170 | |
| Arrow Financial Corp. | | | 50 | | | | 1,656 | |
| Associated Banc-Corp. | | | 549 | | | | 11,364 | |
| Atlantic Union Bankshares Corp. | | | 277 | | | | 9,767 | |
| Banc of California, Inc. | | | 202 | | | | 3,886 | |
| BancFirst Corp. | | | 63 | | | | 5,716 | |
| Bancorp, Inc. (The)* | | | 193 | | | | 4,020 | |
| Bank First Corp. | | | 25 | | | | 1,817 | |
| Bank of Marin Bancorp | | | 56 | | | | 1,842 | |
| Bank of NT Butterfield & Son Ltd. (The) | | | 185 | | | | 5,842 | |
| BankUnited, Inc. | | | 315 | | | | 13,123 | |
| Banner Corp. | | | 126 | | | | 7,322 | |
| Bar Harbor Bankshares | | | 53 | | | | 1,444 | |
| Berkshire Hills Bancorp, Inc. | | | 179 | | | | 4,674 | |
| Blue Ridge Bankshares, Inc. | | | 63 | | | | 958 | |
| Brookline Bancorp, Inc. | | | 284 | | | | 4,024 | |
| Business First Bancshares, Inc. | | | 70 | | | | 1,549 | |
| Byline Bancorp, Inc. | | | 92 | | | | 2,298 | |
| Cadence Bank | | | 664 | | | | 17,749 | |
| Cambridge Bancorp | | | 25 | | | | 2,087 | |
| Camden National Corp. | | | 52 | | | | 2,302 | |
| Capital Bancorp, Inc. | | | 30 | | | | 703 | |
| Capital City Bank Group, Inc. | | | 49 | | | | 1,338 | |
| Capstar Financial Holdings, Inc. | | | 75 | | | | 1,562 | |
| Carter Bankshares, Inc.* | | | 95 | | | | 1,405 | |
| Cathay General Bancorp | | | 267 | | | | 10,976 | |
| CBTX, Inc. | | | 67 | | | | 1,904 | |
| Central Pacific Financial Corp. | | | 101 | | | | 2,438 | |
| Citizens & Northern Corp. | | | 55 | | | | 1,339 | |
| City Holding Co. | | | 54 | | | | 4,433 | |
| Civista Bancshares, Inc. | | | 53 | | | | 1,132 | |
| CNB Financial Corp. | | | 58 | | | | 1,458 | |
| Coastal Financial Corp.* | | | 39 | | | | 1,539 | |
| Columbia Banking System, Inc. | | | 289 | | | | 8,713 | |
| Community Bank System, Inc. | | | 198 | | | | 13,068 | |
| Community Trust Bancorp, Inc. | | | 56 | | | | 2,355 | |
| ConnectOne Bancorp, Inc. | | | 137 | | | | 3,776 | |
| CrossFirst Bankshares, Inc.* | | | 170 | | | | 2,283 | |
| Customers Bancorp, Inc.* | | | 113 | | | | 4,667 | |
| CVB Financial Corp. | | | 504 | | | | 12,489 | |
| Dime Community Bancshares, Inc. | | | 124 | | | | 3,899 | |
| Eagle Bancorp, Inc. | | | 117 | | | | 5,799 | |
| Eastern Bankshares, Inc. | | | 633 | | | | 12,325 | |
| Enterprise Bancorp, Inc. | | | 34 | | | | 1,148 | |
| Enterprise Financial Services Corp. | | | 128 | | | | 5,928 | |
| Equity Bancshares, Inc., Class A | | | 49 | | | | 1,593 | |
| Farmers National Banc Corp. | | | 114 | | | | 1,770 | |
| FB Financial Corp. | | | 123 | | | | 5,168 | |
See accompanying notes to the financial statements.
Hedge Replication ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Fidelity D&D Bancorp, Inc. | | | 15 | | | | 591 | |
| Financial Institutions, Inc. | | | 57 | | | | 1,605 | |
| First Bancorp, Inc. (The) | | | 39 | | | | 1,181 | |
| First Bancorp/NC | | | 127 | | | | 4,759 | |
| First Bancorp/PR | | | 733 | | | | 10,944 | |
| First Bancshares, Inc. (The) | | | 74 | | | | 2,227 | |
| First Bank | | | 56 | | | | 801 | |
| First Busey Corp. | | | 186 | | | | 4,362 | |
| First Commonwealth Financial Corp. | | | 346 | | | | 4,847 | |
| First Community Bankshares, Inc. | | | 62 | | | | 1,786 | |
| First Financial Bancorp | | | 341 | | | | 7,154 | |
| First Financial Bankshares, Inc. | | | 480 | | | | 19,795 | |
| First Financial Corp. | | | 43 | | | | 1,934 | |
| First Foundation, Inc. | | | 185 | | | | 4,172 | |
| First Internet Bancorp | | | 34 | | | | 1,314 | |
| First Interstate BancSystem, Inc., Class A | | | 322 | | | | 12,259 | |
| First Merchants Corp. | | | 212 | | | | 8,726 | |
| First Mid Bancshares, Inc. | | | 61 | | | | 2,297 | |
| First of Long Island Corp. (The) | | | 82 | | | | 1,560 | |
| Five Star Bancorp | | | 45 | | | | 1,171 | |
| Flushing Financial Corp. | | | 107 | | | | 2,472 | |
| Fulton Financial Corp. | | | 585 | | | | 9,272 | |
| German American Bancorp, Inc. | | | 92 | | | | 3,499 | |
| Glacier Bancorp, Inc. | | | 405 | | | | 19,606 | |
| Great Southern Bancorp, Inc. | | | 38 | | | | 2,255 | |
| Guaranty Bancshares, Inc. | | | 30 | | | | 1,094 | |
| Hancock Whitney Corp. | | | 318 | | | | 15,849 | |
| Hanmi Financial Corp. | | | 113 | | | | 2,637 | |
| HarborOne Bancorp, Inc. | | | 173 | | | | 2,472 | |
| HBT Financial, Inc. | | | 39 | | | | 678 | |
| Heartland Financial USA, Inc. | | | 148 | | | | 6,546 | |
| Heritage Commerce Corp. | | | 216 | | | | 2,478 | |
| Heritage Financial Corp. | | | 128 | | | | 3,341 | |
| Hilltop Holdings, Inc. | | | 227 | | | | 6,812 | |
| Home BancShares, Inc. | | | 562 | | | | 12,696 | |
| HomeStreet, Inc. | | | 72 | | | | 2,902 | |
| HomeTrust Bancshares, Inc. | | | 54 | | | | 1,449 | |
| Hope Bancorp, Inc. | | | 426 | | | | 6,211 | |
| Horizon Bancorp, Inc. | | | 158 | | | | 2,839 | |
| Independent Bank Corp. | | | 169 | | | | 14,078 | |
| Independent Bank Corp./MI | | | 74 | | | | 1,466 | |
| Independent Bank Group, Inc. | | | 137 | | | | 10,012 | |
| International Bancshares Corp. | | | 199 | | | | 8,344 | |
| Lakeland Bancorp, Inc. | | | 224 | | | | 3,476 | |
| Lakeland Financial Corp. | | | 90 | | | | 6,494 | |
| Live Oak Bancshares, Inc. | | | 118 | | | | 4,739 | |
| Macatawa Bank Corp. | | | 97 | | | | 899 | |
| Mercantile Bank Corp. | | | 56 | | | | 1,851 | |
| Meta Financial Group, Inc. | | | 108 | | | | 4,490 | |
| Metrocity Bankshares, Inc. | | | 70 | | | | 1,422 | |
| Metropolitan Bank Holding Corp.* | | | 38 | | | | 2,935 | |
| Mid Penn Bancorp, Inc. | | | 52 | | | | 1,428 | |
| Midland States Bancorp, Inc. | | | 78 | | | | 2,097 | |
| MidWestOne Financial Group, Inc. | | | 52 | | | | 1,582 | |
| MVB Financial Corp. | | | 39 | | | | 1,456 | |
| National Bank Holdings Corp., Class A | | | 106 | | | | 4,320 | |
| NBT Bancorp, Inc. | | | 154 | | | | 5,695 | |
| Nicolet Bankshares, Inc.* | | | 43 | | | | 3,434 | |
| Northrim Bancorp, Inc. | | | 22 | | | | 914 | |
| Northwest Bancshares, Inc. | | | 452 | | | | 5,826 | |
| OceanFirst Financial Corp. | | | 216 | | | | 4,357 | |
| OFG Bancorp | | | 180 | | | | 5,101 | |
| Old National Bancorp | | | 1,085 | | | | 17,252 | |
| Old Second Bancorp, Inc. | | | 102 | | | | 1,558 | |
| Origin Bancorp, Inc. | | | 82 | | | | 3,205 | |
| Orrstown Financial Services, Inc. | | | 42 | | | | 1,032 | |
| Pacific Premier Bancorp, Inc. | | | 344 | | | | 11,201 | |
| Park National Corp. | | | 52 | | | | 6,433 | |
| Peapack-Gladstone Financial Corp. | | | 65 | | | | 2,190 | |
| Peoples Bancorp, Inc. | | | 93 | | | | 2,658 | |
| Peoples Financial Services Corp. | | | 26 | | | | 1,374 | |
| Preferred Bank | | | 49 | | | | 3,357 | |
| Premier Financial Corp. | | | 133 | | | | 3,614 | |
| Primis Financial Corp. | | | 89 | | | | 1,201 | |
| QCR Holdings, Inc. | | | 61 | | | | 3,381 | |
| RBB Bancorp | | | 51 | | | | 1,094 | |
| Red River Bancshares, Inc. | | | 17 | | | | 873 | |
| Renasant Corp. | | | 201 | | | | 6,219 | |
| Republic Bancorp, Inc., Class A | | | 34 | | | | 1,562 | |
| Republic First Bancorp, Inc.* | | | 166 | | | | 674 | |
| S&T Bancorp, Inc. | | | 142 | | | | 4,176 | |
| Sandy Spring Bancorp, Inc. | | | 163 | | | | 6,903 | |
| Seacoast Banking Corp. of Florida | | | 202 | | | | 6,916 | |
| ServisFirst Bancshares, Inc. | | | 184 | | | | 15,338 | |
| Sierra Bancorp | | | 51 | | | | 1,104 | |
| Silvergate Capital Corp., Class A* | | | 103 | | | | 8,085 | |
| Simmons First National Corp., Class A | | | 458 | | | | 11,775 | |
| SmartFinancial, Inc. | | | 50 | | | | 1,295 | |
| South Plains Financial, Inc. | | | 40 | | | | 989 | |
| Southern First Bancshares, Inc.* | | | 28 | | | | 1,263 | |
| Southside Bancshares, Inc. | | | 115 | | | | 4,638 | |
| SouthState Corp. | | | 284 | | | | 22,953 | |
| Stock Yards Bancorp, Inc. | | | 89 | | | | 5,251 | |
| Summit Financial Group, Inc. | | | 43 | | | | 1,177 | |
| Texas Capital Bancshares, Inc.* | | | 188 | | | | 10,628 | |
| Third Coast Bancshares, Inc.* | | | 15 | | | | 373 | |
| Tompkins Financial Corp. | | | 51 | | | | 3,887 | |
| Towne Bank | | | 247 | | | | 7,282 | |
| TriCo Bancshares | | | 102 | | | | 4,625 | |
| Triumph Bancorp, Inc.* | | | 88 | | | | 6,401 | |
| Trustmark Corp. | | | 225 | | | | 6,545 | |
| UMB Financial Corp. | | | 161 | | | | 14,868 | |
| United Bankshares, Inc. | | | 487 | | | | 18,292 | |
| United Community Banks, Inc. | | | 386 | | | | 12,132 | |
| Univest Financial Corp. | | | 106 | | | | 2,809 | |
| Valley National Bancorp | | | 1,475 | | | | 18,747 | |
| Veritex Holdings, Inc. | | | 175 | | | | 6,030 | |
| Washington Federal, Inc. | | | 238 | | | | 7,723 | |
| Washington Trust Bancorp, Inc. | | | 63 | | | | 3,163 | |
| WesBanco, Inc. | | | 221 | | | | 7,527 | |
| West Bancorp, Inc. | | | 58 | | | | 1,476 | |
| Westamerica Bancorp | | | 96 | | | | 5,780 | |
| | | | | | | 834,905 | |
| Beverages - 0.1% |
| Celsius Holdings, Inc.* | | | 199 | | | | 13,351 | |
| Coca-Cola Consolidated, Inc. | | | 18 | | | | 10,169 | |
| Duckhorn Portfolio, Inc. (The)* | | | 132 | | | | 2,594 | |
| MGP Ingredients, Inc. | | | 52 | | | | 5,037 | |
| National Beverage Corp. | | | 87 | | | | 4,318 | |
| Primo Water Corp. | | | 578 | | | | 8,277 | |
| Zevia PBC, Class A* | | | 40 | | | | 98 | |
| | | | | | | 43,844 | |
| Biotechnology - 1.2% |
| 2seventy bio, Inc.* | | | 86 | | | | 1,066 | |
See accompanying notes to the financial statements.
Hedge Replication ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| 4D Molecular Therapeutics, Inc.* | | | 103 | | | | 782 | |
| 89bio, Inc.* | | | 38 | | | | 114 | |
| ACADIA Pharmaceuticals, Inc.* | | | 441 | | | | 7,122 | |
| Acumen Pharmaceuticals, Inc.* | | | 106 | | | | 375 | |
| Adagio Therapeutics, Inc.* | | | 218 | | | | 645 | |
| Adicet Bio, Inc.* | | | 95 | | | | 1,123 | |
| Adverum Biotechnologies, Inc.* | | | 321 | | | | 288 | |
| Aeglea BioTherapeutics, Inc.* | | | 150 | | | | 237 | |
| Aerovate Therapeutics, Inc.* | | | 47 | | | | 571 | |
| Affimed NV* | | | 428 | | | | 1,327 | |
| Agenus, Inc.* | | | 809 | | | | 1,351 | |
| Agios Pharmaceuticals, Inc.* | | | 200 | | | | 3,894 | |
| Akebia Therapeutics, Inc.* | | | 644 | | | | 238 | |
| Akero Therapeutics, Inc.* | | | 95 | | | | 821 | |
| Akouos, Inc.* | | | 90 | | | | 281 | |
| Alaunos Therapeutics, Inc.* | | | 773 | | | | 400 | |
| Albireo Pharma, Inc.* | | | 62 | | | | 1,236 | |
| Aldeyra Therapeutics, Inc.* | | | 180 | | | | 556 | |
| Alector, Inc.* | | | 216 | | | | 1,914 | |
| Aligos Therapeutics, Inc.* | | | 79 | | | | 102 | |
| Alkermes plc* | | | 590 | | | | 17,611 | |
| Allakos, Inc.* | | | 132 | | | | 396 | |
| Allogene Therapeutics, Inc.* | | | 249 | | | | 1,975 | |
| Allovir, Inc.* | | | 109 | | | | 422 | |
| Alpine Immune Sciences, Inc.* | | | 44 | | | | 409 | |
| Altimmune, Inc.* | | | 145 | | | | 734 | |
| ALX Oncology Holdings, Inc.* | | | 65 | | | | 499 | |
| Amicus Therapeutics, Inc.* | | | 968 | | | | 7,376 | |
| AnaptysBio, Inc.* | | | 71 | | | | 1,348 | |
| Anavex Life Sciences Corp.* | | | 247 | | | | 2,250 | |
| Anika Therapeutics, Inc.* | | | 52 | | | | 1,130 | |
| Annexon, Inc.* | | | 116 | | | | 364 | |
| Apellis Pharmaceuticals, Inc.* | | | 288 | | | | 11,938 | |
| Applied Molecular Transport, Inc.* | | | 93 | | | | 308 | |
| Applied Therapeutics, Inc.* | | | 67 | | | | 96 | |
| AquaBounty Technologies, Inc.* | | | 242 | | | | 361 | |
| Arbutus Biopharma Corp.* | | | 336 | | | | 816 | |
| Arcellx, Inc.* | | | 34 | | | | 412 | |
| Arcturus Therapeutics Holdings, Inc.* | | | 77 | | | | 1,531 | |
| Arcus Biosciences, Inc.* | | | 165 | | | | 3,127 | |
| Arcutis Biotherapeutics, Inc.* | | | 102 | | | | 2,130 | |
| Ardelyx, Inc.* | | | 358 | | | | 235 | |
| Arrowhead Pharmaceuticals, Inc.* | | | 379 | | | | 12,643 | |
| Atara Biotherapeutics, Inc.* | | | 319 | | | | 1,659 | |
| Athenex, Inc.* | | | 319 | | | | 153 | |
| Athersys, Inc.* | | | 785 | | | | 173 | |
| Atossa Therapeutics, Inc.* | | | 433 | | | | 421 | |
| Atreca, Inc., Class A* | | | 98 | | | | 165 | |
| Aura Biosciences, Inc.* | | | 21 | | | | 367 | |
| Avalo Therapeutics, Inc.* | | | 230 | | | | 83 | |
| Avid Bioservices, Inc.* | | | 221 | | | | 2,955 | |
| Avidity Biosciences, Inc.* | | | 138 | | | | 1,922 | |
| Avita Medical, Inc.* | | | 90 | | | | 513 | |
| Avrobio, Inc.* | | | 141 | | | | 137 | |
| Beam Therapeutics, Inc.* | | | 189 | | | | 6,649 | |
| Beyondspring, Inc.* | | | 84 | | | | 115 | |
| BioAtla, Inc.* | | | 57 | | | | 137 | |
| BioCryst Pharmaceuticals, Inc.* | | | 664 | | | | 6,182 | |
| Biohaven Pharmaceutical Holding Co. Ltd.* | | | 205 | | | | 29,465 | |
| Biomea Fusion, Inc.* | | | 81 | | | | 445 | |
| Bioxcel Therapeutics, Inc.* | | | 63 | | | | 737 | |
| Black Diamond Therapeutics, Inc.* | | | 85 | | | | 144 | |
| Bluebird Bio, Inc.* | | | 249 | | | | 797 | |
| Blueprint Medicines Corp.* | | | 217 | | | | 11,935 | |
| Bolt Biotherapeutics, Inc.* | | | 85 | | | | 144 | |
| Bridgebio Pharma, Inc.* | | | 392 | | | | 2,677 | |
| Brooklyn ImmunoTherapeutics, Inc.* | | | 112 | | | | 75 | |
| C4 Therapeutics, Inc.* | | | 141 | | | | 1,024 | |
| Cardiff Oncology, Inc.* | | | 142 | | | | 192 | |
| CareDx, Inc.* | | | 187 | | | | 4,703 | |
| Caribou Biosciences, Inc.* | | | 189 | | | | 1,574 | |
| Catalyst Pharmaceuticals, Inc.* | | | 358 | | | | 2,578 | |
| Celcuity, Inc.* | | | 36 | | | | 235 | |
| Celldex Therapeutics, Inc.* | | | 170 | | | | 3,998 | |
| CEL-SCI Corp.* | | | 135 | | | | 493 | |
| Century Therapeutics, Inc.* | | | 63 | | | | 547 | |
| Cerevel Therapeutics Holdings, Inc.* | | | 150 | | | | 3,919 | |
| ChemoCentryx, Inc.* | | | 199 | | | | 4,432 | |
| Chimerix, Inc.* | | | 269 | | | | 506 | |
| Chinook Therapeutics, Inc.* | | | 148 | | | | 2,247 | |
| Clene, Inc.* | | | 77 | | | | 168 | |
| Clovis Oncology, Inc.* | | | 416 | | | | 289 | |
| Codiak Biosciences, Inc.* | | | 58 | | | | 162 | |
| Cogent Biosciences, Inc.* | | | 136 | | | | 627 | |
| Coherus Biosciences, Inc.* | | | 239 | | | | 1,754 | |
| Cortexyme, Inc.* | | | 74 | | | | 192 | |
| Crinetics Pharmaceuticals, Inc.* | | | 170 | | | | 2,847 | |
| Cue Biopharma, Inc.* | | | 115 | | | | 445 | |
| Cullinan Oncology, Inc.* | | | 95 | | | | 1,016 | |
| Curis, Inc.* | | | 320 | | | | 245 | |
| Cyteir Therapeutics, Inc.* | | | 70 | | | | 133 | |
| Cytokinetics, Inc.* | | | 293 | | | | 11,691 | |
| CytomX Therapeutics, Inc.* | | | 239 | | | | 385 | |
| Day One Biopharmaceuticals, Inc.* | | | 83 | | | | 516 | |
| Deciphera Pharmaceuticals, Inc.* | | | 146 | | | | 1,583 | |
| Denali Therapeutics, Inc.* | | | 335 | | | | 8,137 | |
| DermTech, Inc.* | | | 90 | | | | 598 | |
| Design Therapeutics, Inc.* | | | 98 | | | | 1,223 | |
| Dynavax Technologies Corp.* | | | 397 | | | | 4,708 | |
| Dyne Therapeutics, Inc.* | | | 112 | | | | 539 | |
| Eagle Pharmaceuticals, Inc.* | | | 44 | | | | 2,055 | |
| Editas Medicine, Inc.* | | | 251 | | | | 2,859 | |
| Eiger BioPharmaceuticals, Inc.* | | | 119 | | | | 826 | |
| Eliem Therapeutics, Inc.* | | | 23 | | | | 88 | |
| Emergent BioSolutions, Inc.* | | | 180 | | | | 5,933 | |
| Enanta Pharmaceuticals, Inc.* | | | 72 | | | | 2,875 | |
| Entrada Therapeutics, Inc.* | | | 40 | | | | 270 | |
| Epizyme, Inc.* | | | 530 | | | | 223 | |
| Erasca, Inc.* | | | 235 | | | | 1,274 | |
| Evelo Biosciences, Inc.* | | | 114 | | | | 239 | |
| Exagen, Inc.* | | | 39 | | | | 195 | |
| Fate Therapeutics, Inc.* | | | 300 | | | | 6,930 | |
| FibroGen, Inc.* | | | 316 | | | | 3,109 | |
| Finch Therapeutics Group, Inc.* | | | 29 | | | | 69 | |
| Foghorn Therapeutics, Inc.* | | | 72 | | | | 929 | |
| Forma Therapeutics Holdings, Inc.* | | | 126 | | | | 717 | |
| Forte Biosciences, Inc.* | | | 45 | | | | 59 | |
| Fortress Biotech, Inc.* | | | 272 | | | | 234 | |
| Frequency Therapeutics, Inc.* | | | 122 | | | | 137 | |
| G1 Therapeutics, Inc.* | | | 145 | | | | 705 | |
| Gemini Therapeutics, Inc.* | | | 82 | | | | 105 | |
| Generation Bio Co.* | | | 162 | | | | 910 | |
| Geron Corp.* | | | 1,123 | | | | 1,550 | |
| Global Blood Therapeutics, Inc.* | | | 227 | | | | 5,661 | |
See accompanying notes to the financial statements.
Hedge Replication ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Gossamer Bio, Inc.* | | | 228 | | | | 1,607 | |
| Graphite Bio, Inc.* | | | 110 | | | | 258 | |
| Greenwich Lifesciences, Inc.* | | | 15 | | | | 116 | |
| Gritstone bio, Inc.* | | | 159 | | | | 321 | |
| GT Biopharma, Inc.* | | | 66 | | | | 182 | |
| Halozyme Therapeutics, Inc.* | | | 509 | | | | 23,404 | |
| Harpoon Therapeutics, Inc.* | | | 70 | | | | 144 | |
| Heron Therapeutics, Inc.* | | | 340 | | | | 1,122 | |
| Homology Medicines, Inc.* | | | 155 | | | | 228 | |
| Hookipa Pharma, Inc.* | | | 73 | | | | 126 | |
| Humanigen, Inc.* | | | 181 | | | | 395 | |
| iBio, Inc.* | | | 797 | | | | 192 | |
| Icosavax, Inc.* | | | 90 | | | | 611 | |
| Ideaya Biosciences, Inc.* | | | 122 | | | | 1,360 | |
| IGM Biosciences, Inc.* | | | 31 | | | | 520 | |
| Imago Biosciences, Inc.* | | | 73 | | | | 1,180 | |
| Immuneering Corp., Class A* | | | 70 | | | | 314 | |
| Immunic, Inc.* | | | 69 | | | | 428 | |
| ImmunityBio, Inc.* | | | 257 | | | | 966 | |
| ImmunoGen, Inc.* | | | 792 | | | | 2,899 | |
| Immunovant, Inc.* | | | 149 | | | | 632 | |
| Impel Pharmaceuticals, Inc.* | | | 25 | | | | 172 | |
| Infinity Pharmaceuticals, Inc.* | | | 323 | | | | 217 | |
| Inhibrx, Inc.* | | | 102 | | | | 1,333 | |
| Inovio Pharmaceuticals, Inc.* | | | 762 | | | | 1,425 | |
| Inozyme Pharma, Inc.* | | | 52 | | | | 192 | |
| Insmed, Inc.* | | | 435 | | | | 8,187 | |
| Instil Bio, Inc.* | | | 199 | | | | 1,195 | |
| Intellia Therapeutics, Inc.* | | | 257 | | | | 11,858 | |
| Intercept Pharmaceuticals, Inc.* | | | 92 | | | | 1,665 | |
| Ironwood Pharmaceuticals, Inc.* | | | 540 | | | | 6,086 | |
| iTeos Therapeutics, Inc.* | | | 74 | | | | 1,295 | |
| IVERIC bio, Inc.* | | | 422 | | | | 4,406 | |
| Janux Therapeutics, Inc.* | | | 65 | | | | 723 | |
| Jounce Therapeutics, Inc.* | | | 123 | | | | 476 | |
| KalVista Pharmaceuticals, Inc.* | | | 82 | | | | 729 | |
| Karuna Therapeutics, Inc.* | | | 82 | | | | 8,554 | |
| Karyopharm Therapeutics, Inc.* | | | 265 | | | | 1,664 | |
| Keros Therapeutics, Inc.* | | | 56 | | | | 1,893 | |
| Kezar Life Sciences, Inc.* | | | 139 | | | | 702 | |
| Kiniksa Pharmaceuticals Ltd., Class A* | | | 107 | | | | 820 | |
| Kinnate Biopharma, Inc.* | | | 95 | | | | 754 | |
| Kodiak Sciences, Inc.* | | | 124 | | | | 898 | |
| Kronos Bio, Inc.* | | | 143 | | | | 532 | |
| Krystal Biotech, Inc.* | | | 73 | | | | 4,298 | |
| Kura Oncology, Inc.* | | | 234 | | | | 3,079 | |
| Kymera Therapeutics, Inc.* | | | 127 | | | | 1,812 | |
| Lexicon Pharmaceuticals, Inc.* | | | 258 | | | | 457 | |
| Ligand Pharmaceuticals, Inc.* | | | 54 | | | | 4,801 | |
| Lineage Cell Therapeutics, Inc.* | | | 464 | | | | 580 | |
| Lyell Immunopharma, Inc.* | | | 547 | | | | 2,265 | |
| MacroGenics, Inc.* | | | 222 | | | | 770 | |
| Madrigal Pharmaceuticals, Inc.* | | | 45 | | | | 2,988 | |
| Magenta Therapeutics, Inc.* | | | 112 | | | | 130 | |
| MannKind Corp.*(c) | | | 912 | | | | 3,812 | |
| MEI Pharma, Inc.* | | | 473 | | | | 225 | |
| MeiraGTx Holdings plc* | | | 111 | | | | 931 | |
| Mersana Therapeutics, Inc.* | | | 265 | | | | 885 | |
| MiMedx Group, Inc.* | | | 409 | | | | 1,599 | |
| MiNK Therapeutics, Inc.* | | | 9 | | | | 14 | |
| Mirum Pharmaceuticals, Inc.* | | | 14 | | | | 327 | |
| Molecular Templates, Inc.* | | | 137 | | | | 135 | |
| Monte Rosa Therapeutics, Inc.* | | | 106 | | | | 820 | |
| Morphic Holding, Inc.* | | | 77 | | | | 1,805 | |
| Mustang Bio, Inc.* | | | 276 | | | | 178 | |
| Myriad Genetics, Inc.* | | | 293 | | | | 5,637 | |
| Neoleukin Therapeutics, Inc.* | | | 133 | | | | 133 | |
| NexImmune, Inc.* | | | 65 | | | | 148 | |
| Nkarta, Inc.* | | | 51 | | | | 736 | |
| Nurix Therapeutics, Inc.* | | | 116 | | | | 1,170 | |
| Nuvalent, Inc., Class A* | | | 67 | | | | 594 | |
| Ocugen, Inc.* | | | 682 | | | | 1,616 | |
| Olema Pharmaceuticals, Inc.* | | | 95 | | | | 272 | |
| Omega Therapeutics, Inc.* | | | 82 | | | | 186 | |
| Oncocyte Corp.* | | | 224 | | | | 242 | |
| Oncorus, Inc.* | | | 77 | | | | 92 | |
| Oncternal Therapeutics, Inc.* | | | 164 | | | | 243 | |
| Organogenesis Holdings, Inc.* | | | 256 | | | | 1,436 | |
| ORIC Pharmaceuticals, Inc.* | | | 117 | | | | 391 | |
| Outlook Therapeutics, Inc.* | | | 421 | | | | 484 | |
| Oyster Point Pharma, Inc.* | | | 42 | | | | 165 | |
| Passage Bio, Inc.* | | | 137 | | | | 247 | |
| PMV Pharmaceuticals, Inc.* | | | 97 | | | | 1,141 | |
| Portage Biotech, Inc.* | | | 19 | | | | 190 | |
| Poseida Therapeutics, Inc.* | | | 108 | | | | 245 | |
| Praxis Precision Medicines, Inc.* | | | 123 | | | | 1,021 | |
| Precigen, Inc.* | | | 351 | | | | 470 | |
| Precision BioSciences, Inc.* | | | 188 | | | | 316 | |
| Prelude Therapeutics, Inc.* | | | 41 | | | | 172 | |
| Prometheus Biosciences, Inc.* | | | 112 | | | | 2,919 | |
| Protagonist Therapeutics, Inc.* | | | 165 | | | | 1,445 | |
| Prothena Corp. plc* | | | 133 | | | | 3,622 | |
| PTC Therapeutics, Inc.* | | | 256 | | | | 7,519 | |
| Puma Biotechnology, Inc.* | | | 121 | | | | 235 | |
| Pyxis Oncology, Inc.* | | | 41 | | | | 101 | |
| Radius Health, Inc.* | | | 172 | | | | 1,089 | |
| Rallybio Corp.* | | | 66 | | | | 898 | |
| RAPT Therapeutics, Inc.* | | | 78 | | | | 1,148 | |
| Recursion Pharmaceuticals, Inc., Class A* | | | 425 | | | | 2,601 | |
| REGENXBIO, Inc.* | | | 145 | | | | 3,051 | |
| Relay Therapeutics, Inc.* | | | 257 | | | | 4,184 | |
| Reneo Pharmaceuticals, Inc.* | | | 35 | | | | 72 | |
| Replimune Group, Inc.* | | | 113 | | | | 1,642 | |
| REVOLUTION Medicines, Inc.* | | | 220 | | | | 3,736 | |
| Rhythm Pharmaceuticals, Inc.* | | | 162 | | | | 557 | |
| Rigel Pharmaceuticals, Inc.* | | | 630 | | | | 1,140 | |
| Rocket Pharmaceuticals, Inc.* | | | 151 | | | | 1,789 | |
| Rubius Therapeutics, Inc.* | | | 169 | | | | 186 | |
| Sana Biotechnology, Inc.* | | | 317 | | | | 1,626 | |
| Sangamo Therapeutics, Inc.* | | | 437 | | | | 1,595 | |
| Scholar Rock Holding Corp.* | | | 104 | | | | 522 | |
| Selecta Biosciences, Inc.* | | | 341 | | | | 301 | |
| Sensei Biotherapeutics, Inc.* | | | 78 | | | | 148 | |
| Sera Prognostics, Inc., Class A* | | | 32 | | | | 44 | |
| Seres Therapeutics, Inc.* | | | 257 | | | | 797 | |
| Sesen Bio, Inc.* | | | 744 | | | | 456 | |
| Shattuck Labs, Inc.* | | | 99 | | | | 283 | |
| Sigilon Therapeutics, Inc.* | | | 57 | | | | 43 | |
| Silverback Therapeutics, Inc.* | | | 77 | | | | 269 | |
| Solid Biosciences, Inc.* | | | 222 | | | | 127 | |
| Sorrento Therapeutics, Inc.* | | | 1,103 | | | | 1,809 | |
| Spectrum Pharmaceuticals, Inc.* | | | 602 | | | | 450 | |
| Spero Therapeutics, Inc.* | | | 90 | | | | 106 | |
| SpringWorks Therapeutics, Inc.* | | | 108 | | | | 2,046 | |
| Spruce Biosciences, Inc.* | | | 35 | | | | 55 | |
| SQZ Biotechnologies Co.* | | | 85 | | | | 302 | |
See accompanying notes to the financial statements.
Hedge Replication ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Stoke Therapeutics, Inc.* | | | 70 | | | | 848 | |
| Summit Therapeutics, Inc.* | | | 99 | | | | 132 | |
| Surface Oncology, Inc.* | | | 133 | | | | 246 | |
| Sutro Biopharma, Inc.* | | | 160 | | | | 696 | |
| Syndax Pharmaceuticals, Inc.* | | | 180 | | | | 2,970 | |
| Syros Pharmaceuticals, Inc.* | | | 215 | | | | 177 | |
| Talaris Therapeutics, Inc.* | | | 78 | | | | 672 | |
| Taysha Gene Therapies, Inc.* | | | 83 | | | | 212 | |
| TCR2 Therapeutics, Inc.* | | | 114 | | | | 264 | |
| Tenaya Therapeutics, Inc.* | | | 105 | | | | 703 | |
| TG Therapeutics, Inc.* | | | 478 | | | | 2,113 | |
| Tonix Pharmaceuticals Holding Corp.* | | | 57 | | | | 139 | |
| Travere Therapeutics, Inc.* | | | 219 | | | | 5,105 | |
| Trevena, Inc.* | | | 604 | | | | 188 | |
| Turning Point Therapeutics, Inc.* | | | 170 | | | | 6,013 | |
| Twist Bioscience Corp.* | | | 204 | | | | 6,944 | |
| Tyra Biosciences, Inc.* | | | 45 | | | | 307 | |
| UroGen Pharma Ltd.* | | | 72 | | | | 383 | |
| Vanda Pharmaceuticals, Inc.* | | | 202 | | | | 1,986 | |
| Vaxart, Inc.* | | | 453 | | | | 1,649 | |
| Vaxcyte, Inc.* | | | 156 | | | | 3,742 | |
| VBI Vaccines, Inc.* | | | 696 | | | | 637 | |
| Vera Therapeutics, Inc.* | | | 50 | | | | 727 | |
| Veracyte, Inc.* | | | 247 | | | | 4,342 | |
| Verastem, Inc.* | | | 637 | | | | 815 | |
| Vericel Corp.* | | | 171 | | | | 4,643 | |
| Verve Therapeutics, Inc.* | | | 134 | | | | 2,031 | |
| Vigil Neuroscience, Inc.* | | | 26 | | | | 76 | |
| Viking Therapeutics, Inc.* | | | 253 | | | | 562 | |
| Vincerx Pharma, Inc.* | | | 62 | | | | 101 | |
| Vir Biotechnology, Inc.* | | | 222 | | | | 5,730 | |
| Viracta Therapeutics, Inc.* | | | 134 | | | | 284 | |
| VistaGen Therapeutics, Inc.* | | | 716 | | | | 823 | |
| Vor BioPharma, Inc.* | | | 70 | | | | 295 | |
| Werewolf Therapeutics, Inc.* | | | 98 | | | | 371 | |
| XBiotech, Inc. | | | 55 | | | | 302 | |
| Xencor, Inc.* | | | 210 | | | | 4,689 | |
| Xilio Therapeutics, Inc.* | | | 29 | | | | 87 | |
| XOMA Corp.* | | | 23 | | | | 419 | |
| Y-mAbs Therapeutics, Inc.* | | | 130 | | | | 1,617 | |
| Zentalis Pharmaceuticals, Inc.* | | | 134 | | | | 3,231 | |
| | | | | | | 520,485 | |
| Building Products - 0.3% |
| AAON, Inc. | | | 153 | | | | 8,198 | |
| American Woodmark Corp.* | | | 61 | | | | 3,177 | |
| Apogee Enterprises, Inc. | | | 90 | | | | 3,744 | |
| Caesarstone Ltd. | | | 82 | | | | 747 | |
| Cornerstone Building Brands, Inc.* | | | 202 | | | | 4,959 | |
| CSW Industrials, Inc. | | | 54 | | | | 5,731 | |
| Gibraltar Industries, Inc.* | | | 122 | | | | 5,095 | |
| Griffon Corp. | | | 190 | | | | 6,093 | |
| Insteel Industries, Inc. | | | 68 | | | | 2,816 | |
| JELD-WEN Holding, Inc.* | | | 336 | | | | 6,327 | |
| Masonite International Corp.* | | | 88 | | | | 8,081 | |
| PGT Innovations, Inc.* | | | 213 | | | | 4,281 | |
| Quanex Building Products Corp. | | | 124 | | | | 2,522 | |
| Resideo Technologies, Inc.* | | | 532 | | | | 12,566 | |
| Simpson Manufacturing Co., Inc. | | | 160 | | | | 17,336 | |
| UFP Industries, Inc. | | | 222 | | | | 17,138 | |
| View, Inc.* | | | 364 | | | | 462 | |
| Zurn Water Solutions Corp. | | | 447 | | | | 12,883 | |
| | | | | | | 122,156 | |
| Capital Markets - 0.3% |
| Artisan Partners Asset Management, Inc., Class A | | | 217 | | | | 8,335 | |
| AssetMark Financial Holdings, Inc.* | | | 67 | | | | 1,400 | |
| Associated Capital Group, Inc., Class A | | | 6 | | | | 238 | |
| B Riley Financial, Inc. | | | 74 | | | | 4,022 | |
| BGC Partners, Inc., Class A | | | 1,166 | | | | 3,801 | |
| Blucora, Inc.* | | | 179 | | | | 3,166 | |
| Brightsphere Investment Group, Inc. | | | 120 | | | | 2,447 | |
| Cohen & Steers, Inc. | | | 92 | | | | 7,011 | |
| Cowen, Inc., Class A | | | 97 | | | | 2,574 | |
| Diamond Hill Investment Group, Inc. | | | 11 | | | | 2,059 | |
| Donnelley Financial Solutions, Inc.* | | | 109 | | | | 3,391 | |
| Federated Hermes, Inc. | | | 343 | | | | 11,652 | |
| Focus Financial Partners, Inc., Class A* | | | 239 | | | | 9,010 | |
| GAMCO Investors, Inc., Class A | | | 19 | | | | 391 | |
| GCM Grosvenor, Inc., Class A | | | 163 | | | | 1,335 | |
| Greenhill & Co., Inc. | | | 51 | | | | 627 | |
| Hamilton Lane, Inc., Class A | | | 129 | | | | 8,972 | |
| Houlihan Lokey, Inc. | | | 189 | | | | 16,243 | |
| Moelis & Co., Class A | | | 224 | | | | 10,510 | |
| Open Lending Corp., Class A* | | | 384 | | | | 5,053 | |
| Oppenheimer Holdings, Inc., Class A | | | 34 | | | | 1,214 | |
| Piper Sandler Cos. | | | 64 | | | | 8,435 | |
| PJT Partners, Inc., Class A | | | 88 | | | | 6,674 | |
| Pzena Investment Management, Inc., Class A | | | 62 | | | | 438 | |
| Sculptor Capital Management, Inc. | | | 82 | | | | 986 | |
| StepStone Group, Inc., Class A | | | 168 | | | | 4,580 | |
| StoneX Group, Inc.* | | | 63 | | | | 4,729 | |
| Value Line, Inc. | | | 4 | | | | 282 | |
| Virtus Investment Partners, Inc. | | | 27 | | | | 5,202 | |
| WisdomTree Investments, Inc. | | | 495 | | | | 2,945 | |
| | | | | | | 137,722 | |
| Chemicals - 0.4% |
| AdvanSix, Inc. | | | 101 | | | | 4,679 | |
| American Vanguard Corp. | | | 108 | | | | 2,665 | |
| Amyris, Inc.* | | | 653 | | | | 1,665 | |
| Aspen Aerogels, Inc.* | | | 81 | | | | 1,419 | |
| Avient Corp. | | | 335 | | | | 16,482 | |
| Balchem Corp. | | | 120 | | | | 14,932 | |
| Cabot Corp. | | | 208 | | | | 15,727 | |
| Chase Corp. | | | 28 | | | | 2,262 | |
| Danimer Scientific, Inc.* | | | 334 | | | | 1,466 | |
| Ecovyst, Inc. | | | 219 | | | | 2,249 | |
| FutureFuel Corp. | | | 95 | | | | 683 | |
| GCP Applied Technologies, Inc.* | | | 247 | | | | 7,687 | |
| Hawkins, Inc. | | | 71 | | | | 2,567 | |
| HB Fuller Co. | | | 195 | | | | 13,861 | |
| Ingevity Corp.* | | | 146 | | | | 10,173 | |
| Innospec, Inc. | | | 91 | | | | 9,285 | |
| Intrepid Potash, Inc.* | | | 38 | | | | 2,503 | |
| Koppers Holdings, Inc. | | | 76 | | | | 2,060 | |
| Kronos Worldwide, Inc. | | | 82 | | | | 1,562 | |
| Livent Corp.* | | | 597 | | | | 18,979 | |
| Marrone Bio Innovations, Inc.* | | | 375 | | | | 439 | |
| Minerals Technologies, Inc. | | | 123 | | | | 8,150 | |
See accompanying notes to the financial statements.
Hedge Replication ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Orion Engineered Carbons SA | | | 222 | | | | 4,287 | |
| PureCycle Technologies, Inc.* | | | 212 | | | | 1,810 | |
| Quaker Chemical Corp. | | | 49 | | | | 7,664 | |
| Rayonier Advanced Materials, Inc.* | | | 227 | | | | 874 | |
| Schweitzer-Mauduit International, Inc. | | | 116 | | | | 3,146 | |
| Sensient Technologies Corp. | | | 155 | | | | 13,553 | |
| Stepan Co. | | | 79 | | | | 8,857 | |
| Tredegar Corp. | | | 97 | | | | 1,175 | |
| Trinseo plc | | | 142 | | | | 6,715 | |
| Tronox Holdings plc, Class A | | | 421 | | | | 7,582 | |
| Valhi, Inc. | | | 9 | | | | 417 | |
| Zymergen, Inc.* | | | 298 | | | | 423 | |
| | | | | | | 197,998 | |
| Commercial Services & Supplies - 0.4% |
| ABM Industries, Inc. | | | 247 | | | | 11,942 | |
| ACCO Brands Corp. | | | 343 | | | | 2,586 | |
| Aris Water Solution, Inc., Class A | | | 72 | | | | 1,471 | |
| Brady Corp., Class A | | | 173 | | | | 8,392 | |
| BrightView Holdings, Inc.* | | | 175 | | | | 2,275 | |
| Brink's Co. (The) | | | 177 | | | | 10,767 | |
| Casella Waste Systems, Inc., Class A* | | | 180 | | | | 12,884 | |
| CECO Environmental Corp.* | | | 116 | | | | 726 | |
| Cimpress plc* | | | 64 | | | | 2,789 | |
| CompX International, Inc. | | | 5 | | | | 111 | |
| CoreCivic, Inc., REIT* | | | 441 | | | | 5,676 | |
| Deluxe Corp. | | | 156 | | | | 3,733 | |
| Ennis, Inc. | | | 94 | | | | 1,706 | |
| GEO Group, Inc. (The), REIT* | | | 434 | | | | 3,086 | |
| Harsco Corp.* | | | 289 | | | | 2,399 | |
| Healthcare Services Group, Inc. | | | 276 | | | | 4,739 | |
| Heritage-Crystal Clean, Inc.* | | | 56 | | | | 1,544 | |
| HNI Corp. | | | 160 | | | | 6,101 | |
| Interface, Inc. | | | 215 | | | | 3,094 | |
| KAR Auction Services, Inc.* | | | 445 | | | | 7,107 | |
| Kimball International, Inc., Class B | | | 133 | | | | 1,136 | |
| Matthews International Corp., Class A | | | 115 | | | | 3,721 | |
| MillerKnoll, Inc. | | | 274 | | | | 8,275 | |
| Montrose Environmental Group, Inc.* | | | 97 | | | | 3,929 | |
| NL Industries, Inc. | | | 31 | | | | 284 | |
| Pitney Bowes, Inc. | | | 649 | | | | 3,037 | |
| SP Plus Corp.* | | | 84 | | | | 2,685 | |
| Steelcase, Inc., Class A | | | 315 | | | | 3,862 | |
| Team, Inc.* | | | 99 | | | | 117 | |
| Tetra Tech, Inc. | | | 199 | | | | 26,859 | |
| UniFirst Corp. | | | 54 | | | | 8,826 | |
| Viad Corp.* | | | 74 | | | | 2,229 | |
| VSE Corp. | | | 40 | | | | 1,554 | |
| | | | | | | 159,642 | |
| Communications Equipment - 0.1% |
| ADTRAN, Inc. | | | 179 | | | | 3,317 | |
| Aviat Networks, Inc.* | | | 42 | | | | 1,231 | |
| CalAmp Corp.* | | | 132 | | | | 958 | |
| Calix, Inc.* | | | 203 | | | | 7,499 | |
| Cambium Networks Corp.* | | | 41 | | | | 586 | |
| Casa Systems, Inc.* | | | 119 | | | | 524 | |
| Clearfield, Inc.* | | | 43 | | | | 2,657 | |
| Comtech Telecommunications Corp. | | | 95 | | | | 1,188 | |
| Digi International, Inc.* | | | 129 | | | | 2,851 | |
| DZS, Inc.* | | | 63 | | | | 1,102 | |
| EMCORE Corp.* | | | 137 | | | | 452 | |
| Extreme Networks, Inc.* | | | 468 | | | | 4,643 | |
| Harmonic, Inc.* | | | 334 | | | | 3,216 | |
| Infinera Corp.* | | | 674 | | | | 3,862 | |
| Inseego Corp.* | | | 314 | | | | 647 | |
| KVH Industries, Inc.* | | | 55 | | | | 428 | |
| NETGEAR, Inc.* | | | 107 | | | | 2,038 | |
| NetScout Systems, Inc.* | | | 258 | | | | 8,857 | |
| Plantronics, Inc.* | | | 156 | | | | 6,159 | |
| Ribbon Communications, Inc.* | | | 260 | | | | 736 | |
| Viavi Solutions, Inc.* | | | 846 | | | | 12,242 | |
| | | | | | | 65,193 | |
| Construction & Engineering - 0.3% |
| Ameresco, Inc., Class A* | | | 114 | | | | 6,694 | |
| API Group Corp.* | | | 744 | | | | 12,983 | |
| Arcosa, Inc. | | | 178 | | | | 9,411 | |
| Argan, Inc. | | | 54 | | | | 2,159 | |
| Comfort Systems USA, Inc. | | | 132 | | | | 11,843 | |
| Concrete Pumping Holdings, Inc.* | | | 96 | | | | 519 | |
| Construction Partners, Inc., Class A* | | | 146 | | | | 3,357 | |
| Dycom Industries, Inc.* | | | 109 | | | | 10,149 | |
| EMCOR Group, Inc. | | | 197 | | | | 20,809 | |
| Fluor Corp.* | | | 523 | | | | 14,764 | |
| Granite Construction, Inc. | | | 169 | | | | 5,518 | |
| Great Lakes Dredge & Dock Corp.* | | | 238 | | | | 3,499 | |
| IES Holdings, Inc.* | | | 33 | | | | 1,019 | |
| Infrastructure and Energy Alternatives, Inc.* | | | 102 | | | | 829 | |
| INNOVATE Corp.* | | | 176 | | | | 428 | |
| Matrix Service Co.* | | | 97 | | | | 585 | |
| MYR Group, Inc.* | | | 61 | | | | 5,588 | |
| Northwest Pipe Co.* | | | 36 | | | | 1,203 | |
| NV5 Global, Inc.* | | | 48 | | | | 5,913 | |
| Primoris Services Corp. | | | 198 | | | | 4,807 | |
| Sterling Construction Co., Inc.* | | | 102 | | | | 2,510 | |
| Tutor Perini Corp.* | | | 151 | | | | 1,531 | |
| WillScot Mobile Mini Holdings Corp.* | | | 768 | | | | 27,441 | |
| | | | | | | 153,559 | |
| Construction Materials - 0.0%(b) |
| Summit Materials, Inc., Class A* | | | 437 | | | | 11,935 | |
| United States Lime & Minerals, Inc. | | | 7 | | | | 832 | |
| | | | | | | 12,767 | |
| Consumer Finance - 0.2% |
| Atlanticus Holdings Corp.* | | | 19 | | | | 739 | |
| Curo Group Holdings Corp. | | | 77 | | | | 670 | |
| Encore Capital Group, Inc.* | | | 92 | | | | 5,622 | |
| Enova International, Inc.* | | | 132 | | | | 4,169 | |
| EZCORP, Inc., Class A* | | | 185 | | | | 1,402 | |
| FirstCash Holdings, Inc. | | | 146 | | | | 10,899 | |
| Green Dot Corp., Class A* | | | 198 | | | | 5,710 | |
| LendingClub Corp.* | | | 369 | | | | 5,801 | |
| LendingTree, Inc.* | | | 44 | | | | 2,777 | |
| Navient Corp. | | | 558 | | | | 8,928 | |
| Nelnet, Inc., Class A | | | 63 | | | | 5,336 | |
| Oportun Financial Corp.* | | | 77 | | | | 867 | |
| PRA Group, Inc.* | | | 160 | | | | 5,920 | |
| PROG Holdings, Inc.* | | | 210 | | | | 6,130 | |
| Regional Management Corp. | | | 28 | | | | 1,332 | |
See accompanying notes to the financial statements.
Hedge Replication ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| World Acceptance Corp.* | | | 16 | | | | 2,369 | |
| | | | | | | 68,671 | |
| Containers & Packaging - 0.1% | | | | | | | | |
| Greif, Inc., Class A | | | 95 | | | | 5,650 | |
| Greif, Inc., Class B | | | 23 | | | | 1,362 | |
| Myers Industries, Inc. | | | 133 | | | | 3,165 | |
| O-I Glass, Inc.* | | | 575 | | | | 9,459 | |
| Pactiv Evergreen, Inc. | | | 159 | | | | 1,636 | |
| Ranpak Holdings Corp.* | | | 138 | | | | 1,719 | |
| TriMas Corp. | | | 160 | | | | 4,509 | |
| | | | | | | 27,500 | |
| Distributors - 0.0%(b) | | | | | | | | |
| Funko, Inc., Class A* | | | 99 | | | | 2,017 | |
| Greenlane Holdings, Inc., Class A* | | | 69 | | | | 20 | |
| | | | | | | 2,037 | |
| Diversified Consumer Services - 0.1% | | | | | | | | |
| 2U, Inc.* | | | 267 | | | | 2,488 | |
| Adtalem Global Education, Inc.* | | | 183 | | | | 5,970 | |
| American Public Education, Inc.* | | | 68 | | | | 948 | |
| Carriage Services, Inc. | | | 55 | | | | 2,220 | |
| Coursera, Inc.* | | | 269 | | | | 4,549 | |
| European Wax Center, Inc., Class A | | | 48 | | | | 1,272 | |
| Graham Holdings Co., Class B | | | 15 | | | | 9,195 | |
| Laureate Education, Inc., Class A | | | 365 | | | | 4,646 | |
| OneSpaWorld Holdings Ltd.* | | | 198 | | | | 1,861 | |
| Perdoceo Education Corp.* | | | 259 | | | | 2,826 | |
| PowerSchool Holdings, Inc., Class A* | | | 158 | | | | 2,021 | |
| Regis Corp.* | | | 160 | | | | 123 | |
| StoneMor, Inc.* | | | 121 | | | | 415 | |
| Strategic Education, Inc. | | | 90 | | | | 5,924 | |
| Stride, Inc.* | | | 152 | | | | 5,945 | |
| Udemy, Inc.* | | | 51 | | | | 752 | |
| Vivint Smart Home, Inc.* | | | 338 | | | | 2,015 | |
| WW International, Inc.* | | | 194 | | | | 1,375 | |
| | | | | | | 54,545 | |
| Diversified Financial Services - 0.0%(b) | | | | | | | | |
| Alerus Financial Corp. | | | 54 | | | | 1,372 | |
| A-Mark Precious Metals, Inc. | | | 34 | | | | 2,585 | |
| Banco Latinoamericano de Comercio Exterior SA, Class E | | | 115 | | | | 1,710 | |
| Cannae Holdings, Inc.* | | | 311 | | | | 6,304 | |
| | | | | | | 11,971 | |
| Diversified Telecommunication Services - 0.1% | | | | | | | | |
| Anterix, Inc.* | | | 44 | | | | 1,883 | |
| ATN International, Inc. | | | 42 | | | | 1,852 | |
| Bandwidth, Inc., Class A* | | | 84 | | | | 1,767 | |
| Cogent Communications Holdings, Inc. | | | 156 | | | | 9,421 | |
| Consolidated Communications Holdings, Inc.* | | | 269 | | | | 1,781 | |
| EchoStar Corp., Class A* | | | 137 | | | | 3,292 | |
| Globalstar, Inc.* | | | 2,238 | | | | 3,133 | |
| IDT Corp., Class B* | | | 52 | | | | 1,433 | |
| Iridium Communications, Inc.* | | | 435 | | | | 16,143 | |
| Liberty Latin America Ltd., Class A* | | | 149 | | | | 1,417 | |
| Liberty Latin America Ltd., Class C* | | | 569 | | | | 5,411 | |
| Ooma, Inc.* | | | 82 | | | | 1,151 | |
| Radius Global Infrastructure, Inc.* | | | 265 | | | | 3,949 | |
| Telesat Corp.* | | | 26 | | | | 435 | |
| | | | | | | 53,068 | |
| Electric Utilities - 0.1% | | | | | | | | |
| ALLETE, Inc. | | | 194 | | | | 12,032 | |
| MGE Energy, Inc. | | | 132 | | | | 10,477 | |
| Otter Tail Corp. | | | 150 | | | | 9,808 | |
| PNM Resources, Inc. | | | 315 | | | | 14,972 | |
| Portland General Electric Co. | | | 331 | | | | 16,302 | |
| Via Renewables, Inc. | | | 46 | | | | 390 | |
| | | | | | | 63,981 | |
| Electrical Equipment - 0.2% | | | | | | | | |
| Advent Technologies Holdings, Inc.* | | | 120 | | | | 163 | |
| Allied Motion Technologies, Inc. | | | 45 | | | | 1,104 | |
| American Superconductor Corp.* | | | 102 | | | | 545 | |
| Array Technologies, Inc.* | | | 471 | | | | 5,219 | |
| Atkore, Inc.* | | | 165 | | | | 17,972 | |
| AZZ, Inc. | | | 91 | | | | 4,073 | |
| Babcock & Wilcox Enterprises, Inc.* | | | 205 | | | | 1,343 | |
| Beam Global* | | | 33 | | | | 472 | |
| Blink Charging Co.* | | | 134 | | | | 2,135 | |
| Bloom Energy Corp., Class A* | | | 524 | | | | 9,180 | |
| Encore Wire Corp. | | | 72 | | | | 9,001 | |
| EnerSys | | | 151 | | | | 10,226 | |
| Eos Energy Enterprises, Inc.* | | | 165 | | | | 228 | |
| FTC Solar, Inc.* | | | 150 | | | | 607 | |
| FuelCell Energy, Inc.* | | | 1,362 | | | | 5,584 | |
| GrafTech International Ltd. | | | 739 | | | | 6,415 | |
| Powell Industries, Inc. | | | 34 | | | | 914 | |
| Preformed Line Products Co. | | | 11 | | | | 682 | |
| Romeo Power, Inc.* | | | 363 | | | | 285 | |
| Stem, Inc.* | | | 419 | | | | 3,620 | |
| Thermon Group Holdings, Inc.* | | | 122 | | | | 1,920 | |
| TPI Composites, Inc.* | | | 132 | | | | 1,820 | |
| Vicor Corp.* | | | 77 | | | | 5,182 | |
| | | | | | | 88,690 | |
| Electronic Equipment, Instruments & Components - 0.5% | | | | | | | | |
| 908 Devices, Inc.* | | | 77 | | | | 1,072 | |
| Advanced Energy Industries, Inc. | | | 139 | | | | 11,323 | |
| Aeva Technologies, Inc.* | | | 391 | | | | 1,271 | |
| Akoustis Technologies, Inc.* | | | 190 | | | | 760 | |
| Arlo Technologies, Inc.* | | | 310 | | | | 2,195 | |
| Badger Meter, Inc. | | | 108 | | | | 8,547 | |
| Belden, Inc. | | | 163 | | | | 9,386 | |
| Benchmark Electronics, Inc. | | | 131 | | | | 3,339 | |
| CTS Corp. | | | 118 | | | | 4,799 | |
| Daktronics, Inc.* | | | 137 | | | | 458 | |
| ePlus, Inc.* | | | 98 | | | | 5,560 | |
| Fabrinet* | | | 136 | | | | 11,814 | |
| FARO Technologies, Inc.* | | | 67 | | | | 2,159 | |
| Identiv, Inc.* | | | 79 | | | | 1,010 | |
| II-VI, Inc.* | | | 391 | | | | 24,437 | |
| Insight Enterprises, Inc.* | | | 128 | | | | 12,649 | |
| Iteris, Inc.* | | | 157 | | | | 432 | |
| Itron, Inc.* | | | 167 | | | | 8,619 | |
| Kimball Electronics, Inc.* | | | 89 | | | | 1,692 | |
| Knowles Corp.* | | | 324 | | | | 6,227 | |
| Luna Innovations, Inc.* | | | 115 | | | | 695 | |
| Methode Electronics, Inc. | | | 136 | | | | 6,127 | |
| MicroVision, Inc.* | | | 605 | | | | 2,178 | |
| Napco Security Technologies, Inc.* | | | 107 | | | | 2,098 | |
| nLight, Inc.* | | | 160 | | | | 1,963 | |
See accompanying notes to the financial statements.
Hedge Replication ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Novanta, Inc.* | | | 131 | | | | 16,108 | |
| OSI Systems, Inc.* | | | 62 | | | | 5,203 | |
| Ouster, Inc.* | | | 470 | | | | 1,034 | |
| PAR Technology Corp.* | | | 93 | | | | 3,495 | |
| PC Connection, Inc. | | | 42 | | | | 1,878 | |
| Plexus Corp.* | | | 103 | | | | 8,734 | |
| Rogers Corp.* | | | 69 | | | | 18,311 | |
| Sanmina Corp.* | | | 229 | | | | 10,051 | |
| ScanSource, Inc.* | | | 92 | | | | 3,564 | |
| TTM Technologies, Inc.* | | | 384 | | | | 5,487 | |
| Velodyne Lidar, Inc.* | | | 284 | | | | 480 | |
| Vishay Intertechnology, Inc. | | | 489 | | | | 9,995 | |
| Vishay Precision Group, Inc.* | | | 45 | | | | 1,368 | |
| | | | | | | 216,518 | |
| Energy Equipment & Services - 0.3% | | | | | | | | |
| Archrock, Inc. | | | 496 | | | | 4,975 | |
| Bristow Group, Inc.* | | | 87 | | | | 2,766 | |
| Cactus, Inc., Class A | | | 204 | | | | 10,694 | |
| ChampionX Corp. | | | 748 | | | | 17,406 | |
| DMC Global, Inc.* | | | 70 | | | | 1,937 | |
| Dril-Quip, Inc.* | | | 130 | | | | 4,087 | |
| Expro Group Holdings NV* | | | 171 | | | | 2,338 | |
| Helix Energy Solutions Group, Inc.* | | | 528 | | | | 2,450 | |
| Helmerich & Payne, Inc. | | | 380 | | | | 19,133 | |
| Liberty Energy, Inc., Class A* | | | 341 | | | | 5,548 | |
| Nabors Industries Ltd.* | | | 26 | | | | 4,336 | |
| National Energy Services Reunited Corp.* | | | 140 | | | | 1,044 | |
| Newpark Resources, Inc.* | | | 334 | | | | 1,436 | |
| NexTier Oilfield Solutions, Inc.* | | | 637 | | | | 6,943 | |
| Oceaneering International, Inc.* | | | 367 | | | | 4,668 | |
| Oil States International, Inc.* | | | 222 | | | | 1,718 | |
| Patterson-UTI Energy, Inc. | | | 686 | | | | 13,089 | |
| ProPetro Holding Corp.* | | | 317 | | | | 4,137 | |
| RPC, Inc.* | | | 248 | | | | 2,321 | |
| Select Energy Services, Inc., Class A* | | | 235 | | | | 1,990 | |
| Solaris Oilfield Infrastructure, Inc., Class A | | | 116 | | | | 1,564 | |
| TETRA Technologies, Inc.* | | | 453 | | | | 2,274 | |
| Tidewater, Inc.* | | | 150 | | | | 3,818 | |
| US Silica Holdings, Inc.* | | | 270 | | | | 4,774 | |
| | | | | | | 125,446 | |
| Entertainment - 0.1% | | | | | | | | |
| AMC Entertainment Holdings, Inc., Class A* | | | 1,901 | | | | 27,260 | |
| Chicken Soup For The Soul Entertainment, Inc.* | | | 27 | | | | 179 | |
| Cinemark Holdings, Inc.* | | | 398 | | | | 6,758 | |
| CuriosityStream, Inc.* | | | 98 | | | | 148 | |
| Eros STX Global Corp.* | | | 60 | | | | 118 | |
| IMAX Corp.* | | | 184 | | | | 3,187 | |
| Liberty Media Corp.-Liberty Braves, Class A* | | | 38 | | | | 964 | |
| Liberty Media Corp.-Liberty Braves, Class C* | | | 134 | | | | 3,290 | |
| Lions Gate Entertainment Corp., Class A* | | | 216 | | | | 2,210 | |
| Lions Gate Entertainment Corp., Class B* | | | 435 | | | | 4,085 | |
| LiveOne, Inc.* | | | 225 | | | | 189 | |
| Madison Square Garden Entertainment Corp.* | | | 96 | | | | 6,508 | |
| Marcus Corp. (The)* | | | 83 | | | | 1,301 | |
| | | | | | | 56,197 | |
| Equity Real Estate Investment Trusts (REITs) - 1.5% | | | | | | | | |
| Acadia Realty Trust | | | 319 | | | | 6,272 | |
| Agree Realty Corp. | | | 259 | | | | 18,019 | |
| Alexander & Baldwin, Inc. | | | 267 | | | | 5,447 | |
| Alexander's, Inc. | | | 8 | | | | 1,938 | |
| American Assets Trust, Inc. | | | 184 | | | | 6,274 | |
| Apartment Investment and Management Co., Class A* | | | 558 | | | | 3,504 | |
| Apple Hospitality REIT, Inc. | | | 790 | | | | 13,201 | |
| Armada Hoffler Properties, Inc. | | | 245 | | | | 3,376 | |
| Ashford Hospitality Trust, Inc.* | | | 63 | | | | 355 | |
| Braemar Hotels & Resorts, Inc. | | | 212 | | | | 1,230 | |
| Brandywine Realty Trust | | | 626 | | | | 6,980 | |
| Broadstone Net Lease, Inc. | | | 578 | | | | 12,225 | |
| BRT Apartments Corp. | | | 43 | | | | 985 | |
| CareTrust REIT, Inc. | | | 355 | | | | 6,578 | |
| CatchMark Timber Trust, Inc., Class A | | | 180 | | | | 2,122 | |
| Centerspace REIT | | | 52 | | | | 4,315 | |
| Chatham Lodging Trust* | | | 176 | | | | 2,242 | |
| City Office REIT, Inc. | | | 158 | | | | 2,203 | |
| Clipper Realty, Inc. | | | 44 | | | | 372 | |
| Community Healthcare Trust, Inc. | | | 88 | | | | 3,316 | |
| Corporate Office Properties Trust | | | 414 | | | | 11,443 | |
| CTO Realty Growth, Inc. | | | 22 | | | | 1,450 | |
| DiamondRock Hospitality Co.* | | | 770 | | | | 7,923 | |
| DigitalBridge Group, Inc.* | | | 1,788 | | | | 10,764 | |
| Diversified Healthcare Trust | | | 876 | | | | 1,988 | |
| Easterly Government Properties, Inc. | | | 318 | | | | 6,242 | |
| EastGroup Properties, Inc. | | | 148 | | | | 23,909 | |
| Empire State Realty Trust, Inc., Class A | | | 527 | | | | 4,216 | |
| Equity Commonwealth* | | | 399 | | | | 10,873 | |
| Essential Properties Realty Trust, Inc. | | | 446 | | | | 10,204 | |
| Farmland Partners, Inc. | | | 105 | | | | 1,577 | |
| Four Corners Property Trust, Inc. | | | 286 | | | | 7,885 | |
| Franklin Street Properties Corp. | | | 375 | | | | 1,695 | |
| Getty Realty Corp. | | | 150 | | | | 4,191 | |
| Gladstone Commercial Corp. | | | 136 | | | | 2,759 | |
| Gladstone Land Corp. | | | 116 | | | | 3,113 | |
| Global Medical REIT, Inc. | | | 221 | | | | 2,873 | |
| Global Net Lease, Inc. | | | 385 | | | | 5,571 | |
| Healthcare Realty Trust, Inc. | | | 543 | | | | 15,785 | |
| Hersha Hospitality Trust* | | | 120 | | | | 1,318 | |
| Independence Realty Trust, Inc. | | | 814 | | | | 19,137 | |
| Indus Realty Trust, Inc. | | | 22 | | | | 1,369 | |
| Industrial Logistics Properties Trust | | | 238 | | | | 3,632 | |
| Innovative Industrial Properties, Inc. | | | 93 | | | | 12,374 | |
| iStar, Inc. | | | 247 | | | | 4,298 | |
| Kite Realty Group Trust | | | 800 | | | | 16,768 | |
| LTC Properties, Inc. | | | 142 | | | | 5,501 | |
| LXP Industrial Trust | | | 1,028 | | | | 11,884 | |
| Macerich Co. (The) | | | 787 | | | | 9,247 | |
| National Health Investors, Inc. | | | 161 | | | | 9,523 | |
| National Storage Affiliates Trust | | | 299 | | | | 15,683 | |
| Necessity Retail REIT, Inc. (The) | | | 458 | | | | 3,655 | |
| NETSTREIT Corp. | | | 145 | | | | 3,049 | |
| NexPoint Residential Trust, Inc. | | | 82 | | | | 6,025 | |
| Office Properties Income Trust | | | 176 | | | | 3,751 | |
See accompanying notes to the financial statements.
Hedge Replication ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| One Liberty Properties, Inc. | | | 58 | | | | 1,591 | |
| Outfront Media, Inc. | | | 536 | | | | 11,058 | |
| Paramount Group, Inc. | | | 686 | | | | 6,215 | |
| Pebblebrook Hotel Trust | | | 480 | | | | 10,805 | |
| Phillips Edison & Co., Inc. | | | 420 | | | | 14,171 | |
| Physicians Realty Trust | | | 811 | | | | 15,044 | |
| Piedmont Office Realty Trust, Inc., Class A | | | 457 | | | | 6,736 | |
| Plymouth Industrial REIT, Inc. | | | 116 | | | | 2,356 | |
| Postal Realty Trust, Inc., Class A | | | 62 | | | | 986 | |
| PotlatchDeltic Corp. | | | 243 | | | | 12,748 | |
| Preferred Apartment Communities, Inc., Class A | | | 192 | | | | 4,788 | |
| PS Business Parks, Inc. | | | 73 | | | | 13,697 | |
| Retail Opportunity Investments Corp. | | | 438 | | | | 7,915 | |
| RLJ Lodging Trust | | | 608 | | | | 8,165 | |
| RPT Realty | | | 309 | | | | 3,761 | |
| Ryman Hospitality Properties, Inc.* | | | 199 | | | | 17,769 | |
| Sabra Health Care REIT, Inc. | | | 842 | | | | 11,822 | |
| Safehold, Inc. | | | 76 | | | | 3,409 | |
| Saul Centers, Inc. | | | 45 | | | | 2,208 | |
| Seritage Growth Properties, Class A* | | | 137 | | | | 1,100 | |
| Service Properties Trust | | | 604 | | | | 3,823 | |
| SITE Centers Corp. | | | 638 | | | | 10,029 | |
| STAG Industrial, Inc. | | | 660 | | | | 21,978 | |
| Summit Hotel Properties, Inc.* | | | 383 | | | | 3,347 | |
| Sunstone Hotel Investors, Inc.* | | | 801 | | | | 9,588 | |
| Tanger Factory Outlet Centers, Inc. | | | 378 | | | | 6,619 | |
| Terreno Realty Corp. | | | 271 | | | | 16,452 | |
| UMH Properties, Inc. | | | 161 | | | | 3,170 | |
| Uniti Group, Inc. | | | 724 | | | | 8,210 | |
| Universal Health Realty Income Trust | | | 46 | | | | 2,469 | |
| Urban Edge Properties | | | 426 | | | | 8,030 | |
| Urstadt Biddle Properties, Inc., Class A | | | 111 | | | | 1,954 | |
| Veris Residential, Inc.* | | | 323 | | | | 5,197 | |
| Washington REIT | | | 311 | | | | 7,554 | |
| Whitestone REIT | | | 170 | | | | 2,089 | |
| Xenia Hotels & Resorts, Inc.* | | | 419 | | | | 7,705 | |
| | | | | | | 637,187 | |
| Food & Staples Retailing - 0.2% | | | | | | | | |
| Andersons, Inc. (The) | | | 117 | | | | 4,400 | |
| BJ's Wholesale Club Holdings, Inc.* | | | 504 | | | | 29,167 | |
| Chefs' Warehouse, Inc. (The)* | | | 116 | | | | 4,145 | |
| HF Foods Group, Inc.* | | | 138 | | | | 733 | |
| Ingles Markets, Inc., Class A | | | 51 | | | | 4,542 | |
| MedAvail Holdings, Inc.* | | | 47 | | | | 80 | |
| Natural Grocers by Vitamin Cottage, Inc. | | | 34 | | | | 601 | |
| Performance Food Group Co.* | | | 559 | | | | 24,227 | |
| PriceSmart, Inc. | | | 91 | | | | 7,155 | |
| Rite Aid Corp.*(c) | | | 205 | | | | 1,142 | |
| SpartanNash Co. | | | 132 | | | | 4,542 | |
| Sprouts Farmers Market, Inc.* | | | 414 | | | | 11,215 | |
| United Natural Foods, Inc.* | | | 213 | | | | 9,033 | |
| Village Super Market, Inc., Class A | | | 32 | | | | 760 | |
| Weis Markets, Inc. | | | 61 | | | | 4,485 | |
| | | | | | | 106,227 | |
| Food Products - 0.2% | | | | | | | | |
| AppHarvest, Inc.* | | | 258 | | | | 815 | |
| B&G Foods, Inc. | | | 236 | | | | 5,336 | |
| Calavo Growers, Inc. | | | 63 | | | | 2,145 | |
| Cal-Maine Foods, Inc. | | | 150 | | | | 7,160 | |
| Fresh Del Monte Produce, Inc. | | | 124 | | | | 3,167 | |
| Hostess Brands, Inc.* | | | 509 | | | | 10,816 | |
| J & J Snack Foods Corp. | | | 53 | | | | 6,796 | |
| John B Sanfilippo & Son, Inc. | | | 33 | | | | 2,521 | |
| Laird Superfood, Inc.* | | | 25 | | | | 60 | |
| Lancaster Colony Corp. | | | 70 | | | | 8,533 | |
| Landec Corp.* | | | 96 | | | | 912 | |
| Limoneira Co. | | | 57 | | | | 680 | |
| Mission Produce, Inc.* | | | 136 | | | | 1,818 | |
| Sanderson Farms, Inc. | | | 74 | | | | 14,763 | |
| Seneca Foods Corp., Class A* | | | 23 | | | | 1,308 | |
| Simply Good Foods Co. (The)* | | | 313 | | | | 12,507 | |
| Sovos Brands, Inc.* | | | 95 | | | | 1,341 | |
| Tattooed Chef, Inc.* | | | 174 | | | | 1,260 | |
| Tootsie Roll Industries, Inc. | | | 57 | | | | 1,885 | |
| TreeHouse Foods, Inc.* | | | 192 | | | | 7,895 | |
| Utz Brands, Inc. | | | 221 | | | | 3,094 | |
| Vita Coco Co., Inc. (The)* | | | 43 | | | | 527 | |
| Vital Farms, Inc.* | | | 91 | | | | 901 | |
| Whole Earth Brands, Inc.* | | | 137 | | | | 937 | |
| | | | | | | 97,177 | |
| Gas Utilities - 0.3% | | | | | | | | |
| Brookfield Infrastructure Corp., Class A | | | 234 | | | | 16,509 | |
| Chesapeake Utilities Corp. | | | 63 | | | | 8,415 | |
| New Jersey Resources Corp. | | | 356 | | | | 16,347 | |
| Northwest Natural Holding Co. | | | 113 | | | | 6,135 | |
| ONE Gas, Inc. | | | 195 | | | | 16,969 | |
| South Jersey Industries, Inc. | | | 380 | | | | 13,243 | |
| Southwest Gas Holdings, Inc. | | | 242 | | | | 22,537 | |
| Spire, Inc. | | | 187 | | | | 14,642 | |
| | | | | | | 114,797 | |
| Health Care Equipment & Supplies - 0.7% | | | | | | | | |
| Accelerate Diagnostics, Inc.* | | | 124 | | | | 75 | |
| Accuray, Inc.* | | | 339 | | | | 705 | |
| Acutus Medical, Inc.* | | | 72 | | | | 50 | |
| Alphatec Holdings, Inc.* | | | 260 | | | | 1,997 | |
| AngioDynamics, Inc.* | | | 138 | | | | 2,709 | |
| Apyx Medical Corp.* | | | 116 | | | | 704 | |
| Artivion, Inc.* | | | 140 | | | | 2,738 | |
| Asensus Surgical, Inc.* | | | 863 | | | | 338 | |
| Aspira Women's Health, Inc.* | | | 269 | | | | 159 | |
| AtriCure, Inc.* | | | 165 | | | | 6,704 | |
| Atrion Corp. | | | 5 | | | | 3,144 | |
| Avanos Medical, Inc.* | | | 177 | | | | 5,078 | |
| Axogen, Inc.* | | | 142 | | | | 1,373 | |
| Axonics, Inc.* | | | 169 | | | | 8,450 | |
| BioLife Solutions, Inc.* | | | 40 | | | | 549 | |
| Bioventus, Inc., Class A* | | | 103 | | | | 1,018 | |
| Butterfly Network, Inc.* | | | 493 | | | | 1,504 | |
| Cardiovascular Systems, Inc.* | | | 146 | | | | 2,374 | |
| Cerus Corp.* | | | 621 | | | | 3,074 | |
| ClearPoint Neuro, Inc.* | | | 70 | | | | 767 | |
| CONMED Corp. | | | 107 | | | | 12,443 | |
| CryoPort, Inc.* | | | 149 | | | | 3,792 | |
| Cue Health, Inc.* | | | 53 | | | | 280 | |
| Cutera, Inc.* | | | 64 | | | | 2,879 | |
| CVRx, Inc.* | | | 42 | | | | 261 | |
| CytoSorbents Corp.* | | | 153 | | | | 295 | |
| DarioHealth Corp.* | | | 49 | | | | 326 | |
| Eargo, Inc.* | | | 112 | | | | 174 | |
See accompanying notes to the financial statements.
Hedge Replication ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Glaukos Corp.* | | | 168 | | | | 6,859 | |
| Haemonetics Corp.* | | | 186 | | | | 11,766 | |
| Heska Corp.* | | | 36 | | | | 3,592 | |
| Inari Medical, Inc.* | | | 127 | | | | 8,357 | |
| Inogen, Inc.* | | | 72 | | | | 1,849 | |
| Integer Holdings Corp.* | | | 122 | | | | 9,733 | |
| Invacare Corp.* | | | 126 | | | | 118 | |
| iRadimed Corp. | | | 24 | | | | 785 | |
| iRhythm Technologies, Inc.* | | | 109 | | | | 15,353 | |
| Lantheus Holdings, Inc.* | | | 247 | | | | 16,924 | |
| LeMaitre Vascular, Inc. | | | 69 | | | | 3,155 | |
| LivaNova plc* | | | 197 | | | | 13,410 | |
| Lucid Diagnostics, Inc.* | | | 20 | | | | 42 | |
| Meridian Bioscience, Inc.* | | | 156 | | | | 4,290 | |
| Merit Medical Systems, Inc.* | | | 190 | | | | 11,664 | |
| Mesa Laboratories, Inc. | | | 19 | | | | 3,976 | |
| Natus Medical, Inc.* | | | 125 | | | | 4,099 | |
| Neogen Corp.* | | | 397 | | | | 10,505 | |
| Neuronetics, Inc.* | | | 95 | | | | 255 | |
| NeuroPace, Inc.* | | | 26 | | | | 162 | |
| Nevro Corp.* | | | 128 | | | | 5,578 | |
| NuVasive, Inc.* | | | 191 | | | | 10,965 | |
| Omnicell, Inc.* | | | 161 | | | | 17,897 | |
| OraSure Technologies, Inc.* | | | 264 | | | | 1,096 | |
| Orthofix Medical, Inc.* | | | 70 | | | | 1,924 | |
| OrthoPediatrics Corp.* | | | 50 | | | | 2,308 | |
| Outset Medical, Inc.* | | | 172 | | | | 3,750 | |
| Paragon 28, Inc.* | | | 34 | | | | 609 | |
| PAVmed, Inc.* | | | 269 | | | | 272 | |
| PROCEPT BioRobotics Corp.* | | | 27 | | | | 1,056 | |
| Pulmonx Corp.* | | | 96 | | | | 1,753 | |
| Pulse Biosciences, Inc.* | | | 53 | | | | 118 | |
| Quotient Ltd.* | | | 297 | | | | 184 | |
| Retractable Technologies, Inc.* | | | 64 | | | | 296 | |
| RxSight, Inc.* | | | 64 | | | | 874 | |
| SeaSpine Holdings Corp.* | | | 118 | | | | 976 | |
| Senseonics Holdings, Inc.* | | | 1,594 | | | | 1,849 | |
| Shockwave Medical, Inc.* | | | 125 | | | | 20,526 | |
| SI-BONE, Inc.* | | | 121 | | | | 1,809 | |
| Sientra, Inc.* | | | 217 | | | | 210 | |
| Sight Sciences, Inc.* | | | 82 | | | | 704 | |
| Silk Road Medical, Inc.* | | | 127 | | | | 4,219 | |
| STAAR Surgical Co.* | | | 175 | | | | 11,540 | |
| Stereotaxis, Inc.* | | | 184 | | | | 370 | |
| Surmodics, Inc.* | | | 49 | | | | 1,922 | |
| Tactile Systems Technology, Inc.* | | | 71 | | | | 721 | |
| Talis Biomedical Corp.* | | | 55 | | | | 58 | |
| TransMedics Group, Inc.* | | | 95 | | | | 2,771 | |
| Treace Medical Concepts, Inc.* | | | 112 | | | | 1,869 | |
| UFP Technologies, Inc.* | | | 26 | | | | 1,988 | |
| Utah Medical Products, Inc. | | | 14 | | | | 1,206 | |
| Vapotherm, Inc.* | | | 83 | | | | 268 | |
| Varex Imaging Corp.* | | | 140 | | | | 3,226 | |
| ViewRay, Inc.* | | | 556 | | | | 1,607 | |
| Zynex, Inc. | | | 82 | | | | 598 | |
| | | | | | | 297,971 | |
| Health Care Providers & Services - 0.6% | | | | | | | | |
| 1Life Healthcare, Inc.* | | | 423 | | | | 3,583 | |
| Accolade, Inc.* | | | 189 | | | | 1,213 | |
| AdaptHealth Corp.* | | | 264 | | | | 4,749 | |
| Addus HomeCare Corp.* | | | 55 | | | | 4,593 | |
| Agiliti, Inc.* | | | 87 | | | | 1,681 | |
| AirSculpt Technologies, Inc.* | | | 25 | | | | 221 | |
| Alignment Healthcare, Inc.* | | | 293 | | | | 3,129 | |
| AMN Healthcare Services, Inc.* | | | 173 | | | | 16,764 | |
| Apollo Medical Holdings, Inc.* | | | 139 | | | | 5,218 | |
| Aveanna Healthcare Holdings, Inc.* | | | 145 | | | | 447 | |
| Biodesix, Inc.* | | | 53 | | | | 78 | |
| Brookdale Senior Living, Inc.* | | | 681 | | | | 3,882 | |
| Castle Biosciences, Inc.* | | | 78 | | | | 1,737 | |
| Community Health Systems, Inc.* | | | 458 | | | | 2,400 | |
| CorVel Corp.* | | | 33 | | | | 4,922 | |
| Covetrus, Inc.* | | | 383 | | | | 7,974 | |
| Cross Country Healthcare, Inc.* | | | 132 | | | | 2,330 | |
| Ensign Group, Inc. (The) | | | 194 | | | | 15,747 | |
| Fulgent Genetics, Inc.* | | | 76 | | | | 4,143 | |
| Hanger, Inc.* | | | 138 | | | | 2,179 | |
| HealthEquity, Inc.* | | | 302 | | | | 18,899 | |
| InfuSystem Holdings, Inc.* | | | 66 | | | | 638 | |
| Innovage Holding Corp.* | | | 67 | | | | 325 | |
| Invitae Corp.* | | | 738 | | | | 2,708 | |
| Joint Corp. (The)* | | | 50 | | | | 834 | |
| LHC Group, Inc.* | | | 113 | | | | 18,833 | |
| LifeStance Health Group, Inc.* | | | 265 | | | | 1,974 | |
| MEDNAX, Inc.* | | | 281 | | | | 5,429 | |
| ModivCare, Inc.* | | | 45 | | | | 4,294 | |
| National HealthCare Corp. | | | 45 | | | | 3,163 | |
| National Research Corp. | | | 51 | | | | 1,830 | |
| Ontrak, Inc.* | | | 47 | | | | 89 | |
| OPKO Health, Inc.* | | | 1,471 | | | | 4,413 | |
| Option Care Health, Inc.* | | | 585 | | | | 17,761 | |
| Owens & Minor, Inc. | | | 267 | | | | 9,313 | |
| Patterson Cos., Inc. | | | 315 | | | | 9,951 | |
| Pennant Group, Inc. (The)* | | | 94 | | | | 1,798 | |
| PetIQ, Inc.* | | | 99 | | | | 1,699 | |
| Privia Health Group, Inc.* | | | 153 | | | | 3,666 | |
| Progyny, Inc.* | | | 237 | | | | 7,492 | |
| R1 RCM, Inc.* | | | 437 | | | | 9,382 | |
| RadNet, Inc.* | | | 167 | | | | 3,429 | |
| Select Medical Holdings Corp. | | | 406 | | | | 9,886 | |
| Sharps Compliance Corp.* | | | 69 | | | | 298 | |
| Surgery Partners, Inc.* | | | 127 | | | | 4,978 | |
| Tenet Healthcare Corp.* | | | 392 | | | | 25,366 | |
| Tivity Health, Inc.* | | | 162 | | | | 5,249 | |
| US Physical Therapy, Inc. | | | 46 | | | | 5,179 | |
| Viemed Healthcare, Inc.* | | | 131 | | | | 752 | |
| | | | | | | 266,618 | |
| Health Care Technology - 0.1% | | | | | | | | |
| Allscripts Healthcare Solutions, Inc.* | | | 447 | | | | 7,639 | |
| American Well Corp., Class A* | | | 674 | | | | 2,548 | |
| Computer Programs and Systems, Inc.* | | | 51 | | | | 1,626 | |
| Convey Health Solutions Holdings, Inc.* | | | 49 | | | | 304 | |
| Evolent Health, Inc., Class A* | | | 294 | | | | 8,270 | |
| Forian, Inc.* | | | 69 | | | | 213 | |
| Health Catalyst, Inc.* | | | 193 | | | | 2,827 | |
| HealthStream, Inc.* | | | 93 | | | | 1,894 | |
| iCAD, Inc.* | | | 82 | | | | 313 | |
| Inspire Medical Systems, Inc.* | | | 99 | | | | 17,506 | |
| Multiplan Corp.* | | | 1,201 | | | | 6,005 | |
| NantHealth, Inc.* | | | 101 | | | | 53 | |
| NextGen Healthcare, Inc.* | | | 208 | | | | 3,767 | |
| OptimizeRx Corp.* | | | 63 | | | | 1,612 | |
| Phreesia, Inc.* | | | 183 | | | | 3,320 | |
| Schrodinger, Inc.* | | | 167 | | | | 4,315 | |
See accompanying notes to the financial statements.
Hedge Replication ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Simulations Plus, Inc. | | | 55 | | | | 2,611 | |
| Tabula Rasa HealthCare, Inc.* | | | 83 | | | | 302 | |
| | | | | | | 65,125 | |
| Hotels, Restaurants & Leisure - 0.5% | | | | | | | | |
| Accel Entertainment, Inc.* | | | 209 | | | | 2,263 | |
| Bally's Corp.* | | | 121 | | | | 3,163 | |
| Biglari Holdings, Inc., Class B* | | | 3 | | | | 401 | |
| BJ's Restaurants, Inc.* | | | 82 | | | | 2,154 | |
| Bloomin' Brands, Inc. | | | 325 | | | | 6,861 | |
| Bluegreen Vacations Holding Corp. | | | 52 | | | | 1,449 | |
| Brinker International, Inc.* | | | 163 | | | | 4,947 | |
| Carrols Restaurant Group, Inc. | | | 125 | | | | 230 | |
| Century Casinos, Inc.* | | | 101 | | | | 883 | |
| Cheesecake Factory, Inc. (The) | | | 170 | | | | 5,552 | |
| Chuy's Holdings, Inc.* | | | 72 | | | | 1,627 | |
| Cracker Barrel Old Country Store, Inc. | | | 88 | | | | 8,977 | |
| Dave & Buster's Entertainment, Inc.* | | | 161 | | | | 6,100 | |
| Denny's Corp.* | | | 227 | | | | 2,352 | |
| Dine Brands Global, Inc. | | | 59 | | | | 4,336 | |
| Drive Shack, Inc.* | | | 308 | | | | 493 | |
| EBET, Inc.* | | | 48 | | | | 147 | |
| El Pollo Loco Holdings, Inc.* | | | 70 | | | | 725 | |
| Everi Holdings, Inc.* | | | 314 | | | | 5,621 | |
| F45 Training Holdings, Inc.* | | | 118 | | | | 751 | |
| Fiesta Restaurant Group, Inc.* | | | 65 | | | | 484 | |
| First Watch Restaurant Group, Inc.* | | | 42 | | | | 668 | |
| Full House Resorts, Inc.* | | | 122 | | | | 859 | |
| GAN Ltd.* | | | 147 | | | | 495 | |
| Golden Entertainment, Inc.* | | | 63 | | | | 2,979 | |
| Hall of Fame Resort & Entertainment Co.* | | | 207 | | | | 138 | |
| Hilton Grand Vacations, Inc.* | | | 315 | | | | 14,411 | |
| International Game Technology plc | | | 368 | | | | 7,883 | |
| Jack in the Box, Inc. | | | 77 | | | | 5,259 | |
| Krispy Kreme, Inc. | | | 313 | | | | 4,639 | |
| Kura Sushi USA, Inc., Class A* | | | 17 | | | | 641 | |
| Life Time Group Holdings, Inc.* | | | 142 | | | | 2,080 | |
| Light & Wonder, Inc.* | | | 355 | | | | 18,744 | |
| Lindblad Expeditions Holdings, Inc.* | | | 114 | | | | 1,637 | |
| Monarch Casino & Resort, Inc.* | | | 47 | | | | 3,189 | |
| Nathan's Famous, Inc. | | | 10 | | | | 511 | |
| NEOGAMES SA* | | | 39 | | | | 512 | |
| Noodles & Co.* | | | 149 | | | | 983 | |
| ONE Group Hospitality, Inc. (The)* | | | 76 | | | | 683 | |
| Papa John's International, Inc. | | | 122 | | | | 10,737 | |
| PlayAGS, Inc.* | | | 102 | | | | 592 | |
| Portillo's, Inc., Class A* | | | 84 | | | | 1,560 | |
| RCI Hospitality Holdings, Inc. | | | 33 | | | | 1,905 | |
| Red Robin Gourmet Burgers, Inc.* | | | 56 | | | | 551 | |
| Red Rock Resorts, Inc., Class A | | | 198 | | | | 7,669 | |
| Rush Street Interactive, Inc.* | | | 194 | | | | 1,156 | |
| Ruth's Hospitality Group, Inc. | | | 122 | | | | 2,248 | |
| SeaWorld Entertainment, Inc.* | | | 186 | | | | 10,077 | |
| Shake Shack, Inc., Class A* | | | 137 | | | | 6,665 | |
| Sweetgreen, Inc., Class A* | | | 44 | | | | 804 | |
| Target Hospitality Corp.* | | | 93 | | | | 591 | |
| Texas Roadhouse, Inc. | | | 258 | | | | 20,116 | |
| Wingstop, Inc. | | | 111 | | | | 8,842 | |
| Xponential Fitness, Inc., Class A* | | | 44 | | | | 831 | |
| | | | | | | 200,171 | |
| Household Durables - 0.4% | | | | | | | | |
| Aterian, Inc.* | | | 97 | | | | 313 | |
| Bassett Furniture Industries, Inc. | | | 34 | | | | 554 | |
| Beazer Homes USA, Inc.* | | | 108 | | | | 1,751 | |
| Cavco Industries, Inc.* | | | 34 | | | | 7,553 | |
| Century Communities, Inc. | | | 112 | | | | 6,089 | |
| Ethan Allen Interiors, Inc. | | | 82 | | | | 1,907 | |
| Flexsteel Industries, Inc. | | | 24 | | | | 468 | |
| GoPro, Inc., Class A* | | | 475 | | | | 3,282 | |
| Green Brick Partners, Inc.* | | | 114 | | | | 2,772 | |
| Hamilton Beach Brands Holding Co., Class A | | | 28 | | | | 289 | |
| Helen of Troy Ltd.* | | | 89 | | | | 16,482 | |
| Hooker Furnishings Corp. | | | 45 | | | | 778 | |
| Hovnanian Enterprises, Inc., Class A* | | | 20 | | | | 1,024 | |
| Installed Building Products, Inc. | | | 88 | | | | 8,408 | |
| iRobot Corp.* | | | 99 | | | | 4,711 | |
| KB Home | | | 293 | | | | 10,106 | |
| Landsea Homes Corp.* | | | 41 | | | | 294 | |
| La-Z-Boy, Inc. | | | 162 | | | | 4,136 | |
| Legacy Housing Corp.* | | | 30 | | | | 470 | |
| LGI Homes, Inc.* | | | 79 | | | | 7,741 | |
| Lifetime Brands, Inc. | | | 46 | | | | 525 | |
| Lovesac Co. (The)* | | | 46 | | | | 1,602 | |
| M/I Homes, Inc.* | | | 105 | | | | 4,909 | |
| MDC Holdings, Inc. | | | 211 | | | | 8,056 | |
| Meritage Homes Corp.* | | | 136 | | | | 11,602 | |
| Purple Innovation, Inc.* | | | 214 | | | | 1,109 | |
| Skyline Champion Corp.* | | | 194 | | | | 10,307 | |
| Snap One Holdings Corp.* | | | 65 | | | | 803 | |
| Sonos, Inc.* | | | 472 | | | | 10,445 | |
| Taylor Morrison Home Corp.* | | | 441 | | | | 12,776 | |
| Traeger, Inc.* | | | 117 | | | | 556 | |
| Tri Pointe Homes, Inc.* | | | 406 | | | | 8,554 | |
| Tupperware Brands Corp.* | | | 179 | | | | 1,187 | |
| Universal Electronics, Inc.* | | | 46 | | | | 1,233 | |
| VOXX International Corp.* | | | 56 | | | | 469 | |
| Vuzix Corp.* | | | 217 | | | | 1,410 | |
| Weber, Inc., Class A | | | 78 | | | | 603 | |
| | | | | | | 155,274 | |
| Household Products - 0.1% | | | | | | | | |
| Central Garden & Pet Co.* | | | 36 | | | | 1,626 | |
| Central Garden & Pet Co., Class A* | | | 147 | | | | 6,223 | |
| Energizer Holdings, Inc. | | | 246 | | | | 7,378 | |
| Oil-Dri Corp. of America | | | 20 | | | | 475 | |
| WD-40 Co. | | | 50 | | | | 9,439 | |
| | | | | | | 25,141 | |
| Independent Power and Renewable Electricity Producers - 0.1% | | | | | | | | |
| Clearway Energy, Inc., Class A | | | 131 | | | | 4,266 | |
| Clearway Energy, Inc., Class C, Class C(c) | | | 303 | | | | 10,620 | |
| Ormat Technologies, Inc. | | | 167 | | | | 14,021 | |
| Sunnova Energy International, Inc.* | | | 316 | | | | 6,320 | |
| | | | | | | 35,227 | |
| Insurance - 0.4% | | | | | | | | |
| Ambac Financial Group, Inc.* | | | 168 | | | | 1,799 | |
| American Equity Investment Life Holding Co. | | | 306 | | | | 12,320 | |
| AMERISAFE, Inc. | | | 71 | | | | 3,578 | |
See accompanying notes to the financial statements.
Hedge Replication ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Argo Group International Holdings Ltd. | | | 118 | | | | 4,998 | |
| Bright Health Group, Inc.* | | | 954 | | | | 1,622 | |
| BRP Group, Inc., Class A* | | | 174 | | | | 4,388 | |
| Citizens, Inc.* | | | 185 | | | | 614 | |
| CNO Financial Group, Inc. | | | 442 | | | | 9,092 | |
| Crawford & Co., Class A | | | 59 | | | | 484 | |
| Donegal Group, Inc., Class A | | | 53 | | | | 858 | |
| eHealth, Inc.* | | | 92 | | | | 966 | |
| Employers Holdings, Inc. | | | 103 | | | | 4,265 | |
| Enstar Group Ltd.* | | | 45 | | | | 10,437 | |
| Genworth Financial, Inc., Class A* | | | 1,869 | | | | 7,569 | |
| Goosehead Insurance, Inc., Class A | | | 66 | | | | 3,417 | |
| Greenlight Capital Re Ltd., Class A* | | | 97 | | | | 759 | |
| HCI Group, Inc. | | | 22 | | | | 1,495 | |
| Heritage Insurance Holdings, Inc. | | | 96 | | | | 351 | |
| Horace Mann Educators Corp. | | | 153 | | | | 6,190 | |
| Investors Title Co. | | | 5 | | | | 830 | |
| James River Group Holdings Ltd. | | | 134 | | | | 3,424 | |
| Kinsale Capital Group, Inc. | | | 79 | | | | 17,370 | |
| Maiden Holdings Ltd.* | | | 258 | | | | 630 | |
| MBIA, Inc.* | | | 176 | | | | 2,466 | |
| MetroMile, Inc.* | | | 421 | | | | 442 | |
| National Western Life Group, Inc., Class A | | | 9 | | | | 1,882 | |
| NI Holdings, Inc.* | | | 32 | | | | 534 | |
| Palomar Holdings, Inc.* | | | 91 | | | | 5,656 | |
| ProAssurance Corp. | | | 199 | | | | 4,420 | |
| RLI Corp. | | | 147 | | | | 17,805 | |
| Safety Insurance Group, Inc. | | | 52 | | | | 4,829 | |
| Selective Insurance Group, Inc. | | | 219 | | | | 17,367 | |
| Selectquote, Inc.* | | | 494 | | | | 1,442 | |
| SiriusPoint Ltd.* | | | 326 | | | | 1,826 | |
| Stewart Information Services Corp. | | | 99 | | | | 5,493 | |
| Tiptree, Inc. | | | 87 | | | | 942 | |
| Trean Insurance Group, Inc.* | | | 65 | | | | 465 | |
| Trupanion, Inc.* | | | 140 | | | | 9,363 | |
| United Fire Group, Inc. | | | 77 | | | | 2,496 | |
| United Insurance Holdings Corp. | | | 76 | | | | 130 | |
| Universal Insurance Holdings, Inc. | | | 100 | | | | 1,290 | |
| | | | | | | 176,304 | |
| Interactive Media & Services - 0.1% | | | | | | | | |
| Cargurus, Inc.* | | | 351 | | | | 8,887 | |
| Cars.com, Inc.* | | | 251 | | | | 2,598 | |
| Eventbrite, Inc., Class A* | | | 282 | | | | 3,308 | |
| EverQuote, Inc., Class A* | | | 72 | | | | 644 | |
| fuboTV, Inc.* | | | 498 | | | | 1,638 | |
| Liberty TripAdvisor Holdings, Inc., Class A* | | | 270 | | | | 281 | |
| MediaAlpha, Inc., Class A* | | | 78 | | | | 788 | |
| Outbrain, Inc.* | | | 90 | | | | 553 | |
| QuinStreet, Inc.* | | | 185 | | | | 2,035 | |
| Society Pass, Inc.* | | | 16 | | | | 33 | |
| TrueCar, Inc.* | | | 353 | | | | 1,176 | |
| Yelp, Inc.* | | | 264 | | | | 7,764 | |
| Ziff Davis, Inc.* | | | 160 | | | | 12,214 | |
| | | | | | | 41,919 | |
| Internet & Direct Marketing Retail - 0.1% | | | | | | | | |
| 1-800-Flowers.com, Inc., Class A* | | | 98 | | | | 956 | |
| 1stdibs.com, Inc.* | | | 74 | | | | 423 | |
| aka Brands Holding Corp.* | | | 37 | | | | 146 | |
| CarParts.com, Inc.* | | | 180 | | | | 1,363 | |
| Duluth Holdings, Inc., Class B* | | | 43 | | | | 536 | |
| Groupon, Inc.* | | | 87 | | | | 1,344 | |
| Lands' End, Inc.* | | | 52 | | | | 603 | |
| Liquidity Services, Inc.* | | | 84 | | | | 1,139 | |
| Lulu's Fashion Lounge Holdings, Inc.* | | | 22 | | | | 413 | |
| Overstock.com, Inc.* | | | 159 | | | | 4,927 | |
| PetMed Express, Inc. | | | 74 | | | | 1,630 | |
| Porch Group, Inc.* | | | 282 | | | | 1,162 | |
| Quotient Technology, Inc.* | | | 331 | | | | 1,384 | |
| RealReal, Inc. (The)* | | | 295 | | | | 968 | |
| Rent the Runway, Inc., Class A* | | | 64 | | | | 277 | |
| Revolve Group, Inc.* | | | 132 | | | | 3,878 | |
| Shutterstock, Inc. | | | 86 | | | | 5,177 | |
| Stitch Fix, Inc., Class A* | | | 300 | | | | 2,541 | |
| Xometry, Inc., Class A* | | | 92 | | | | 3,129 | |
| | | | | | | 31,996 | |
| IT Services - 0.3% | | | | | | | | |
| BigCommerce Holdings, Inc., Series 1* | | | 178 | | | | 3,298 | |
| Brightcove, Inc.* | | | 149 | | | | 1,049 | |
| Cantaloupe, Inc.* | | | 216 | | | | 1,132 | |
| Cass Information Systems, Inc. | | | 50 | | | | 1,706 | |
| Conduent, Inc.* | | | 618 | | | | 3,275 | |
| CSG Systems International, Inc. | | | 119 | | | | 7,401 | |
| DigitalOcean Holdings, Inc.* | | | 188 | | | | 9,184 | |
| EVERTEC, Inc. | | | 222 | | | | 8,423 | |
| Evo Payments, Inc., Class A* | | | 174 | | | | 4,011 | |
| ExlService Holdings, Inc.* | | | 122 | | | | 17,347 | |
| Flywire Corp.* | | | 208 | | | | 4,016 | |
| GreenBox POS* | | | 68 | | | | 179 | |
| Grid Dynamics Holdings, Inc.* | | | 168 | | | | 3,026 | |
| Hackett Group, Inc. (The) | | | 91 | | | | 1,865 | |
| I3 Verticals, Inc., Class A* | | | 78 | | | | 1,819 | |
| IBEX Holdings Ltd.* | | | 22 | | | | 394 | |
| International Money Express, Inc.* | | | 120 | | | | 2,474 | |
| Limelight Networks, Inc.* | | | 461 | | | | 1,669 | |
| LiveRamp Holdings, Inc.* | | | 243 | | | | 6,221 | |
| Maximus, Inc. | | | 225 | | | | 14,600 | |
| MoneyGram International, Inc.* | | | 330 | | | | 3,326 | |
| Paya Holdings, Inc.* | | | 315 | | | | 1,855 | |
| Perficient, Inc.* | | | 121 | | | | 11,847 | |
| Priority Technology Holdings, Inc.* | | | 43 | | | | 220 | |
| Rackspace Technology, Inc.* | | | 201 | | | | 1,855 | |
| Remitly Global, Inc.* | | | 45 | | | | 493 | |
| Repay Holdings Corp.* | | | 319 | | | | 3,972 | |
| StarTek, Inc.* | | | 62 | | | | 223 | |
| TTEC Holdings, Inc. | | | 68 | | | | 4,586 | |
| Tucows, Inc., Class A* | | | 36 | | | | 1,743 | |
| Unisys Corp.* | | | 241 | | | | 2,875 | |
| Verra Mobility Corp.* | | | 561 | | | | 8,948 | |
| | | | | | | 135,032 | |
| Leisure Products - 0.1% | | | | | | | | |
| Acushnet Holdings Corp. | | | 127 | | | | 5,169 | |
| American Outdoor Brands, Inc.* | | | 52 | | | | 602 | |
| AMMO, Inc.* | | | 327 | | | | 1,445 | |
| Callaway Golf Co.* | | | 426 | | | | 9,248 | |
| Clarus Corp. | | | 98 | | | | 2,147 | |
| Escalade, Inc. | | | 38 | | | | 509 | |
| Genius Brands International, Inc.* | | | 1,041 | | | | 791 | |
| Johnson Outdoors, Inc., Class A | | | 20 | | | | 1,303 | |
| Latham Group, Inc.* | | | 158 | | | | 1,503 | |
| Malibu Boats, Inc., Class A* | | | 76 | | | | 4,454 | |
| Marine Products Corp. | | | 31 | | | | 329 | |
See accompanying notes to the financial statements.
Hedge Replication ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| MasterCraft Boat Holdings, Inc.* | | | 67 | | | | 1,568 | |
| Nautilus, Inc.* | | | 114 | | | | 239 | |
| Smith & Wesson Brands, Inc. | | | 176 | | | | 2,725 | |
| Solo Brands, Inc., Class A* | | | 55 | | | | 277 | |
| Sturm Ruger & Co., Inc. | | | 63 | | | | 4,277 | |
| Vista Outdoor, Inc.* | | | 209 | | | | 8,055 | |
| | | | | | | 44,641 | |
| Life Sciences Tools & Services - 0.1% | | | | | | | | |
| Absci Corp.* | | | 205 | | | | 748 | |
| Akoya Biosciences, Inc.* | | | 49 | | | | 571 | |
| Alpha Teknova, Inc.* | | | 26 | | | | 199 | |
| Berkeley Lights, Inc.* | | | 179 | | | | 856 | |
| Bionano Genomics, Inc.* | | | 1,076 | | | | 1,861 | |
| ChromaDex Corp.* | | | 174 | | | | 331 | |
| Codex DNA, Inc.* | | | 35 | | | | 139 | |
| Codexis, Inc.* | | | 222 | | | | 2,371 | |
| Cytek Biosciences, Inc.* | | | 360 | | | | 3,496 | |
| Harvard Bioscience, Inc.* | | | 144 | | | | 527 | |
| Inotiv, Inc.* | | | 64 | | | | 979 | |
| IsoPlexis Corp.* | | | 34 | | | | 72 | |
| MaxCyte, Inc.* | | | 368 | | | | 1,696 | |
| Medpace Holdings, Inc.* | | | 107 | | | | 15,327 | |
| NanoString Technologies, Inc.* | | | 167 | | | | 2,612 | |
| NeoGenomics, Inc.* | | | 417 | | | | 3,511 | |
| Pacific Biosciences of California, Inc.* | | | 715 | | | | 4,025 | |
| Personalis, Inc.* | | | 133 | | | | 527 | |
| Quanterix Corp.* | | | 114 | | | | 1,922 | |
| Rapid Micro Biosystems, Inc., Class A* | | | 57 | | | | 286 | |
| Seer, Inc.* | | | 152 | | | | 1,350 | |
| Singular Genomics Systems, Inc.* | | | 174 | | | | 565 | |
| Standard BioTools, Inc.* | | | 282 | | | | 533 | |
| | | | | | | 44,504 | |
| Machinery - 0.7% | | | | | | | | |
| AgEagle Aerial Systems, Inc.* | | | 259 | | | | 202 | |
| Alamo Group, Inc. | | | 38 | | | | 4,470 | |
| Albany International Corp., Class A | | | 114 | | | | 9,622 | |
| Altra Industrial Motion Corp. | | | 238 | | | | 9,332 | |
| Astec Industries, Inc. | | | 83 | | | | 3,882 | |
| Barnes Group, Inc. | | | 174 | | | | 6,269 | |
| Blue Bird Corp.* | | | 63 | | | | 769 | |
| Chart Industries, Inc.* | | | 134 | | | | 23,568 | |
| CIRCOR International, Inc.* | | | 68 | | | | 1,322 | |
| Columbus McKinnon Corp. | | | 102 | | | | 3,443 | |
| Commercial Vehicle Group, Inc.* | | | 119 | | | | 803 | |
| Desktop Metal, Inc., Class A* | | | 691 | | | | 1,417 | |
| Douglas Dynamics, Inc. | | | 82 | | | | 2,576 | |
| Energy Recovery, Inc.* | | | 152 | | | | 3,072 | |
| Enerpac Tool Group Corp. | | | 221 | | | | 4,314 | |
| EnPro Industries, Inc. | | | 75 | | | | 7,182 | |
| ESCO Technologies, Inc. | | | 94 | | | | 6,186 | |
| Evoqua Water Technologies Corp.* | | | 426 | | | | 15,161 | |
| Federal Signal Corp. | | | 223 | | | | 7,827 | |
| Franklin Electric Co., Inc. | | | 170 | | | | 12,532 | |
| Gorman-Rupp Co. (The) | | | 83 | | | | 2,473 | |
| Greenbrier Cos., Inc. (The) | | | 118 | | | | 4,910 | |
| Helios Technologies, Inc. | | | 120 | | | | 8,210 | |
| Hillenbrand, Inc. | | | 268 | | | | 11,213 | |
| Hydrofarm Holdings Group, Inc.* | | | 145 | | | | 999 | |
| Hyliion Holdings Corp.* | | | 432 | | | | 1,568 | |
| Hyster-Yale Materials Handling, Inc. | | | 38 | | | | 1,404 | |
| Ideanomics, Inc.* | | | 1,794 | | | | 1,076 | |
| John Bean Technologies Corp. | | | 116 | | | | 14,123 | |
| Kadant, Inc. | | | 44 | | | | 8,144 | |
| Kennametal, Inc. | | | 309 | | | | 8,572 | |
| Lindsay Corp. | | | 42 | | | | 5,292 | |
| Luxfer Holdings plc | | | 102 | | | | 1,703 | |
| Manitowoc Co., Inc. (The)* | | | 127 | | | | 1,654 | |
| Mayville Engineering Co., Inc.* | | | 34 | | | | 308 | |
| Meritor, Inc.* | | | 249 | | | | 9,006 | |
| Miller Industries, Inc. | | | 42 | | | | 1,037 | |
| Mueller Industries, Inc. | | | 208 | | | | 11,201 | |
| Mueller Water Products, Inc., Class A | | | 575 | | | | 6,860 | |
| Nikola Corp.* | | | 842 | | | | 5,945 | |
| NN, Inc.* | | | 159 | | | | 445 | |
| Omega Flex, Inc. | | | 11 | | | | 1,216 | |
| Park-Ohio Holdings Corp. | | | 32 | | | | 499 | |
| Proto Labs, Inc.* | | | 102 | | | | 4,915 | |
| RBC Bearings, Inc.* | | | 103 | | | | 19,198 | |
| REV Group, Inc. | | | 130 | | | | 1,595 | |
| Shyft Group, Inc. (The) | | | 128 | | | | 2,840 | |
| SPX Corp.* | | | 161 | | | | 8,103 | |
| Standex International Corp. | | | 45 | | | | 4,190 | |
| Tennant Co. | | | 68 | | | | 4,232 | |
| Terex Corp. | | | 251 | | | | 8,883 | |
| Titan International, Inc.* | | | 189 | | | | 3,442 | |
| Trinity Industries, Inc. | | | 286 | | | | 7,110 | |
| Wabash National Corp. | | | 179 | | | | 2,748 | |
| Watts Water Technologies, Inc., Class A | | | 102 | | | | 13,345 | |
| Welbilt, Inc.* | | | 482 | | | | 11,409 | |
| | | | | | | 323,817 | |
| Marine - 0.0%(b) | | | | | | | | |
| Costamare, Inc. | | | 195 | | | | 2,773 | |
| Eagle Bulk Shipping, Inc. | | | 34 | | | | 2,491 | |
| Genco Shipping & Trading Ltd. | | | 119 | | | | 3,004 | |
| Matson, Inc. | | | 152 | | | | 13,662 | |
| Safe Bulkers, Inc. | | | 234 | | | | 1,114 | |
| | | | | | | 23,044 | |
| Media - 0.2% | | | | | | | | |
| Advantage Solutions, Inc.* | | | 282 | | | | 1,213 | |
| AMC Networks, Inc., Class A* | | | 107 | | | | 4,201 | |
| Audacy, Inc.* | | | 436 | | | | 759 | |
| Boston Omaha Corp., Class A* | | | 74 | | | | 1,617 | |
| Cardlytics, Inc.* | | | 120 | | | | 3,109 | |
| Clear Channel Outdoor Holdings, Inc.* | | | 1,339 | | | | 2,116 | |
| comScore, Inc.* | | | 259 | | | | 500 | |
| Daily Journal Corp.* | | | 5 | | | | 1,379 | |
| Digital Media Solutions, Inc.* | | | 14 | | | | 23 | |
| Emerald Holding, Inc.* | | | 88 | | | | 295 | |
| Entravision Communications Corp., Class A | | | 223 | | | | 1,166 | |
| EW Scripps Co. (The), Class A* | | | 212 | | | | 3,364 | |
| Fluent, Inc.* | | | 162 | | | | 209 | |
| Gannett Co., Inc.* | | | 519 | | | | 2,040 | |
| Gray Television, Inc. | | | 314 | | | | 6,192 | |
| Hemisphere Media Group, Inc.* | | | 61 | | | | 418 | |
| iHeartMedia, Inc., Class A* | | | 412 | | | | 4,862 | |
| Integral Ad Science Holding Corp.* | | | 120 | | | | 1,462 | |
| John Wiley & Sons, Inc., Class A | | | 159 | | | | 8,421 | |
| Magnite, Inc.* | | | 479 | | | | 5,264 | |
| National CineMedia, Inc. | | | 224 | | | | 275 | |
| Scholastic Corp. | | | 102 | | | | 3,828 | |
See accompanying notes to the financial statements.
Hedge Replication ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Sinclair Broadcast Group, Inc., Class A | | | 169 | | | | 4,095 | |
| Stagwell, Inc.* | | | 226 | | | | 1,788 | |
| TechTarget, Inc.* | | | 96 | | | | 6,825 | |
| TEGNA, Inc. | | | 815 | | | | 17,848 | |
| Thryv Holdings, Inc.* | | | 29 | | | | 759 | |
| WideOpenWest, Inc.* | | | 193 | | | | 4,242 | |
| | | | | | | 88,270 | |
| Metals & Mining - 0.3% | | | | | | | | |
| Allegheny Technologies, Inc.* | | | 470 | | | | 12,925 | |
| Arconic Corp.* | | | 394 | | | | 11,083 | |
| Carpenter Technology Corp. | | | 175 | | | | 6,165 | |
| Century Aluminum Co.* | | | 190 | | | | 2,242 | |
| Coeur Mining, Inc.* | | | 943 | | | | 3,668 | |
| Commercial Metals Co. | | | 442 | | | | 17,561 | |
| Compass Minerals International, Inc. | | | 127 | | | | 5,706 | |
| Constellium SE* | | | 458 | | | | 7,736 | |
| Gatos Silver, Inc.* | | | 171 | | | | 527 | |
| Haynes International, Inc. | | | 44 | | | | 1,683 | |
| Hecla Mining Co. | | | 1,959 | | | | 9,246 | |
| Kaiser Aluminum Corp. | | | 57 | | | | 5,824 | |
| Materion Corp. | | | 74 | | | | 6,066 | |
| MP Materials Corp.* | | | 280 | | | | 11,040 | |
| Novagold Resources, Inc.* | | | 873 | | | | 4,880 | |
| Olympic Steel, Inc. | | | 34 | | | | 1,162 | |
| Perpetua Resources Corp.* | | | 122 | | | | 425 | |
| PolyMet Mining Corp.* | | | 108 | | | | 299 | |
| Ryerson Holding Corp. | | | 61 | | | | 1,839 | |
| Schnitzer Steel Industries, Inc., Class A | | | 97 | | | | 3,940 | |
| SunCoke Energy, Inc. | | | 308 | | | | 2,492 | |
| TimkenSteel Corp.* | | | 169 | | | | 3,904 | |
| Warrior Met Coal, Inc. | | | 190 | | | | 6,388 | |
| Worthington Industries, Inc. | | | 122 | | | | 5,690 | |
| | | | | | | 132,491 | |
| Mortgage Real Estate Investment Trusts (REITs) - 0.3% | | | | | | | | |
| AFC Gamma, Inc. | | | 54 | | | | 968 | |
| Angel Oak Mortgage, Inc. | | | 35 | | | | 535 | |
| Apollo Commercial Real Estate Finance, Inc. | | | 516 | | | | 6,569 | |
| Arbor Realty Trust, Inc. | | | 530 | | | | 8,703 | |
| Ares Commercial Real Estate Corp. | | | 161 | | | | 2,367 | |
| ARMOUR Residential REIT, Inc. | | | 326 | | | | 2,464 | |
| Blackstone Mortgage Trust, Inc., Class A | | | 578 | | | | 17,982 | |
| BrightSpire Capital, Inc. | | | 310 | | | | 2,756 | |
| Broadmark Realty Capital, Inc. | | | 473 | | | | 3,495 | |
| Chicago Atlantic Real Estate Finance, Inc. | | | 23 | | | | 392 | |
| Chimera Investment Corp. | | | 868 | | | | 8,506 | |
| Dynex Capital, Inc. | | | 133 | | | | 2,168 | |
| Ellington Financial, Inc. | | | 199 | | | | 3,082 | |
| Franklin BSP Realty Trust, Inc. | | | 133 | | | | 2,059 | |
| Granite Point Mortgage Trust, Inc. | | | 197 | | | | 2,167 | |
| Great Ajax Corp. | | | 80 | | | | 844 | |
| Hannon Armstrong Sustainable Infrastructure Capital, Inc. | | | 283 | | | | 10,774 | |
| Invesco Mortgage Capital, Inc. | | | 1,159 | | | | 2,063 | |
| KKR Real Estate Finance Trust, Inc. | | | 131 | | | | 2,675 | |
| Ladder Capital Corp. | | | 418 | | | | 4,832 | |
| MFA Financial, Inc. | | | 407 | | | | 5,506 | |
| New York Mortgage Trust, Inc. | | | 1,399 | | | | 4,239 | |
| Orchid Island Capital, Inc. | | | 501 | | | | 1,563 | |
| PennyMac Mortgage Investment Trust | | | 361 | | | | 5,841 | |
| Ready Capital Corp. | | | 247 | | | | 3,626 | |
| Redwood Trust, Inc. | | | 422 | | | | 4,304 | |
| TPG RE Finance Trust, Inc. | | | 222 | | | | 2,329 | |
| Two Harbors Investment Corp. | | | 1,268 | | | | 6,771 | |
| | | | | | | 119,580 | |
| Multiline Retail - 0.1% | | | | | | | | |
| Big Lots, Inc. | | | 113 | | | | 2,767 | |
| Dillard's, Inc., Class A | | | 21 | | | | 6,331 | |
| Franchise Group, Inc. | | | 104 | | | | 4,126 | |
| Macy's, Inc. | | | 1,110 | | | | 26,252 | |
| | | | | | | 39,476 | |
| Multi-Utilities - 0.1% | | | | | | | | |
| Avista Corp. | | | 261 | | | | 11,338 | |
| Black Hills Corp. | | | 236 | | | | 18,092 | |
| NorthWestern Corp. | | | 200 | | | | 12,254 | |
| Unitil Corp. | | | 56 | | | | 3,237 | |
| | | | | | | 44,921 | |
| Oil, Gas & Consumable Fuels - 1.4% | | | | | | | | |
| Aemetis, Inc.* | | | 100 | | | | 811 | |
| Alto Ingredients, Inc.* | | | 264 | | | | 1,175 | |
| Antero Resources Corp.* | | | 1,053 | | | | 45,153 | |
| Arch Resources, Inc. | | | 54 | | | | 8,253 | |
| Berry Corp. | | | 247 | | | | 2,749 | |
| Brigham Minerals, Inc., Class A | | | 160 | | | | 4,850 | |
| California Resources Corp. | | | 299 | | | | 13,057 | |
| Callon Petroleum Co.* | | | 177 | | | | 10,347 | |
| Centennial Resource Development, Inc., Class A* | | | 678 | | | | 5,383 | |
| Centrus Energy Corp., Class A* | | | 36 | | | | 921 | |
| Chesapeake Energy Corp. | | | 387 | | | | 37,686 | |
| Civitas Resources, Inc. | | | 160 | | | | 12,216 | |
| Clean Energy Fuels Corp.* | | | 572 | | | | 3,163 | |
| CNX Resources Corp.* | | | 742 | | | | 16,116 | |
| Comstock Resources, Inc.* | | | 337 | | | | 6,504 | |
| CONSOL Energy, Inc.* | | | 127 | | | | 6,548 | |
| Crescent Energy Co., Class A | | | 108 | | | | 1,952 | |
| CVR Energy, Inc. | | | 109 | | | | 3,753 | |
| Delek US Holdings, Inc.* | | | 241 | | | | 7,028 | |
| Denbury, Inc.* | | | 186 | | | | 13,604 | |
| DHT Holdings, Inc. | | | 516 | | | | 3,075 | |
| Dorian LPG Ltd. | | | 115 | | | | 1,955 | |
| Earthstone Energy, Inc., Class A* | | | 114 | | | | 2,054 | |
| Energy Fuels, Inc.* | | | 569 | | | | 3,647 | |
| Equitrans Midstream Corp. | | | 1,506 | | | | 11,852 | |
| Falcon Minerals Corp. | | | 144 | | | | 1,067 | |
| Frontline Ltd.* | | | 453 | | | | 4,385 | |
| Gevo, Inc.* | | | 733 | | | | 3,079 | |
| Golar LNG Ltd.* | | | 373 | | | | 9,448 | |
| Green Plains, Inc.* | | | 176 | | | | 5,734 | |
| HighPeak Energy, Inc. | | | 20 | | | | 637 | |
| International Seaways, Inc. | | | 170 | | | | 4,102 | |
| Kinetik Holdings, Inc. | | | 13 | | | | 1,093 | |
| Kosmos Energy Ltd.* | | | 1,652 | | | | 12,787 | |
| Laredo Petroleum, Inc.* | | | 45 | | | | 3,788 | |
| Magnolia Oil & Gas Corp., Class A | | | 531 | | | | 14,661 | |
| Matador Resources Co. | | | 407 | | | | 24,786 | |
| Murphy Oil Corp. | | | 539 | | | | 22,864 | |
| Nordic American Tankers Ltd. | | | 620 | | | | 1,271 | |
| Northern Oil and Gas, Inc. | | | 224 | | | | 7,323 | |
| Oasis Petroleum, Inc. | | | 72 | | | | 11,429 | |
See accompanying notes to the financial statements.
Hedge Replication ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Ovintiv, Inc. | | | 966 | | | | 54,086 | |
| Par Pacific Holdings, Inc.* | | | 165 | | | | 2,706 | |
| PBF Energy, Inc., Class A* | | | 355 | | | | 11,786 | |
| PDC Energy, Inc. | | | 359 | | | | 28,411 | |
| Peabody Energy Corp.* | | | 326 | | | | 7,697 | |
| Range Resources Corp.* | | | 880 | | | | 29,876 | |
| Ranger Oil Corp.* | | | 78 | | | | 3,339 | |
| Renewable Energy Group, Inc.* | | | 165 | | | | 10,116 | |
| REX American Resources Corp.* | | | 20 | | | | 1,738 | |
| Riley Exploration Permian, Inc. | | | 40 | | | | 1,099 | |
| Scorpio Tankers, Inc. | | | 179 | | | | 5,916 | |
| SFL Corp. Ltd. | | | 457 | | | | 5,141 | |
| SM Energy Co. | | | 441 | | | | 21,287 | |
| Southwestern Energy Co.* | | | 3,743 | | | | 34,136 | |
| Talos Energy, Inc.* | | | 135 | | | | 2,916 | |
| Teekay Corp.* | | | 257 | | | | 869 | |
| Teekay Tankers Ltd., Class A* | | | 88 | | | | 1,817 | |
| Tellurian, Inc.* | | | 1,366 | | | | 6,516 | |
| Uranium Energy Corp.* | | | 974 | | | | 3,721 | |
| Ur-Energy, Inc.* | | | 684 | | | | 835 | |
| W&T Offshore, Inc.* | | | 346 | | | | 2,329 | |
| Whiting Petroleum Corp. | | | 144 | | | | 12,738 | |
| World Fuel Services Corp. | | | 228 | | | | 5,652 | |
| | | | | | | 607,033 | |
| Paper & Forest Products - 0.0%(b) | | | | | | | | |
| Clearwater Paper Corp.* | | | 61 | | | | 2,095 | |
| Glatfelter Corp. | | | 161 | | | | 1,388 | |
| Neenah, Inc. | | | 62 | | | | 2,351 | |
| | | | | | | 5,834 | |
| Personal Products - 0.1% | | | | | | | | |
| Beauty Health Co. (The)* | | | 320 | | | | 4,566 | |
| BellRing Brands, Inc.* | | | 414 | | | | 10,826 | |
| Edgewell Personal Care Co. | | | 200 | | | | 7,280 | |
| elf Beauty, Inc.* | | | 177 | | | | 4,712 | |
| Honest Co., Inc. (The)* | | | 313 | | | | 1,077 | |
| Inter Parfums, Inc. | | | 65 | | | | 4,797 | |
| Medifast, Inc. | | | 44 | | | | 7,337 | |
| Nature's Sunshine Products, Inc.* | | | 45 | | | | 544 | |
| NewAge, Inc.* | | | 495 | | | | 178 | |
| Nu Skin Enterprises, Inc., Class A | | | 183 | | | | 8,537 | |
| Revlon, Inc., Class A* | | | 27 | | | | 113 | |
| Thorne HealthTech, Inc.* | | | 26 | | | | 153 | |
| USANA Health Sciences, Inc.* | | | 45 | | | | 3,165 | |
| Veru, Inc.* | | | 237 | | | | 3,067 | |
| | | | | | | 56,352 | |
| Pharmaceuticals - 0.3% | | | | | | | | |
| 9 Meters Biopharma, Inc.* | | | 836 | | | | 378 | |
| Aclaris Therapeutics, Inc.* | | | 189 | | | | 2,417 | |
| Aerie Pharmaceuticals, Inc.* | | | 155 | | | | 803 | |
| Amneal Pharmaceuticals, Inc.* | | | 368 | | | | 1,336 | |
| Amphastar Pharmaceuticals, Inc.* | | | 136 | | | | 5,051 | |
| Ampio Pharmaceuticals, Inc.* | | | 720 | | | | 132 | |
| Amylyx Pharmaceuticals, Inc.* | | | 35 | | | | 311 | |
| Angion Biomedica Corp.* | | | 82 | | | | 144 | |
| ANI Pharmaceuticals, Inc.* | | | 42 | | | | 1,270 | |
| Arvinas, Inc.* | | | 173 | | | | 7,212 | |
| Atea Pharmaceuticals, Inc.* | | | 238 | | | | 1,875 | |
| Athira Pharma, Inc.* | | | 120 | | | | 1,090 | |
| Axsome Therapeutics, Inc.* | | | 102 | | | | 2,550 | |
| Cara Therapeutics, Inc.* | | | 163 | | | | 1,356 | |
| Cassava Sciences, Inc.* | | | 140 | | | | 4,284 | |
| CinCor Pharma, Inc.* | | | 44 | | | | 685 | |
| Citius Pharmaceuticals, Inc.* | | | 459 | | | | 431 | |
| Collegium Pharmaceutical, Inc.* | | | 128 | | | | 1,999 | |
| Corcept Therapeutics, Inc.* | | | 321 | | | | 6,690 | |
| CorMedix, Inc.* | | | 139 | | | | 450 | |
| Cymabay Therapeutics, Inc.* | | | 314 | | | | 615 | |
| DICE Therapeutics, Inc.* | | | 51 | | | | 701 | |
| Durect Corp.* | | | 835 | | | | 459 | |
| Edgewise Therapeutics, Inc.* | | | 141 | | | | 881 | |
| Endo International plc* | | | 845 | | | | 446 | |
| Esperion Therapeutics, Inc.* | | | 215 | | | | 1,226 | |
| Evolus, Inc.* | | | 123 | | | | 1,587 | |
| EyePoint Pharmaceuticals, Inc.* | | | 92 | | | | 888 | |
| Fulcrum Therapeutics, Inc.* | | | 102 | | | | 726 | |
| Harmony Biosciences Holdings, Inc.* | | | 84 | | | | 3,662 | |
| Ikena Oncology, Inc.* | | | 103 | | | | 402 | |
| Innoviva, Inc.* | | | 160 | | | | 2,427 | |
| Intra-Cellular Therapies, Inc.* | | | 297 | | | | 17,048 | |
| Kala Pharmaceuticals, Inc.* | | | 182 | | | | 63 | |
| KemPharm, Inc.* | | | 110 | | | | 509 | |
| Landos Biopharma, Inc.* | | | 20 | | | | 15 | |
| Marinus Pharmaceuticals, Inc.* | | | 135 | | | | 655 | |
| Mind Medicine MindMed, Inc.* | | | 1,189 | | | | 1,076 | |
| NGM Biopharmaceuticals, Inc.* | | | 117 | | | | 1,619 | |
| Nuvation Bio, Inc.* | | | 585 | | | | 2,065 | |
| Ocular Therapeutix, Inc.* | | | 284 | | | | 889 | |
| Omeros Corp.* | | | 222 | | | | 551 | |
| Oramed Pharmaceuticals, Inc.* | | | 137 | | | | 634 | |
| Pacira BioSciences, Inc.* | | | 162 | | | | 10,247 | |
| Paratek Pharmaceuticals, Inc.* | | | 182 | | | | 344 | |
| Phathom Pharmaceuticals, Inc.* | | | 74 | | | | 531 | |
| Phibro Animal Health Corp., Class A | | | 75 | | | | 1,441 | |
| Pliant Therapeutics, Inc.* | | | 89 | | | | 501 | |
| Prestige Consumer Healthcare, Inc.* | | | 185 | | | | 10,327 | |
| Provention Bio, Inc.*(c) | | | 204 | | | | 840 | |
| Rain Therapeutics, Inc.* | | | 59 | | | | 137 | |
| Reata Pharmaceuticals, Inc., Class A* | | | 102 | | | | 2,885 | |
| Relmada Therapeutics, Inc.* | | | 92 | | | | 1,729 | |
| Revance Therapeutics, Inc.* | | | 258 | | | | 3,529 | |
| Seelos Therapeutics, Inc.* | | | 364 | | | | 236 | |
| SIGA Technologies, Inc. | | | 178 | | | | 1,947 | |
| Supernus Pharmaceuticals, Inc.* | | | 180 | | | | 5,017 | |
| Tarsus Pharmaceuticals, Inc.* | | | 32 | | | | 440 | |
| Terns Pharmaceuticals, Inc.* | | | 52 | | | | 90 | |
| TherapeuticsMD, Inc.* | | | 30 | | | | 298 | |
| Theravance Biopharma, Inc.* | | | 222 | | | | 1,949 | |
| Theseus Pharmaceuticals, Inc.* | | | 44 | | | | 297 | |
| Ventyx Biosciences, Inc.* | | | 40 | | | | 700 | |
| Verrica Pharmaceuticals, Inc.* | | | 47 | | | | 91 | |
| WaVe Life Sciences Ltd.* | | | 165 | | | | 231 | |
| | | | | | | 123,415 | |
| Professional Services - 0.4% | | | | | | | | |
| Acacia Research Corp.* | | | 182 | | | | 870 | |
| ASGN, Inc.* | | | 188 | | | | 17,903 | |
| Atlas Technical Consultants, Inc.* | | | 53 | | | | 434 | |
| Barrett Business Services, Inc. | | | 28 | | | | 2,096 | |
| CBIZ, Inc.* | | | 180 | | | | 7,373 | |
| CRA International, Inc. | | | 27 | | | | 2,315 | |
| Exponent, Inc. | | | 191 | | | | 17,264 | |
| First Advantage Corp.* | | | 203 | | | | 2,964 | |
| Forrester Research, Inc.* | | | 43 | | | | 2,250 | |
| Franklin Covey Co.* | | | 45 | | | | 1,724 | |
See accompanying notes to the financial statements.
Hedge Replication ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Heidrick & Struggles International, Inc. | | | 71 | | | | 2,454 | |
| HireQuest, Inc. | | | 19 | | | | 293 | |
| HireRight Holdings Corp.* | | | 82 | | | | 1,209 | |
| Huron Consulting Group, Inc.* | | | 80 | | | | 4,794 | |
| ICF International, Inc. | | | 68 | | | | 6,950 | |
| Insperity, Inc. | | | 132 | | | | 13,209 | |
| KBR, Inc. | | | 519 | | | | 25,825 | |
| Kelly Services, Inc., Class A | | | 131 | | | | 2,615 | |
| Kforce, Inc. | | | 74 | | | | 4,860 | |
| Korn Ferry | | | 199 | | | | 12,231 | |
| ManTech International Corp., Class A | | | 101 | | | | 9,661 | |
| Mistras Group, Inc.* | | | 74 | | | | 428 | |
| Resources Connection, Inc. | | | 116 | | | | 2,143 | |
| Sterling Check Corp.* | | | 61 | | | | 1,133 | |
| TriNet Group, Inc.* | | | 149 | | | | 11,702 | |
| TrueBlue, Inc.* | | | 130 | | | | 2,863 | |
| Upwork, Inc.* | | | 434 | | | | 7,921 | |
| Willdan Group, Inc.* | | | 42 | | | | 1,119 | |
| | | | | | | 166,603 | |
| Real Estate Management & Development - 0.1% | | | | | | | | |
| Cushman & Wakefield plc* | | | 510 | | | | 9,522 | |
| Douglas Elliman, Inc. | | | 265 | | | | 1,524 | |
| eXp World Holdings, Inc. | | | 231 | | | | 3,227 | |
| Fathom Holdings, Inc.* | | | 25 | | | | 240 | |
| Forestar Group, Inc.* | | | 63 | | | | 1,045 | |
| FRP Holdings, Inc.* | | | 25 | | | | 1,501 | |
| Kennedy-Wilson Holdings, Inc. | | | 437 | | | | 9,203 | |
| Marcus & Millichap, Inc. | | | 88 | | | | 3,685 | |
| Newmark Group, Inc., Class A | | | 618 | | | | 6,841 | |
| Rafael Holdings, Inc., Class B* | | | 47 | | | | 92 | |
| RE/MAX Holdings, Inc., Class A | | | 68 | | | | 1,652 | |
| Realogy Holdings Corp.* | | | 423 | | | | 5,237 | |
| Redfin Corp.* | | | 381 | | | | 3,734 | |
| RMR Group, Inc. (The), Class A | | | 55 | | | | 1,651 | |
| St Joe Co. (The) | | | 123 | | | | 6,210 | |
| Tejon Ranch Co.* | | | 76 | | | | 1,291 | |
| | | | | | | 56,655 | |
| Road & Rail - 0.2% | | | | | | | | |
| ArcBest Corp. | | | 93 | | | | 7,034 | |
| Avis Budget Group, Inc.* | | | 151 | | | | 28,732 | |
| Covenant Logistics Group, Inc. | | | 43 | | | | 975 | |
| Daseke, Inc.* | | | 147 | | | | 1,111 | |
| Heartland Express, Inc. | | | 173 | | | | 2,470 | |
| HyreCar, Inc.* | | | 67 | | | | 76 | |
| Marten Transport Ltd. | | | 220 | | | | 3,863 | |
| PAM Transportation Services, Inc.* | | | 26 | | | | 724 | |
| Saia, Inc.* | | | 98 | | | | 19,364 | |
| Universal Logistics Holdings, Inc. | | | 29 | | | | 809 | |
| US Xpress Enterprises, Inc., Class A* | | | 100 | | | | 296 | |
| Werner Enterprises, Inc. | | | 222 | | | | 9,007 | |
| Yellow Corp.* | | | 186 | | | | 703 | |
| | | | | | | 75,164 | |
| Semiconductors & Semiconductor Equipment - 0.7% | | | | | | | | |
| Alpha & Omega Semiconductor Ltd.* | | | 79 | | | | 3,470 | |
| Ambarella, Inc.* | | | 131 | | | | 11,164 | |
| Amkor Technology, Inc. | | | 376 | | | | 7,685 | |
| Atomera, Inc.* | | | 74 | | | | 899 | |
| Axcelis Technologies, Inc.* | | | 122 | | | | 7,571 | |
| AXT, Inc.* | | | 149 | | | | 872 | |
| CEVA, Inc.* | | | 82 | | | | 2,958 | |
| CMC Materials, Inc. | | | 104 | | | | 18,402 | |
| Cohu, Inc.* | | | 176 | | | | 5,356 | |
| Credo Technology Group Holding Ltd.* | | | 81 | | | | 829 | |
| Diodes, Inc.* | | | 160 | | | | 12,322 | |
| FormFactor, Inc.* | | | 287 | | | | 11,784 | |
| Ichor Holdings Ltd.* | | | 103 | | | | 3,115 | |
| Impinj, Inc.* | | | 70 | | | | 3,277 | |
| Kopin Corp.* | | | 289 | | | | 321 | |
| Kulicke & Soffa Industries, Inc. | | | 224 | | | | 12,134 | |
| Lattice Semiconductor Corp.* | | | 500 | | | | 26,010 | |
| MACOM Technology Solutions Holdings, Inc.* | | | 181 | | | | 9,866 | |
| MaxLinear, Inc.* | | | 261 | | | | 10,333 | |
| Meta Materials, Inc.* | | | 749 | | | | 1,438 | |
| NeoPhotonics Corp.* | | | 192 | | | | 2,959 | |
| NVE Corp. | | | 18 | | | | 890 | |
| Onto Innovation, Inc.* | | | 179 | | | | 14,388 | |
| PDF Solutions, Inc.* | | | 112 | | | | 2,677 | |
| Photronics, Inc.* | | | 219 | | | | 4,761 | |
| Power Integrations, Inc. | | | 218 | | | | 18,395 | |
| Rambus, Inc.* | | | 400 | | | | 10,040 | |
| Semtech Corp.* | | | 237 | | | | 15,189 | |
| Silicon Laboratories, Inc.* | | | 139 | | | | 20,733 | |
| SiTime Corp.* | | | 59 | | | | 12,567 | |
| SkyWater Technology, Inc.* | | | 30 | | | | 200 | |
| SMART Global Holdings, Inc.* | | | 179 | | | | 4,412 | |
| SunPower Corp.* | | | 295 | | | | 5,213 | |
| Synaptics, Inc.* | | | 145 | | | | 21,477 | |
| Ultra Clean Holdings, Inc.* | | | 163 | | | | 5,470 | |
| Veeco Instruments, Inc.* | | | 184 | | | | 3,943 | |
| | | | | | | 293,120 | |
| Software - 1.0% | | | | | | | | |
| 8x8, Inc.* | | | 415 | | | | 3,009 | |
| A10 Networks, Inc. | | | 222 | | | | 3,421 | |
| ACI Worldwide, Inc.* | | | 434 | | | | 11,562 | |
| Agilysys, Inc.* | | | 78 | | | | 3,188 | |
| Alarm.com Holdings, Inc.* | | | 174 | | | | 11,002 | |
| Alkami Technology, Inc.* | | | 105 | | | | 1,475 | |
| Altair Engineering, Inc., Class A* | | | 170 | | | | 9,343 | |
| American Software, Inc., Class A | | | 117 | | | | 2,001 | |
| Appfolio, Inc., Class A* | | | 70 | | | | 7,013 | |
| Appian Corp.* | | | 144 | | | | 6,879 | |
| Arteris, Inc.* | | | 20 | | | | 186 | |
| Asana, Inc., Class A* | | | 269 | | | | 5,848 | |
| Avaya Holdings Corp.* | | | 309 | | | | 1,140 | |
| AvidXchange Holdings, Inc.* | | | 94 | | | | 825 | |
| Benefitfocus, Inc.* | | | 92 | | | | 837 | |
| Blackbaud, Inc.* | | | 176 | | | | 11,202 | |
| Blackline, Inc.* | | | 199 | | | | 14,571 | |
| Box, Inc., Class A* | | | 502 | | | | 13,107 | |
| BTRS Holdings, Inc., Class A* | | | 350 | | | | 1,739 | |
| Cerence, Inc.* | | | 144 | | | | 4,573 | |
| ChannelAdvisor Corp.* | | | 109 | | | | 1,488 | |
| Cleanspark, Inc.* | | | 146 | | | | 860 | |
| CommVault Systems, Inc.* | | | 164 | | | | 10,006 | |
| Consensus Cloud Solutions, Inc.* | | | 58 | | | | 2,786 | |
| CoreCard Corp.* | | | 27 | | | | 633 | |
| Couchbase, Inc.* | | | 87 | | | | 1,234 | |
| CS Disco, Inc.* | | | 56 | | | | 1,395 | |
| Digimarc Corp.*(c) | | | 46 | | | | 794 | |
| Digital Turbine, Inc.* | | | 335 | | | | 8,519 | |
| Domo, Inc., Class B* | | | 105 | | | | 3,347 | |
See accompanying notes to the financial statements.
Hedge Replication ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| E2open Parent Holdings, Inc.* | | | 733 | | | | 5,923 | |
| Ebix, Inc. | | | 98 | | | | 2,857 | |
| eGain Corp.* | | | 75 | | | | 685 | |
| Enfusion, Inc., Class A* | | | 80 | | | | 876 | |
| EngageSmart, Inc.* | | | 58 | | | | 1,218 | |
| Envestnet, Inc.* | | | 200 | | | | 13,324 | |
| EverCommerce, Inc.* | | | 112 | | | | 1,065 | |
| GTY Technology Holdings, Inc.* | | | 121 | | | | 716 | |
| Instructure Holdings, Inc.* | | | 44 | | | | 785 | |
| Intapp, Inc.* | | | 50 | | | | 994 | |
| InterDigital, Inc. | | | 115 | | | | 7,508 | |
| JFrog Ltd.* | | | 199 | | | | 3,711 | |
| Kaltura, Inc.* | | | 205 | | | | 371 | |
| LivePerson, Inc.* | | | 242 | | | | 4,061 | |
| Marathon Digital Holdings, Inc.* | | | 351 | | | | 3,591 | |
| MeridianLink, Inc.* | | | 83 | | | | 1,480 | |
| MicroStrategy, Inc., Class A* | | | 35 | | | | 9,264 | |
| Mitek Systems, Inc.* | | | 158 | | | | 1,425 | |
| Model N, Inc.* | | | 133 | | | | 3,346 | |
| Momentive Global, Inc.* | | | 488 | | | | 5,944 | |
| ON24, Inc.* | | | 102 | | | | 1,238 | |
| OneSpan, Inc.* | | | 131 | | | | 1,733 | |
| PagerDuty, Inc.* | | | 307 | | | | 7,568 | |
| Ping Identity Holding Corp.* | | | 223 | | | | 4,215 | |
| Progress Software Corp. | | | 162 | | | | 7,826 | |
| PROS Holdings, Inc.* | | | 147 | | | | 4,012 | |
| Q2 Holdings, Inc.* | | | 201 | | | | 10,599 | |
| Qualys, Inc.* | | | 126 | | | | 16,466 | |
| Rapid7, Inc.* | | | 209 | | | | 14,812 | |
| Rekor Systems, Inc.* | | | 126 | | | | 336 | |
| Rimini Street, Inc.* | | | 165 | | | | 1,020 | |
| Riot Blockchain, Inc.* | | | 396 | | | | 2,847 | |
| Sailpoint Technologies Holdings, Inc.* | | | 336 | | | | 21,316 | |
| Sapiens International Corp. NV | | | 115 | | | | 2,913 | |
| SecureWorks Corp., Class A* | | | 34 | | | | 407 | |
| ShotSpotter, Inc.* | | | 32 | | | | 965 | |
| Smith Micro Software, Inc.* | | | 174 | | | | 458 | |
| Sprout Social, Inc., Class A* | | | 167 | | | | 8,505 | |
| SPS Commerce, Inc.* | | | 133 | | | | 14,236 | |
| Stronghold Digital Mining, Inc., Class A* | | | 28 | | | | 90 | |
| Sumo Logic, Inc.* | | | 326 | | | | 2,644 | |
| Telos Corp.* | | | 146 | | | | 1,406 | |
| Tenable Holdings, Inc.* | | | 340 | | | | 17,102 | |
| Upland Software, Inc.* | | | 106 | | | | 1,397 | |
| UserTesting, Inc.* | | | 34 | | | | 174 | |
| Varonis Systems, Inc.* | | | 395 | | | | 13,063 | |
| Verint Systems, Inc.* | | | 237 | | | | 12,096 | |
| Veritone, Inc.* | | | 104 | | | | 809 | |
| Viant Technology, Inc., Class A* | | | 44 | | | | 264 | |
| VirnetX Holding Corp.* | | | 235 | | | | 284 | |
| Vonage Holdings Corp.* | | | 933 | | | | 18,072 | |
| Weave Communications, Inc.* | | | 19 | | | | 95 | |
| Workiva, Inc.* | | | 158 | | | | 11,536 | |
| Xperi Holding Corp. | | | 387 | | | | 6,370 | |
| Yext, Inc.* | | | 420 | | | | 2,134 | |
| Zuora, Inc., Class A* | | | 416 | | | | 4,218 | |
| | | | | | | 426,353 | |
| Specialty Retail - 0.5% | | | | | | | | |
| Aaron's Co., Inc. (The) | | | 116 | | | | 2,269 | |
| Abercrombie & Fitch Co., Class A* | | | 206 | | | | 4,211 | |
| Academy Sports & Outdoors, Inc. | | | 290 | | | | 9,718 | |
| American Eagle Outfitters, Inc. | | | 561 | | | | 6,794 | |
| America's Car-Mart, Inc.* | | | 23 | | | | 2,493 | |
| Arko Corp. | | | 308 | | | | 2,781 | |
| Asbury Automotive Group, Inc.* | | | 84 | | | | 15,217 | |
| Barnes & Noble Education, Inc.* | | | 168 | | | | 422 | |
| Bed Bath & Beyond, Inc.* | | | 357 | | | | 3,088 | |
| Big 5 Sporting Goods Corp. | | | 76 | | | | 969 | |
| Boot Barn Holdings, Inc.* | | | 108 | | | | 8,716 | |
| Buckle, Inc. (The) | | | 111 | | | | 3,647 | |
| Caleres, Inc. | | | 135 | | | | 3,842 | |
| Camping World Holdings, Inc., Class A | | | 153 | | | | 4,151 | |
| CarLotz, Inc.* | | | 266 | | | | 148 | |
| Cato Corp. (The), Class A | | | 71 | | | | 927 | |
| Chico's FAS, Inc.* | | | 443 | | | | 2,193 | |
| Children's Place, Inc. (The)* | | | 50 | | | | 2,374 | |
| Citi Trends, Inc.* | | | 30 | | | | 896 | |
| Conn's, Inc.* | | | 65 | | | | 858 | |
| Container Store Group, Inc. (The)* | | | 118 | | | | 909 | |
| Designer Brands, Inc., Class A | | | 223 | | | | 3,463 | |
| Genesco, Inc.* | | | 52 | | | | 2,928 | |
| Group 1 Automotive, Inc. | | | 61 | | | | 10,955 | |
| GrowGeneration Corp.* | | | 204 | | | | 1,051 | |
| Guess?, Inc. | | | 148 | | | | 3,087 | |
| Haverty Furniture Cos., Inc. | | | 59 | | | | 1,667 | |
| Hibbett, Inc. | | | 50 | | | | 2,537 | |
| JOANN, Inc. | | | 43 | | | | 348 | |
| Kirkland's, Inc.* | | | 45 | | | | 261 | |
| Lazydays Holdings, Inc.* | | | 29 | | | | 450 | |
| LL Flooring Holdings, Inc.* | | | 105 | | | | 1,261 | |
| MarineMax, Inc.* | | | 77 | | | | 3,189 | |
| Monro, Inc. | | | 123 | | | | 5,833 | |
| Murphy USA, Inc. | | | 86 | | | | 21,424 | |
| National Vision Holdings, Inc.* | | | 307 | | | | 8,639 | |
| ODP Corp. (The)* | | | 170 | | | | 6,492 | |
| OneWater Marine, Inc., Class A | | | 42 | | | | 1,436 | |
| Party City Holdco, Inc.* | | | 407 | | | | 586 | |
| Rent-A-Center, Inc. | | | 242 | | | | 6,665 | |
| Sally Beauty Holdings, Inc.* | | | 404 | | | | 6,125 | |
| Shift Technologies, Inc.* | | | 223 | | | | 232 | |
| Shoe Carnival, Inc. | | | 65 | | | | 1,772 | |
| Signet Jewelers Ltd. | | | 195 | | | | 11,622 | |
| Sleep Number Corp.* | | | 81 | | | | 3,720 | |
| Sonic Automotive, Inc., Class A | | | 79 | | | | 3,603 | |
| Sportsman's Warehouse Holdings, Inc.* | | | 160 | | | | 1,514 | |
| Tilly's, Inc., Class A | | | 83 | | | | 687 | |
| Torrid Holdings, Inc.* | | | 68 | | | | 396 | |
| TravelCenters of America, Inc.* | | | 45 | | | | 1,757 | |
| Urban Outfitters, Inc.* | | | 252 | | | | 5,305 | |
| Winmark Corp. | | | 14 | | | | 2,769 | |
| Zumiez, Inc.* | | | 72 | | | | 2,362 | |
| | | | | | | 200,759 | |
| Technology Hardware, Storage & Peripherals - 0.0%(b) | | | | | | | | |
| 3D Systems Corp.* | | | 458 | | | | 4,951 | |
| Avid Technology, Inc.* | | | 133 | | | | 3,896 | |
| Corsair Gaming, Inc.* | | | 101 | | | | 1,621 | |
| Diebold Nixdorf, Inc.* | | | 265 | | | | 824 | |
| Eastman Kodak Co.* | | | 165 | | | | 762 | |
| Quantum Corp.* | | | 221 | | | | 422 | |
| Super Micro Computer, Inc.* | | | 164 | | | | 8,210 | |
| Turtle Beach Corp.* | | | 55 | | | | 961 | |
| | | | | | | 21,647 | |
| Textiles, Apparel & Luxury Goods - 0.1% | | | | | | | | |
| Crocs, Inc.* | | | 216 | | | | 12,044 | |
See accompanying notes to the financial statements.
Hedge Replication ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Fossil Group, Inc.* | | | 176 | | | | 1,292 | |
| G-III Apparel Group Ltd.* | | | 162 | | | | 4,060 | |
| Kontoor Brands, Inc. | | | 191 | | | | 7,653 | |
| Movado Group, Inc. | | | 56 | | | | 1,900 | |
| Oxford Industries, Inc. | | | 58 | | | | 5,287 | |
| PLBY Group, Inc.* | | | 109 | | | | 966 | |
| Rocky Brands, Inc. | | | 25 | | | | 936 | |
| Steven Madden Ltd. | | | 297 | | | | 11,043 | |
| Superior Group of Cos., Inc. | | | 45 | | | | 810 | |
| Unifi, Inc.* | | | 51 | | | | 806 | |
| Vera Bradley, Inc.* | | | 96 | | | | 654 | |
| Wolverine World Wide, Inc. | | | 300 | | | | 6,402 | |
| | | | | | | 53,853 | |
| Thrifts & Mortgage Finance - 0.3% | | | | | | | | |
| Axos Financial, Inc.* | | | 211 | | | | 8,155 | |
| Blue Foundry Bancorp* | | | 103 | | | | 1,233 | |
| Bridgewater Bancshares, Inc.* | | | 77 | | | | 1,250 | |
| Capitol Federal Financial, Inc. | | | 480 | | | | 4,872 | |
| Columbia Financial, Inc.* | | | 144 | | | | 2,994 | |
| Enact Holdings, Inc. | | | 53 | | | | 1,289 | |
| Essent Group Ltd. | | | 400 | | | | 17,116 | |
| Federal Agricultural Mortgage Corp., Class C | | | 34 | | | | 3,570 | |
| Finance of America Cos., Inc., Class A* | | | 68 | | | | 165 | |
| Flagstar Bancorp, Inc. | | | 192 | | | | 7,398 | |
| FS Bancorp, Inc. | | | 27 | | | | 817 | |
| Hingham Institution For Savings (The) | | | 5 | | | | 1,614 | |
| Home Bancorp, Inc. | | | 28 | | | | 963 | |
| Home Point Capital, Inc. | | | 29 | | | | 114 | |
| Kearny Financial Corp. | | | 242 | | | | 3,003 | |
| Luther Burbank Corp. | | | 56 | | | | 764 | |
| Merchants Bancorp | | | 53 | | | | 1,351 | |
| Mr Cooper Group, Inc.* | | | 227 | | | | 9,843 | |
| NMI Holdings, Inc., Class A* | | | 310 | | | | 5,769 | |
| Northfield Bancorp, Inc. | | | 162 | | | | 2,153 | |
| Ocwen Financial Corp.* | | | 31 | | | | 867 | |
| PCSB Financial Corp. | | | 45 | | | | 882 | |
| PennyMac Financial Services, Inc. | | | 112 | | | | 5,490 | |
| Pioneer Bancorp, Inc.* | | | 44 | | | | 444 | |
| Provident Bancorp, Inc. | | | 54 | | | | 811 | |
| Provident Financial Services, Inc. | | | 276 | | | | 6,345 | |
| Radian Group, Inc. | | | 665 | | | | 14,304 | |
| Southern Missouri Bancorp, Inc. | | | 28 | | | | 1,307 | |
| TrustCo Bank Corp. | | | 69 | | | | 2,222 | |
| Velocity Financial, Inc.* | | | 32 | | | | 350 | |
| Walker & Dunlop, Inc. | | | 108 | | | | 11,481 | |
| Waterstone Financial, Inc. | | | 78 | | | | 1,349 | |
| WSFS Financial Corp. | | | 238 | | | | 10,182 | |
| | | | | | | 130,467 | |
| Tobacco - 0.0%(b) | | | | | | | | |
| 22nd Century Group, Inc.* | | | 592 | | | | 1,077 | |
| Turning Point Brands, Inc. | | | 52 | | | | 1,521 | |
| Universal Corp. | | | 90 | | | | 5,731 | |
| Vector Group Ltd. | | | 529 | | | | 6,512 | |
| | | | | | | 14,841 | |
| Trading Companies & Distributors - 0.4% | | | | | | | | |
| Alta Equipment Group, Inc.* | | | 69 | | | | 743 | |
| Applied Industrial Technologies, Inc. | | | 140 | | | | 14,477 | |
| Beacon Roofing Supply, Inc.* | | | 206 | | | | 12,651 | |
| BlueLinx Holdings, Inc.* | | | 34 | | | | 2,811 | |
| Boise Cascade Co. | | | 144 | | | | 11,134 | |
| Custom Truck One Source, Inc.* | | | 217 | | | | 1,293 | |
| Distribution Solutions Group, Inc.* | | | 19 | | | | 729 | |
| DXP Enterprises, Inc.* | | | 63 | | | | 1,933 | |
| EVI Industries, Inc.* | | | 18 | | | | 195 | |
| GATX Corp. | | | 131 | | | | 14,142 | |
| Global Industrial Co. | | | 46 | | | | 1,576 | |
| GMS, Inc.* | | | 158 | | | | 7,870 | |
| H&E Equipment Services, Inc. | | | 119 | | | | 4,242 | |
| Herc Holdings, Inc. | | | 92 | | | | 10,784 | |
| Karat Packaging, Inc.* | | | 17 | | | | 334 | |
| McGrath RentCorp | | | 89 | | | | 7,317 | |
| MRC Global, Inc.* | | | 297 | | | | 3,324 | |
| NOW, Inc.* | | | 405 | | | | 4,471 | |
| Rush Enterprises, Inc., Class A | | | 155 | | | | 7,902 | |
| Rush Enterprises, Inc., Class B | | | 25 | | | | 1,238 | |
| Textainer Group Holdings Ltd. | | | 173 | | | | 5,612 | |
| Titan Machinery, Inc.* | | | 71 | | | | 1,875 | |
| Transcat, Inc.* | | | 27 | | | | 1,712 | |
| Triton International Ltd. | | | 246 | | | | 15,687 | |
| Veritiv Corp.* | | | 52 | | | | 7,558 | |
| WESCO International, Inc.* | | | 164 | | | | 20,595 | |
| Willis Lease Finance Corp.* | | | 11 | | | | 413 | |
| | | | | | | 162,618 | |
| Water Utilities - 0.1% | | | | | | | | |
| American States Water Co. | | | 135 | | | | 10,699 | |
| Artesian Resources Corp., Class A | | | 31 | | | | 1,521 | |
| Cadiz, Inc.* | | | 84 | | | | 170 | |
| California Water Service Group | | | 194 | | | | 10,412 | |
| Global Water Resources, Inc. | | | 46 | | | | 659 | |
| Middlesex Water Co. | | | 63 | | | | 5,357 | |
| Pure Cycle Corp.* | | | 71 | | | | 802 | |
| SJW Group | | | 102 | | | | 6,309 | |
| York Water Co. (The) | | | 47 | | | | 1,926 | |
| | | | | | | 37,855 | |
| Wireless Telecommunication Services - 0.0%(b) | | | | | | | | |
| Gogo, Inc.* | | | 219 | | | | 4,437 | |
| Shenandoah Telecommunications Co. | | | 178 | | | | 4,087 | |
| Telephone and Data Systems, Inc. | | | 373 | | | | 6,613 | |
| United States Cellular Corp.* | | | 55 | | | | 1,689 | |
| | | | | | | 16,826 | |
| TOTAL COMMON STOCKS | | | | | | | | |
| (Cost $9,812,543) | | | | | | | 8,972,183 | |
| Investments | | | Number of
Rights | | | | Value ($) | |
| RIGHTS - 0.0%(b) | | | | | | | | |
| | | | | | | | |
| Biotechnology - 0.0% | | | | | | | | |
| Contra Aduro Biotech I, CVR*(c)(d)(e) | | | 39 | | | | — | |
| Tobira Therapeutics, Inc., CVR*(d)(e) | | | 10 | | | | — | |
| | | | | | | — | |
| Pharmaceuticals - 0.0%(b) | | | | | | | | |
| Zogenix, Inc., CVR*(d)(e) | | | 231 | | | | 157 | |
| TOTAL RIGHTS | | | | | | | | |
| (Cost $117) | | | | | | | 157 | |
See accompanying notes to the financial statements.
Hedge Replication ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| SECURITIES LENDING REINVESTMENTS(f) - 0.0%(b) | | | | | | | | |
| | | | | | | | |
| INVESTMENT COMPANIES - 0.0%(b) | | | | | | | | |
| BlackRock Liquidity FedFund, Institutional Class | | | | | | | | |
| 0.72% (Cost $9) | | | 9 | | | | 9 | |
| Investments | | Principal
Amount ($) | | | Value ($) | |
| SHORT-TERM INVESTMENTS - 78.7% | | | | | | | | |
| | | | | | | | |
| REPURCHASE AGREEMENTS(g) - 4.7% | | | | | | | | |
| Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $2,063,177 | | | | | | | | |
| (Cost $2,063,136) | | | 2,063,136 | | | | 2,063,136 | |
| | | | | | | | |
| U.S. TREASURY OBLIGATIONS - 74.0% | | | | | | | | |
| U.S. Treasury Bills | | | | | | | | |
| 0.90%, 8/4/2022(h) (Cost $32,468,327) | | | 32,520,000 | | | | 32,467,844 | |
| | | | | | | | |
| TOTAL SHORT-TERM INVESTMENTS | | | | | | | | |
| (Cost $34,531,463) | | | | | | | 34,530,980 | |
| Total Investments - 99.2% | | | | | | | | |
| (Cost $44,344,132) | | | | | | | 43,503,329 | |
| Other assets less liabilities - 0.8% | | | | | | | 358,528 | |
| Net Assets - 100.0% | | | | | | | 43,861,857 | |
| * | Non-income producing security. |
| (a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
| (b) | Represents less than 0.05% of net assets. |
| (c) | The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $4,995, collateralized in the form of cash with a value of $9 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $5,334 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% – 4.75%, and maturity dates ranging from June 30, 2022 – November 15, 2051. The total value of collateral is $5,343. |
| (d) | Security fair valued as of May 31, 2022 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at May 31, 2022 amounted to $157, which represents approximately 0.00% of net assets of the Fund. |
| (e) | Illiquid security. |
| (f) | The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $9. |
| (g) | The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase. |
| (h) | The rate shown was the current yield as of May 31, 2022. |
| Abbreviations |
| CVR | Contingent Value Rights - No defined expiration |
| |
| As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows: |
| |
| Aggregate gross unrealized appreciation | | $ | 1,205,149 | |
| Aggregate gross unrealized depreciation | | | (3,746,677 | ) |
| Net unrealized depreciation | | $ | (2,541,528 | ) |
| Federal income tax cost | | $ | 44,594,896 | |
| Futures Contracts Purchased | |
| Hedge Replication ETF had the following open long futures contracts as of May 31, 2022: | |
| | | Number of
Contracts | | | Expiration
Date | | Trading
Currency | | Notional Amount | | | Value and Unrealized Appreciation | |
| E-Mini Euro | | | 111 | | | 6/13/2022 | | USD | | $ | 7,451,569 | | | $ | 121,549 | |
See accompanying notes to the financial statements.
Hedge Replication ETF
Schedule of Portfolio Investments
May 31, 2022
| Swap Agreementsa | | | | |
| Hedge Replication ETF had the following open non-exchange traded total return swap agreements as of May 31, 2022: | | | | |
| | | | | | | | | | | | | | | | | | |
Notional
Amount ($) | | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | | Reference Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | | Financial
Instruments
for the
Benefit of (the
Fund)/ the
Counterparty
($) | | | Cash
Collateral for
the Benefit of
(the Fund)/
the
Counterparty
($) | | | Net
Amounte ($) | |
| 57,785 | | | 4/10/2023 | | Credit Suisse International | | | 1.28 | % | | Russell 2000® Total Return Index | | (17,778 | ) | | | | | | | | | | | | |
| 830,757 | | | 4/10/2023 | | Credit Suisse International | | | 1.13 | % | | iShares® MSCI Emerging Markets ETFf | | (158,779 | ) | | | | | | | | | | | | |
| 888,542 | | | | | | | | | | | | | (176,557 | ) | | | — | | | | 176,557 | | | | — | |
| 255,455 | | | 4/10/2023 | | Morgan Stanley & Co. International plc | | | 1.28 | % | | iShares® MSCI Emerging Markets ETFf | | (46,952 | ) | | | — | | | | 46,952 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| 214,365 | | | 3/7/2023 | | Societe Generale | | | 1.18 | % | | Russell 2000® Total Return Index | | (117,335 | ) | | | | | | | | | | | | |
| 739,655 | | | 3/7/2023 | | Societe Generale | | | 1.33 | % | | S&P 500® Total Return Index | | 1,060 | | | | | | | | | | | | | |
| 1,243,727 | | | 3/7/2023 | | Societe Generale | | | 1.33 | % | | iShares® MSCI EAFE ETFf | | (145,078 | ) | | | | | | | | | | | | |
| 1,484,174 | | | 3/7/2023 | | Societe Generale | | | 0.58 | % | | iShares® MSCI Emerging Markets ETFf | | (298,086 | ) | | | | | | | | | | | | |
| 3,681,921 | | | | | | | | | | | | | (559,439 | ) | | | — | | | | 559,439 | | | | — | |
| 54,057 | | | 3/7/2023 | | UBS AG | | | 0.83 | % | | Russell 2000® Total Return Index | | (119,846 | ) | | | | | | | | | | | | |
| 326,180 | | | 11/6/2023 | | UBS AG | | | 0.63 | % | | iShares® MSCI Emerging Markets ETFf | | (435,703 | ) | | | | | | | | | | | | |
| 939,008 | | | 1/8/2024 | | UBS AG | | | 1.03 | % | | iShares® MSCI EAFE ETFf | | (233,013 | ) | | | | | | | | | | | | |
| 1,319,245 | | | | | | | | | | | | | (788,562 | ) | | | — | | | | 788,562 | | | | — | |
| 6,145,163 | | | | | | | | | | | | | (1,571,510 | ) | | | | | | | | | | | | |
| | | | | | | | | | | Total Unrealized Appreciation | | 1,060 | | | | | | | | | | | | | |
| | | | | | | | | | | Total Unrealized Depreciation | | (1,572,570 | ) | | | | | | | | | | | | |
| a | The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815. |
| b | Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity. |
| c | Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation). |
| d | The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities. |
| e | Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default. |
| f | In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap. |
| Abbreviations |
| USD | U.S. Dollar |
See accompanying notes to the financial statements.
Large Cap Core Plus
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| COMMON STOCKS(a) - 94.1% | | | | | | | | |
| | | | | | | | |
| Aerospace & Defense - 1.3% | | | | | | | | |
| Howmet Aerospace, Inc. | | | 25,952 | | | | 928,303 | |
| Huntington Ingalls Industries, Inc. | | | 6,757 | | | | 1,422,078 | |
| Lockheed Martin Corp. | | | 5,308 | | | | 2,336,104 | |
| Northrop Grumman Corp. | | | 1,660 | | | | 776,830 | |
| Raytheon Technologies Corp. | | | 1,842 | | | | 175,211 | |
| Textron, Inc. | | | 7,430 | | | | 485,105 | |
| | | | | | | 6,123,631 | |
| Air Freight & Logistics - 0.6% | | | | | | | | |
| CH Robinson Worldwide, Inc. | | | 13,373 | | | | 1,451,104 | |
| United Parcel Service, Inc., Class B | | | 8,169 | | | | 1,488,801 | |
| | | | | | | 2,939,905 | |
| Airlines - 1.3% | | | | | | | | |
| Alaska Air Group, Inc.* | | | 27,643 | | | | 1,334,051 | |
| American Airlines Group, Inc.*(b) | | | 85,731 | | | | 1,532,013 | |
| Delta Air Lines, Inc.* | | | 7,282 | | | | 303,587 | |
| Southwest Airlines Co.* | | | 27,035 | | | | 1,239,825 | |
| United Airlines Holdings, Inc.* | | | 33,512 | | | | 1,596,176 | |
| | | | | | | 6,005,652 | |
| Auto Components - 0.3% | | | | | | | | |
| BorgWarner, Inc. | | | 33,219 | | | | 1,339,390 | |
| | | | | | | | |
| Automobiles - 1.6% | | | | | | | | |
| Ford Motor Co. | | | 61,810 | | | | 845,561 | |
| General Motors Co.* | | | 23,132 | | | | 894,746 | |
| Tesla, Inc.* | | | 7,452 | | | | 5,650,553 | |
| | | | | | | 7,390,860 | |
| Banks - 2.7% | | | | | | | | |
| Bank of America Corp. | | | 38,535 | | | | 1,433,502 | |
| Citigroup, Inc. | | | 42,450 | | | | 2,267,254 | |
| Citizens Financial Group, Inc. | | | 31,445 | | | | 1,301,194 | |
| Fifth Third Bancorp | | | 42,450 | | | | 1,673,803 | |
| JPMorgan Chase & Co. | | | 18,926 | | | | 2,502,585 | |
| KeyCorp | | | 65,484 | | | | 1,307,061 | |
| Regions Financial Corp. | | | 68,924 | | | | 1,522,531 | |
| SVB Financial Group* | | | 898 | | | | 438,736 | |
| Wells Fargo & Co. | | | 12,941 | | | | 592,310 | |
| | | | | | | 13,038,976 | |
| Beverages - 0.6% | | | | | | | | |
| Coca-Cola Co. (The) | | | 17,015 | | | | 1,078,411 | |
| Constellation Brands, Inc., Class A | | | 2,289 | | | | 561,881 | |
| PepsiCo, Inc. | | | 6,728 | | | | 1,128,622 | |
| | | | | | | 2,768,914 | |
| Biotechnology - 1.9% | | | | | | | | |
| AbbVie, Inc. | | | 14,460 | | | | 2,130,970 | |
| Amgen, Inc. | | | 678 | | | | 174,070 | |
| Gilead Sciences, Inc. | | | 33,069 | | | | 2,144,525 | |
| Incyte Corp.* | | | 19,589 | | | | 1,486,609 | |
| Regeneron Pharmaceuticals, Inc.* | | | 3,176 | | | | 2,111,214 | |
| Vertex Pharmaceuticals, Inc.* | | | 2,921 | | | | 784,727 | |
| | | | | | | 8,832,115 | |
| Building Products - 0.1% | | | | | | | | |
| A O Smith Corp. | | | 6,603 | | | | 396,972 | |
| Fortune Brands Home & Security, Inc. | | | 4,503 | | | | 312,283 | |
| | | | | | | 709,255 | |
| Capital Markets - 2.3% | | | | | | | | |
| Cboe Global Markets, Inc. | | | 12,334 | | | | 1,385,231 | |
| CME Group, Inc. | | | 3,335 | | | | 663,098 | |
| Franklin Resources, Inc. | | | 52,018 | | | | 1,408,647 | |
| Intercontinental Exchange, Inc. | | | 2,335 | | | | 239,081 | |
| Invesco Ltd. | | | 71,040 | | | | 1,373,914 | |
| Morgan Stanley | | | 25,579 | | | | 2,203,375 | |
| Nasdaq, Inc. | | | 8,169 | | | | 1,268,319 | |
| Raymond James Financial, Inc. | | | 14,765 | | | | 1,454,205 | |
| T. Rowe Price Group, Inc. | | | 6,529 | | | | 829,771 | |
| | | | | | | 10,825,641 | |
| Chemicals - 2.2% | | | | | | | | |
| Air Products and Chemicals, Inc. | | | 7,608 | | | | 1,872,785 | |
| Celanese Corp. | | | 9,666 | | | | 1,512,922 | |
| Corteva, Inc. | | | 31,205 | | | | 1,954,057 | |
| Dow, Inc. | | | 13,019 | | | | 885,032 | |
| International Flavors & Fragrances, Inc. | | | 5,696 | | | | 752,841 | |
| Linde plc | | | 3,290 | | | | 1,068,197 | |
| LyondellBasell Industries NV, Class A | | | 14,688 | | | | 1,678,104 | |
| PPG Industries, Inc. | | | 5,333 | | | | 674,571 | |
| | | | | | | 10,398,509 | |
| Commercial Services & Supplies - 0.6% | | | | | | | | |
| Cintas Corp. | | | 4,397 | | | | 1,751,457 | |
| Copart, Inc.* | | | 1,527 | | | | 174,887 | |
| Rollins, Inc. | | | 23,795 | | | | 843,771 | |
| | | | | | | 2,770,115 | |
| Communications Equipment - 0.5% | | | | | | | | |
| Arista Networks, Inc.* | | | 10,143 | | | | 1,037,426 | |
| Cisco Systems, Inc. | | | 15,955 | | | | 718,773 | |
| Motorola Solutions, Inc. | | | 3,551 | | | | 780,297 | |
| | | | | | | 2,536,496 | |
| Consumer Finance - 0.5% | | | | | | | | |
| American Express Co. | | | 3,867 | | | | 652,827 | |
| Capital One Financial Corp. | | | 8,043 | | | | 1,028,378 | |
| Synchrony Financial | | | 14,993 | | | | 555,341 | |
| | | | | | | 2,236,546 | |
| Containers & Packaging - 0.6% | | | | | | | | |
| Ball Corp. | | | 12,362 | | | | 876,342 | |
| International Paper Co. | | | 8,198 | | | | 397,193 | |
| Packaging Corp. of America | | | 9,168 | | | | 1,441,943 | |
| | | | | | | 2,715,478 | |
| Distributors - 0.6% | | | | | | | | |
| LKQ Corp. | | | 27,279 | | | | 1,401,868 | |
| Pool Corp. | | | 3,632 | | | | 1,447,788 | |
| | | | | | | 2,849,656 | |
| Diversified Financial Services - 0.9% | | | | | | | | |
| Berkshire Hathaway, Inc., Class B* | | | 13,545 | | | | 4,279,949 | |
| | | | | | | | |
| Diversified Telecommunication Services - 1.2% | | | | | | | | |
| AT&T, Inc. | | | 51,486 | | | | 1,096,137 | |
| Lumen Technologies, Inc.(b) | | | 131,254 | | | | 1,606,549 | |
| Verizon Communications, Inc. | | | 55,597 | | | | 2,851,570 | |
| | | | | | | 5,554,256 | |
| Electric Utilities - 1.9% | | | | | | | | |
| Alliant Energy Corp. | | | 24,892 | | | | 1,588,607 | |
| Edison International | | | 22,754 | | | | 1,590,732 | |
| Entergy Corp. | | | 13,033 | | | | 1,568,130 | |
| Evergy, Inc. | | | 7,500 | | | | 524,550 | |
| FirstEnergy Corp. | | | 15,857 | | | | 681,217 | |
| NextEra Energy, Inc. | | | 2,327 | | | | 176,131 | |
| NRG Energy, Inc. | | | 33,677 | | | | 1,550,489 | |
| Pinnacle West Capital Corp. | | | 9,681 | | | | 751,730 | |
| Southern Co. (The) | | | 10,113 | | | | 765,150 | |
| | | | | | | 9,196,736 | |
See accompanying notes to the financial statements.
Large Cap Core Plus
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Electrical Equipment - 0.8% | | | | | | | | |
| AMETEK, Inc. | | | 13,110 | | | | 1,592,472 | |
| Emerson Electric Co. | | | 20,917 | | | | 1,854,501 | |
| Generac Holdings, Inc.* | | | 1,962 | | | | 484,771 | |
| | | | | | | 3,931,744 | |
| Electronic Equipment, Instruments & Components - 1.2% | | | | | | | | |
| Corning, Inc. | | | 44,976 | | | | 1,611,040 | |
| Keysight Technologies, Inc.* | | | 10,723 | | | | 1,561,269 | |
| TE Connectivity Ltd. | | | 3,720 | | | | 481,331 | |
| Teledyne Technologies, Inc.* | | | 1,890 | | | | 765,734 | |
| Trimble, Inc.* | | | 3,975 | | | | 270,499 | |
| Zebra Technologies Corp., Class A* | | | 3,470 | | | | 1,173,519 | |
| | | | | | | 5,863,392 | |
| Energy Equipment & Services - 0.3% | | | | | | | | |
| Halliburton Co. | | | 10,132 | | | | 410,346 | |
| Schlumberger NV | | | 19,541 | | | | 898,104 | |
| | | | | | | 1,308,450 | |
| Entertainment - 1.2% | | | | | | | | |
| Activision Blizzard, Inc. | | | 2,301 | | | | 179,202 | |
| Electronic Arts, Inc. | | | 4,151 | | | | 575,536 | |
| Live Nation Entertainment, Inc.* | | | 16,938 | | | | 1,609,957 | |
| Netflix, Inc.* | | | 6,180 | | | | 1,220,179 | |
| Walt Disney Co. (The)* | | | 10,829 | | | | 1,195,955 | |
| Warner Bros Discovery, Inc.* | | | 51,437 | | | | 949,013 | |
| | | | | | | 5,729,842 | |
| Equity Real Estate Investment Trusts (REITs) - 6.1% | | | | | | | | |
| AvalonBay Communities, Inc. | | | 6,655 | | | | 1,383,974 | |
| Camden Property Trust | | | 10,093 | | | | 1,448,245 | |
| Digital Realty Trust, Inc. | | | 12,243 | | | | 1,709,000 | |
| Duke Realty Corp. | | | 27,896 | | | | 1,473,746 | |
| Equity Residential | | | 18,431 | | | | 1,416,054 | |
| Essex Property Trust, Inc. | | | 3,725 | | | | 1,057,341 | |
| Extra Space Storage, Inc. | | | 8,013 | | | | 1,427,917 | |
| Federal Realty Investment Trust(b) | | | 3,831 | | | | 440,450 | |
| Healthpeak Properties, Inc. | | | 49,423 | | | | 1,467,369 | |
| Host Hotels & Resorts, Inc. | | | 74,835 | | | | 1,495,952 | |
| Kimco Realty Corp. | | | 62,933 | | | | 1,488,366 | |
| Mid-America Apartment Communities, Inc.(b) | | | 7,563 | | | | 1,368,903 | |
| Prologis, Inc. | | | 17,828 | | | | 2,272,713 | |
| Public Storage | | | 5,660 | | | | 1,871,422 | |
| SBA Communications Corp. | | | 4,894 | | | | 1,647,369 | |
| Simon Property Group, Inc. | | | 12,796 | | | | 1,467,061 | |
| UDR, Inc. | | | 26,404 | | | | 1,262,111 | |
| Ventas, Inc. | | | 28,546 | | | | 1,619,700 | |
| Vornado Realty Trust | | | 31,295 | | | | 1,094,073 | |
| Weyerhaeuser Co. | | | 42,030 | | | | 1,661,026 | |
| | | | | | | 29,072,792 | |
| Food & Staples Retailing - 1.0% | | | | | | | | |
| Costco Wholesale Corp. | | | 1,710 | | | | 797,236 | |
| Kroger Co. (The) | | | 30,661 | | | | 1,624,113 | |
| Sysco Corp. | | | 3,380 | | | | 284,529 | |
| Walgreens Boots Alliance, Inc. | | | 34,563 | | | | 1,514,896 | |
| Walmart, Inc. | | | 4,939 | | | | 635,304 | |
| | | | | | | 4,856,078 | |
| Food Products - 2.2% | | | | | | | | |
| Archer-Daniels-Midland Co. | | | 20,966 | | | | 1,904,132 | |
| Campbell Soup Co. | | | 21,803 | | | | 1,044,582 | |
| Hershey Co. (The) | | | 7,227 | | | | 1,530,028 | |
| Hormel Foods Corp. | | | 15,552 | | | | 756,916 | |
| Kellogg Co. | | | 20,584 | | | | 1,435,528 | |
| Kraft Heinz Co. (The) | | | 29,440 | | | | 1,113,715 | |
| Lamb Weston Holdings, Inc. | | | 15,175 | | | | 1,025,527 | |
| Tyson Foods, Inc., Class A | | | 17,392 | | | | 1,558,497 | |
| | | | | | | 10,368,925 | |
| Health Care Equipment & Supplies - 2.6% | | | | | | | | |
| Abbott Laboratories | | | 28,224 | | | | 3,315,191 | |
| Align Technology, Inc.* | | | 2,290 | | | | 635,796 | |
| Baxter International, Inc. | | | 21,876 | | | | 1,663,670 | |
| Becton Dickinson and Co. | | | 4,977 | | | | 1,273,116 | |
| Boston Scientific Corp.* | | | 5,338 | | | | 218,911 | |
| Cooper Cos., Inc. (The)(b) | | | 1,703 | | | | 597,310 | |
| DENTSPLY SIRONA, Inc. | | | 11,428 | | | | 452,092 | |
| Hologic, Inc.* | | | 20,218 | | | | 1,521,809 | |
| IDEXX Laboratories, Inc.* | | | 2,863 | | | | 1,121,208 | |
| Medtronic plc | | | 2,375 | | | | 237,856 | |
| Teleflex, Inc. | | | 4,458 | | | | 1,282,745 | |
| | | | | | | 12,319,704 | |
| Health Care Providers & Services - 2.6% | | | | | | | | |
| AmerisourceBergen Corp. | | | 9,008 | | | | 1,394,348 | |
| Anthem, Inc. | | | 586 | | | | 298,632 | |
| Centene Corp.* | | | 10,835 | | | | 882,402 | |
| Cigna Corp. | | | 4,528 | | | | 1,214,817 | |
| CVS Health Corp. | | | 26,059 | | | | 2,521,208 | |
| HCA Healthcare, Inc. | | | 3,639 | | | | 765,646 | |
| Humana, Inc. | | | 696 | | | | 316,144 | |
| McKesson Corp. | | | 4,764 | | | | 1,565,879 | |
| UnitedHealth Group, Inc. | | | 6,443 | | | | 3,200,754 | |
| | | | | | | 12,159,830 | |
| Health Care Technology - 0.3% | | | | | | | | |
| Cerner Corp. | | | 16,771 | | | | 1,590,729 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure - 2.8% | | | | | | | | |
| Booking Holdings, Inc.* | | | 1,021 | | | | 2,290,675 | |
| Caesars Entertainment, Inc.* | | | 3,381 | | | | 169,625 | |
| Darden Restaurants, Inc. | | | 10,146 | | | | 1,268,250 | |
| Expedia Group, Inc.* | | | 8,951 | | | | 1,157,633 | |
| Hilton Worldwide Holdings, Inc. | | | 12,483 | | | | 1,758,355 | |
| Marriott International, Inc., Class A | | | 10,502 | | | | 1,801,933 | |
| McDonald's Corp. | | | 1,897 | | | | 478,442 | |
| MGM Resorts International | | | 41,082 | | | | 1,436,638 | |
| Norwegian Cruise Line Holdings Ltd.*(b) | | | 89,134 | | | | 1,427,035 | |
| Penn National Gaming, Inc.* | | | 10,228 | | | | 326,887 | |
| Royal Caribbean Cruises Ltd.* | | | 24,041 | | | | 1,396,061 | |
| | | | | | | 13,511,534 | |
| Household Durables - 0.2% | | | | | | | | |
| DR Horton, Inc. | | | 6,295 | | | | 473,069 | |
| Whirlpool Corp. | | | 1,535 | | | | 282,809 | |
| | | | | | | 755,878 | |
| Household Products - 1.1% | | | | | | | | |
| Church & Dwight Co., Inc. | | | 15,755 | | | | 1,418,895 | |
| Clorox Co. (The) | | | 3,530 | | | | 513,121 | |
| Kimberly-Clark Corp. | | | 6,871 | | | | 913,980 | |
| Procter & Gamble Co. (The) | | | 17,459 | | | | 2,581,837 | |
| | | | | | | 5,427,833 | |
| Independent Power and Renewable Electricity Producers - 0.3% | | | | | | | | |
| AES Corp. (The) | | | 62,898 | | | | 1,386,272 | |
| | | | | | | | |
| Industrial Conglomerates - 0.6% | | | | | | | | |
| 3M Co. | | | 14,551 | | | | 2,172,319 | |
| General Electric Co. | | | 10,354 | | | | 810,615 | |
| | | | | | | 2,982,934 | |
| Insurance - 4.3% | | | | | | | | |
| Allstate Corp. (The) | | | 12,911 | | | | 1,764,805 | |
See accompanying notes to the financial statements.
Large Cap Core Plus
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| American International Group, Inc. | | | 30,365 | | | | 1,781,818 | |
| Aon plc, Class A | | | 2,123 | | | | 585,247 | |
| Assurant, Inc. | | | 7,809 | | | | 1,379,772 | |
| Chubb Ltd. | | | 3,918 | | | | 827,834 | |
| Cincinnati Financial Corp. | | | 11,851 | | | | 1,515,269 | |
| Everest Re Group Ltd. | | | 5,073 | | | | 1,433,123 | |
| Hartford Financial Services Group, Inc. (The) | | | 20,628 | | | | 1,495,736 | |
| Loews Corp. | | | 22,881 | | | | 1,498,477 | |
| MetLife, Inc. | | | 27,258 | | | | 1,836,917 | |
| Principal Financial Group, Inc. | | | 6,889 | | | | 502,415 | |
| Progressive Corp. (The) | | | 7,109 | | | | 848,672 | |
| Prudential Financial, Inc. | | | 16,081 | | | | 1,708,606 | |
| Travelers Cos., Inc. (The) | | | 9,929 | | | | 1,777,688 | |
| W R Berkley Corp. | | | 21,641 | | | | 1,539,324 | |
| Willis Towers Watson plc | | | 813 | | | | 171,600 | |
| | | | | | | 20,667,303 | |
| Interactive Media & Services - 3.0% | | | | | | | | |
| Alphabet, Inc., Class A* | | | 2,395 | | | | 5,449,200 | |
| Alphabet, Inc., Class C* | | | 2,183 | | | | 4,978,943 | |
| Meta Platforms, Inc., Class A* | | | 20,698 | | | | 4,007,960 | |
| | | | | | | 14,436,103 | |
| Internet & Direct Marketing Retail - 2.2% | | | | | | | | |
| Amazon.com, Inc.* | | | 3,931 | | | | 9,450,871 | |
| eBay, Inc. | | | 18,497 | | | | 900,249 | |
| | | | | | | 10,351,120 | |
| IT Services - 2.2% | | | | | | | | |
| Accenture plc, Class A | | | 4,228 | | | | 1,261,889 | |
| Akamai Technologies, Inc.*(b) | | | 1,666 | | | | 168,332 | |
| Automatic Data Processing, Inc. | | | 2,955 | | | | 658,788 | |
| Broadridge Financial Solutions, Inc. | | | 5,053 | | | | 738,850 | |
| DXC Technology Co.* | | | 10,850 | | | | 382,137 | |
| Gartner, Inc.* | | | 5,350 | | | | 1,403,840 | |
| Jack Henry & Associates, Inc. | | | 5,884 | | | | 1,106,898 | |
| Mastercard, Inc., Class A | | | 5,354 | | | | 1,916,036 | |
| PayPal Holdings, Inc.* | | | 6,372 | | | | 542,958 | |
| Visa, Inc., Class A | | | 9,702 | | | | 2,058,473 | |
| | | | | | | 10,238,201 | |
| Life Sciences Tools & Services - 2.2% | | | | | | | | |
| Agilent Technologies, Inc. | | | 1,656 | | | | 211,239 | |
| Danaher Corp. | | | 9,738 | | | | 2,569,079 | |
| IQVIA Holdings, Inc.* | | | 6,932 | | | | 1,492,113 | |
| Mettler-Toledo International, Inc.* | | | 1,192 | | | | 1,533,055 | |
| PerkinElmer, Inc. | | | 3,396 | | | | 508,279 | |
| Thermo Fisher Scientific, Inc. | | | 2,054 | | | | 1,165,789 | |
| Waters Corp.* | | | 3,489 | | | | 1,144,218 | |
| West Pharmaceutical Services, Inc. | | | 5,234 | | | | 1,624,529 | |
| | | | | | | 10,248,301 | |
| Machinery - 1.6% | | | | | | | | |
| Dover Corp. | | | 9,079 | | | | 1,215,769 | |
| Otis Worldwide Corp. | | | 6,623 | | | | 492,751 | |
| PACCAR, Inc. | | | 18,536 | | | | 1,609,666 | |
| Parker-Hannifin Corp. | | | 4,475 | | | | 1,217,961 | |
| Pentair plc | | | 19,496 | | | | 978,114 | |
| Snap-on, Inc. | | | 5,552 | | | | 1,231,878 | |
| Stanley Black & Decker, Inc. | | | 7,268 | | | | 862,639 | |
| | | | | | | 7,608,778 | |
| Media - 1.8% | | | | | | | | |
| Charter Communications, Inc., Class A* | | | 3,745 | | | | 1,898,453 | |
| Comcast Corp., Class A | | | 27,521 | | | | 1,218,630 | |
| DISH Network Corp., Class A*(b) | | | 40,604 | | | | 926,989 | |
| Fox Corp., Class A | | | 4,930 | | | | 175,064 | |
| Interpublic Group of Cos., Inc. (The) | | | 38,233 | | | | 1,232,250 | |
| News Corp., Class A | | | 55,051 | | | | 957,888 | |
| News Corp., Class B | | | 41,021 | | | | 721,149 | |
| Omnicom Group, Inc. | | | 18,259 | | | | 1,362,304 | |
| | | | | | | 8,492,727 | |
| Metals & Mining - 0.4% | | | | | | | | |
| Freeport-McMoRan, Inc. | | | 34,388 | | | | 1,343,883 | |
| Nucor Corp. | | | 2,707 | | | | 358,569 | |
| | | | | | | 1,702,452 | |
| Multiline Retail - 0.2% | | | | | | | | |
| Target Corp. | | | 5,786 | | | | 936,638 | |
| | | | | | | | |
| Multi-Utilities - 0.8% | | | | | | | | |
| CMS Energy Corp. | | | 21,878 | | | | 1,554,213 | |
| DTE Energy Co. | | | 11,906 | | | | 1,580,045 | |
| WEC Energy Group, Inc. | | | 6,871 | | | | 721,936 | |
| | | | | | | 3,856,194 | |
| Oil, Gas & Consumable Fuels - 4.6% | | | | | | | | |
| APA Corp. | | | 20,800 | | | | 977,808 | |
| Chevron Corp. | | | 10,593 | | | | 1,850,173 | |
| ConocoPhillips | | | 11,826 | | | | 1,328,769 | |
| Coterra Energy, Inc. | | | 38,008 | | | | 1,304,815 | |
| Devon Energy Corp. | | | 26,232 | | | | 1,964,777 | |
| Diamondback Energy, Inc. | | | 9,414 | | | | 1,431,116 | |
| EOG Resources, Inc. | | | 2,089 | | | | 286,109 | |
| Exxon Mobil Corp. | | | 54,184 | | | | 5,201,664 | |
| Marathon Petroleum Corp. | | | 14,253 | | | | 1,450,813 | |
| ONEOK, Inc. | | | 9,876 | | | | 650,335 | |
| Phillips 66(b) | | | 18,794 | | | | 1,894,623 | |
| Pioneer Natural Resources Co. | | | 6,808 | | | | 1,892,216 | |
| Valero Energy Corp. | | | 13,612 | | | | 1,764,115 | |
| | | | | | | 21,997,333 | |
| Pharmaceuticals - 3.4% | | | | | | | | |
| Bristol-Myers Squibb Co. | | | 3,905 | | | | 294,632 | |
| Catalent, Inc.* | | | 1,947 | | | | 200,658 | |
| Eli Lilly & Co. | | | 3,085 | | | | 966,962 | |
| Johnson & Johnson | | | 22,218 | | | | 3,988,797 | |
| Merck & Co., Inc. | | | 31,398 | | | | 2,889,558 | |
| Organon & Co. | | | 17,771 | | | | 674,587 | |
| Pfizer, Inc. | | | 78,444 | | | | 4,160,670 | |
| Viatris, Inc. | | | 108,955 | | | | 1,336,878 | |
| Zoetis, Inc. | | | 10,162 | | | | 1,736,991 | |
| | | | | | | 16,249,733 | |
| Professional Services - 0.4% | | | | | | | | |
| Jacobs Engineering Group, Inc. | | | 4,729 | | | | 662,486 | |
| Robert Half International, Inc. | | | 13,124 | | | | 1,183,128 | |
| | | | | | | 1,845,614 | |
| Real Estate Management & Development - 0.0%(c) | | | | | | | | |
| CBRE Group, Inc., Class A* | | | 2,098 | | | | 173,798 | |
| | | | | | | | |
| Road & Rail - 1.1% | | | | | | | | |
| CSX Corp. | | | 44,410 | | | | 1,411,794 | |
| JB Hunt Transport Services, Inc. | | | 8,537 | | | | 1,473,315 | |
| Norfolk Southern Corp. | | | 7,617 | | | | 1,825,490 | |
| Old Dominion Freight Line, Inc. | | | 2,067 | | | | 533,782 | |
| Union Pacific Corp. | | | 834 | | | | 183,297 | |
| | | | | | | 5,427,678 | |
| Semiconductors & Semiconductor Equipment - 3.9% | | | | | | | | |
| Advanced Micro Devices, Inc.* | | | 19,535 | | | | 1,989,835 | |
| Applied Materials, Inc. | | | 8,140 | | | | 954,741 | |
| Broadcom, Inc. | | | 1,776 | | | | 1,030,311 | |
See accompanying notes to the financial statements.
Large Cap Core Plus
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Intel Corp. | | | 49,046 | | | | 2,178,623 | |
| Micron Technology, Inc. | | | 29,481 | | | | 2,176,877 | |
| Monolithic Power Systems, Inc. | | | 677 | | | | 304,914 | |
| NVIDIA Corp. | | | 20,190 | | | | 3,769,877 | |
| Qorvo, Inc.* | | | 14,074 | | | | 1,572,769 | |
| QUALCOMM, Inc. | | | 14,023 | | | | 2,008,374 | |
| Skyworks Solutions, Inc. | | | 7,462 | | | | 812,388 | |
| Teradyne, Inc. | | | 3,177 | | | | 347,119 | |
| Texas Instruments, Inc. | | | 6,872 | | | | 1,214,695 | |
| | | | | | | 18,360,523 | |
| Software - 7.3% | | | | | | | | |
| Adobe, Inc.* | | | 5,866 | | | | 2,443,072 | |
| ANSYS, Inc.* | | | 2,227 | | | | 579,822 | |
| Autodesk, Inc.* | | | 6,806 | | | | 1,413,946 | |
| Cadence Design Systems, Inc.* | | | 12,425 | | | | 1,910,095 | |
| Citrix Systems, Inc. | | | 11,160 | | | | 1,123,700 | |
| Fortinet, Inc.* | | | 714 | | | | 210,016 | |
| Intuit, Inc. | | | 2,141 | | | | 887,359 | |
| Microsoft Corp. | | | 70,715 | | | | 19,225,287 | |
| NortonLifeLock, Inc. | | | 59,418 | | | | 1,446,234 | |
| Oracle Corp. | | | 7,273 | | | | 523,074 | |
| Paycom Software, Inc.* | | | 2,516 | | | | 715,399 | |
| PTC, Inc.* | | | 6,264 | | | | 729,944 | |
| Salesforce, Inc.* | | | 9,025 | | | | 1,446,166 | |
| ServiceNow, Inc.* | | | 1,789 | | | | 836,304 | |
| Synopsys, Inc.* | | | 1,398 | | | | 446,242 | |
| Tyler Technologies, Inc.* | | | 2,163 | | | | 769,639 | |
| | | | | | | 34,706,299 | |
| Specialty Retail - 1.6% | | | | | | | | |
| Bath & Body Works, Inc. | | | 8,319 | | | | 341,245 | |
| Best Buy Co., Inc. | | | 6,967 | | | | 571,712 | |
| Home Depot, Inc. (The) | | | 6,839 | | | | 2,070,507 | |
| Lowe's Cos., Inc. | | | 918 | | | | 179,285 | |
| Ross Stores, Inc. | | | 18,380 | | | | 1,562,668 | |
| TJX Cos., Inc. (The) | | | 31,953 | | | | 2,031,252 | |
| Ulta Beauty, Inc.* | | | 1,564 | | | | 661,729 | |
| | | | | | | 7,418,398 | |
| Technology Hardware, Storage & Peripherals - 5.6% | | | | | | | | |
| Apple, Inc. | | | 148,984 | | | | 22,174,779 | |
| Hewlett Packard Enterprise Co. | | | 92,412 | | | | 1,441,627 | |
| HP, Inc.(b) | | | 47,453 | | | | 1,843,074 | |
| Western Digital Corp.* | | | 20,133 | | | | 1,221,872 | |
| | | | | | | 26,681,352 | |
| Textiles, Apparel & Luxury Goods - 1.5% | | | | | | | | |
| NIKE, Inc., Class B | | | 14,384 | | | | 1,709,538 | |
| PVH Corp. | | | 20,989 | | | | 1,487,491 | |
| Ralph Lauren Corp. | | | 14,627 | | | | 1,478,643 | |
| Tapestry, Inc. | | | 20,006 | | | | 690,207 | |
| Under Armour, Inc., Class A* | | | 74,887 | | | | 792,305 | |
| Under Armour, Inc., Class C* | | | 89,102 | | | | 864,289 | |
| VF Corp. | | | 3,605 | | | | 181,908 | |
| | | | | | | 7,204,381 | |
| Tobacco - 0.4% | | | | | | | | |
| Philip Morris International, Inc. | | | 19,908 | | | | 2,115,225 | |
| | | | | | | | |
| Trading Companies & Distributors - 0.1% | | | | | | | | |
| United Rentals, Inc.* | | | 1,978 | | | | 589,800 | |
| | | | | | | | |
| Water Utilities - 0.3% | | | | | | | | |
| American Water Works Co., Inc. | | | 10,835 | | | | 1,638,794 | |
| | | | | | | | |
| Wireless Telecommunication Services - 0.2% | | | | | | | | |
| T-Mobile US, Inc.* | | | 6,961 | | | | 927,832 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $376,174,859) | | | | | | | 447,652,594 | |
| | | | | | | | |
| SECURITIES LENDING REINVESTMENTS(d) - 0.6% | | | | | | | | |
| | | | | | | | |
| INVESTMENT COMPANIES - 0.6% | | | | | | | | |
| BlackRock Liquidity FedFund, Institutional Class | | | | | | | | |
| 0.72% (Cost $2,630,055) | | | 2,630,055 | | | | 2,630,055 | |
| | | | | | | | |
| Investments | | | Principal
Amount ($) | | | | Value ($) | |
| SHORT-TERM INVESTMENTS - 5.4% | | | | | | | | |
| | | | | | | | |
| REPURCHASE AGREEMENTS(e) - 5.4% | | | | | | | | |
| Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $25,669,877 | | | | | | | | |
| (Cost $25,669,361) | | | 25,669,361 | | | | 25,669,361 | |
| | | | | | | | |
Total Investments - 100.1%
(Cost $404,474,275) | | | | | | | 475,952,010 | |
| Liabilities in excess of other assets - (0.1%) | | | | | | | (578,789 | ) |
| Net Assets - 100.0% | | | | | | | 475,373,221 | |
| * | Non-income producing security. |
| (a) | All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $61,564,730. |
| (b) | The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $7,632,482, collateralized in the form of cash with a value of $2,630,055 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $5,250,343 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% – 4.63%, and maturity dates ranging from June 15, 2022 – February 15, 2051. The total value of collateral is $7,880,398. |
| (c) | Represents less than 0.05% of net assets. |
| (d) | The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $2,630,055. |
| (e) | The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase. |
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 101,231,769 | |
| Aggregate gross unrealized depreciation | | | (33,705,666 | ) |
| Net unrealized appreciation | | $ | 67,526,103 | |
| Federal income tax cost | | $ | 405,511,386 | |
See accompanying notes to the financial statements.
Large Cap Core Plus
Schedule of Portfolio Investments
May 31, 2022
Swap Agreementsa
Large Cap Core Plus had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount ($) | | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | | Reference Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | | Financial
Instruments
for the
Benefit of (the
Fund)/ the
Counterparty
($) | | | Cash
Collateral for
the Benefit of
(the Fund)/
the
Counterparty
($) | | | Net
Amounte ($) | |
| (57,204,560 | ) | | 3/7/2023 | | Goldman Sachs International | | | (0.93 | )% | | Credit Suisse 130/30 Large Cap Index (short portion)f | | | 5,510,361 | | | | (5,073,824 | ) | | | (7,738 | ) | | | 428,799 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (26,079,846 | ) | | 3/7/2023 | | Societe Generale | | | (0.68 | )% | | Credit Suisse 130/30 Large Cap Index (short portion)f | | | 2,717,435 | | | | | | | | | | | | | |
| 111,249,207 | | | 3/7/2023 | | Societe Generale | | | 1.58 | % | | Credit Suisse 130/30 Large Cap Index (long portion)g | | | (10,263,868 | ) | | | | | | | | | | | | |
| 85,169,361 | | | | | | | | | | | | | | (7,546,433 | ) | | | 6,297,996 | | | | 1,248,437 | | | | — | |
| (60,761,374 | ) | | 11/6/2023 | | UBS AG | | | (0.93 | )% | | Credit Suisse 130/30 Large Cap Index (short portion)f | | | 4,173,575 | | | | | | | | | | | | | |
| 60,516,350 | | | 3/7/2023 | | UBS AG | | | 1.38 | % | | Credit Suisse 130/30 Large Cap Index (long portion)g | | | (5,052,024 | ) | | | | | | | | | | | | |
| (245,024 | ) | | | | | | | | | | | | | (878,449 | ) | | | 610,101 | | | | 268,348 | | | | — | |
| 27,719,777 | | | | | | | | | | | | | | (2,914,521 | ) | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized Appreciation | | | 12,401,371 | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized Depreciation | | | (15,315,892 | ) | | | | | | | | | | | | |
| a | The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815. |
| b | Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity. |
| c | Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation). |
| d | The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities. |
| e | Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default. |
| f | Certain underlying short component disclosures related to this index may be found on the website at www.proshares.com/media/Large_Cap_Short_May.pdf. |
| g | See the Common Stocks section of the preceding Schedule of Portfolio Investments for the representative long components of the underlying reference instrument and their relative weightings. |
See accompanying notes to the financial statements.
S&P 500® Ex-Energy ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| COMMON STOCKS - 99.9% | | | | | | | | |
| | | | | | | | |
| Aerospace & Defense - 1.7% | | | | | | | | |
| Boeing Co. (The)* | | | 426 | | | | 55,976 | |
| General Dynamics Corp. | | | 180 | | | | 40,484 | |
| Howmet Aerospace, Inc. | | | 294 | | | | 10,516 | |
| Huntington Ingalls Industries, Inc. | | | 31 | | | | 6,524 | |
| L3Harris Technologies, Inc. | | | 153 | | | | 36,858 | |
| Lockheed Martin Corp. | | | 189 | | | | 83,181 | |
| Northrop Grumman Corp. | | | 114 | | | | 53,349 | |
| Raytheon Technologies Corp. | | | 1,160 | | | | 110,339 | |
| Textron, Inc. | | | 171 | | | | 11,165 | |
| TransDigm Group, Inc.* | | | 41 | | | | 24,820 | |
| | | | | | | 433,212 | |
| Air Freight & Logistics - 0.7% | | | | | | | | |
| CH Robinson Worldwide, Inc. | | | 102 | | | | 11,068 | |
| Expeditors International of Washington, Inc. | | | 133 | | | | 14,476 | |
| FedEx Corp. | | | 190 | | | | 42,670 | |
| United Parcel Service, Inc., Class B | | | 567 | | | | 103,336 | |
| | | | | | | 171,550 | |
| Airlines - 0.3% | | | | | | | | |
| Alaska Air Group, Inc.* | | | 98 | | | | 4,729 | |
| American Airlines Group, Inc.* | | | 504 | | | | 9,006 | |
| Delta Air Lines, Inc.* | | | 497 | | | | 20,720 | |
| Southwest Airlines Co.* | | | 460 | | | | 21,096 | |
| United Airlines Holdings, Inc.* | | | 252 | | | | 12,003 | |
| | | | | | | 67,554 | |
| Auto Components - 0.1% | | | | | | | | |
| Aptiv plc* | | | 210 | | | | 22,310 | |
| BorgWarner, Inc. | | | 187 | | | | 7,540 | |
| | | | | | | 29,850 | |
| Automobiles - 2.2% | | | | | | | | |
| Ford Motor Co. | | | 3,055 | | | | 41,792 | |
| General Motors Co.* | | | 1,130 | | | | 43,709 | |
| Tesla, Inc.* | | | 650 | | | | 492,869 | |
| | | | | | | 578,370 | |
| Banks - 4.1% | | | | | | | | |
| Bank of America Corp. | | | 5,522 | | | | 205,418 | |
| Citigroup, Inc. | | | 1,542 | | | | 82,358 | |
| Citizens Financial Group, Inc. | | | 332 | | | | 13,738 | |
| Comerica, Inc. | | | 103 | | | | 8,571 | |
| Fifth Third Bancorp | | | 531 | | | | 20,937 | |
| First Republic Bank | | | 140 | | | | 21,704 | |
| Huntington Bancshares, Inc. | | | 1,117 | | | | 15,504 | |
| JPMorgan Chase & Co. | | | 2,295 | | | | 303,468 | |
| KeyCorp | | | 720 | | | | 14,371 | |
| M&T Bank Corp. | | | 140 | | | | 25,196 | |
| PNC Financial Services Group, Inc. (The) | | | 326 | | | | 57,184 | |
| Regions Financial Corp. | | | 731 | | | | 16,148 | |
| Signature Bank | | | 49 | | | | 10,597 | |
| SVB Financial Group* | | | 46 | | | | 22,474 | |
| Truist Financial Corp. | | | 1,037 | | | | 51,580 | |
| US Bancorp | | | 1,049 | | | | 55,671 | |
| Wells Fargo & Co. | | | 3,018 | | | | 138,134 | |
| Zions Bancorp NA | | | 118 | | | | 6,731 | |
| | | | | | | 1,069,784 | |
| Beverages - 1.7% | | | | | | | | |
| Brown-Forman Corp., Class B | | | 142 | | | | 9,389 | |
| Coca-Cola Co. (The) | | | 3,019 | | | | 191,344 | |
| Constellation Brands, Inc., Class A | | | 129 | | | | 31,665 | |
| Molson Coors Beverage Co., Class B | | | 146 | | | | 8,153 | |
| Monster Beverage Corp.* | | | 291 | | | | 25,934 | |
| PepsiCo, Inc. | | | 1,073 | | | | 179,996 | |
| | | | | | | 446,481 | |
| Biotechnology - 2.2% | | | | | | | | |
| AbbVie, Inc. | | | 1,374 | | | | 202,486 | |
| Amgen, Inc. | | | 438 | | | | 112,452 | |
| Biogen, Inc.* | | | 114 | | | | 22,800 | |
| Gilead Sciences, Inc. | | | 975 | | | | 63,229 | |
| Incyte Corp.* | | | 146 | | | | 11,080 | |
| Moderna, Inc.* | | | 274 | | | | 39,820 | |
| Regeneron Pharmaceuticals, Inc.* | | | 84 | | | | 55,838 | |
| Vertex Pharmaceuticals, Inc.* | | | 198 | | | | 53,193 | |
| | | | | | | 560,898 | |
| Building Products - 0.4% | | | | | | | | |
| A O Smith Corp. | | | 103 | | | | 6,192 | |
| Allegion plc | | | 70 | | | | 7,816 | |
| Carrier Global Corp. | | | 665 | | | | 26,141 | |
| Fortune Brands Home & Security, Inc. | | | 106 | | | | 7,351 | |
| Johnson Controls International plc | | | 545 | | | | 29,708 | |
| Masco Corp. | | | 186 | | | | 10,544 | |
| Trane Technologies plc | | | 182 | | | | 25,127 | |
| | | | | | | 112,879 | |
| Capital Markets - 3.0% | | | | | | | | |
| Ameriprise Financial, Inc. | | | 87 | | | | 24,036 | |
| Bank of New York Mellon Corp. (The) | | | 574 | | | | 26,754 | |
| BlackRock, Inc. | | | 110 | | | | 73,599 | |
| Cboe Global Markets, Inc. | | | 84 | | | | 9,434 | |
| Charles Schwab Corp. (The) | | | 1,168 | | | | 81,877 | |
| CME Group, Inc. | | | 279 | | | | 55,474 | |
| FactSet Research Systems, Inc. | | | 30 | | | | 11,453 | |
| Franklin Resources, Inc. | | | 218 | | | | 5,903 | |
| Goldman Sachs Group, Inc. (The) | | | 263 | | | | 85,962 | |
| Intercontinental Exchange, Inc. | | | 437 | | | | 44,744 | |
| Invesco Ltd. | | | 265 | | | | 5,125 | |
| MarketAxess Holdings, Inc. | | | 29 | | | | 8,169 | |
| Moody's Corp. | | | 127 | | | | 38,299 | |
| Morgan Stanley | | | 1,102 | | | | 94,926 | |
| MSCI, Inc. | | | 63 | | | | 27,868 | |
| Nasdaq, Inc. | | | 91 | | | | 14,129 | |
| Northern Trust Corp. | | | 163 | | | | 18,215 | |
| Raymond James Financial, Inc. | | | 146 | | | | 14,380 | |
| S&P Global, Inc. | | | 276 | | | | 96,456 | |
| State Street Corp. | | | 284 | | | | 20,587 | |
| T. Rowe Price Group, Inc. | | | 179 | | | | 22,749 | |
| | | | | | | 780,139 | |
| Chemicals - 2.0% | | | | | | | | |
| Air Products and Chemicals, Inc. | | | 173 | | | | 42,586 | |
| Albemarle Corp. | | | 91 | | | | 23,698 | |
| Celanese Corp. | | | 85 | | | | 13,304 | |
| CF Industries Holdings, Inc. | | | 167 | | | | 16,495 | |
| Corteva, Inc. | | | 565 | | | | 35,380 | |
| Dow, Inc. | | | 572 | | | | 38,885 | |
| DuPont de Nemours, Inc. | | | 398 | | | | 27,004 | |
| Eastman Chemical Co. | | | 101 | | | | 11,126 | |
| Ecolab, Inc. | | | 194 | | | | 31,799 | |
| FMC Corp. | | | 99 | | | | 12,135 | |
| International Flavors & Fragrances, Inc. | | | 198 | | | | 26,170 | |
| Linde plc | | | 398 | | | | 129,223 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Energy ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| LyondellBasell Industries NV, Class A | | | 204 | | | | 23,307 | |
| Mosaic Co. (The) | | | 288 | | | | 18,043 | |
| PPG Industries, Inc. | | | 185 | | | | 23,401 | |
| Sherwin-Williams Co. (The) | | | 188 | | | | 50,391 | |
| | | | | | | 522,947 | |
| Commercial Services & Supplies - 0.5% | | | | | | | | |
| Cintas Corp. | | | 69 | | | | 27,485 | |
| Copart, Inc.* | | | 166 | | | | 19,012 | |
| Republic Services, Inc. | | | 162 | | | | 21,682 | |
| Rollins, Inc. | | | 177 | | | | 6,276 | |
| Waste Management, Inc. | | | 299 | | | | 47,395 | |
| | | | | | | 121,850 | |
| Communications Equipment - 0.8% | | | | | | | | |
| Arista Networks, Inc.* | | | 175 | | | | 17,899 | |
| Cisco Systems, Inc. | | | 3,277 | | | | 147,629 | |
| F5, Inc.* | | | 48 | | | | 7,826 | |
| Juniper Networks, Inc. | | | 252 | | | | 7,731 | |
| Motorola Solutions, Inc. | | | 132 | | | | 29,006 | |
| | | | | | | 210,091 | |
| Construction & Engineering - 0.1% | | | | | | | | |
| Quanta Services, Inc. | | | 111 | | | | 13,209 | |
| | | | | | | | |
| Construction Materials - 0.1% | | | | | | | | |
| Martin Marietta Materials, Inc. | | | 49 | | | | 16,629 | |
| Vulcan Materials Co. | | | 102 | | | | 16,817 | |
| | | | | | | 33,446 | |
| Consumer Finance - 0.6% | | | | | | | | |
| American Express Co. | | | 478 | | | | 80,696 | |
| Capital One Financial Corp. | | | 321 | | | | 41,043 | |
| Discover Financial Services | | | 223 | | | | 25,308 | |
| Synchrony Financial | | | 405 | | | | 15,001 | |
| | | | | | | 162,048 | |
| Containers & Packaging - 0.3% | | | | | | | | |
| Amcor plc | | | 1,177 | | | | 15,419 | |
| Avery Dennison Corp. | | | 64 | | | | 11,044 | |
| Ball Corp. | | | 251 | | | | 17,793 | |
| International Paper Co. | | | 302 | | | | 14,632 | |
| Packaging Corp. of America | | | 74 | | | | 11,639 | |
| Sealed Air Corp. | | | 115 | | | | 7,151 | |
| WestRock Co. | | | 205 | | | | 9,940 | |
| | | | | | | 87,618 | |
| Distributors - 0.2% | | | | | | | | |
| Genuine Parts Co. | | | 110 | | | | 15,040 | |
| LKQ Corp. | | | 209 | | | | 10,741 | |
| Pool Corp. | | | 31 | | | | 12,357 | |
| | | | | | | 38,138 | |
| Diversified Financial Services - 1.7% | | | | | | | | |
| Berkshire Hathaway, Inc., Class B* | | | 1,424 | | | | 449,956 | |
| | | | | | | | |
| Diversified Telecommunication Services - 1.1% | | | | | | | | |
| AT&T, Inc. | | | 5,548 | | | | 118,117 | |
| Lumen Technologies, Inc.(a) | | | 716 | | | | 8,764 | |
| Verizon Communications, Inc. | | | 3,260 | | | | 167,205 | |
| | | | | | | 294,086 | |
| Electric Utilities - 2.0% | | | | | | | | |
| Alliant Energy Corp. | | | 194 | | | | 12,381 | |
| American Electric Power Co., Inc. | | | 392 | | | | 39,996 | |
| Constellation Energy Corp. | | | 255 | | | | 15,830 | |
| Duke Energy Corp. | | | 599 | | | | 67,400 | |
| Edison International | | | 296 | | | | 20,693 | |
| Entergy Corp. | | | 157 | | | | 18,890 | |
| Evergy, Inc. | | | 178 | | | | 12,449 | |
| Eversource Energy | | | 267 | | | | 24,649 | |
| Exelon Corp. | | | 760 | | | | 37,354 | |
| FirstEnergy Corp. | | | 443 | | | | 19,031 | |
| NextEra Energy, Inc. | | | 1,524 | | | | 115,352 | |
| NRG Energy, Inc. | | | 191 | | | | 8,794 | |
| Pinnacle West Capital Corp. | | | 89 | | | | 6,911 | |
| PPL Corp. | | | 583 | | | | 17,595 | |
| Southern Co. (The) | | | 824 | | | | 62,344 | |
| Xcel Energy, Inc. | | | 419 | | | | 31,568 | |
| | | | | | | 511,237 | |
| Electrical Equipment - 0.5% | | | | | | | | |
| AMETEK, Inc. | | | 180 | | | | 21,865 | |
| Eaton Corp. plc | | | 309 | | | | 42,827 | |
| Emerson Electric Co. | | | 461 | | | | 40,872 | |
| Generac Holdings, Inc.* | | | 50 | | | | 12,354 | |
| Rockwell Automation, Inc. | | | 90 | | | | 19,188 | |
| | | | | | | 137,106 | |
| Electronic Equipment, Instruments & Components - 0.7% | | | | | | | | |
| Amphenol Corp., Class A | | | 465 | | | | 32,950 | |
| CDW Corp. | | | 105 | | | | 17,835 | |
| Corning, Inc. | | | 580 | | | | 20,776 | |
| IPG Photonics Corp.* | | | 29 | | | | 3,059 | |
| Keysight Technologies, Inc.* | | | 143 | | | | 20,821 | |
| TE Connectivity Ltd. | | | 252 | | | | 32,606 | |
| Teledyne Technologies, Inc.* | | | 36 | | | | 14,585 | |
| Trimble, Inc.* | | | 194 | | | | 13,202 | |
| Zebra Technologies Corp., Class A* | | | 42 | | | | 14,204 | |
| | | | | | | 170,038 | |
| Entertainment - 1.4% | | | | | | | | |
| Activision Blizzard, Inc. | | | 605 | | | | 47,118 | |
| Electronic Arts, Inc. | | | 219 | | | | 30,364 | |
| Live Nation Entertainment, Inc.* | | | 105 | | | | 9,980 | |
| Netflix, Inc.* | | | 344 | | | | 67,919 | |
| Take-Two Interactive Software, Inc.* | | | 123 | | | | 15,317 | |
| Walt Disney Co. (The)* | | | 1,415 | | | | 156,273 | |
| Warner Bros Discovery, Inc.* | | | 1,708 | | | | 31,513 | |
| | | | | | | 358,484 | |
| Equity Real Estate Investment Trusts (REITs) - 2.8% | | | | | | | | |
| Alexandria Real Estate Equities, Inc. | | | 113 | | | | 18,752 | |
| American Tower Corp. | | | 353 | | | | 90,414 | |
| AvalonBay Communities, Inc. | | | 108 | | | | 22,460 | |
| Boston Properties, Inc. | | | 111 | | | | 12,341 | |
| Camden Property Trust | | | 78 | | | | 11,192 | |
| Crown Castle International Corp. | | | 336 | | | | 63,722 | |
| Digital Realty Trust, Inc. | | | 221 | | | | 30,849 | |
| Duke Realty Corp. | | | 296 | | | | 15,638 | |
| Equinix, Inc. | | | 70 | | | | 48,096 | |
| Equity Residential | | | 265 | | | | 20,360 | |
| Essex Property Trust, Inc. | | | 51 | | | | 14,476 | |
| Extra Space Storage, Inc. | | | 103 | | | | 18,355 | |
| Federal Realty Investment Trust | | | 56 | | | | 6,438 | |
| Healthpeak Properties, Inc. | | | 419 | | | | 12,440 | |
| Host Hotels & Resorts, Inc. | | | 555 | | | | 11,094 | |
| Iron Mountain, Inc. | | | 225 | | | | 12,128 | |
| Kimco Realty Corp. | | | 480 | | | | 11,352 | |
| Mid-America Apartment Communities, Inc. | | | 89 | | | | 16,109 | |
| Prologis, Inc. | | | 574 | | | | 73,174 | |
| Public Storage | | | 118 | | | | 39,016 | |
| Realty Income Corp. | | | 440 | | | | 30,017 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Energy ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Regency Centers Corp. | | | 120 | | | | 8,185 | |
| SBA Communications Corp. | | | 85 | | | | 28,612 | |
| Simon Property Group, Inc. | | | 254 | | | | 29,121 | |
| UDR, Inc. | | | 233 | | | | 11,137 | |
| Ventas, Inc. | | | 310 | | | | 17,589 | |
| Vornado Realty Trust | | | 125 | | | | 4,370 | |
| Welltower, Inc. | | | 339 | | | | 30,202 | |
| Weyerhaeuser Co. | | | 580 | | | | 22,922 | |
| | | | | | | 730,561 | |
| Food & Staples Retailing - 1.5% | | | | | | | | |
| Costco Wholesale Corp. | | | 344 | | | | 160,380 | |
| Kroger Co. (The) | | | 520 | | | | 27,544 | |
| Sysco Corp. | | | 395 | | | | 33,251 | |
| Walgreens Boots Alliance, Inc. | | | 557 | | | | 24,413 | |
| Walmart, Inc. | | | 1,098 | | | | 141,236 | |
| | | | | | | 386,824 | |
| Food Products - 1.1% | | | | | | | | |
| Archer-Daniels-Midland Co. | | | 435 | | | | 39,507 | |
| Campbell Soup Co. | | | 157 | | | | 7,522 | |
| Conagra Brands, Inc. | | | 373 | | | | 12,268 | |
| General Mills, Inc. | | | 469 | | | | 32,760 | |
| Hershey Co. (The) | | | 113 | | | | 23,923 | |
| Hormel Foods Corp. | | | 220 | | | | 10,707 | |
| J M Smucker Co. (The) | | | 85 | | | | 10,656 | |
| Kellogg Co. | | | 198 | | | | 13,809 | |
| Kraft Heinz Co. (The) | | | 551 | | | | 20,844 | |
| Lamb Weston Holdings, Inc. | | | 112 | | | | 7,569 | |
| McCormick & Co., Inc. (Non-Voting) | | | 193 | | | | 17,895 | |
| Mondelez International, Inc., Class A | | | 1,078 | | | | 68,518 | |
| Tyson Foods, Inc., Class A | | | 226 | | | | 20,252 | |
| | | | | | | 286,230 | |
| Gas Utilities - 0.1% | | | | | | | | |
| Atmos Energy Corp. | | | 106 | | | | 12,329 | |
| | | | | | | | |
| Health Care Equipment & Supplies - 2.9% | | | | | | | | |
| Abbott Laboratories | | | 1,374 | | | | 161,390 | |
| ABIOMED, Inc.* | | | 36 | | | | 9,493 | |
| Align Technology, Inc.* | | | 58 | | | | 16,103 | |
| Baxter International, Inc. | | | 390 | | | | 29,660 | |
| Becton Dickinson and Co. | | | 220 | | | | 56,276 | |
| Boston Scientific Corp.* | | | 1,108 | | | | 45,439 | |
| Cooper Cos., Inc. (The) | | | 39 | | | | 13,679 | |
| DENTSPLY SIRONA, Inc. | | | 170 | | | | 6,725 | |
| Dexcom, Inc.* | | | 76 | | | | 22,643 | |
| Edwards Lifesciences Corp.* | | | 486 | | | | 49,013 | |
| Hologic, Inc.* | | | 193 | | | | 14,527 | |
| IDEXX Laboratories, Inc.* | | | 66 | | | | 25,847 | |
| Intuitive Surgical, Inc.* | | | 278 | | | | 63,284 | |
| Medtronic plc | | | 1,044 | | | | 104,557 | |
| ResMed, Inc. | | | 113 | | | | 22,991 | |
| STERIS plc | | | 78 | | | | 17,800 | |
| Stryker Corp. | | | 260 | | | | 60,970 | |
| Teleflex, Inc. | | | 37 | | | | 10,646 | |
| Zimmer Biomet Holdings, Inc. | | | 163 | | | | 19,594 | |
| | | | | | | 750,637 | |
| Health Care Providers & Services - 3.4% | | | | | | | | |
| AmerisourceBergen Corp. | | | 117 | | | | 18,110 | |
| Anthem, Inc. | | | 190 | | | | 96,826 | |
| Cardinal Health, Inc. | | | 216 | | | | 12,165 | |
| Centene Corp.* | | | 454 | | | | 36,974 | |
| Cigna Corp. | | | 250 | | | | 67,072 | |
| CVS Health Corp. | | | 1,018 | | | | 98,492 | |
| DaVita, Inc.* | | | 48 | | | | 4,680 | |
| HCA Healthcare, Inc. | | | 187 | | | | 39,345 | |
| Henry Schein, Inc.* | | | 108 | | | | 9,249 | |
| Humana, Inc. | | | 100 | | | | 45,423 | |
| Laboratory Corp. of America Holdings | | | 73 | | | | 18,011 | |
| McKesson Corp. | | | 116 | | | | 38,128 | |
| Molina Healthcare, Inc.* | | | 46 | | | | 13,350 | |
| Quest Diagnostics, Inc. | | | 92 | | | | 12,974 | |
| UnitedHealth Group, Inc. | | | 731 | | | | 363,146 | |
| Universal Health Services, Inc., Class B | | | 58 | | | | 7,227 | |
| | | | | | | 881,172 | |
| Health Care Technology - 0.1% | | | | | | | | |
| Cerner Corp. | | | 228 | | | | 21,626 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure - 2.0% | | | | | | | | |
| Booking Holdings, Inc.* | | | 32 | | | | 71,794 | |
| Caesars Entertainment, Inc.* | | | 165 | | | | 8,278 | |
| Carnival Corp.* | | | 628 | | | | 8,717 | |
| Chipotle Mexican Grill, Inc.* | | | 23 | | | | 32,259 | |
| Darden Restaurants, Inc. | | | 99 | | | | 12,375 | |
| Domino's Pizza, Inc. | | | 29 | | | | 10,532 | |
| Expedia Group, Inc.* | | | 116 | | | | 15,002 | |
| Hilton Worldwide Holdings, Inc. | | | 217 | | | | 30,567 | |
| Las Vegas Sands Corp.* | | | 268 | | | | 9,503 | |
| Marriott International, Inc., Class A | | | 212 | | | | 36,375 | |
| McDonald's Corp. | | | 580 | | | | 146,282 | |
| MGM Resorts International | | | 293 | | | | 10,246 | |
| Norwegian Cruise Line Holdings Ltd.*(a) | | | 323 | | | | 5,171 | |
| Penn National Gaming, Inc.* | | | 130 | | | | 4,155 | |
| Royal Caribbean Cruises Ltd.* | | | 174 | | | | 10,104 | |
| Starbucks Corp. | | | 894 | | | | 70,179 | |
| Wynn Resorts Ltd.* | | | 83 | | | | 5,486 | |
| Yum! Brands, Inc. | | | 224 | | | | 27,209 | |
| | | | | | | 514,234 | |
| Household Durables - 0.4% | | | | | | | | |
| DR Horton, Inc. | | | 250 | | | | 18,787 | |
| Garmin Ltd. | | | 119 | | | | 12,569 | |
| Lennar Corp., Class A | | | 203 | | | | 16,291 | |
| Mohawk Industries, Inc.* | | | 43 | | | | 6,083 | |
| Newell Brands, Inc. | | | 294 | | | | 6,303 | |
| NVR, Inc.* | | | 3 | | | | 13,352 | |
| PulteGroup, Inc. | | | 193 | | | | 8,735 | |
| Whirlpool Corp. | | | 46 | | | | 8,475 | |
| | | | | | | 90,595 | |
| Household Products - 1.5% | | | | | | | | |
| Church & Dwight Co., Inc. | | | 189 | | | | 17,021 | |
| Clorox Co. (The) | | | 96 | | | | 13,955 | |
| Colgate-Palmolive Co. | | | 655 | | | | 51,620 | |
| Kimberly-Clark Corp. | | | 261 | | | | 34,718 | |
| Procter & Gamble Co. (The) | | | 1,862 | | | | 275,353 | |
| | | | | | | 392,667 | |
| Independent Power and Renewable Electricity Producers - 0.1% | | | | | | | | |
| AES Corp. (The) | | | 518 | | | | 11,417 | |
| | | | | | | | |
| Industrial Conglomerates - 0.9% | | | | | | | | |
| 3M Co. | | | 444 | | | | 66,285 | |
| General Electric Co. | | | 855 | | | | 66,938 | |
| Honeywell International, Inc. | | | 533 | | | | 103,199 | |
| | | | | | | 236,422 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Energy ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Insurance - 2.3% | | | | | | | | |
| Aflac, Inc. | | | 467 | | | | 28,286 | |
| Allstate Corp. (The) | | | 218 | | | | 29,798 | |
| American International Group, Inc. | | | 645 | | | | 37,849 | |
| Aon plc, Class A | | | 167 | | | | 46,037 | |
| Arthur J Gallagher & Co. | | | 162 | | | | 26,234 | |
| Assurant, Inc. | | | 45 | | | | 7,951 | |
| Brown & Brown, Inc. | | | 182 | | | | 10,805 | |
| Chubb Ltd. | | | 334 | | | | 70,571 | |
| Cincinnati Financial Corp. | | | 117 | | | | 14,960 | |
| Everest Re Group Ltd. | | | 31 | | | | 8,757 | |
| Globe Life, Inc. | | | 72 | | | | 7,025 | |
| Hartford Financial Services Group, Inc. (The) | | | 261 | | | | 18,925 | |
| Lincoln National Corp. | | | 130 | | | | 7,531 | |
| Loews Corp. | | | 152 | | | | 9,954 | |
| Marsh & McLennan Cos., Inc. | | | 393 | | | | 62,860 | |
| MetLife, Inc. | | | 545 | | | | 36,728 | |
| Principal Financial Group, Inc. | | | 189 | | | | 13,784 | |
| Progressive Corp. (The) | | | 455 | | | | 54,318 | |
| Prudential Financial, Inc. | | | 293 | | | | 31,131 | |
| Travelers Cos., Inc. (The) | | | 188 | | | | 33,660 | |
| W R Berkley Corp. | | | 163 | | | | 11,594 | |
| Willis Towers Watson plc | | | 95 | | | | 20,052 | |
| | | | | | | 588,810 | |
| Interactive Media & Services - 5.5% | | | | | | | | |
| Alphabet, Inc., Class A* | | | 233 | | | | 530,131 | |
| Alphabet, Inc., Class C* | | | 216 | | | | 492,648 | |
| Match Group, Inc.* | | | 220 | | | | 17,332 | |
| Meta Platforms, Inc., Class A* | | | 1,794 | | | | 347,390 | |
| Twitter, Inc.* | | | 621 | | | | 24,592 | |
| | | | | | | 1,412,093 | |
| Internet & Direct Marketing Retail - 3.3% | | | | | | | | |
| Amazon.com, Inc.* | | | 339 | | | | 815,020 | |
| eBay, Inc. | | | 486 | | | | 23,654 | |
| Etsy, Inc.* | | | 100 | | | | 8,112 | |
| | | | | | | 846,786 | |
| IT Services - 4.6% | | | | | | | | |
| Accenture plc, Class A | | | 491 | | | | 146,544 | |
| Akamai Technologies, Inc.* | | | 127 | | | | 12,832 | |
| Automatic Data Processing, Inc. | | | 326 | | | | 72,678 | |
| Broadridge Financial Solutions, Inc. | | | 91 | | | | 13,306 | |
| Cognizant Technology Solutions Corp., Class A | | | 408 | | | | 30,477 | |
| DXC Technology Co.* | | | 191 | | | | 6,727 | |
| EPAM Systems, Inc.* | | | 44 | | | | 14,895 | |
| Fidelity National Information Services, Inc. | | | 473 | | | | 49,428 | |
| Fiserv, Inc.* | | | 462 | | | | 46,283 | |
| FleetCor Technologies, Inc.* | | | 63 | | | | 15,675 | |
| Gartner, Inc.* | | | 64 | | | | 16,794 | |
| Global Payments, Inc. | | | 220 | | | | 28,829 | |
| International Business Machines Corp. | | | 696 | | | | 96,633 | |
| Jack Henry & Associates, Inc. | | | 57 | | | | 10,723 | |
| Mastercard, Inc., Class A | | | 670 | | | | 239,773 | |
| Paychex, Inc. | | | 249 | | | | 30,834 | |
| PayPal Holdings, Inc.* | | | 905 | | | | 77,115 | |
| VeriSign, Inc.* | | | 75 | | | | 13,091 | |
| Visa, Inc., Class A | | | 1,288 | | | | 273,275 | |
| | | | | | | 1,195,912 | |
| Leisure Products - 0.0%(b) | | | | | | | | |
| Hasbro, Inc. | | | 102 | | | | 9,155 | |
| | | | | | | | |
| Life Sciences Tools & Services - 1.9% | | | | | | | | |
| Agilent Technologies, Inc. | | | 233 | | | | 29,722 | |
| Bio-Rad Laboratories, Inc., Class A* | | | 17 | | | | 9,142 | |
| Bio-Techne Corp. | | | 31 | | | | 11,462 | |
| Charles River Laboratories International, Inc.* | | | 39 | | | | 9,129 | |
| Danaher Corp. | | | 494 | | | | 130,327 | |
| Illumina, Inc.* | | | 121 | | | | 28,977 | |
| IQVIA Holdings, Inc.* | | | 149 | | | | 32,072 | |
| Mettler-Toledo International, Inc.* | | | 18 | | | | 23,150 | |
| PerkinElmer, Inc. | | | 98 | | | | 14,668 | |
| Thermo Fisher Scientific, Inc. | | | 306 | | | | 173,676 | |
| Waters Corp.* | | | 48 | | | | 15,742 | |
| West Pharmaceutical Services, Inc. | | | 58 | | | | 18,002 | |
| | | | | | | 496,069 | |
| Machinery - 1.7% | | | | | | | | |
| Caterpillar, Inc. | | | 421 | | | | 90,873 | |
| Cummins, Inc. | | | 110 | | | | 23,003 | |
| Deere & Co. | | | 218 | | | | 77,996 | |
| Dover Corp. | | | 111 | | | | 14,864 | |
| Fortive Corp. | | | 280 | | | | 17,296 | |
| IDEX Corp. | | | 59 | | | | 11,301 | |
| Illinois Tool Works, Inc. | | | 221 | | | | 45,984 | |
| Ingersoll Rand, Inc. | | | 317 | | | | 14,947 | |
| Nordson Corp. | | | 42 | | | | 9,151 | |
| Otis Worldwide Corp. | | | 331 | | | | 24,626 | |
| PACCAR, Inc. | | | 270 | | | | 23,447 | |
| Parker-Hannifin Corp. | | | 100 | | | | 27,217 | |
| Pentair plc | | | 129 | | | | 6,472 | |
| Snap-on, Inc. | | | 42 | | | | 9,319 | |
| Stanley Black & Decker, Inc. | | | 128 | | | | 15,192 | |
| Westinghouse Air Brake Technologies Corp. | | | 146 | | | | 13,791 | |
| Xylem, Inc. | | | 141 | | | | 11,879 | |
| | | | | | | 437,358 | |
| Media - 1.0% | | | | | | | | |
| Charter Communications, Inc., Class A* | | | 93 | | | | 47,145 | |
| Comcast Corp., Class A | | | 3,516 | | | | 155,688 | |
| DISH Network Corp., Class A*(a) | | | 194 | | | | 4,429 | |
| Fox Corp., Class A | | | 246 | | | | 8,735 | |
| Fox Corp., Class B | | | 113 | | | | 3,696 | |
| Interpublic Group of Cos., Inc. (The) | | | 306 | | | | 9,862 | |
| News Corp., Class A | | | 304 | | | | 5,290 | |
| News Corp., Class B | | | 94 | | | | 1,653 | |
| Omnicom Group, Inc. | | | 162 | | | | 12,087 | |
| Paramount Global, Class B | | | 472 | | | | 16,204 | |
| | | | | | | 264,789 | |
| Metals & Mining - 0.4% | | | | | | | | |
| Freeport-McMoRan, Inc. | | | 1,141 | | | | 44,590 | |
| Newmont Corp. | | | 619 | | | | 41,999 | |
| Nucor Corp. | | | 211 | | | | 27,949 | |
| | | | | | | 114,538 | |
| Multiline Retail - 0.5% | | | | | | | | |
| Dollar General Corp. | | | 181 | | | | 39,882 | |
| Dollar Tree, Inc.* | | | 175 | | | | 28,058 | |
| Target Corp. | | | 372 | | | | 60,219 | |
| | | | | | | 128,159 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Energy ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Multi-Utilities - 1.0% | | | | | | | | |
| Ameren Corp. | | | 200 | | | | 19,038 | |
| CenterPoint Energy, Inc. | | | 488 | | | | 15,640 | |
| CMS Energy Corp. | | | 224 | | | | 15,913 | |
| Consolidated Edison, Inc. | | | 275 | | | | 27,297 | |
| Dominion Energy, Inc. | | | 630 | | | | 53,059 | |
| DTE Energy Co. | | | 151 | | | | 20,039 | |
| NiSource, Inc. | | | 305 | | | | 9,592 | |
| Public Service Enterprise Group, Inc. | | | 394 | | | | 27,005 | |
| Sempra Energy | | | 248 | | | | 40,637 | |
| WEC Energy Group, Inc. | | | 245 | | | | 25,742 | |
| | | | | | | 253,962 | |
| Personal Products - 0.2% | | | | | | | | |
| Estee Lauder Cos., Inc. (The), Class A | | | 181 | | | | 46,092 | |
| | | | | | | | |
| Pharmaceuticals - 4.6% | | | | | | | | |
| Bristol-Myers Squibb Co. | | | 1,693 | | | | 127,737 | |
| Catalent, Inc.* | | | 140 | | | | 14,428 | |
| Eli Lilly & Co. | | | 617 | | | | 193,393 | |
| Johnson & Johnson | | | 2,045 | | | | 367,139 | |
| Merck & Co., Inc. | | | 1,961 | | | | 180,471 | |
| Organon & Co. | | | 197 | | | | 7,478 | |
| Pfizer, Inc. | | | 4,362 | | | | 231,360 | |
| Viatris, Inc. | | | 940 | | | | 11,534 | |
| Zoetis, Inc. | | | 368 | | | | 62,902 | |
| | | | | | | 1,196,442 | |
| Professional Services - 0.3% | | | | | | | | |
| Equifax, Inc. | | | 95 | | | | 19,245 | |
| Jacobs Engineering Group, Inc. | | | 101 | | | | 14,149 | |
| Leidos Holdings, Inc. | | | 110 | | | | 11,495 | |
| Nielsen Holdings plc | | | 279 | | | | 7,131 | |
| Robert Half International, Inc. | | | 87 | | | | 7,843 | |
| Verisk Analytics, Inc. | | | 126 | | | | 22,040 | |
| | | | | | | 81,903 | |
| Real Estate Management & Development - 0.1% | | | | | | | | |
| CBRE Group, Inc., Class A* | | | 259 | | | | 21,456 | |
| | | | | | | | |
| Road & Rail - 0.9% | | | | | | | | |
| CSX Corp. | | | 1,723 | | | | 54,774 | |
| JB Hunt Transport Services, Inc. | | | 65 | | | | 11,218 | |
| Norfolk Southern Corp. | | | 187 | | | | 44,816 | |
| Old Dominion Freight Line, Inc. | | | 73 | | | | 18,852 | |
| Union Pacific Corp. | | | 495 | | | | 108,791 | |
| | | | | | | 238,451 | |
| Semiconductors & Semiconductor Equipment - 5.9% | | | | | | | | |
| Advanced Micro Devices, Inc.* | | | 1,271 | | | | 129,464 | |
| Analog Devices, Inc. | | | 408 | | | | 68,707 | |
| Applied Materials, Inc. | | | 690 | | | | 80,930 | |
| Broadcom, Inc. | | | 320 | | | | 185,642 | |
| Enphase Energy, Inc.* | | | 103 | | | | 19,178 | |
| Intel Corp. | | | 3,164 | | | | 140,545 | |
| KLA Corp. | | | 117 | | | | 42,687 | |
| Lam Research Corp. | | | 108 | | | | 56,163 | |
| Microchip Technology, Inc. | | | 432 | | | | 31,385 | |
| Micron Technology, Inc. | | | 870 | | | | 64,241 | |
| Monolithic Power Systems, Inc. | | | 34 | | | | 15,313 | |
| NVIDIA Corp. | | | 1,942 | | | | 362,610 | |
| NXP Semiconductors NV | | | 206 | | | | 39,091 | |
| Qorvo, Inc.* | | | 85 | | | | 9,499 | |
| QUALCOMM, Inc. | | | 876 | | | | 125,461 | |
| Skyworks Solutions, Inc. | | | 129 | | | | 14,044 | |
| SolarEdge Technologies, Inc.* | | | 41 | | | | 11,184 | |
| Teradyne, Inc. | | | 128 | | | | 13,985 | |
| Texas Instruments, Inc. | | | 718 | | | | 126,914 | |
| | | | | | | 1,537,043 | |
| Software - 9.1% | | | | | | | | |
| Adobe, Inc.* | | | 367 | | | | 152,848 | |
| ANSYS, Inc.* | | | 68 | | | | 17,704 | |
| Autodesk, Inc.* | | | 171 | | | | 35,525 | |
| Cadence Design Systems, Inc.* | | | 215 | | | | 33,052 | |
| Ceridian HCM Holding, Inc.* | | | 107 | | | | 6,024 | |
| Citrix Systems, Inc. | | | 98 | | | | 9,868 | |
| Fortinet, Inc.* | | | 105 | | | | 30,885 | |
| Intuit, Inc. | | | 220 | | | | 91,181 | |
| Microsoft Corp. | | | 5,825 | | | | 1,583,643 | |
| NortonLifeLock, Inc. | | | 453 | | | | 11,026 | |
| Oracle Corp. | | | 1,223 | | | | 87,958 | |
| Paycom Software, Inc.* | | | 38 | | | | 10,805 | |
| PTC, Inc.* | | | 82 | | | | 9,555 | |
| Roper Technologies, Inc. | | | 83 | | | | 36,723 | |
| Salesforce, Inc.* | | | 765 | | | | 122,584 | |
| ServiceNow, Inc.* | | | 156 | | | | 72,925 | |
| Synopsys, Inc.* | | | 119 | | | | 37,985 | |
| Tyler Technologies, Inc.* | | | 32 | | | | 11,386 | |
| | | | | | | 2,361,677 | |
| Specialty Retail - 2.2% | | | | | | | | |
| Advance Auto Parts, Inc. | | | 49 | | | | 9,303 | |
| AutoZone, Inc.* | | | 17 | | | | 35,015 | |
| Bath & Body Works, Inc. | | | 201 | | | | 8,245 | |
| Best Buy Co., Inc. | | | 169 | | | | 13,868 | |
| CarMax, Inc.* | | | 127 | | | | 12,607 | |
| Home Depot, Inc. (The) | | | 810 | | | | 245,228 | |
| Lowe's Cos., Inc. | | | 523 | | | | 102,142 | |
| O'Reilly Automotive, Inc.* | | | 53 | | | | 33,770 | |
| Ross Stores, Inc. | | | 274 | | | | 23,296 | |
| TJX Cos., Inc. (The) | | | 927 | | | | 58,929 | |
| Tractor Supply Co. | | | 88 | | | | 16,488 | |
| Ulta Beauty, Inc.* | | | 42 | | | | 17,770 | |
| | | | | | | 576,661 | |
| Technology Hardware, Storage & Peripherals - 7.3% | | | | | | | | |
| Apple, Inc. | | | 12,043 | | | | 1,792,480 | |
| Hewlett Packard Enterprise Co. | | | 1,005 | | | | 15,678 | |
| HP, Inc. | | | 840 | | | | 32,626 | |
| NetApp, Inc. | | | 172 | | | | 12,376 | |
| Seagate Technology Holdings plc | | | 157 | | | | 13,293 | |
| Western Digital Corp.* | | | 244 | | | | 14,808 | |
| | | | | | | 1,881,261 | |
| Textiles, Apparel & Luxury Goods - 0.6% | | | | | | | | |
| NIKE, Inc., Class B | | | 991 | | | | 117,780 | |
| PVH Corp. | | | 56 | | | | 3,969 | |
| Ralph Lauren Corp. | | | 36 | | | | 3,639 | |
| Tapestry, Inc. | | | 206 | | | | 7,107 | |
| Under Armour, Inc., Class A* | | | 147 | | | | 1,555 | |
| Under Armour, Inc., Class C* | | | 168 | | | | 1,630 | |
| VF Corp. | | | 251 | | | | 12,666 | |
| | | | | | | 148,346 | |
| Tobacco - 0.8% | | | | | | | | |
| Altria Group, Inc. | | | 1,417 | | | | 76,645 | |
| Philip Morris International, Inc. | | | 1,203 | | | | 127,819 | |
| | | | | | | 204,464 | |
| Trading Companies & Distributors - 0.2% | | | | | | | | |
| Fastenal Co. | | | 449 | | | | 24,049 | |
| United Rentals, Inc.* | | | 57 | | | | 16,996 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Energy ETF
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| WW Grainger, Inc. | | | 34 | | | | 16,560 | |
| | | | | | | 57,605 | |
| Water Utilities - 0.1% | | | | | | | | |
| American Water Works Co., Inc. | | | 142 | | | | 21,477 | |
| | | | | | | | |
| Wireless Telecommunication Services - 0.2% | | | | | | | | |
| T-Mobile US, Inc.* | | | 457 | | | | 60,914 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $26,741,691) | | | | | | | 25,857,108 | |
| | | | | | | | |
| SECURITIES LENDING REINVESTMENTS(c) - 0.0%(b) | | | | | | | | |
| | | | | | | | |
| INVESTMENT COMPANIES - 0.0%(b) | | | | | | | | |
| BlackRock Liquidity FedFund, Institutional Class 0.72% (Cost $9,686) | | | 9,686 | | | | 9,686 | |
| Investments | | | Principal
Amount ($) | | | | Value ($) | |
| SHORT-TERM INVESTMENTS - 0.0%(b) | | | | | | | | |
| | | | | | | | |
| REPURCHASE AGREEMENTS(d) - 0.0%(b) | | | | | | | | |
| Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $5,352 | | | | | | | | |
| (Cost $5,352) | | | 5,352 | | | | 5,352 | |
| | | | | | | | |
Total Investments - 99.9%
(Cost $26,756,729) | | | | | | | 25,872,146 | |
| Other assets less liabilities - 0.1% | | | | | | | 19,675 | |
| Net Assets - 100.0% | | | | | | | 25,891,821 | |
| * | Non-income producing security. |
| (a) | The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $17,993, collateralized in the form of cash with a value of $9,686 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $8,999 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% – 4.63%, and maturity dates ranging from June 30, 2022 – August 15, 2050. The total value of collateral is $18,685. |
| (b) | Represents less than 0.05% of net assets. |
| (c) | The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $9,686. |
| (d) | The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase. |
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 1,792,138 | |
| Aggregate gross unrealized depreciation | | | (2,690,823 | ) |
| Net unrealized depreciation | | $ | (898,685 | ) |
| Federal income tax cost | | $ | 26,770,831 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Financials ETF Schedule of Portfolio Investments May 31, 2022 |
| Investments | | Shares | | | Value ($) | |
| COMMON STOCKS - 99.9% | | | | | | | | |
| | | | | | | | |
| Aerospace & Defense - 1.9% | | | | | | | | |
| Boeing Co. (The)* | | | 152 | | | | 19,973 | |
| General Dynamics Corp. | | | 63 | | | | 14,169 | |
| Howmet Aerospace, Inc. | | | 104 | | | | 3,720 | |
| Huntington Ingalls Industries, Inc. | | | 11 | | | | 2,315 | |
| L3Harris Technologies, Inc. | | | 54 | | | | 13,009 | |
| Lockheed Martin Corp. | | | 67 | | | | 29,487 | |
| Northrop Grumman Corp. | | | 40 | | | | 18,719 | |
| Raytheon Technologies Corp. | | | 411 | | | | 39,094 | |
| Textron, Inc. | | | 61 | | | | 3,983 | |
| TransDigm Group, Inc.* | | | 14 | | | | 8,475 | |
| | | | | | | 152,944 | |
| Air Freight & Logistics - 0.7% | | | | | | | | |
| CH Robinson Worldwide, Inc. | | | 36 | | | | 3,906 | |
| Expeditors International of Washington, Inc. | | | 47 | | | | 5,116 | |
| FedEx Corp. | | | 67 | | | | 15,047 | |
| United Parcel Service, Inc., Class B | | | 200 | | | | 36,450 | |
| | | | | | | 60,519 | |
| Airlines - 0.3% | | | | | | | | |
| Alaska Air Group, Inc.* | | | 35 | | | | 1,689 | |
| American Airlines Group, Inc.* | | | 179 | | | | 3,199 | |
| Delta Air Lines, Inc.* | | | 177 | | | | 7,379 | |
| Southwest Airlines Co.* | | | 164 | | | | 7,521 | |
| United Airlines Holdings, Inc.* | | | 89 | | | | 4,239 | |
| | | | | | | 24,027 | |
| Auto Components - 0.1% | | | | | | | | |
| Aptiv plc* | | | 75 | | | | 7,968 | |
| BorgWarner, Inc. | | | 66 | | | | 2,661 | |
| | | | | | | 10,629 | |
| Automobiles - 2.5% | | | | | | | | |
| Ford Motor Co. | | | 1,081 | | | | 14,788 | |
| General Motors Co.* | | | 400 | | | | 15,472 | |
| Tesla, Inc.* | | | 230 | | | | 174,400 | |
| | | | | | | 204,660 | |
| Beverages - 1.9% | | | | | | | | |
| Brown-Forman Corp., Class B | | | 50 | | | | 3,306 | |
| Coca-Cola Co. (The) | | | 1,069 | | | | 67,753 | |
| Constellation Brands, Inc., Class A | | | 45 | | | | 11,046 | |
| Molson Coors Beverage Co., Class B | | | 52 | | | | 2,904 | |
| Monster Beverage Corp.* | | | 103 | | | | 9,179 | |
| PepsiCo, Inc. | | | 380 | | | | 63,745 | |
| | | | | | | 157,933 | |
| Biotechnology - 2.4% | | | | | | | | |
| AbbVie, Inc. | | | 487 | | | | 71,769 | |
| Amgen, Inc. | | | 156 | | | | 40,051 | |
| Biogen, Inc.* | | | 40 | | | | 8,000 | |
| Gilead Sciences, Inc. | | | 345 | | | | 22,373 | |
| Incyte Corp.* | | | 52 | | | | 3,946 | |
| Moderna, Inc.* | | | 97 | | | | 14,097 | |
| Regeneron Pharmaceuticals, Inc.* | | | 29 | | | | 19,278 | |
| Vertex Pharmaceuticals, Inc.* | | | 70 | | | | 18,806 | |
| | | | | | | 198,320 | |
| Building Products - 0.5% | | | | | | | | |
| A O Smith Corp. | | | 36 | | | | 2,164 | |
| Allegion plc | | | 25 | | | | 2,791 | |
| Carrier Global Corp. | | | 235 | | | | 9,238 | |
| Fortune Brands Home & Security, Inc. | | | 37 | | | | 2,566 | |
| Johnson Controls International plc | | | 194 | | | | 10,575 | |
| Masco Corp. | | | 66 | | | | 3,742 | |
| Trane Technologies plc | | | 64 | | | | 8,836 | |
| | | | | | | 39,912 | |
| Chemicals - 2.2% | | | | | | | | |
| Air Products and Chemicals, Inc. | | | 61 | | | | 15,016 | |
| Albemarle Corp. | | | 32 | | | | 8,333 | |
| Celanese Corp. | | | 30 | | | | 4,696 | |
| CF Industries Holdings, Inc. | | | 59 | | | | 5,827 | |
| Corteva, Inc. | | | 201 | | | | 12,587 | |
| Dow, Inc. | | | 202 | | | | 13,732 | |
| DuPont de Nemours, Inc. | | | 141 | | | | 9,567 | |
| Eastman Chemical Co. | | | 35 | | | | 3,856 | |
| Ecolab, Inc. | | | 68 | | | | 11,146 | |
| FMC Corp. | | | 35 | | | | 4,290 | |
| International Flavors & Fragrances, Inc. | | | 70 | | | | 9,252 | |
| Linde plc | | | 142 | | | | 46,104 | |
| LyondellBasell Industries NV, Class A | | | 72 | | | | 8,226 | |
| Mosaic Co. (The) | | | 102 | | | | 6,390 | |
| PPG Industries, Inc. | | | 65 | | | | 8,222 | |
| Sherwin-Williams Co. (The) | | | 66 | | | | 17,691 | |
| | | | | | | 184,935 | |
| Commercial Services & Supplies - 0.5% | | | | | | | | |
| Cintas Corp. | | | 24 | | | | 9,560 | |
| Copart, Inc.* | | | 59 | | | | 6,757 | |
| Republic Services, Inc. | | | 57 | | | | 7,629 | |
| Rollins, Inc. | | | 62 | | | | 2,199 | |
| Waste Management, Inc. | | | 106 | | | | 16,802 | |
| | | | | | | 42,947 | |
| Communications Equipment - 0.9% | | | | | | | | |
| Arista Networks, Inc.* | | | 62 | | | | 6,341 | |
| Cisco Systems, Inc. | | | 1,160 | | | | 52,258 | |
| F5, Inc.* | | | 17 | | | | 2,772 | |
| Juniper Networks, Inc. | | | 89 | | | | 2,731 | |
| Motorola Solutions, Inc. | | | 46 | | | | 10,108 | |
| | | | | | | 74,210 | |
| Construction & Engineering - 0.1% | | | | | | | | |
| Quanta Services, Inc. | | | 39 | | | | 4,641 | |
| | | | | | | | |
| Construction Materials - 0.1% | | | | | | | | |
| Martin Marietta Materials, Inc. | | | 17 | | | | 5,770 | |
| Vulcan Materials Co. | | | 36 | | | | 5,935 | |
| | | | | | | 11,705 | |
| Containers & Packaging - 0.4% | | | | | | | | |
| Amcor plc | | | 416 | | | | 5,450 | |
| Avery Dennison Corp. | | | 23 | | | | 3,969 | |
| Ball Corp. | | | 89 | | | | 6,309 | |
| International Paper Co. | | | 106 | | | | 5,136 | |
| Packaging Corp. of America | | | 26 | | | | 4,089 | |
| Sealed Air Corp. | | | 41 | | | | 2,549 | |
| WestRock Co. | | | 72 | | | | 3,491 | |
| | | | | | | 30,993 | |
| Distributors - 0.2% | | | | | | | | |
| Genuine Parts Co. | | | 39 | | | | 5,332 | |
| LKQ Corp. | | | 74 | | | | 3,803 | |
| Pool Corp. | | | 11 | | | | 4,385 | |
| | | | | | | 13,520 | |
| Diversified Telecommunication Services - 1.3% | | | | | | | | |
| AT&T, Inc. | | | 1,965 | | | | 41,835 | |
| Lumen Technologies, Inc. | | | 253 | | | | 3,097 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Financials ETF Schedule of Portfolio Investments May 31, 2022 |
| Investments | | Shares | | | Value ($) | |
| Verizon Communications, Inc. | | | 1,154 | | | | 59,188 | |
| | | | | | | 104,120 | |
| Electric Utilities - 2.2% | | | | | | | | |
| Alliant Energy Corp. | | | 69 | | | | 4,403 | |
| American Electric Power Co., Inc. | | | 138 | | | | 14,080 | |
| Constellation Energy Corp. | | | 91 | | | | 5,649 | |
| Duke Energy Corp. | | | 211 | | | | 23,742 | |
| Edison International | | | 104 | | | | 7,271 | |
| Entergy Corp. | | | 55 | | | | 6,618 | |
| Evergy, Inc. | | | 63 | | | | 4,406 | |
| Eversource Energy | | | 94 | | | | 8,678 | |
| Exelon Corp. | | | 269 | | | | 13,221 | |
| FirstEnergy Corp. | | | 158 | | | | 6,788 | |
| NextEra Energy, Inc. | | | 540 | | | | 40,873 | |
| NRG Energy, Inc. | | | 67 | | | | 3,085 | |
| Pinnacle West Capital Corp. | | | 31 | | | | 2,407 | |
| PPL Corp. | | | 206 | | | | 6,217 | |
| Southern Co. (The) | | | 292 | | | | 22,093 | |
| Xcel Energy, Inc. | | | 148 | | | | 11,150 | |
| | | | | | | 180,681 | |
| Electrical Equipment - 0.6% | | | | | | | | |
| AMETEK, Inc. | | | 64 | | | | 7,774 | |
| Eaton Corp. plc | | | 109 | | | | 15,108 | |
| Emerson Electric Co. | | | 163 | | | | 14,452 | |
| Generac Holdings, Inc.* | | | 17 | | | | 4,200 | |
| Rockwell Automation, Inc. | | | 32 | | | | 6,822 | |
| | | | | | | 48,356 | |
| Electronic Equipment, Instruments & Components - 0.7% | | | | | | | | |
| Amphenol Corp., Class A | | | 165 | | | | 11,692 | |
| CDW Corp. | | | 37 | | | | 6,285 | |
| Corning, Inc. | | | 205 | | | | 7,343 | |
| IPG Photonics Corp.* | | | 10 | | | | 1,055 | |
| Keysight Technologies, Inc.* | | | 50 | | | | 7,280 | |
| TE Connectivity Ltd. | | | 89 | | | | 11,516 | |
| Teledyne Technologies, Inc.* | | | 13 | | | | 5,267 | |
| Trimble, Inc.* | | | 69 | | | | 4,695 | |
| Zebra Technologies Corp., Class A* | | | 15 | | | | 5,073 | |
| | | | | | | 60,206 | |
| Energy Equipment & Services - 0.4% | | | | | | | | |
| Baker Hughes Co. | | | 249 | | | | 8,959 | |
| Halliburton Co. | | | 247 | | | | 10,003 | |
| Schlumberger NV | | | 386 | | | | 17,741 | |
| | | | | | | 36,703 | |
| Entertainment - 1.5% | | | | | | | | |
| Activision Blizzard, Inc. | | | 214 | | | | 16,666 | |
| Electronic Arts, Inc. | | | 77 | | | | 10,676 | |
| Live Nation Entertainment, Inc.* | | | 37 | | | | 3,517 | |
| Netflix, Inc.* | | | 122 | | | | 24,088 | |
| Take-Two Interactive Software, Inc.* | | | 43 | | | | 5,355 | |
| Walt Disney Co. (The)* | | | 501 | | | | 55,330 | |
| Warner Bros Discovery, Inc.* | | | 604 | | | | 11,144 | |
| | | | | | | 126,776 | |
| Food & Staples Retailing - 1.7% | | | | | | | | |
| Costco Wholesale Corp. | | | 122 | | | | 56,879 | |
| Kroger Co. (The) | | | 185 | | | | 9,799 | |
| Sysco Corp. | | | 139 | | | | 11,701 | |
| Walgreens Boots Alliance, Inc. | | | 197 | | | | 8,635 | |
| Walmart, Inc. | | | 389 | | | | 50,037 | |
| | | | | | | 137,051 | |
| Food Products - 1.2% | | | | | | | | |
| Archer-Daniels-Midland Co. | | | 154 | | | | 13,986 | |
| Campbell Soup Co. | | | 56 | | | | 2,683 | |
| Conagra Brands, Inc. | | | 133 | | | | 4,374 | |
| General Mills, Inc. | | | 166 | | | | 11,595 | |
| Hershey Co. (The) | | | 40 | | | | 8,468 | |
| Hormel Foods Corp. | | | 77 | | | | 3,748 | |
| J M Smucker Co. (The) | | | 30 | | | | 3,761 | |
| Kellogg Co. | | | 70 | | | | 4,882 | |
| Kraft Heinz Co. (The) | | | 195 | | | | 7,377 | |
| Lamb Weston Holdings, Inc. | | | 40 | | | | 2,703 | |
| McCormick & Co., Inc. (Non-Voting) | | | 69 | | | | 6,398 | |
| Mondelez International, Inc., Class A | | | 381 | | | | 24,216 | |
| Tyson Foods, Inc., Class A | | | 80 | | | | 7,169 | |
| | | | | | | 101,360 | |
| Gas Utilities - 0.1% | | | | | | | | |
| Atmos Energy Corp. | | | 37 | | | | 4,303 | |
| | | | | | | | |
| Health Care Equipment & Supplies - 3.2% | | | | | | | | |
| Abbott Laboratories | | | 487 | | | | 57,203 | |
| ABIOMED, Inc.* | | | 13 | | | | 3,428 | |
| Align Technology, Inc.* | | | 20 | | | | 5,553 | |
| Baxter International, Inc. | | | 138 | | | | 10,495 | |
| Becton Dickinson and Co. | | | 78 | | | | 19,952 | |
| Boston Scientific Corp.* | | | 392 | | | | 16,076 | |
| Cooper Cos., Inc. (The) | | | 14 | | | | 4,910 | |
| DENTSPLY SIRONA, Inc. | | | 60 | | | | 2,374 | |
| Dexcom, Inc.* | | | 27 | | | | 8,044 | |
| Edwards Lifesciences Corp.* | | | 172 | | | | 17,346 | |
| Hologic, Inc.* | | | 69 | | | | 5,194 | |
| IDEXX Laboratories, Inc.* | | | 23 | | | | 9,007 | |
| Intuitive Surgical, Inc.* | | | 98 | | | | 22,309 | |
| Medtronic plc | | | 370 | | | | 37,055 | |
| ResMed, Inc. | | | 40 | | | | 8,138 | |
| STERIS plc | | | 28 | | | | 6,390 | |
| Stryker Corp. | | | 92 | | | | 21,574 | |
| Teleflex, Inc. | | | 13 | | | | 3,741 | |
| Zimmer Biomet Holdings, Inc. | | | 57 | | | | 6,852 | |
| | | | | | | 265,641 | |
| Health Care Providers & Services - 3.8% | | | | | | | | |
| AmerisourceBergen Corp. | | | 41 | | | | 6,346 | |
| Anthem, Inc. | | | 67 | | | | 34,144 | |
| Cardinal Health, Inc. | | | 76 | | | | 4,280 | |
| Centene Corp.* | | | 160 | | | | 13,030 | |
| Cigna Corp. | | | 89 | | | | 23,878 | |
| CVS Health Corp. | | | 362 | | | | 35,024 | |
| DaVita, Inc.* | | | 17 | | | | 1,657 | |
| HCA Healthcare, Inc. | | | 66 | | | | 13,887 | |
| Henry Schein, Inc.* | | | 38 | | | | 3,254 | |
| Humana, Inc. | | | 35 | | | | 15,898 | |
| Laboratory Corp. of America Holdings | | | 26 | | | | 6,415 | |
| McKesson Corp. | | | 41 | | | | 13,476 | |
| Molina Healthcare, Inc.* | | | 16 | | | | 4,644 | |
| Quest Diagnostics, Inc. | | | 33 | | | | 4,654 | |
| UnitedHealth Group, Inc. | | | 259 | | | | 128,666 | |
| Universal Health Services, Inc., Class B | | | 20 | | | | 2,492 | |
| | | | | | | 311,745 | |
| Health Care Technology - 0.1% | | | | | | | | |
| Cerner Corp. | | | 81 | | | | 7,683 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Financials ETF Schedule of Portfolio Investments May 31, 2022 |
| Investments | | Shares | | | Value ($) | |
| Hotels, Restaurants & Leisure - 2.2% | | | | | | | | |
| Booking Holdings, Inc.* | | | 11 | | | | 24,679 | |
| Caesars Entertainment, Inc.* | | | 59 | | | | 2,960 | |
| Carnival Corp.* | | | 222 | | | | 3,081 | |
| Chipotle Mexican Grill, Inc.* | | | 8 | | | | 11,220 | |
| Darden Restaurants, Inc. | | | 35 | | | | 4,375 | |
| Domino's Pizza, Inc. | | | 10 | | | | 3,632 | |
| Expedia Group, Inc.* | | | 41 | | | | 5,303 | |
| Hilton Worldwide Holdings, Inc. | | | 77 | | | | 10,846 | |
| Las Vegas Sands Corp.* | | | 94 | | | | 3,333 | |
| Marriott International, Inc., Class A | | | 75 | | | | 12,869 | |
| McDonald's Corp. | | | 205 | | | | 51,703 | |
| MGM Resorts International | | | 103 | | | | 3,602 | |
| Norwegian Cruise Line Holdings Ltd.*(a) | | | 115 | | | | 1,841 | |
| Penn National Gaming, Inc.* | | | 46 | | | | 1,470 | |
| Royal Caribbean Cruises Ltd.* | | | 62 | | | | 3,600 | |
| Starbucks Corp. | | | 317 | | | | 24,885 | |
| Wynn Resorts Ltd.* | | | 29 | | | | 1,917 | |
| Yum! Brands, Inc. | | | 79 | | | | 9,596 | |
| | | | | | | 180,912 | |
| Household Durables - 0.4% | | | | | | | | |
| DR Horton, Inc. | | | 89 | | | | 6,688 | |
| Garmin Ltd. | | | 42 | | | | 4,436 | |
| Lennar Corp., Class A | | | 72 | | | | 5,778 | |
| Mohawk Industries, Inc.* | | | 15 | | | | 2,122 | |
| Newell Brands, Inc. | | | 104 | | | | 2,230 | |
| NVR, Inc.* | | | 1 | | | | 4,450 | |
| PulteGroup, Inc. | | | 68 | | | | 3,078 | |
| Whirlpool Corp. | | | 16 | | | | 2,948 | |
| | | | | | | 31,730 | |
| Household Products - 1.7% | | | | | | | | |
| Church & Dwight Co., Inc. | | | 66 | | | | 5,944 | |
| Clorox Co. (The) | | | 34 | | | | 4,942 | |
| Colgate-Palmolive Co. | | | 232 | | | | 18,284 | |
| Kimberly-Clark Corp. | | | 93 | | | | 12,371 | |
| Procter & Gamble Co. (The) | | | 659 | | | | 97,453 | |
| | | | | | | 138,994 | |
| Independent Power and Renewable Electricity Producers - 0.1% | | | | | | | | |
| AES Corp. (The) | | | 184 | | | | 4,055 | |
| | | | | | | | |
| Industrial Conglomerates - 1.0% | | | | | | | | |
| 3M Co. | | | 158 | | | | 23,588 | |
| General Electric Co. | | | 303 | | | | 23,722 | |
| Honeywell International, Inc. | | | 188 | | | | 36,400 | |
| | | | | | | 83,710 | |
| Interactive Media & Services - 6.0% | | | | | | | | |
| Alphabet, Inc., Class A* | | | 83 | | | | 188,845 | |
| Alphabet, Inc., Class C* | | | 76 | | | | 173,339 | |
| Match Group, Inc.* | | | 79 | | | | 6,224 | |
| Meta Platforms, Inc., Class A* | | | 634 | | | | 122,768 | |
| Twitter, Inc.* | | | 220 | | | | 8,712 | |
| | | | | | | 499,888 | |
| Internet & Direct Marketing Retail - 3.6% | | | | | | | | |
| Amazon.com, Inc.* | | | 120 | | | | 288,503 | |
| eBay, Inc. | | | 173 | | | | 8,420 | |
| Etsy, Inc.* | | | 35 | | | | 2,839 | |
| | | | | | | 299,762 | |
| IT Services - 5.1% | | | | | | | | |
| Accenture plc, Class A | | | 175 | | | | 52,230 | |
| Akamai Technologies, Inc.* | | | 45 | | | | 4,547 | |
| Automatic Data Processing, Inc. | | | 115 | | | | 25,638 | |
| Broadridge Financial Solutions, Inc. | | | 32 | | | | 4,679 | |
| Cognizant Technology Solutions Corp., Class A | | | 144 | | | | 10,757 | |
| DXC Technology Co.* | | | 67 | | | | 2,360 | |
| EPAM Systems, Inc.* | | | 16 | | | | 5,416 | |
| Fidelity National Information Services, Inc. | | | 167 | | | | 17,452 | |
| Fiserv, Inc.* | | | 163 | | | | 16,329 | |
| FleetCor Technologies, Inc.* | | | 22 | | | | 5,474 | |
| Gartner, Inc.* | | | 23 | | | | 6,035 | |
| Global Payments, Inc. | | | 78 | | | | 10,221 | |
| International Business Machines Corp. | | | 246 | | | | 34,155 | |
| Jack Henry & Associates, Inc. | | | 20 | | | | 3,762 | |
| Mastercard, Inc., Class A | | | 237 | | | | 84,815 | |
| Paychex, Inc. | | | 88 | | | | 10,897 | |
| PayPal Holdings, Inc.* | | | 321 | | | | 27,352 | |
| VeriSign, Inc.* | | | 27 | | | | 4,713 | |
| Visa, Inc., Class A | | | 457 | | | | 96,962 | |
| | | | | | | 423,794 | |
| Leisure Products - 0.0%(b) | | | | | | | | |
| Hasbro, Inc. | | | 36 | | | | 3,231 | |
| | | | | | | | |
| Life Sciences Tools & Services - 2.1% | | | | | | | | |
| Agilent Technologies, Inc. | | | 83 | | | | 10,587 | |
| Bio-Rad Laboratories, Inc., Class A* | | | 6 | | | | 3,227 | |
| Bio-Techne Corp. | | | 11 | | | | 4,067 | |
| Charles River Laboratories International, Inc.* | | | 14 | | | | 3,277 | |
| Danaher Corp. | | | 176 | | | | 46,432 | |
| Illumina, Inc.* | | | 43 | | | | 10,298 | |
| IQVIA Holdings, Inc.* | | | 52 | | | | 11,193 | |
| Mettler-Toledo International, Inc.* | | | 6 | | | | 7,717 | |
| PerkinElmer, Inc. | | | 35 | | | | 5,238 | |
| Thermo Fisher Scientific, Inc. | | | 108 | | | | 61,298 | |
| Waters Corp.* | | | 17 | | | | 5,575 | |
| West Pharmaceutical Services, Inc. | | | 20 | | | | 6,208 | |
| | | | | | | 175,117 | |
| Machinery - 1.9% | | | | | | | | |
| Caterpillar, Inc. | | | 150 | | | | 32,378 | |
| Cummins, Inc. | | | 39 | | | | 8,156 | |
| Deere & Co. | | | 77 | | | | 27,549 | |
| Dover Corp. | | | 40 | | | | 5,356 | |
| Fortive Corp. | | | 98 | | | | 6,053 | |
| IDEX Corp. | | | 21 | | | | 4,023 | |
| Illinois Tool Works, Inc. | | | 78 | | | | 16,229 | |
| Ingersoll Rand, Inc. | | | 112 | | | | 5,281 | |
| Nordson Corp. | | | 15 | | | | 3,268 | |
| Otis Worldwide Corp. | | | 117 | | | | 8,705 | |
| PACCAR, Inc. | | | 95 | | | | 8,250 | |
| Parker-Hannifin Corp. | | | 35 | | | | 9,526 | |
| Pentair plc | | | 45 | | | | 2,258 | |
| Snap-on, Inc. | | | 15 | | | | 3,328 | |
| Stanley Black & Decker, Inc. | | | 45 | | | | 5,341 | |
| Westinghouse Air Brake Technologies Corp. | | | 52 | | | | 4,912 | |
| Xylem, Inc. | | | 50 | | | | 4,212 | |
| | | | | | | 154,825 | |
| Media - 1.1% | | | | | | | | |
| Charter Communications, Inc., Class A* | | | 33 | | | | 16,729 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Financials ETF Schedule of Portfolio Investments May 31, 2022 |
| Investments | | Shares | | | Value ($) | |
| Comcast Corp., Class A | | | 1,245 | | | | 55,129 | |
| DISH Network Corp., Class A*(a) | | | 69 | | | | 1,575 | |
| Fox Corp., Class A | | | 87 | | | | 3,089 | |
| Fox Corp., Class B | | | 40 | | | | 1,308 | |
| Interpublic Group of Cos., Inc. (The) | | | 108 | | | | 3,481 | |
| News Corp., Class A | | | 107 | | | | 1,862 | |
| News Corp., Class B | | | 33 | | | | 580 | |
| Omnicom Group, Inc. | | | 57 | | | | 4,253 | |
| Paramount Global, Class B | | | 168 | | | | 5,767 | |
| | | | | | | 93,773 | |
| Metals & Mining - 0.5% | | | | | | | | |
| Freeport-McMoRan, Inc. | | | 404 | | | | 15,788 | |
| Newmont Corp. | | | 219 | | | | 14,859 | |
| Nucor Corp. | | | 75 | | | | 9,935 | |
| | | | | | | 40,582 | |
| Multiline Retail - 0.6% | | | | | | | | |
| Dollar General Corp. | | | 64 | | | | 14,102 | |
| Dollar Tree, Inc.* | | | 62 | | | | 9,940 | |
| Target Corp. | | | 133 | | | | 21,530 | |
| | | | | | | 45,572 | |
| Multi-Utilities - 1.1% | | | | | | | | |
| Ameren Corp. | | | 71 | | | | 6,758 | |
| CenterPoint Energy, Inc. | | | 174 | | | | 5,577 | |
| CMS Energy Corp. | | | 80 | | | | 5,683 | |
| Consolidated Edison, Inc. | | | 97 | | | | 9,628 | |
| Dominion Energy, Inc. | | | 223 | | | | 18,781 | |
| DTE Energy Co. | | | 53 | | | | 7,034 | |
| NiSource, Inc. | | | 108 | | | | 3,397 | |
| Public Service Enterprise Group, Inc. | | | 139 | | | | 9,527 | |
| Sempra Energy | | | 88 | | | | 14,420 | |
| WEC Energy Group, Inc. | | | 87 | | | | 9,141 | |
| | | | | | | 89,946 | |
| Oil, Gas & Consumable Fuels - 5.1% | | | | | | | | |
| APA Corp. | | | 100 | | | | 4,701 | |
| Chevron Corp. | | | 530 | | | | 92,570 | |
| ConocoPhillips | | | 359 | | | | 40,337 | |
| Coterra Energy, Inc.(a) | | | 223 | | | | 7,656 | |
| Devon Energy Corp. | | | 173 | | | | 12,958 | |
| Diamondback Energy, Inc. | | | 47 | | | | 7,145 | |
| EOG Resources, Inc. | | | 161 | | | | 22,051 | |
| Exxon Mobil Corp. | | | 1,164 | | | | 111,744 | |
| Hess Corp. | | | 76 | | | | 9,353 | |
| Kinder Morgan, Inc. | | | 537 | | | | 10,573 | |
| Marathon Oil Corp. | | | 214 | | | | 6,726 | |
| Marathon Petroleum Corp. | | | 159 | | | | 16,185 | |
| Occidental Petroleum Corp. | | | 245 | | | | 16,981 | |
| ONEOK, Inc. | | | 122 | | | | 8,034 | |
| Phillips 66 | | | 129 | | | | 13,004 | |
| Pioneer Natural Resources Co. | | | 62 | | | | 17,232 | |
| Valero Energy Corp. | | | 112 | | | | 14,515 | |
| Williams Cos., Inc. (The) | | | 334 | | | | 12,378 | |
| | | | | | | 424,143 | |
| Personal Products - 0.2% | | | | | | | | |
| Estee Lauder Cos., Inc. (The), Class A | | | 64 | | | | 16,298 | |
| | | | | | | | |
| Pharmaceuticals - 5.1% | | | | | | | | |
| Bristol-Myers Squibb Co. | | | 600 | | | | 45,270 | |
| Catalent, Inc.* | | | 49 | | | | 5,050 | |
| Eli Lilly & Co. | | | 218 | | | | 68,330 | |
| Johnson & Johnson | | | 724 | | | | 129,980 | |
| Merck & Co., Inc. | | | 695 | | | | 63,961 | |
| Organon & Co. | | | 70 | | | | 2,657 | |
| Pfizer, Inc. | | | 1,544 | | | | 81,894 | |
| Viatris, Inc. | | | 332 | | | | 4,073 | |
| Zoetis, Inc. | | | 131 | | | | 22,392 | |
| | | | | | | 423,607 | |
| Professional Services - 0.3% | | | | | | | | |
| Equifax, Inc. | | | 33 | | | | 6,685 | |
| Jacobs Engineering Group, Inc. | | | 35 | | | | 4,903 | |
| Leidos Holdings, Inc. | | | 39 | | | | 4,076 | |
| Nielsen Holdings plc | | | 99 | | | | 2,530 | |
| Robert Half International, Inc. | | | 30 | | | | 2,705 | |
| Verisk Analytics, Inc. | | | 44 | | | | 7,696 | |
| | | | | | | 28,595 | |
| Road & Rail - 1.0% | | | | | | | | |
| CSX Corp. | | | 609 | | | | 19,360 | |
| JB Hunt Transport Services, Inc. | | | 23 | | | | 3,970 | |
| Norfolk Southern Corp. | | | 66 | | | | 15,818 | |
| Old Dominion Freight Line, Inc. | | | 26 | | | | 6,714 | |
| Union Pacific Corp. | | | 176 | | | | 38,681 | |
| | | | | | | 84,543 | |
| Semiconductors & Semiconductor Equipment - 6.6% | | | | | | | | |
| Advanced Micro Devices, Inc.* | | | 451 | | | | 45,939 | |
| Analog Devices, Inc. | | | 145 | | | | 24,418 | |
| Applied Materials, Inc. | | | 244 | | | | 28,619 | |
| Broadcom, Inc. | | | 113 | | | | 65,555 | |
| Enphase Energy, Inc.* | | | 37 | | | | 6,889 | |
| Intel Corp. | | | 1,120 | | | | 49,750 | |
| KLA Corp. | | | 41 | | | | 14,959 | |
| Lam Research Corp. | | | 38 | | | | 19,761 | |
| Microchip Technology, Inc. | | | 153 | | | | 11,115 | |
| Micron Technology, Inc. | | | 309 | | | | 22,817 | |
| Monolithic Power Systems, Inc. | | | 12 | | | | 5,405 | |
| NVIDIA Corp. | | | 688 | | | | 128,463 | |
| NXP Semiconductors NV | | | 73 | | | | 13,852 | |
| Qorvo, Inc.* | | | 30 | | | | 3,353 | |
| QUALCOMM, Inc. | | | 310 | | | | 44,398 | |
| Skyworks Solutions, Inc. | | | 45 | | | | 4,899 | |
| SolarEdge Technologies, Inc.* | | | 14 | | | | 3,819 | |
| Teradyne, Inc. | | | 45 | | | | 4,917 | |
| Texas Instruments, Inc. | | | 254 | | | | 44,897 | |
| | | | | | | 543,825 | |
| Software - 10.1% | | | | | | | | |
| Adobe, Inc.* | | | 131 | | | | 54,559 | |
| ANSYS, Inc.* | | | 24 | | | | 6,249 | |
| Autodesk, Inc.* | | | 60 | | | | 12,465 | |
| Cadence Design Systems, Inc.* | | | 76 | | | | 11,684 | |
| Ceridian HCM Holding, Inc.* | | | 38 | | | | 2,139 | |
| Citrix Systems, Inc. | | | 34 | | | | 3,424 | |
| Fortinet, Inc.* | | | 37 | | | | 10,883 | |
| Intuit, Inc. | | | 78 | | | | 32,328 | |
| Microsoft Corp. | | | 2,063 | | | | 560,868 | |
| NortonLifeLock, Inc. | | | 161 | | | | 3,919 | |
| Oracle Corp. | | | 433 | | | | 31,141 | |
| Paycom Software, Inc.* | | | 13 | | | | 3,696 | |
| PTC, Inc.* | | | 29 | | | | 3,379 | |
| Roper Technologies, Inc. | | | 29 | | | | 12,831 | |
| Salesforce, Inc.* | | | 271 | | | | 43,425 | |
| ServiceNow, Inc.* | | | 55 | | | | 25,711 | |
| Synopsys, Inc.* | | | 42 | | | | 13,406 | |
| Tyler Technologies, Inc.* | | | 11 | | | | 3,914 | |
| | | | | | | 836,021 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Financials ETF Schedule of Portfolio Investments May 31, 2022 |
| Investments | | Shares | | | Value ($) | |
| Specialty Retail - 2.5% | | | | | | | | |
| Advance Auto Parts, Inc. | | | 17 | | | | 3,228 | |
| AutoZone, Inc.* | | | 6 | | | | 12,358 | |
| Bath & Body Works, Inc. | | | 71 | | | | 2,912 | |
| Best Buy Co., Inc. | | | 60 | | | | 4,924 | |
| CarMax, Inc.* | | | 44 | | | | 4,368 | |
| Home Depot, Inc. (The) | | | 287 | | | | 86,889 | |
| Lowe's Cos., Inc. | | | 186 | | | | 36,326 | |
| O'Reilly Automotive, Inc.* | | | 19 | | | | 12,106 | |
| Ross Stores, Inc. | | | 97 | | | | 8,247 | |
| TJX Cos., Inc. (The) | | | 328 | | | | 20,851 | |
| Tractor Supply Co. | | | 31 | | | | 5,808 | |
| Ulta Beauty, Inc.* | | | 15 | | | | 6,346 | |
| | | | | | | 204,363 | |
| Technology Hardware, Storage & Peripherals - 8.0% | | | | | | | | |
| Apple, Inc. | | | 4,264 | | | | 634,654 | |
| Hewlett Packard Enterprise Co. | | | 355 | | | | 5,538 | |
| HP, Inc. | | | 297 | | | | 11,535 | |
| NetApp, Inc. | | | 61 | | | | 4,389 | |
| Seagate Technology Holdings plc | | | 55 | | | | 4,657 | |
| Western Digital Corp.* | | | 86 | | | | 5,219 | |
| | | | | | | 665,992 | |
| Textiles, Apparel & Luxury Goods - 0.6% | | | | | | | | |
| NIKE, Inc., Class B | | | 352 | | | | 41,835 | |
| PVH Corp. | | | 19 | | | | 1,347 | |
| Ralph Lauren Corp. | | | 13 | | | | 1,314 | |
| Tapestry, Inc. | | | 73 | | | | 2,519 | |
| Under Armour, Inc., Class A* | | | 52 | | | | 550 | |
| Under Armour, Inc., Class C* | | | 60 | | | | 582 | |
| VF Corp. | | | 89 | | | | 4,491 | |
| | | | | | | 52,638 | |
| Tobacco - 0.9% | | | | | | | | |
| Altria Group, Inc. | | | 502 | | | | 27,153 | |
| Philip Morris International, Inc. | | | 427 | | | | 45,369 | |
| | | | | | | 72,522 | |
| Trading Companies & Distributors - 0.2% | | | | | | | | |
| Fastenal Co. | | | 159 | | | | 8,516 | |
| United Rentals, Inc.* | | | 20 | | | | 5,963 | |
| WW Grainger, Inc. | | | 12 | | | | 5,845 | |
| | | | | | | 20,324 | |
| Water Utilities - 0.1% | | | | | | | | |
| American Water Works Co., Inc. | | | 50 | | | | 7,562 | |
| | | | | | | | |
| Wireless Telecommunication Services - 0.3% | | | | | | | | |
| T-Mobile US, Inc.* | | | 161 | | | | 21,460 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $8,275,543) | | | | | | | 8,264,304 | |
| Investments | | Principal
Amount ($) | | | Value ($) | |
| SHORT-TERM INVESTMENTS - 0.0%(b) | | | | | | | | |
| | | | | | | | |
| REPURCHASE AGREEMENTS(c) - 0.0%(b) | | | | | | | | |
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $3,100 (Cost $3,100) | | | 3,100 | | | | 3,100 | |
| | | | | | | | |
Total Investments - 99.9%
(Cost $8,278,643) | | | | | | | 8,267,404 | |
| Other assets less liabilities - 0.1% | | | | | | | 11,922 | |
| Net Assets - 100.0% | | | | | | | 8,279,326 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Financials ETF Schedule of Portfolio Investments May 31, 2022 |
| * | Non-income producing security. |
| (a) | The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $10,608, collateralized in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% – 4.63%, and maturity dates ranging from June 30, 2022 – August 15, 2050. The total value of collateral is $11,288. |
| (b) | Represents less than 0.05% of net assets. |
| (c) | The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase. |
| As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows: |
| |
| Aggregate gross unrealized appreciation | | $ | 770,440 | |
| Aggregate gross unrealized depreciation | | | (790,637 | ) |
| Net unrealized depreciation | | $ | (20,197 | ) |
| Federal income tax cost | | $ | 8,287,601 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Health Care ETF Schedule of Portfolio Investments May 31, 2022 |
| Investments | | Shares | | | Value ($) | |
| COMMON STOCKS - 99.8% | | | | | | | | |
| | | | | | | | |
| Aerospace & Defense - 1.9% | | | | | | | | |
| Boeing Co. (The)* | | | 71 | | | | 9,329 | |
| General Dynamics Corp. | | | 30 | | | | 6,747 | |
| Howmet Aerospace, Inc. | | | 49 | | | | 1,753 | |
| Huntington Ingalls Industries, Inc. | | | 5 | | | | 1,052 | |
| L3Harris Technologies, Inc. | | | 25 | | | | 6,023 | |
| Lockheed Martin Corp. | | | 31 | | | | 13,643 | |
| Northrop Grumman Corp. | | | 19 | | | | 8,892 | |
| Raytheon Technologies Corp. | | | 192 | | | | 18,263 | |
| Textron, Inc. | | | 29 | | | | 1,893 | |
| TransDigm Group, Inc.* | | | 7 | | | | 4,238 | |
| | | | | | | 71,833 | |
| Air Freight & Logistics - 0.7% | | | | | | | | |
| CH Robinson Worldwide, Inc. | | | 17 | | | | 1,845 | |
| Expeditors International of Washington, Inc. | | | 22 | | | | 2,394 | |
| FedEx Corp. | | | 31 | | | | 6,962 | |
| United Parcel Service, Inc., Class B | | | 94 | | | | 17,132 | |
| | | | | | | 28,333 | |
| Airlines - 0.3% | | | | | | | | |
| Alaska Air Group, Inc.* | | | 16 | | | | 772 | |
| American Airlines Group, Inc.* | | | 83 | | | | 1,483 | |
| Delta Air Lines, Inc.* | | | 82 | | | | 3,419 | |
| Southwest Airlines Co.* | | | 76 | | | | 3,485 | |
| United Airlines Holdings, Inc.* | | | 42 | | | | 2,001 | |
| | | | | | | 11,160 | |
| Auto Components - 0.1% | | | | | | | | |
| Aptiv plc* | | | 35 | | | | 3,718 | |
| BorgWarner, Inc. | | | 31 | | | | 1,250 | |
| | | | | | | 4,968 | |
| Automobiles - 2.5% | | | | | | | | |
| Ford Motor Co. | | | 508 | | | | 6,949 | |
| General Motors Co.* | | | 188 | | | | 7,272 | |
| Tesla, Inc.* | | | 108 | | | | 81,892 | |
| | | | | | | 96,113 | |
| Banks - 4.6% | | | | | | | | |
| Bank of America Corp. | | | 916 | | | | 34,075 | |
| Citigroup, Inc. | | | 257 | | | | 13,726 | |
| Citizens Financial Group, Inc. | | | 55 | | | | 2,276 | |
| Comerica, Inc. | | | 17 | | | | 1,415 | |
| Fifth Third Bancorp | | | 88 | | | | 3,470 | |
| First Republic Bank | | | 23 | | | | 3,566 | |
| Huntington Bancshares, Inc. | | | 185 | | | | 2,568 | |
| JPMorgan Chase & Co. | | | 382 | | | | 50,512 | |
| KeyCorp | | | 120 | | | | 2,395 | |
| M&T Bank Corp. | | | 23 | | | | 4,139 | |
| PNC Financial Services Group, Inc. (The) | | | 54 | | | | 9,472 | |
| Regions Financial Corp. | | | 121 | | | | 2,673 | |
| Signature Bank | | | 8 | | | | 1,730 | |
| SVB Financial Group* | | | 8 | | | | 3,908 | |
| Truist Financial Corp. | | | 173 | | | | 8,605 | |
| US Bancorp | | | 175 | | | | 9,287 | |
| Wells Fargo & Co. | | | 501 | | | | 22,931 | |
| Zions Bancorp NA | | | 21 | | | | 1,198 | |
| | | | | | | 177,946 | |
| Beverages - 1.9% | | | | | | | | |
| Brown-Forman Corp., Class B | | | 24 | | | | 1,587 | |
| Coca-Cola Co. (The) | | | 502 | | | | 31,817 | |
| Constellation Brands, Inc., Class A | | | 21 | | | | 5,155 | |
| Molson Coors Beverage Co., Class B | | | 24 | | | | 1,340 | |
| Monster Beverage Corp.* | | | 48 | | | | 4,278 | |
| PepsiCo, Inc. | | | 178 | | | | 29,859 | |
| | | | | | | 74,036 | |
| Building Products - 0.5% | | | | | | | | |
| A O Smith Corp. | | | 18 | | | | 1,082 | |
| Allegion plc | | | 12 | | | | 1,340 | |
| Carrier Global Corp. | | | 110 | | | | 4,324 | |
| Fortune Brands Home & Security, Inc. | | | 17 | | | | 1,179 | |
| Johnson Controls International plc | | | 90 | | | | 4,906 | |
| Masco Corp. | | | 31 | | | | 1,757 | |
| Trane Technologies plc | | | 30 | | | | 4,142 | |
| | | | | | | 18,730 | |
| Capital Markets - 3.4% | | | | | | | | |
| Ameriprise Financial, Inc. | | | 14 | | | | 3,868 | |
| Bank of New York Mellon Corp. (The) | | | 95 | | | | 4,428 | |
| BlackRock, Inc. | | | 18 | | | | 12,043 | |
| Cboe Global Markets, Inc. | | | 14 | | | | 1,572 | |
| Charles Schwab Corp. (The) | | | 194 | | | | 13,599 | |
| CME Group, Inc. | | | 46 | | | | 9,146 | |
| FactSet Research Systems, Inc. | | | 5 | | | | 1,909 | |
| Franklin Resources, Inc. | | | 36 | | | | 975 | |
| Goldman Sachs Group, Inc. (The) | | | 44 | | | | 14,381 | |
| Intercontinental Exchange, Inc. | | | 72 | | | | 7,372 | |
| Invesco Ltd. | | | 44 | | | | 851 | |
| MarketAxess Holdings, Inc. | | | 5 | | | | 1,408 | |
| Moody's Corp. | | | 21 | | | | 6,333 | |
| Morgan Stanley | | | 183 | | | | 15,764 | |
| MSCI, Inc. | | | 10 | | | | 4,424 | |
| Nasdaq, Inc. | | | 15 | | | | 2,329 | |
| Northern Trust Corp. | | | 27 | | | | 3,017 | |
| Raymond James Financial, Inc. | | | 24 | | | | 2,364 | |
| S&P Global, Inc. | | | 47 | | | | 16,426 | |
| State Street Corp. | | | 48 | | | | 3,480 | |
| T. Rowe Price Group, Inc. | | | 30 | | | | 3,813 | |
| | | | | | | 129,502 | |
| Chemicals - 2.3% | | | | | | | | |
| Air Products and Chemicals, Inc. | | | 29 | | | | 7,139 | |
| Albemarle Corp. | | | 15 | | | | 3,906 | |
| Celanese Corp. | | | 14 | | | | 2,191 | |
| CF Industries Holdings, Inc. | | | 28 | | | | 2,766 | |
| Corteva, Inc. | | | 94 | | | | 5,886 | |
| Dow, Inc. | | | 95 | | | | 6,458 | |
| DuPont de Nemours, Inc. | | | 67 | | | | 4,546 | |
| Eastman Chemical Co. | | | 17 | | | | 1,873 | |
| Ecolab, Inc. | | | 32 | | | | 5,245 | |
| FMC Corp. | | | 16 | | | | 1,961 | |
| International Flavors & Fragrances, Inc. | | | 33 | | | | 4,362 | |
| Linde plc | | | 66 | | | | 21,429 | |
| LyondellBasell Industries NV, Class A | | | 34 | | | | 3,885 | |
| Mosaic Co. (The) | | | 48 | | | | 3,007 | |
| PPG Industries, Inc. | | | 31 | | | | 3,921 | |
| Sherwin-Williams Co. (The) | | | 31 | | | | 8,309 | |
| | | | | | | 86,884 | |
| Commercial Services & Supplies - 0.5% | | | | | | | | |
| Cintas Corp. | | | 11 | | | | 4,382 | |
| Copart, Inc.* | | | 27 | | | | 3,092 | |
| Republic Services, Inc. | | | 27 | | | | 3,614 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Health Care ETF Schedule of Portfolio Investments May 31, 2022 |
| Investments | | Shares | | | Value ($) | |
| Rollins, Inc. | | | 29 | | | | 1,028 | |
| Waste Management, Inc. | | | 50 | | | | 7,925 | |
| | | | | | | 20,041 | |
| Communications Equipment - 0.9% | | | | | | | | |
| Arista Networks, Inc.* | | | 29 | | | | 2,966 | |
| Cisco Systems, Inc. | | | 544 | | | | 24,507 | |
| F5, Inc.* | | | 8 | | | | 1,305 | |
| Juniper Networks, Inc. | | | 42 | | | | 1,289 | |
| Motorola Solutions, Inc. | | | 22 | | | | 4,834 | |
| | | | | | | 34,901 | |
| Construction & Engineering - 0.1% | | | | | | | | |
| Quanta Services, Inc. | | | 18 | | | | 2,142 | |
| | | | | | | | |
| Construction Materials - 0.1% | | | | | | | | |
| Martin Marietta Materials, Inc. | | | 8 | | | | 2,715 | |
| Vulcan Materials Co. | | | 17 | | | | 2,803 | |
| | | | | | | 5,518 | |
| Consumer Finance - 0.7% | | | | | | | | |
| American Express Co. | | | 79 | | | | 13,337 | |
| Capital One Financial Corp. | | | 53 | | | | 6,776 | |
| Discover Financial Services | | | 37 | | | | 4,199 | |
| Synchrony Financial | | | 67 | | | | 2,482 | |
| | | | | | | 26,794 | |
| Containers & Packaging - 0.4% | | | | | | | | |
| Amcor plc | | | 195 | | | | 2,555 | |
| Avery Dennison Corp. | | | 11 | | | | 1,898 | |
| Ball Corp. | | | 43 | | | | 3,048 | |
| International Paper Co. | | | 50 | | | | 2,422 | |
| Packaging Corp. of America | | | 12 | | | | 1,887 | |
| Sealed Air Corp. | | | 20 | | | | 1,244 | |
| WestRock Co. | | | 34 | | | | 1,649 | |
| | | | | | | 14,703 | |
| Distributors - 0.2% | | | | | | | | |
| Genuine Parts Co. | | | 18 | | | | 2,461 | |
| LKQ Corp. | | | 35 | | | | 1,799 | |
| Pool Corp. | | | 5 | | | | 1,993 | |
| | | | | | | 6,253 | |
| Diversified Financial Services - 1.9% | | | | | | | | |
| Berkshire Hathaway, Inc., Class B* | | | 236 | | | | 74,571 | |
| | | | | | | | |
| Diversified Telecommunication Services - 1.3% | | | | | | | | |
| AT&T, Inc. | | | 921 | | | | 19,608 | |
| Lumen Technologies, Inc. | | | 119 | | | | 1,457 | |
| Verizon Communications, Inc. | | | 542 | | | | 27,799 | |
| | | | | | | 48,864 | |
| Electric Utilities - 2.2% | | | | | | | | |
| Alliant Energy Corp. | | | 32 | | | | 2,042 | |
| American Electric Power Co., Inc. | | | 65 | | | | 6,632 | |
| Constellation Energy Corp. | | | 42 | | | | 2,607 | |
| Duke Energy Corp. | | | 99 | | | | 11,140 | |
| Edison International | | | 49 | | | | 3,426 | |
| Entergy Corp. | | | 26 | | | | 3,128 | |
| Evergy, Inc. | | | 30 | | | | 2,098 | |
| Eversource Energy | | | 44 | | | | 4,062 | |
| Exelon Corp. | | | 126 | | | | 6,193 | |
| FirstEnergy Corp. | | | 73 | | | | 3,136 | |
| NextEra Energy, Inc. | | | 253 | | | | 19,150 | |
| NRG Energy, Inc. | | | 32 | | | | 1,473 | |
| Pinnacle West Capital Corp. | | | 15 | | | | 1,165 | |
| PPL Corp. | | | 97 | | | | 2,927 | |
| Southern Co. (The) | | | 136 | | | | 10,290 | |
| Xcel Energy, Inc. | | | 69 | | | | 5,199 | |
| | | | | | | 84,668 | |
| Electrical Equipment - 0.6% | | | | | | | | |
| AMETEK, Inc. | | | 30 | | | | 3,644 | |
| Eaton Corp. plc | | | 51 | | | | 7,068 | |
| Emerson Electric Co. | | | 77 | | | | 6,827 | |
| Generac Holdings, Inc.* | | | 8 | | | | 1,977 | |
| Rockwell Automation, Inc. | | | 15 | | | | 3,198 | |
| | | | | | | 22,714 | |
| Electronic Equipment, Instruments & Components - 0.7% | | | | | | | | |
| Amphenol Corp., Class A | | | 77 | | | | 5,456 | |
| CDW Corp. | | | 17 | | | | 2,888 | |
| Corning, Inc. | | | 96 | | | | 3,439 | |
| IPG Photonics Corp.* | | | 5 | | | | 528 | |
| Keysight Technologies, Inc.* | | | 24 | | | | 3,494 | |
| TE Connectivity Ltd. | | | 42 | | | | 5,434 | |
| Teledyne Technologies, Inc.* | | | 6 | | | | 2,431 | |
| Trimble, Inc.* | | | 33 | | | | 2,246 | |
| Zebra Technologies Corp., Class A* | | | 7 | | | | 2,367 | |
| | | | | | | 28,283 | |
| Energy Equipment & Services - 0.4% | | | | | | | | |
| Baker Hughes Co. | | | 117 | | | | 4,209 | |
| Halliburton Co. | | | 116 | | | | 4,698 | |
| Schlumberger NV | | | 181 | | | | 8,319 | |
| | | | | | | 17,226 | |
| Entertainment - 1.5% | | | | | | | | |
| Activision Blizzard, Inc. | | | 100 | | | | 7,788 | |
| Electronic Arts, Inc. | | | 36 | | | | 4,991 | |
| Live Nation Entertainment, Inc.* | | | 17 | | | | 1,616 | |
| Netflix, Inc.* | | | 57 | | | | 11,254 | |
| Take-Two Interactive Software, Inc.* | | | 20 | | | | 2,491 | |
| Walt Disney Co. (The)* | | | 234 | | | | 25,843 | |
| Warner Bros Discovery, Inc.* | | | 282 | | | | 5,203 | |
| | | | | | | 59,186 | |
| Equity Real Estate Investment Trusts (REITs) - 3.1% | | | | | | | | |
| Alexandria Real Estate Equities, Inc. | | | 19 | | | | 3,153 | |
| American Tower Corp. | | | 59 | | | | 15,112 | |
| AvalonBay Communities, Inc. | | | 18 | | | | 3,743 | |
| Boston Properties, Inc. | | | 18 | | | | 2,001 | |
| Camden Property Trust | | | 13 | | | | 1,865 | |
| Crown Castle International Corp. | | | 56 | | | | 10,620 | |
| Digital Realty Trust, Inc. | | | 37 | | | | 5,165 | |
| Duke Realty Corp. | | | 49 | | | | 2,589 | |
| Equinix, Inc. | | | 12 | | | | 8,245 | |
| Equity Residential | | | 45 | | | | 3,457 | |
| Essex Property Trust, Inc. | | | 8 | | | | 2,271 | |
| Extra Space Storage, Inc. | | | 17 | | | | 3,029 | |
| Federal Realty Investment Trust | | | 9 | | | | 1,035 | |
| Healthpeak Properties, Inc. | | | 69 | | | | 2,049 | |
| Host Hotels & Resorts, Inc. | | | 92 | | | | 1,839 | |
| Iron Mountain, Inc. | | | 37 | | | | 1,994 | |
| Kimco Realty Corp. | | | 79 | | | | 1,868 | |
| Mid-America Apartment Communities, Inc. | | | 15 | | | | 2,715 | |
| Prologis, Inc. | | | 95 | | | | 12,111 | |
| Public Storage | | | 20 | | | | 6,613 | |
| Realty Income Corp. | | | 73 | | | | 4,980 | |
| Regency Centers Corp. | | | 21 | | | | 1,433 | |
| SBA Communications Corp. | | | 14 | | | | 4,713 | |
| Simon Property Group, Inc. | | | 42 | | | | 4,815 | |
| UDR, Inc. | | | 39 | | | | 1,864 | |
| Ventas, Inc. | | | 51 | | | | 2,894 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Health Care ETF Schedule of Portfolio Investments May 31, 2022 |
| Investments | | Shares | | | Value ($) | |
| Vornado Realty Trust | | | 20 | | | | 699 | |
| Welltower, Inc. | | | 56 | | | | 4,989 | |
| Weyerhaeuser Co. | | | 96 | | | | 3,794 | |
| | | | | | | 121,655 | |
| Food & Staples Retailing - 1.7% | | | | | | | | |
| Costco Wholesale Corp. | | | 57 | | | | 26,575 | |
| Kroger Co. (The) | | | 86 | | | | 4,555 | |
| Sysco Corp. | | | 66 | | | | 5,556 | |
| Walgreens Boots Alliance, Inc. | | | 92 | | | | 4,032 | |
| Walmart, Inc. | | | 182 | | | | 23,411 | |
| | | | | | | 64,129 | |
| Food Products - 1.2% | | | | | | | | |
| Archer-Daniels-Midland Co. | | | 73 | | | | 6,630 | |
| Campbell Soup Co. | | | 26 | | | | 1,246 | |
| Conagra Brands, Inc. | | | 62 | | | | 2,039 | |
| General Mills, Inc. | | | 78 | | | | 5,448 | |
| Hershey Co. (The) | | | 19 | | | | 4,023 | |
| Hormel Foods Corp. | | | 36 | | | | 1,752 | |
| J M Smucker Co. (The) | | | 14 | | | | 1,755 | |
| Kellogg Co. | | | 33 | | | | 2,301 | |
| Kraft Heinz Co. (The) | | | 91 | | | | 3,443 | |
| Lamb Weston Holdings, Inc. | | | 19 | | | | 1,284 | |
| McCormick & Co., Inc. (Non-Voting) | | | 32 | | | | 2,967 | |
| Mondelez International, Inc., Class A | | | 179 | | | | 11,377 | |
| Tyson Foods, Inc., Class A | | | 38 | | | | 3,405 | |
| | | | | | | 47,670 | |
| Gas Utilities - 0.1% | | | | | | | | |
| Atmos Energy Corp. | | | 17 | | | | 1,977 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure - 2.2% | | | | | | | | |
| Booking Holdings, Inc.* | | | 5 | | | | 11,218 | |
| Caesars Entertainment, Inc.* | | | 29 | | | | 1,455 | |
| Carnival Corp.* | | | 104 | | | | 1,444 | |
| Chipotle Mexican Grill, Inc.* | | | 4 | | | | 5,610 | |
| Darden Restaurants, Inc. | | | 16 | | | | 2,000 | |
| Domino's Pizza, Inc. | | | 5 | | | | 1,816 | |
| Expedia Group, Inc.* | | | 19 | | | | 2,457 | |
| Hilton Worldwide Holdings, Inc. | | | 36 | | | | 5,071 | |
| Las Vegas Sands Corp.* | | | 44 | | | | 1,560 | |
| Marriott International, Inc., Class A | | | 35 | | | | 6,005 | |
| McDonald's Corp. | | | 96 | | | | 24,212 | |
| MGM Resorts International | | | 49 | | | | 1,714 | |
| Norwegian Cruise Line Holdings Ltd.*(a) | | | 54 | | | | 865 | |
| Penn National Gaming, Inc.* | | | 21 | | | | 671 | |
| Royal Caribbean Cruises Ltd.* | | | 30 | | | | 1,742 | |
| Starbucks Corp. | | | 148 | | | | 11,618 | |
| Wynn Resorts Ltd.* | | | 15 | | | | 991 | |
| Yum! Brands, Inc. | | | 37 | | | | 4,494 | |
| | | | | | | 84,943 | |
| Household Durables - 0.3% | | | | | | | | |
| DR Horton, Inc. | | | 43 | | | | 3,231 | |
| Garmin Ltd. | | | 20 | | | | 2,112 | |
| Lennar Corp., Class A | | | 34 | | | | 2,729 | |
| Mohawk Industries, Inc.* | | | 7 | | | | 990 | |
| Newell Brands, Inc. | | | 49 | | | | 1,051 | |
| PulteGroup, Inc. | | | 32 | | | | 1,448 | |
| Whirlpool Corp. | | | 8 | | | | 1,474 | |
| | | | | | | 13,035 | |
| Household Products - 1.7% | | | | | | | | |
| Church & Dwight Co., Inc. | | | 31 | | | | 2,792 | |
| Clorox Co. (The) | | | 16 | | | | 2,326 | |
| Colgate-Palmolive Co. | | | 109 | | | | 8,590 | |
| Kimberly-Clark Corp. | | | 43 | | | | 5,720 | |
| Procter & Gamble Co. (The) | | | 309 | | | | 45,695 | |
| | | | | | | 65,123 | |
| Independent Power and Renewable Electricity Producers - 0.1% | | | | | | | | |
| AES Corp. (The) | | | 86 | | | | 1,895 | |
| | | | | | | | |
| Industrial Conglomerates - 1.0% | | | | | | | | |
| 3M Co. | | | 74 | | | | 11,047 | |
| General Electric Co. | | | 142 | | | | 11,117 | |
| Honeywell International, Inc. | | | 88 | | | | 17,039 | |
| | | | | | | 39,203 | |
| Insurance - 2.5% | | | | | | | | |
| Aflac, Inc. | | | 77 | | | | 4,664 | |
| Allstate Corp. (The) | | | 36 | | | | 4,921 | |
| American International Group, Inc. | | | 107 | | | | 6,279 | |
| Aon plc, Class A | | | 28 | | | | 7,719 | |
| Arthur J Gallagher & Co. | | | 27 | | | | 4,372 | |
| Assurant, Inc. | | | 7 | | | | 1,237 | |
| Brown & Brown, Inc. | | | 31 | | | | 1,840 | |
| Chubb Ltd. | | | 55 | | | | 11,621 | |
| Cincinnati Financial Corp. | | | 19 | | | | 2,429 | |
| Everest Re Group Ltd. | | | 5 | | | | 1,413 | |
| Globe Life, Inc. | | | 12 | | | | 1,171 | |
| Hartford Financial Services Group, Inc. (The) | | | 44 | | | | 3,190 | |
| Lincoln National Corp. | | | 21 | | | | 1,217 | |
| Loews Corp. | | | 25 | | | | 1,637 | |
| Marsh & McLennan Cos., Inc. | | | 65 | | | | 10,397 | |
| MetLife, Inc. | | | 90 | | | | 6,065 | |
| Principal Financial Group, Inc. | | | 32 | | | | 2,334 | |
| Progressive Corp. (The) | | | 75 | | | | 8,953 | |
| Prudential Financial, Inc. | | | 49 | | | | 5,206 | |
| Travelers Cos., Inc. (The) | | | 31 | | | | 5,550 | |
| W R Berkley Corp. | | | 28 | | | | 1,992 | |
| Willis Towers Watson plc | | | 16 | | | | 3,377 | |
| | | | | | | 97,584 | |
| Interactive Media & Services - 6.1% | | | | | | | | |
| Alphabet, Inc., Class A* | | | 39 | | | | 88,734 | |
| Alphabet, Inc., Class C* | | | 36 | | | | 82,108 | |
| Match Group, Inc.* | | | 37 | | | | 2,915 | |
| Meta Platforms, Inc., Class A* | | | 297 | | | | 57,511 | |
| Twitter, Inc.* | | | 103 | | | | 4,079 | |
| | | | | | | 235,347 | |
| Internet & Direct Marketing Retail - 3.6% | | | | | | | | |
| Amazon.com, Inc.* | | | 56 | | | | 134,635 | |
| eBay, Inc. | | | 81 | | | | 3,942 | |
| Etsy, Inc.* | | | 16 | | | | 1,298 | |
| | | | | | | 139,875 | |
| IT Services - 5.1% | | | | | | | | |
| Accenture plc, Class A | | | 81 | | | | 24,175 | |
| Akamai Technologies, Inc.* | | | 21 | | | | 2,122 | |
| Automatic Data Processing, Inc. | | | 54 | | | | 12,039 | |
| Broadridge Financial Solutions, Inc. | | | 15 | | | | 2,193 | |
| Cognizant Technology Solutions Corp., Class A | | | 69 | | | | 5,154 | |
| DXC Technology Co.* | | | 31 | | | | 1,092 | |
| EPAM Systems, Inc.* | | | 7 | | | | 2,370 | |
| Fidelity National Information Services, Inc. | | | 79 | | | | 8,255 | |
| Fiserv, Inc.* | | | 78 | | | | 7,814 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Health Care ETF Schedule of Portfolio Investments May 31, 2022 |
| Investments | | Shares | | | Value ($) | |
| FleetCor Technologies, Inc.* | | | 10 | | | | 2,488 | |
| Gartner, Inc.* | | | 11 | | | | 2,886 | |
| Global Payments, Inc. | | | 37 | | | | 4,848 | |
| International Business Machines Corp. | | | 115 | | | | 15,967 | |
| Jack Henry & Associates, Inc. | | | 9 | | | | 1,693 | |
| Mastercard, Inc., Class A | | | 111 | | | | 39,724 | |
| Paychex, Inc. | | | 41 | | | | 5,077 | |
| PayPal Holdings, Inc.* | | | 151 | | | | 12,867 | |
| VeriSign, Inc.* | | | 12 | | | | 2,095 | |
| Visa, Inc., Class A | | | 214 | | | | 45,404 | |
| | | | | | | 198,263 | |
| Leisure Products - 0.0%(b) | | | | | | | | |
| Hasbro, Inc. | | | 17 | | | | 1,526 | |
| | | | | | | | |
| Machinery - 1.9% | | | | | | | | |
| Caterpillar, Inc. | | | 70 | | | | 15,110 | |
| Cummins, Inc. | | | 18 | | | | 3,764 | |
| Deere & Co. | | | 36 | | | | 12,880 | |
| Dover Corp. | | | 19 | | | | 2,544 | |
| Fortive Corp. | | | 46 | | | | 2,841 | |
| IDEX Corp. | | | 10 | | | | 1,916 | |
| Illinois Tool Works, Inc. | | | 37 | | | | 7,699 | |
| Ingersoll Rand, Inc. | | | 52 | | | | 2,452 | |
| Nordson Corp. | | | 7 | | | | 1,525 | |
| Otis Worldwide Corp. | | | 56 | | | | 4,166 | |
| PACCAR, Inc. | | | 45 | | | | 3,908 | |
| Parker-Hannifin Corp. | | | 17 | | | | 4,627 | |
| Pentair plc | | | 21 | | | | 1,054 | |
| Snap-on, Inc. | | | 7 | | | | 1,553 | |
| Stanley Black & Decker, Inc. | | | 21 | | | | 2,492 | |
| Westinghouse Air Brake Technologies Corp. | | | 24 | | | | 2,267 | |
| Xylem, Inc. | | | 23 | | | | 1,938 | |
| | | | | | | 72,736 | |
| Media - 1.1% | | | | | | | | |
| Charter Communications, Inc., Class A* | | | 15 | | | | 7,604 | |
| Comcast Corp., Class A | | | 584 | | | | 25,859 | |
| DISH Network Corp., Class A*(a) | | | 32 | | | | 731 | |
| Fox Corp., Class A | | | 41 | | | | 1,456 | |
| Fox Corp., Class B | | | 19 | | | | 621 | |
| Interpublic Group of Cos., Inc. (The) | | | 51 | | | | 1,644 | |
| News Corp., Class A | | | 50 | | | | 870 | |
| News Corp., Class B | | | 17 | | | | 299 | |
| Omnicom Group, Inc. | | | 27 | | | | 2,014 | |
| Paramount Global, Class B | | | 78 | | | | 2,678 | |
| | | | | | | 43,776 | |
| Metals & Mining - 0.5% | | | | | | | | |
| Freeport-McMoRan, Inc. | | | 190 | | | | 7,425 | |
| Newmont Corp. | | | 103 | | | | 6,989 | |
| Nucor Corp. | | | 35 | | | | 4,636 | |
| | | | | | | 19,050 | |
| Multiline Retail - 0.6% | | | | | | | | |
| Dollar General Corp. | | | 30 | | | | 6,610 | |
| Dollar Tree, Inc.* | | | 29 | | | | 4,650 | |
| Target Corp. | | | 62 | | | | 10,036 | |
| | | | | | | 21,296 | |
| Multi-Utilities - 1.1% | | | | | | | | |
| Ameren Corp. | | | 33 | | | | 3,141 | |
| CenterPoint Energy, Inc. | | | 81 | | | | 2,596 | |
| CMS Energy Corp. | | | 37 | | | | 2,629 | |
| Consolidated Edison, Inc. | | | 46 | | | | 4,566 | |
| Dominion Energy, Inc. | | | 104 | | | | 8,759 | |
| DTE Energy Co. | | | 25 | | | | 3,318 | |
| NiSource, Inc. | | | 51 | | | | 1,604 | |
| Public Service Enterprise Group, Inc. | | | 65 | | | | 4,455 | |
| Sempra Energy | | | 41 | | | | 6,718 | |
| WEC Energy Group, Inc. | | | 41 | | | | 4,308 | |
| | | | | | | 42,094 | |
| Oil, Gas & Consumable Fuels - 5.1% | | | | | | | | |
| APA Corp. | | | 47 | | | | 2,209 | |
| Chevron Corp. | | | 248 | | | | 43,316 | |
| ConocoPhillips | | | 168 | | | | 18,877 | |
| Coterra Energy, Inc.(a) | | | 105 | | | | 3,605 | |
| Devon Energy Corp. | | | 81 | | | | 6,067 | |
| Diamondback Energy, Inc. | | | 22 | | | | 3,344 | |
| EOG Resources, Inc. | | | 75 | | | | 10,272 | |
| Exxon Mobil Corp. | | | 545 | | | | 52,320 | |
| Hess Corp. | | | 36 | | | | 4,431 | |
| Kinder Morgan, Inc. | | | 251 | | | | 4,942 | |
| Marathon Oil Corp. | | | 100 | | | | 3,143 | |
| Marathon Petroleum Corp. | | | 76 | | | | 7,736 | |
| Occidental Petroleum Corp. | | | 114 | | | | 7,901 | |
| ONEOK, Inc. | | | 57 | | | | 3,753 | |
| Phillips 66 | | | 60 | | | | 6,049 | |
| Pioneer Natural Resources Co. | | | 29 | | | | 8,060 | |
| Valero Energy Corp. | | | 53 | | | | 6,869 | |
| Williams Cos., Inc. (The) | | | 157 | | | | 5,818 | |
| | | | | | | 198,712 | |
| Personal Products - 0.2% | | | | | | | | |
| Estee Lauder Cos., Inc. (The), Class A | | | 30 | | | | 7,640 | |
| | | | | | | | |
| Professional Services - 0.4% | | | | | | | | |
| Equifax, Inc. | | | 16 | | | | 3,241 | |
| Jacobs Engineering Group, Inc. | | | 17 | | | | 2,382 | |
| Leidos Holdings, Inc. | | | 18 | | | | 1,881 | |
| Nielsen Holdings plc | | | 46 | | | | 1,176 | |
| Robert Half International, Inc. | | | 14 | | | | 1,262 | |
| Verisk Analytics, Inc. | | | 21 | | | | 3,673 | |
| | | | | | | 13,615 | |
| Real Estate Management & Development - 0.1% | | | | | | | | |
| CBRE Group, Inc., Class A* | | | 43 | | | | 3,562 | |
| | | | | | | | |
| Road & Rail - 1.0% | | | | | | | | |
| CSX Corp. | | | 286 | | | | 9,092 | |
| JB Hunt Transport Services, Inc. | | | 11 | | | | 1,898 | |
| Norfolk Southern Corp. | | | 31 | | | | 7,430 | |
| Old Dominion Freight Line, Inc. | | | 12 | | | | 3,099 | |
| Union Pacific Corp. | | | 82 | | | | 18,022 | |
| | | | | | | 39,541 | |
| Semiconductors & Semiconductor Equipment - 6.6% | | | | | | | | |
| Advanced Micro Devices, Inc.* | | | 211 | | | | 21,492 | |
| Analog Devices, Inc. | | | 68 | | | | 11,451 | |
| Applied Materials, Inc. | | | 115 | | | | 13,488 | |
| Broadcom, Inc. | | | 53 | | | | 30,747 | |
| Enphase Energy, Inc.* | | | 17 | | | | 3,165 | |
| Intel Corp. | | | 525 | | | | 23,321 | |
| KLA Corp. | | | 19 | | | | 6,932 | |
| Lam Research Corp. | | | 18 | | | | 9,361 | |
| Microchip Technology, Inc. | | | 72 | | | | 5,231 | |
| Micron Technology, Inc. | | | 144 | | | | 10,633 | |
| Monolithic Power Systems, Inc. | | | 6 | | | | 2,702 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Health Care ETF Schedule of Portfolio Investments May 31, 2022 |
| Investments | | Shares | | | Value ($) | |
| NVIDIA Corp. | | | 322 | | | | 60,124 | |
| NXP Semiconductors NV | | | 34 | | | | 6,452 | |
| Qorvo, Inc.* | | | 14 | | | | 1,565 | |
| QUALCOMM, Inc. | | | 146 | | | | 20,910 | |
| Skyworks Solutions, Inc. | | | 21 | | | | 2,286 | |
| SolarEdge Technologies, Inc.* | | | 7 | | | | 1,910 | |
| Teradyne, Inc. | | | 21 | | | | 2,294 | |
| Texas Instruments, Inc. | | | 119 | | | | 21,034 | |
| | | | | | | 255,098 | |
| Software - 10.1% | | | | | | | | |
| Adobe, Inc.* | | | 61 | | | | 25,405 | |
| ANSYS, Inc.* | | | 11 | | | | 2,864 | |
| Autodesk, Inc.* | | | 28 | | | | 5,817 | |
| Cadence Design Systems, Inc.* | | | 36 | | | | 5,534 | |
| Ceridian HCM Holding, Inc.* | | | 19 | | | | 1,070 | |
| Citrix Systems, Inc. | | | 16 | | | | 1,611 | |
| Fortinet, Inc.* | | | 17 | | | | 5,000 | |
| Intuit, Inc. | | | 36 | | | | 14,921 | |
| Microsoft Corp. | | | 967 | | | | 262,898 | |
| NortonLifeLock, Inc. | | | 75 | | | | 1,826 | |
| Oracle Corp. | | | 203 | | | | 14,600 | |
| Paycom Software, Inc.* | | | 6 | | | | 1,706 | |
| PTC, Inc.* | | | 14 | | | | 1,631 | |
| Roper Technologies, Inc. | | | 14 | | | | 6,194 | |
| Salesforce, Inc.* | | | 128 | | | | 20,511 | |
| ServiceNow, Inc.* | | | 26 | | | | 12,154 | |
| Synopsys, Inc.* | | | 20 | | | | 6,384 | |
| Tyler Technologies, Inc.* | | | 5 | | | | 1,779 | |
| | | | | | | 391,905 | |
| Specialty Retail - 2.5% | | | | | | | | |
| Advance Auto Parts, Inc. | | | 8 | | | | 1,519 | |
| AutoZone, Inc.* | | | 3 | | | | 6,179 | |
| Bath & Body Works, Inc. | | | 33 | | | | 1,354 | |
| Best Buy Co., Inc. | | | 28 | | | | 2,298 | |
| CarMax, Inc.* | | | 21 | | | | 2,085 | |
| Home Depot, Inc. (The) | | | 135 | | | | 40,871 | |
| Lowe's Cos., Inc. | | | 87 | | | | 16,991 | |
| O'Reilly Automotive, Inc.* | | | 9 | | | | 5,734 | |
| Ross Stores, Inc. | | | 46 | | | | 3,911 | |
| TJX Cos., Inc. (The) | | | 154 | | | | 9,790 | |
| Tractor Supply Co. | | | 15 | | | | 2,810 | |
| Ulta Beauty, Inc.* | | | 7 | | | | 2,962 | |
| | | | | | | 96,504 | |
| Technology Hardware, Storage & Peripherals - 8.1% | | | | | | | | |
| Apple, Inc. | | | 1,998 | | | | 297,382 | |
| Hewlett Packard Enterprise Co. | | | 168 | | | | 2,621 | |
| HP, Inc. | | | 140 | | | | 5,438 | |
| NetApp, Inc. | | | 30 | | | | 2,158 | |
| Seagate Technology Holdings plc | | | 26 | | | | 2,201 | |
| Western Digital Corp.* | | | 40 | | | | 2,428 | |
| | | | | | | 312,228 | |
| Textiles, Apparel & Luxury Goods - 0.6% | | | | | | | | |
| NIKE, Inc., Class B | | | 165 | | | | 19,610 | |
| PVH Corp. | | | 10 | | | | 709 | |
| Ralph Lauren Corp. | | | 6 | | | | 607 | |
| Tapestry, Inc. | | | 34 | | | | 1,173 | |
| Under Armour, Inc., Class A* | | | 25 | | | | 264 | |
| Under Armour, Inc., Class C* | | | 28 | | | | 272 | |
| VF Corp. | | | 42 | | | | 2,119 | |
| | | | | | | 24,754 | |
| Tobacco - 0.9% | | | | | | | | |
| Altria Group, Inc. | | | 236 | | | | 12,765 | |
| Philip Morris International, Inc. | | | 200 | | | | 21,250 | |
| | | | | | | 34,015 | |
| Trading Companies & Distributors - 0.2% | | | | | | | | |
| Fastenal Co. | | | 74 | | | | 3,964 | |
| United Rentals, Inc.* | | | 9 | | | | 2,684 | |
| WW Grainger, Inc. | | | 6 | | | | 2,922 | |
| | | | | | | 9,570 | |
| Water Utilities - 0.1% | | | | | | | | |
| American Water Works Co., Inc. | | | 23 | | | | 3,479 | |
| | | | | | | | |
| Wireless Telecommunication Services - 0.3% | | | | | | | | |
| T-Mobile US, Inc.* | | | 76 | | | | 10,130 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $3,902,592) | | | | | | | 3,857,299 | |
| | | | | | | | |
| SECURITIES LENDING REINVESTMENTS(c) - 0.0%(b) | | | | | | | | |
| | | | | | | | |
| INVESTMENT COMPANIES - 0.0%(b) | | | | | | | | |
BlackRock Liquidity FedFund, Institutional Class 0.72%
(Cost $117) | | | 117 | | | | 117 | |
| Investments | | Principal
Amount ($) | | | Value ($) | |
| SHORT-TERM INVESTMENTS - 0.1% | | | | | | | | |
| | | | | | | | |
| REPURCHASE AGREEMENTS(d) - 0.1% | | | | | | | | |
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $2,274 (Cost $2,273) | | | 2,273 | | | | 2,273 | |
| | | | | | | | |
Total Investments - 99.9%
(Cost $3,904,982) | | | | | | | 3,859,689 | |
| Other assets less liabilities - 0.1% | | | | | | | 5,148 | |
| Net Assets - 100.0% | | | | | | | 3,864,837 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Health Care ETF Schedule of Portfolio Investments May 31, 2022 |
| * | Non-income producing security. |
| (a) | The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $5,127, collateralized in the form of cash with a value of $117 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $5,333 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% – 4.63%, and maturity dates ranging from June 30, 2022 – August 15, 2050. The total value of collateral is $5,450. |
| (b) | Represents less than 0.05% of net assets. |
| (c) | The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $117. |
| (d) | The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase. |
| As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows: |
| |
| Aggregate gross unrealized appreciation | | $ | 330,428 | |
| Aggregate gross unrealized depreciation | | | (391,587 | ) |
| Net unrealized depreciation | | $ | (61,159 | ) |
| Federal income tax cost | | $ | 3,920,848 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Technology ETF Schedule of Portfolio Investments May 31, 2022 |
| Investments | | Shares | | | Value ($) | |
| COMMON STOCKS - 99.8% | | | | | | | | |
| | | | | | | | |
| Aerospace & Defense - 2.2% | | | | | | | | |
| Boeing Co. (The)* | | | 200 | | | | 26,280 | |
| General Dynamics Corp. | | | 84 | | | | 18,892 | |
| Howmet Aerospace, Inc. | | | 139 | | | | 4,972 | |
| Huntington Ingalls Industries, Inc. | | | 15 | | | | 3,157 | |
| L3Harris Technologies, Inc. | | | 72 | | | | 17,345 | |
| Lockheed Martin Corp. | | | 89 | | | | 39,170 | |
| Northrop Grumman Corp. | | | 54 | | | | 25,270 | |
| Raytheon Technologies Corp. | | | 547 | | | | 52,031 | |
| Textron, Inc. | | | 82 | | | | 5,354 | |
| TransDigm Group, Inc.* | | | 19 | | | | 11,502 | |
| | | | | | | 203,973 | |
| Air Freight & Logistics - 0.9% | | | | | | | | |
| CH Robinson Worldwide, Inc. | | | 48 | | | | 5,208 | |
| Expeditors International of Washington, Inc. | | | 62 | | | | 6,748 | |
| FedEx Corp. | | | 89 | | | | 19,988 | |
| United Parcel Service, Inc., Class B | | | 267 | | | | 48,661 | |
| | | | | | | 80,605 | |
| Airlines - 0.3% | | | | | | | | |
| Alaska Air Group, Inc.* | | | 47 | | | | 2,268 | |
| American Airlines Group, Inc.* | | | 239 | | | | 4,271 | |
| Delta Air Lines, Inc.* | | | 235 | | | | 9,797 | |
| Southwest Airlines Co.* | | | 218 | | | | 9,998 | |
| United Airlines Holdings, Inc.* | | | 119 | | | | 5,668 | |
| | | | | | | 32,002 | |
| Auto Components - 0.2% | | | | | | | | |
| Aptiv plc* | | | 100 | | | | 10,624 | |
| BorgWarner, Inc. | | | 89 | | | | 3,588 | |
| | | | | | | 14,212 | |
| Automobiles - 2.9% | | | | | | | | |
| Ford Motor Co. | | | 1,441 | | | | 19,713 | |
| General Motors Co.* | | | 533 | | | | 20,616 | |
| Tesla, Inc.* | | | 306 | | | | 232,028 | |
| | | | | | | 272,357 | |
| Banks - 5.4% | | | | | | | | |
| Bank of America Corp. | | | 2,603 | | | | 96,832 | |
| Citigroup, Inc. | | | 727 | | | | 38,829 | |
| Citizens Financial Group, Inc. | | | 157 | | | | 6,497 | |
| Comerica, Inc. | | | 49 | | | | 4,077 | |
| Fifth Third Bancorp | | | 251 | | | | 9,897 | |
| First Republic Bank | | | 66 | | | | 10,232 | |
| Huntington Bancshares, Inc. | | | 528 | | | | 7,329 | |
| JPMorgan Chase & Co. | | | 1,082 | | | | 143,073 | |
| KeyCorp | | | 341 | | | | 6,806 | |
| M&T Bank Corp. | | | 65 | | | | 11,698 | |
| PNC Financial Services Group, Inc. (The) | | | 154 | | | | 27,013 | |
| Regions Financial Corp. | | | 346 | | | | 7,643 | |
| Signature Bank | | | 23 | | | | 4,974 | |
| SVB Financial Group* | | | 21 | | | | 10,260 | |
| Truist Financial Corp. | | | 489 | | | | 24,323 | |
| US Bancorp | | | 494 | | | | 26,217 | |
| Wells Fargo & Co. | | | 1,424 | | | | 65,176 | |
| Zions Bancorp NA | | | 56 | | | | 3,194 | |
| | | | | | | 504,070 | |
| Beverages - 2.3% | | | | | | | | |
| Brown-Forman Corp., Class B | | | 67 | | | | 4,430 | |
| Coca-Cola Co. (The) | | | 1,423 | | | | 90,190 | |
| Constellation Brands, Inc., Class A | | | 60 | | | | 14,728 | |
| Molson Coors Beverage Co., Class B | | | 70 | | | | 3,909 | |
| Monster Beverage Corp.* | | | 137 | | | | 12,209 | |
| PepsiCo, Inc. | | | 507 | | | | 85,049 | |
| | | | | | | 210,515 | |
| Biotechnology - 2.8% | | | | | | | | |
| AbbVie, Inc. | | | 647 | | | | 95,348 | |
| Amgen, Inc. | | | 206 | | | | 52,889 | |
| Biogen, Inc.* | | | 54 | | | | 10,800 | |
| Gilead Sciences, Inc. | | | 460 | | | | 29,831 | |
| Incyte Corp.* | | | 69 | | | | 5,236 | |
| Moderna, Inc.* | | | 128 | | | | 18,602 | |
| Regeneron Pharmaceuticals, Inc.* | | | 39 | | | | 25,925 | |
| Vertex Pharmaceuticals, Inc.* | | | 93 | | | | 24,985 | |
| | | | | | | 263,616 | |
| Building Products - 0.6% | | | | | | | | |
| A O Smith Corp. | | | 49 | | | | 2,946 | |
| Allegion plc | | | 33 | | | | 3,684 | |
| Carrier Global Corp. | | | 314 | | | | 12,343 | |
| Fortune Brands Home & Security, Inc. | | | 50 | | | | 3,468 | |
| Johnson Controls International plc | | | 258 | | | | 14,064 | |
| Masco Corp. | | | 89 | | | | 5,045 | |
| Trane Technologies plc | | | 85 | | | | 11,735 | |
| | | | | | | 53,285 | |
| Capital Markets - 3.9% | | | | | | | | |
| Ameriprise Financial, Inc. | | | 41 | | | | 11,327 | |
| Bank of New York Mellon Corp. (The) | | | 272 | | | | 12,678 | |
| BlackRock, Inc. | | | 52 | | | | 34,792 | |
| Cboe Global Markets, Inc. | | | 39 | | | | 4,380 | |
| Charles Schwab Corp. (The) | | | 551 | | | | 38,625 | |
| CME Group, Inc. | | | 130 | | | | 25,848 | |
| FactSet Research Systems, Inc. | | | 14 | | | | 5,345 | |
| Franklin Resources, Inc. | | | 104 | | | | 2,816 | |
| Goldman Sachs Group, Inc. (The) | | | 124 | | | | 40,529 | |
| Intercontinental Exchange, Inc. | | | 206 | | | | 21,092 | |
| Invesco Ltd. | | | 126 | | | | 2,437 | |
| MarketAxess Holdings, Inc. | | | 14 | | | | 3,944 | |
| Moody's Corp. | | | 59 | | | | 17,793 | |
| Morgan Stanley | | | 520 | | | | 44,793 | |
| MSCI, Inc. | | | 30 | | | | 13,271 | |
| Nasdaq, Inc. | | | 43 | | | | 6,676 | |
| Northern Trust Corp. | | | 76 | | | | 8,493 | |
| Raymond James Financial, Inc. | | | 68 | | | | 6,697 | |
| S&P Global, Inc. | | | 130 | | | | 45,432 | |
| State Street Corp. | | | 135 | | | | 9,786 | |
| T. Rowe Price Group, Inc. | | | 84 | | | | 10,676 | |
| | | | | | | 367,430 | |
| Chemicals - 2.6% | | | | | | | | |
| Air Products and Chemicals, Inc. | | | 81 | | | | 19,939 | |
| Albemarle Corp. | | | 43 | | | | 11,198 | |
| Celanese Corp. | | | 40 | | | | 6,261 | |
| CF Industries Holdings, Inc. | | | 78 | | | | 7,704 | |
| Corteva, Inc. | | | 267 | | | | 16,719 | |
| Dow, Inc. | | | 269 | | | | 18,287 | |
| DuPont de Nemours, Inc. | | | 189 | | | | 12,824 | |
| Eastman Chemical Co. | | | 47 | | | | 5,177 | |
| Ecolab, Inc. | | | 91 | | | | 14,916 | |
| FMC Corp. | | | 46 | | | | 5,639 | |
| International Flavors & Fragrances, Inc. | | | 93 | | | | 12,292 | |
| Linde plc | | | 187 | | | | 60,715 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Technology ETF Schedule of Portfolio Investments May 31, 2022 |
| Investments | | Shares | | | Value ($) | |
| LyondellBasell Industries NV, Class A | | | 95 | | | | 10,854 | |
| Mosaic Co. (The) | | | 136 | | | | 8,520 | |
| PPG Industries, Inc. | | | 87 | | | | 11,005 | |
| Sherwin-Williams Co. (The) | | | 88 | | | | 23,587 | |
| | | | | | | 245,637 | |
| Commercial Services & Supplies - 0.6% | | | | | | | | |
| Cintas Corp. | | | 32 | | | | 12,747 | |
| Copart, Inc.* | | | 78 | | | | 8,933 | |
| Republic Services, Inc. | | | 76 | | | | 10,172 | |
| Rollins, Inc. | | | 84 | | | | 2,979 | |
| Waste Management, Inc. | | | 140 | | | | 22,191 | |
| | | | | | | 57,022 | |
| Construction & Engineering - 0.1% | | | | | | | | |
| Quanta Services, Inc. | | | 52 | | | | 6,188 | |
| | | | | | | | |
| Construction Materials - 0.2% | | | | | | | | |
| Martin Marietta Materials, Inc. | | | 23 | | | | 7,806 | |
| Vulcan Materials Co. | | | 49 | | | | 8,078 | |
| | | | | | | 15,884 | |
| Consumer Finance - 0.8% | | | | | | | | |
| American Express Co. | | | 225 | | | | 37,984 | |
| Capital One Financial Corp. | | | 151 | | | | 19,307 | |
| Discover Financial Services | | | 104 | | | | 11,803 | |
| Synchrony Financial | | | 192 | | | | 7,112 | |
| | | | | | | 76,206 | |
| Containers & Packaging - 0.4% | | | | | | | | |
| Amcor plc | | | 556 | | | | 7,284 | |
| Avery Dennison Corp. | | | 30 | | | | 5,177 | |
| Ball Corp. | | | 118 | | | | 8,365 | |
| International Paper Co. | | | 142 | | | | 6,880 | |
| Packaging Corp. of America | | | 35 | | | | 5,505 | |
| Sealed Air Corp. | | | 55 | | | | 3,420 | |
| WestRock Co. | | | 97 | | | | 4,703 | |
| | | | | | | 41,334 | |
| Distributors - 0.2% | | | | | | | | |
| Genuine Parts Co. | | | 52 | | | | 7,110 | |
| LKQ Corp. | | | 99 | | | | 5,088 | |
| Pool Corp. | | | 15 | | | | 5,979 | |
| | | | | | | 18,177 | |
| Diversified Financial Services - 2.3% | | | | | | | | |
| Berkshire Hathaway, Inc., Class B* | | | 670 | | | | 211,707 | |
| | | | | | | | |
| Diversified Telecommunication Services - 1.5% | | | | | | | | |
| AT&T, Inc. | | | 2,615 | | | | 55,673 | |
| Lumen Technologies, Inc. | | | 337 | | | | 4,125 | |
| Verizon Communications, Inc. | | | 1,537 | | | | 78,833 | |
| | | | | | | 138,631 | |
| Electric Utilities - 2.6% | | | | | | | | |
| Alliant Energy Corp. | | | 93 | | | | 5,935 | |
| American Electric Power Co., Inc. | | | 184 | | | | 18,773 | |
| Constellation Energy Corp. | | | 120 | | | | 7,450 | |
| Duke Energy Corp. | | | 281 | | | | 31,618 | |
| Edison International | | | 140 | | | | 9,787 | |
| Entergy Corp. | | | 74 | | | | 8,904 | |
| Evergy, Inc. | | | 84 | | | | 5,875 | |
| Eversource Energy | | | 126 | | | | 11,632 | |
| Exelon Corp. | | | 359 | | | | 17,645 | |
| FirstEnergy Corp. | | | 210 | | | | 9,021 | |
| NextEra Energy, Inc. | | | 719 | | | | 54,421 | |
| NRG Energy, Inc. | | | 91 | | | | 4,190 | |
| Pinnacle West Capital Corp. | | | 41 | | | | 3,184 | |
| PPL Corp. | | | 276 | | | | 8,330 | |
| Southern Co. (The) | | | 389 | | | | 29,432 | |
| Xcel Energy, Inc. | | | 198 | | | | 14,917 | |
| | | | | | | 241,114 | |
| Electrical Equipment - 0.7% | | | | | | | | |
| AMETEK, Inc. | | | 85 | | | | 10,325 | |
| Eaton Corp. plc | | | 145 | | | | 20,097 | |
| Emerson Electric Co. | | | 217 | | | | 19,239 | |
| Generac Holdings, Inc.* | | | 23 | | | | 5,683 | |
| Rockwell Automation, Inc. | | | 43 | | | | 9,168 | |
| | | | | | | 64,512 | |
| Energy Equipment & Services - 0.5% | | | | | | | | |
| Baker Hughes Co. | | | 332 | | | | 11,945 | |
| Halliburton Co. | | | 330 | | | | 13,365 | |
| Schlumberger NV | | | 515 | | | | 23,670 | |
| | | | | | | 48,980 | |
| Entertainment - 1.8% | | | | | | | | |
| Activision Blizzard, Inc. | | | 286 | | | | 22,274 | |
| Electronic Arts, Inc. | | | 103 | | | | 14,281 | |
| Live Nation Entertainment, Inc.* | | | 49 | | | | 4,657 | |
| Netflix, Inc.* | | | 162 | | | | 31,985 | |
| Take-Two Interactive Software, Inc.* | | | 58 | | | | 7,223 | |
| Walt Disney Co. (The)* | | | 666 | | | | 73,553 | |
| Warner Bros Discovery, Inc.* | | | 806 | | | | 14,871 | |
| | | | | | | 168,844 | |
| Equity Real Estate Investment Trusts (REITs) - 3.7% | | | | | | | | |
| Alexandria Real Estate Equities, Inc. | | | 53 | | | | 8,795 | |
| American Tower Corp. | | | 167 | | | | 42,774 | |
| AvalonBay Communities, Inc. | | | 51 | | | | 10,606 | |
| Boston Properties, Inc. | | | 52 | | | | 5,781 | |
| Camden Property Trust | | | 37 | | | | 5,309 | |
| Crown Castle International Corp. | | | 158 | | | | 29,965 | |
| Digital Realty Trust, Inc. | | | 104 | | | | 14,517 | |
| Duke Realty Corp. | | | 140 | | | | 7,396 | |
| Equinix, Inc. | | | 33 | | | | 22,674 | |
| Equity Residential | | | 125 | | | | 9,604 | |
| Essex Property Trust, Inc. | | | 24 | | | | 6,812 | |
| Extra Space Storage, Inc. | | | 49 | | | | 8,732 | |
| Federal Realty Investment Trust | | | 26 | | | | 2,989 | |
| Healthpeak Properties, Inc. | | | 198 | | | | 5,879 | |
| Host Hotels & Resorts, Inc. | | | 262 | | | | 5,237 | |
| Iron Mountain, Inc. | | | 107 | | | | 5,767 | |
| Kimco Realty Corp. | | | 227 | | | | 5,369 | |
| Mid-America Apartment Communities, Inc. | | | 42 | | | | 7,602 | |
| Prologis, Inc. | | | 271 | | | | 34,547 | |
| Public Storage | | | 56 | | | | 18,516 | |
| Realty Income Corp. | | | 208 | | | | 14,190 | |
| Regency Centers Corp. | | | 56 | | | | 3,820 | |
| SBA Communications Corp. | | | 40 | | | | 13,464 | |
| Simon Property Group, Inc. | | | 120 | | | | 13,758 | |
| UDR, Inc. | | | 110 | | | | 5,258 | |
| Ventas, Inc. | | | 147 | | | | 8,341 | |
| Vornado Realty Trust | | | 59 | | | | 2,063 | |
| Welltower, Inc. | | | 159 | | | | 14,165 | |
| Weyerhaeuser Co. | | | 274 | | | | 10,829 | |
| | | | | | | 344,759 | |
| Food & Staples Retailing - 2.0% | | | | | | | | |
| Costco Wholesale Corp. | | | 162 | | | | 75,528 | |
| Kroger Co. (The) | | | 245 | | | | 12,978 | |
| Sysco Corp. | | | 186 | | | | 15,657 | |
| Walgreens Boots Alliance, Inc. | | | 263 | | | | 11,527 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Technology ETF Schedule of Portfolio Investments May 31, 2022 |
| Investments | | Shares | | | Value ($) | |
| Walmart, Inc. | | | 518 | | | | 66,630 | |
| | | | | | | 182,320 | |
| Food Products - 1.4% | | | | | | | | |
| Archer-Daniels-Midland Co. | | | 205 | | | | 18,618 | |
| Campbell Soup Co. | | | 75 | | | | 3,593 | |
| Conagra Brands, Inc. | | | 177 | | | | 5,821 | |
| General Mills, Inc. | | | 222 | | | | 15,507 | |
| Hershey Co. (The) | | | 53 | | | | 11,221 | |
| Hormel Foods Corp. | | | 104 | | | | 5,062 | |
| J M Smucker Co. (The) | | | 40 | | | | 5,015 | |
| Kellogg Co. | | | 94 | | | | 6,556 | |
| Kraft Heinz Co. (The) | | | 261 | | | | 9,874 | |
| Lamb Weston Holdings, Inc. | | | 54 | | | | 3,649 | |
| McCormick & Co., Inc. (Non-Voting) | | | 90 | | | | 8,345 | |
| Mondelez International, Inc., Class A | | | 508 | | | | 32,288 | |
| Tyson Foods, Inc., Class A | | | 107 | | | | 9,588 | |
| | | | | | | 135,137 | |
| Gas Utilities - 0.1% | | | | | | | | |
| Atmos Energy Corp. | | | 50 | | | | 5,815 | |
| | | | | | | | |
| Health Care Equipment & Supplies - 3.8% | | | | | | | | |
| Abbott Laboratories | | | 647 | | | | 75,997 | |
| ABIOMED, Inc.* | | | 17 | | | | 4,483 | |
| Align Technology, Inc.* | | | 27 | | | | 7,496 | |
| Baxter International, Inc. | | | 184 | | | | 13,993 | |
| Becton Dickinson and Co. | | | 104 | | | | 26,603 | |
| Boston Scientific Corp.* | | | 523 | | | | 21,448 | |
| Cooper Cos., Inc. (The) | | | 18 | | | | 6,313 | |
| DENTSPLY SIRONA, Inc. | | | 81 | | | | 3,204 | |
| Dexcom, Inc.* | | | 35 | | | | 10,428 | |
| Edwards Lifesciences Corp.* | | | 228 | | | | 22,994 | |
| Hologic, Inc.* | | | 91 | | | | 6,850 | |
| IDEXX Laboratories, Inc.* | | | 31 | | | | 12,140 | |
| Intuitive Surgical, Inc.* | | | 130 | | | | 29,593 | |
| Medtronic plc | | | 493 | | | | 49,374 | |
| ResMed, Inc. | | | 53 | | | | 10,783 | |
| STERIS plc | | | 37 | | | | 8,444 | |
| Stryker Corp. | | | 123 | | | | 28,844 | |
| Teleflex, Inc. | | | 17 | | | | 4,892 | |
| Zimmer Biomet Holdings, Inc. | | | 76 | | | | 9,136 | |
| | | | | | | 353,015 | |
| Health Care Providers & Services - 4.4% | | | | | | | | |
| AmerisourceBergen Corp. | | | 55 | | | | 8,513 | |
| Anthem, Inc. | | | 89 | | | | 45,355 | |
| Cardinal Health, Inc. | | | 102 | | | | 5,745 | |
| Centene Corp.* | | | 213 | | | | 17,347 | |
| Cigna Corp. | | | 118 | | | | 31,658 | |
| CVS Health Corp. | | | 481 | | | | 46,537 | |
| DaVita, Inc.* | | | 23 | | | | 2,242 | |
| HCA Healthcare, Inc. | | | 88 | | | | 18,515 | |
| Henry Schein, Inc.* | | | 51 | | | | 4,368 | |
| Humana, Inc. | | | 47 | | | | 21,349 | |
| Laboratory Corp. of America Holdings | | | 34 | | | | 8,389 | |
| McKesson Corp. | | | 55 | | | | 18,078 | |
| Molina Healthcare, Inc.* | | | 21 | | | | 6,095 | |
| Quest Diagnostics, Inc. | | | 44 | | | | 6,205 | |
| UnitedHealth Group, Inc. | | | 344 | | | | 170,892 | |
| Universal Health Services, Inc., Class B | | | 27 | | | | 3,364 | |
| | | | | | | 414,652 | |
| Health Care Technology - 0.1% | | | | | | | | |
| Cerner Corp. | | | 108 | | | | 10,244 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure - 2.6% | | | | | | | | |
| Booking Holdings, Inc.* | | | 15 | | | | 33,653 | |
| Caesars Entertainment, Inc.* | | | 79 | | | | 3,963 | |
| Carnival Corp.* | | | 297 | | | | 4,122 | |
| Chipotle Mexican Grill, Inc.* | | | 10 | | | | 14,026 | |
| Darden Restaurants, Inc. | | | 47 | | | | 5,875 | |
| Domino's Pizza, Inc. | | | 13 | | | | 4,721 | |
| Expedia Group, Inc.* | | | 55 | | | | 7,113 | |
| Hilton Worldwide Holdings, Inc. | | | 102 | | | | 14,368 | |
| Las Vegas Sands Corp.* | | | 126 | | | | 4,468 | |
| Marriott International, Inc., Class A | | | 100 | | | | 17,158 | |
| McDonald's Corp. | | | 273 | | | | 68,853 | |
| MGM Resorts International | | | 138 | | | | 4,826 | |
| Norwegian Cruise Line Holdings Ltd.*(a) | | | 154 | | | | 2,466 | |
| Penn National Gaming, Inc.* | | | 62 | | | | 1,982 | |
| Royal Caribbean Cruises Ltd.* | | | 83 | | | | 4,820 | |
| Starbucks Corp. | | | 422 | | | | 33,127 | |
| Wynn Resorts Ltd.* | | | 40 | | | | 2,644 | |
| Yum! Brands, Inc. | | | 105 | | | | 12,754 | |
| | | | | | | 240,939 | |
| Household Durables - 0.4% | | | | | | | | |
| DR Horton, Inc. | | | 119 | | | | 8,943 | |
| Garmin Ltd. | | | 56 | | | | 5,915 | |
| Lennar Corp., Class A | | | 96 | | | | 7,704 | |
| Mohawk Industries, Inc.* | | | 20 | | | | 2,829 | |
| Newell Brands, Inc. | | | 138 | | | | 2,959 | |
| NVR, Inc.* | | | 1 | | | | 4,450 | |
| PulteGroup, Inc. | | | 92 | | | | 4,164 | |
| Whirlpool Corp. | | | 22 | | | | 4,053 | |
| | | | | | | 41,017 | |
| Household Products - 2.0% | | | | | | | | |
| Church & Dwight Co., Inc. | | | 88 | | | | 7,925 | |
| Clorox Co. (The) | | | 45 | | | | 6,541 | |
| Colgate-Palmolive Co. | | | 308 | | | | 24,274 | |
| Kimberly-Clark Corp. | | | 122 | | | | 16,228 | |
| Procter & Gamble Co. (The) | | | 878 | | | | 129,839 | |
| | | | | | | 184,807 | |
| Independent Power and Renewable Electricity Producers - 0.1% | | | | | | | | |
| AES Corp. (The) | | | 245 | | | | 5,400 | |
| | | | | | | | |
| Industrial Conglomerates - 1.2% | | | | | | | | |
| 3M Co. | | | 209 | | | | 31,201 | |
| General Electric Co. | | | 403 | | | | 31,551 | |
| Honeywell International, Inc. | | | 251 | | | | 48,599 | |
| | | | | | | 111,351 | |
| Insurance - 3.0% | | | | | | | | |
| Aflac, Inc. | | | 220 | | | | 13,325 | |
| Allstate Corp. (The) | | | 103 | | | | 14,079 | |
| American International Group, Inc. | | | 305 | | | | 17,897 | |
| Aon plc, Class A | | | 79 | | | | 21,778 | |
| Arthur J Gallagher & Co. | | | 76 | | | | 12,307 | |
| Assurant, Inc. | | | 21 | | | | 3,711 | |
| Brown & Brown, Inc. | | | 87 | | | | 5,165 | |
| Chubb Ltd. | | | 158 | | | | 33,384 | |
| Cincinnati Financial Corp. | | | 55 | | | | 7,032 | |
| Everest Re Group Ltd. | | | 14 | | | | 3,955 | |
| Globe Life, Inc. | | | 34 | | | | 3,317 | |
| Hartford Financial Services Group, Inc. (The) | | | 123 | | | | 8,919 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Technology ETF Schedule of Portfolio Investments May 31, 2022 |
| Investments | | Shares | | | Value ($) | |
| Lincoln National Corp. | | | 62 | | | | 3,592 | |
| Loews Corp. | | | 73 | | | | 4,781 | |
| Marsh & McLennan Cos., Inc. | | | 185 | | | | 29,591 | |
| MetLife, Inc. | | | 257 | | | | 17,319 | |
| Principal Financial Group, Inc. | | | 89 | | | | 6,491 | |
| Progressive Corp. (The) | | | 214 | | | | 25,547 | |
| Prudential Financial, Inc. | | | 138 | | | | 14,663 | |
| Travelers Cos., Inc. (The) | | | 88 | | | | 15,756 | |
| W R Berkley Corp. | | | 77 | | | | 5,477 | |
| Willis Towers Watson plc | | | 45 | | | | 9,498 | |
| | | | | | | 277,584 | |
| Interactive Media & Services - 7.1% | | | | | | | | |
| Alphabet, Inc., Class A* | | | 110 | | | | 250,276 | |
| Alphabet, Inc., Class C* | | | 102 | | | | 232,640 | |
| Match Group, Inc.* | | | 104 | | | | 8,193 | |
| Meta Platforms, Inc., Class A* | | | 846 | | | | 163,820 | |
| Twitter, Inc.* | | | 294 | | | | 11,642 | |
| | | | | | | 666,571 | |
| Internet & Direct Marketing Retail - 4.3% | | | | | | | | |
| Amazon.com, Inc.* | | | 160 | | | | 384,670 | |
| eBay, Inc. | | | 230 | | | | 11,194 | |
| Etsy, Inc.* | | | 46 | | | | 3,732 | |
| | | | | | | 399,596 | |
| Leisure Products - 0.0%(b) | | | | | | | | |
| Hasbro, Inc. | | | 47 | | | | 4,218 | |
| | | | | | | | |
| Life Sciences Tools & Services - 2.5% | | | | | | | | |
| Agilent Technologies, Inc. | | | 110 | | | | 14,032 | |
| Bio-Rad Laboratories, Inc., Class A* | | | 8 | | | | 4,302 | |
| Bio-Techne Corp. | | | 14 | | | | 5,176 | |
| Charles River Laboratories International, Inc.* | | | 18 | | | | 4,213 | |
| Danaher Corp. | | | 233 | | | | 61,470 | |
| Illumina, Inc.* | | | 57 | | | | 13,650 | |
| IQVIA Holdings, Inc.* | | | 70 | | | | 15,068 | |
| Mettler-Toledo International, Inc.* | | | 8 | | | | 10,289 | |
| PerkinElmer, Inc. | | | 46 | | | | 6,885 | |
| Thermo Fisher Scientific, Inc. | | | 143 | | | | 81,163 | |
| Waters Corp.* | | | 22 | | | | 7,215 | |
| West Pharmaceutical Services, Inc. | | | 27 | | | | 8,380 | |
| | | | | | | 231,843 | |
| Machinery - 2.2% | | | | | | | | |
| Caterpillar, Inc. | | | 198 | | | | 42,738 | |
| Cummins, Inc. | | | 52 | | | | 10,874 | |
| Deere & Co. | | | 103 | | | | 36,851 | |
| Dover Corp. | | | 53 | | | | 7,097 | |
| Fortive Corp. | | | 132 | | | | 8,154 | |
| IDEX Corp. | | | 28 | | | | 5,363 | |
| Illinois Tool Works, Inc. | | | 104 | | | | 21,639 | |
| Ingersoll Rand, Inc. | | | 150 | | | | 7,073 | |
| Nordson Corp. | | | 20 | | | | 4,358 | |
| Otis Worldwide Corp. | | | 155 | | | | 11,532 | |
| PACCAR, Inc. | | | 127 | | | | 11,029 | |
| Parker-Hannifin Corp. | | | 47 | | | | 12,792 | |
| Pentair plc | | | 62 | | | | 3,111 | |
| Snap-on, Inc. | | | 20 | | | | 4,438 | |
| Stanley Black & Decker, Inc. | | | 60 | | | | 7,121 | |
| Westinghouse Air Brake Technologies Corp. | | | 68 | | | | 6,423 | |
| Xylem, Inc. | | | 65 | | | | 5,476 | |
| | | | | | | 206,069 | |
| Media - 1.3% | | | | | | | | |
| Charter Communications, Inc., Class A* | | | 44 | | | | 22,305 | |
| Comcast Corp., Class A | | | 1,657 | | | | 73,372 | |
| DISH Network Corp., Class A*(a) | | | 92 | | | | 2,100 | |
| Fox Corp., Class A | | | 117 | | | | 4,155 | |
| Fox Corp., Class B | | | 54 | | | | 1,766 | |
| Interpublic Group of Cos., Inc. (The) | | | 144 | | | | 4,641 | |
| News Corp., Class A | | | 143 | | | | 2,488 | |
| News Corp., Class B | | | 44 | | | | 774 | |
| Omnicom Group, Inc. | | | 76 | | | | 5,670 | |
| Paramount Global, Class B | | | 223 | | | | 7,656 | |
| | | | | | | 124,927 | |
| Metals & Mining - 0.6% | | | | | | | | |
| Freeport-McMoRan, Inc. | | | 539 | | | | 21,064 | |
| Newmont Corp. | | | 292 | | | | 19,812 | |
| Nucor Corp. | | | 99 | | | | 13,114 | |
| | | | | | | 53,990 | |
| Multiline Retail - 0.6% | | | | | | | | |
| Dollar General Corp. | | | 85 | | | | 18,729 | |
| Dollar Tree, Inc.* | | | 82 | | | | 13,147 | |
| Target Corp. | | | 175 | | | | 28,329 | |
| | | | | | | 60,205 | |
| Multi-Utilities - 1.3% | | | | | | | | |
| Ameren Corp. | | | 94 | | | | 8,948 | |
| CenterPoint Energy, Inc. | | | 231 | | | | 7,404 | |
| CMS Energy Corp. | | | 106 | | | | 7,530 | |
| Consolidated Edison, Inc. | | | 129 | | | | 12,805 | |
| Dominion Energy, Inc. | | | 296 | | | | 24,929 | |
| DTE Energy Co. | | | 71 | | | | 9,422 | |
| NiSource, Inc. | | | 144 | | | | 4,529 | |
| Public Service Enterprise Group, Inc. | | | 186 | | | | 12,748 | |
| Sempra Energy | | | 117 | | | | 19,172 | |
| WEC Energy Group, Inc. | | | 115 | | | | 12,083 | |
| | | | | | | 119,570 | |
| Oil, Gas & Consumable Fuels - 6.0% | | | | | | | | |
| APA Corp. | | | 133 | | | | 6,252 | |
| Chevron Corp. | | | 705 | | | | 123,135 | |
| ConocoPhillips | | | 477 | | | | 53,596 | |
| Coterra Energy, Inc. | | | 299 | | | | 10,265 | |
| Devon Energy Corp. | | | 230 | | | | 17,227 | |
| Diamondback Energy, Inc. | | | 62 | | | | 9,425 | |
| EOG Resources, Inc. | | | 214 | | | | 29,309 | |
| Exxon Mobil Corp. | | | 1,549 | | | | 148,704 | |
| Hess Corp. | | | 100 | | | | 12,307 | |
| Kinder Morgan, Inc. | | | 714 | | | | 14,059 | |
| Marathon Oil Corp. | | | 286 | | | | 8,989 | |
| Marathon Petroleum Corp. | | | 212 | | | | 21,580 | |
| Occidental Petroleum Corp. | | | 326 | | | | 22,595 | |
| ONEOK, Inc. | | | 164 | | | | 10,799 | |
| Phillips 66 | | | 171 | | | | 17,239 | |
| Pioneer Natural Resources Co. | | | 83 | | | | 23,069 | |
| Valero Energy Corp. | | | 150 | | | | 19,440 | |
| Williams Cos., Inc. (The) | | | 445 | | | | 16,492 | |
| | | | | | | 564,482 | |
| Personal Products - 0.2% | | | | | | | | |
| Estee Lauder Cos., Inc. (The), Class A | | | 85 | | | | 21,645 | |
| | | | | | | | |
| Pharmaceuticals - 6.0% | | | | | | | | |
| Bristol-Myers Squibb Co. | | | 797 | | | | 60,134 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Technology ETF Schedule of Portfolio Investments May 31, 2022 |
| Investments | | Shares | | | Value ($) | |
| Catalent, Inc.* | | | 66 | | | | 6,802 | |
| Eli Lilly & Co. | | | 290 | | | | 90,898 | |
| Johnson & Johnson | | | 963 | | | | 172,887 | |
| Merck & Co., Inc. | | | 924 | | | | 85,036 | |
| Organon & Co. | | | 94 | | | | 3,568 | |
| Pfizer, Inc. | | | 2,055 | | | | 108,997 | |
| Viatris, Inc. | | | 442 | | | | 5,423 | |
| Zoetis, Inc. | | | 173 | | | | 29,571 | |
| | | | | | | 563,316 | |
| Professional Services - 0.4% | | | | | | | | |
| Equifax, Inc. | | | 45 | | | | 9,116 | |
| Jacobs Engineering Group, Inc. | | | 47 | | | | 6,584 | |
| Leidos Holdings, Inc. | | | 51 | | | | 5,330 | |
| Nielsen Holdings plc | | | 131 | | | | 3,348 | |
| Robert Half International, Inc. | | | 40 | | | | 3,606 | |
| Verisk Analytics, Inc. | | | 59 | | | | 10,320 | |
| | | | | | | 38,304 | |
| Real Estate Management & Development - 0.1% | | | | | | | | |
| CBRE Group, Inc., Class A* | | | 122 | | | | 10,106 | |
| | | | | | | | |
| Road & Rail - 1.2% | | | | | | | | |
| CSX Corp. | | | 813 | | | | 25,845 | |
| JB Hunt Transport Services, Inc. | | | 31 | | | | 5,350 | |
| Norfolk Southern Corp. | | | 88 | | | | 21,090 | |
| Old Dominion Freight Line, Inc. | | | 34 | | | | 8,780 | |
| Union Pacific Corp. | | | 233 | | | | 51,209 | |
| | | | | | | 112,274 | |
| Specialty Retail - 2.9% | | | | | | | | |
| Advance Auto Parts, Inc. | | | 23 | | | | 4,367 | |
| AutoZone, Inc.* | | | 8 | | | | 16,482 | |
| Bath & Body Works, Inc. | | | 95 | | | | 3,897 | |
| Best Buy Co., Inc. | | | 78 | | | | 6,401 | |
| CarMax, Inc.* | | | 59 | | | | 5,857 | |
| Home Depot, Inc. (The) | | | 381 | | | | 115,348 | |
| Lowe's Cos., Inc. | | | 246 | | | | 48,044 | |
| O'Reilly Automotive, Inc.* | | | 25 | | | | 15,929 | |
| Ross Stores, Inc. | | | 129 | | | | 10,967 | |
| TJX Cos., Inc. (The) | | | 437 | | | | 27,780 | |
| Tractor Supply Co. | | | 42 | | | | 7,869 | |
| Ulta Beauty, Inc.* | | | 20 | | | | 8,462 | |
| | | | | | | 271,403 | |
| Textiles, Apparel & Luxury Goods - 0.8% | | | | | | | | |
| NIKE, Inc., Class B | | | 468 | | | | 55,622 | |
| PVH Corp. | | | 27 | | | | 1,913 | |
| Ralph Lauren Corp. | | | 17 | | | | 1,719 | |
| Tapestry, Inc. | | | 98 | | | | 3,381 | |
| Under Armour, Inc., Class A* | | | 69 | | | | 730 | |
| Under Armour, Inc., Class C* | | | 80 | | | | 776 | |
| VF Corp. | | | 119 | | | | 6,005 | |
| | | | | | | 70,146 | |
| Tobacco - 1.0% | | | | | | | | |
| Altria Group, Inc. | | | 668 | | | | 36,132 | |
| Philip Morris International, Inc. | | | 568 | | | | 60,350 | |
| | | | | | | 96,482 | |
| Trading Companies & Distributors - 0.3% | | | | | | | | |
| Fastenal Co. | | | 211 | | | | 11,301 | |
| United Rentals, Inc.* | | | 26 | | | | 7,753 | |
| WW Grainger, Inc. | | | 16 | | | | 7,793 | |
| | | | | | | 26,847 | |
| Water Utilities - 0.1% | | | | | | | | |
| American Water Works Co., Inc. | | | 66 | | | | 9,983 | |
| | | | | | | | |
| Wireless Telecommunication Services - 0.3% | | | | | | | | |
| T-Mobile US, Inc.* | | | 215 | | | | 28,657 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $9,884,910) | | | | | | | 9,323,975 | |
| | | | | | | | |
| SECURITIES LENDING REINVESTMENTS(c) - 0.0%(b) | | | | | | | | |
| | | | | | | | |
| INVESTMENT COMPANIES - 0.0%(b) | | | | | | | | |
BlackRock Liquidity FedFund, Institutional Class 0.72%
(Cost $302) | | | 302 | | | | 302 | |
| Investments | | Principal
Amount ($) | | | Value ($) | |
| SHORT-TERM INVESTMENTS - 0.0%(b) | | | | | | | | |
| | | | | | | | |
| REPURCHASE AGREEMENTS(d) - 0.0%(b) | | | | | | | | |
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $1,226 (Cost $1,226) | | | 1,226 | | | | 1,226 | |
| | | | | | | | |
Total Investments - 99.8%
(Cost $9,886,438) | | | | | | | 9,325,503 | |
| Other assets less liabilities - 0.2% | | | | | | | 14,012 | |
| Net Assets - 100.0% | | | | | | | 9,339,515 | |
See accompanying notes to the financial statements.
S&P 500® Ex-Technology ETF Schedule of Portfolio Investments May 31, 2022 |
| * | Non-income producing security. |
| (a) | The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $4,276, collateralized in the form of cash with a value of $302 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $4,127 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% – 4.63%, and maturity dates ranging from June 30, 2022 – August 15, 2050. The total value of collateral is $4,429. |
| (b) | Represents less than 0.05% of net assets. |
| (c) | The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $302. |
| (d) | The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase. |
| As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows: |
| |
| Aggregate gross unrealized appreciation | | $ | 597,862 | |
| Aggregate gross unrealized depreciation | | | (1,181,154 | ) |
| Net unrealized depreciation | | $ | (583,292 | ) |
| Federal income tax cost | | $ | 9,908,795 | |
See accompanying notes to the financial statements.
Ultra Financials
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| COMMON STOCKS(a) - 75.9% | | | | | | | | |
| | | | | | | | |
| Banks - 17.5% | | | | | | | | |
| Bank of America Corp. | | | 550,241 | | | | 20,468,965 | |
| Bank OZK | | | 9,363 | | | | 388,284 | |
| BOK Financial Corp. | | | 2,330 | | | | 200,776 | |
| Citigroup, Inc. | | | 153,581 | | | | 8,202,761 | |
| Citizens Financial Group, Inc. | | | 38,277 | | | | 1,583,902 | |
| Comerica, Inc. | | | 10,113 | | | | 841,503 | |
| Commerce Bancshares, Inc. | | | 8,550 | | | | 591,489 | |
| Cullen/Frost Bankers, Inc. | | | 4,410 | | | | 551,162 | |
| East West Bancorp, Inc. | | | 10,979 | | | | 807,396 | |
| Fifth Third Bancorp | | | 52,908 | | | | 2,086,162 | |
| First Citizens BancShares, Inc., Class A | | | 1,031 | | | | 722,112 | |
| First Financial Bankshares, Inc.(b) | | | 9,931 | | | | 409,554 | |
| First Horizon Corp. | | | 41,319 | | | | 943,313 | |
| First Republic Bank | | | 13,872 | | | | 2,150,576 | |
| FNB Corp. | | | 26,288 | | | | 319,399 | |
| Glacier Bancorp, Inc. | | | 8,394 | | | | 406,354 | |
| Home BancShares, Inc. | | | 11,653 | | | | 263,241 | |
| Huntington Bancshares, Inc. | | | 111,247 | | | | 1,544,108 | |
| JPMorgan Chase & Co. | | | 228,673 | | | | 30,237,431 | |
| KeyCorp | | | 71,872 | | | | 1,434,565 | |
| M&T Bank Corp. | | | 13,865 | | | | 2,495,284 | |
| Pinnacle Financial Partners, Inc. | | | 5,894 | | | | 479,890 | |
| PNC Financial Services Group, Inc. (The) | | | 32,505 | | | | 5,701,702 | |
| Popular, Inc. | | | 6,191 | | | | 505,867 | |
| Prosperity Bancshares, Inc. | | | 7,131 | | | | 516,998 | |
| Regions Financial Corp. | | | 72,889 | | | | 1,610,118 | |
| Signature Bank | | | 4,853 | | | | 1,049,558 | |
| SVB Financial Group* | | | 4,545 | | | | 2,220,551 | |
| Synovus Financial Corp. | | | 11,219 | | | | 478,490 | |
| Truist Financial Corp. | | | 103,290 | | | | 5,137,645 | |
| UMB Financial Corp. | | | 3,334 | | | | 307,895 | |
| Umpqua Holdings Corp. | | | 16,760 | | | | 295,814 | |
| United Bankshares, Inc. | | | 10,553 | | | | 396,371 | |
| US Bancorp | | | 104,492 | | | | 5,545,390 | |
| Valley National Bancorp | | | 32,607 | | | | 414,435 | |
| Webster Financial Corp. | | | 13,913 | | | | 682,989 | |
| Wells Fargo & Co. | | | 300,675 | | | | 13,761,895 | |
| Western Alliance Bancorp | | | 8,249 | | | | 671,221 | |
| Wintrust Financial Corp. | | | 4,412 | | | | 385,565 | |
| Zions Bancorp NA | | | 11,735 | | | | 669,364 | |
| | | | | | | 117,480,095 | |
| Capital Markets - 14.1% | | | | | | | | |
| Affiliated Managers Group, Inc. | | | 3,144 | | | | 420,101 | |
| Ameriprise Financial, Inc. | | | 8,582 | | | | 2,370,949 | |
| Ares Management Corp. | | | 12,971 | | | | 923,146 | |
| Bank of New York Mellon Corp. (The) | | | 57,245 | | | | 2,668,189 | |
| BlackRock, Inc. | | | 11,031 | | | | 7,380,622 | |
| Blackstone, Inc. | | | 54,506 | | | | 6,420,262 | |
| Blue Owl Capital, Inc. | | | 25,743 | | | | 322,817 | |
| Carlyle Group, Inc. (The) | | | 10,753 | | | | 414,313 | |
| Cboe Global Markets, Inc. | | | 8,250 | | | | 926,558 | |
| Charles Schwab Corp. (The) | | | 116,373 | | | | 8,157,747 | |
| CME Group, Inc. | | | 27,811 | | | | 5,529,661 | |
| Coinbase Global, Inc., Class A*(b) | | | 2,282 | | | | 178,224 | |
| FactSet Research Systems, Inc. | | | 2,924 | | | | 1,116,325 | |
| Federated Hermes, Inc. | | | 7,492 | | | | 254,503 | |
| Franklin Resources, Inc. | | | 21,756 | | | | 589,153 | |
| Goldman Sachs Group, Inc. (The) | | | 26,267 | | | | 8,585,369 | |
| Houlihan Lokey, Inc. | | | 3,917 | | | | 336,627 | |
| Interactive Brokers Group, Inc., Class A | | | 6,761 | | | | 416,072 | |
| Intercontinental Exchange, Inc. | | | 43,475 | | | | 4,451,405 | |
| Invesco Ltd. | | | 26,406 | | | | 510,692 | |
| Janus Henderson Group plc | | | 13,080 | | | | 367,679 | |
| Jefferies Financial Group, Inc. | | | 14,979 | | | | 494,607 | |
| KKR & Co., Inc. | | | 45,265 | | | | 2,480,975 | |
| Lazard Ltd., Class A(b) | | | 8,726 | | | | 307,679 | |
| LPL Financial Holdings, Inc. | | | 6,202 | | | | 1,216,770 | |
| MarketAxess Holdings, Inc. | | | 2,941 | | | | 828,421 | |
| Moody's Corp. | | | 12,516 | | | | 3,774,450 | |
| Morgan Stanley | | | 109,692 | | | | 9,448,869 | |
| Morningstar, Inc. | | | 1,835 | | | | 471,650 | |
| MSCI, Inc. | | | 6,289 | | | | 2,781,939 | |
| Nasdaq, Inc. | | | 9,057 | | | | 1,406,190 | |
| Northern Trust Corp. | | | 16,076 | | | | 1,796,493 | |
| Raymond James Financial, Inc. | | | 14,457 | | | | 1,423,870 | |
| Robinhood Markets, Inc., Class A*(b) | | | 4,555 | | | | 45,823 | |
| S&P Global, Inc. | | | 27,407 | | | | 9,578,198 | |
| SEI Investments Co. | | | 8,142 | | | | 475,737 | |
| State Street Corp. | | | 28,319 | | | | 2,052,844 | |
| Stifel Financial Corp. | | | 8,086 | | | | 518,879 | |
| T. Rowe Price Group, Inc. | | | 17,734 | | | | 2,253,814 | |
| Tradeweb Markets, Inc., Class A | | | 8,135 | | | | 550,007 | |
| Virtu Financial, Inc., Class A | | | 6,599 | | | | 172,432 | |
| | | | | | | 94,420,061 | |
| Consumer Finance - 2.9% | | | | | | | | |
| Ally Financial, Inc. | | | 26,149 | | | | 1,151,602 | |
| American Express Co. | | | 47,595 | | | | 8,034,988 | |
| Capital One Financial Corp. | | | 32,027 | | | | 4,094,972 | |
| Credit Acceptance Corp.*(b) | | | 621 | | | | 369,688 | |
| Discover Financial Services | | | 22,299 | | | | 2,530,713 | |
| FirstCash Holdings, Inc. | | | 3,113 | | | | 232,385 | |
| OneMain Holdings, Inc. | | | 8,385 | | | | 369,443 | |
| PROG Holdings, Inc.* | | | 4,388 | | | | 128,086 | |
| SLM Corp. | | | 21,585 | | | | 422,850 | |
| SoFi Technologies, Inc.*(b) | | | 49,925 | | | | 373,439 | |
| Synchrony Financial | | | 40,341 | | | | 1,494,231 | |
| Upstart Holdings, Inc.*(b) | | | 3,806 | | | | 191,822 | |
| | | | | | | 19,394,219 | |
| Diversified Financial Services - 7.2% | | | | | | | | |
| Apollo Global Management, Inc. | | | 28,720 | | | | 1,655,421 | |
| Berkshire Hathaway, Inc., Class B* | | | 141,709 | | | | 44,777,210 | |
| Equitable Holdings, Inc. | | | 29,126 | | | | 885,722 | |
| Jackson Financial, Inc., Class A | | | 7,204 | | | | 262,297 | |
| Voya Financial, Inc. | | | 8,356 | | | | 573,305 | |
| | | | | | | 48,153,955 | |
| Equity Real Estate Investment Trusts (REITs) - 14.6% | | | | | | | | |
| Alexandria Real Estate Equities, Inc. | | | 11,263 | | | | 1,869,095 | |
| American Campus Communities, Inc. | | | 10,769 | | | | 699,985 | |
| American Homes 4 Rent, Class A | | | 22,850 | | | | 844,536 | |
| American Tower Corp. | | | 35,237 | | | | 9,025,253 | |
| Americold Realty Trust, Inc.(b) | | | 20,641 | | | | 571,549 | |
| Apartment Income REIT Corp. | | | 12,148 | | | | 544,959 | |
| AvalonBay Communities, Inc. | | | 10,813 | | | | 2,248,671 | |
| Boston Properties, Inc. | | | 10,997 | | | | 1,222,646 | |
| Brixmor Property Group, Inc. | | | 23,047 | | | | 561,886 | |
See accompanying notes to the financial statements.
Ultra Financials
Schedule of Portfolio Investments
May 31, 2022
| Investments | | | Shares | | | Value ($) | |
| Camden Property Trust | | | 7,908 | | | | 1,134,719 | |
| Corporate Office Properties Trust | | | 8,692 | | | | 240,247 | |
| Cousins Properties, Inc.(b) | | | 11,508 | | | | 397,601 | |
| Crown Castle International Corp. | | | 33,444 | | | | 6,342,655 | |
| CubeSmart | | | 16,933 | | | | 754,027 | |
| Digital Realty Trust, Inc. | | | 21,961 | | | | 3,065,536 | |
| Douglas Emmett, Inc. | | | 13,577 | | | | 383,822 | |
| Duke Realty Corp. | | | 29,468 | | | | 1,556,794 | |
| EastGroup Properties, Inc. | | | 3,147 | | | | 508,398 | |
| Equinix, Inc. | | | 6,966 | | | | 4,786,269 | |
| Equity Commonwealth* | | | 8,749 | | | | 238,410 | |
| Equity LifeStyle Properties, Inc. | | | 13,362 | | | | 1,011,503 | |
| Equity Residential | | | 26,440 | | | | 2,031,385 | |
| Essex Property Trust, Inc. | | | 5,049 | | | | 1,433,159 | |
| Extra Space Storage, Inc. | | | 10,359 | | | | 1,845,974 | |
| Federal Realty Investment Trust(b) | | | 5,475 | | | | 629,461 | |
| First Industrial Realty Trust, Inc. | | | 10,083 | | | | 535,911 | |
| Gaming and Leisure Properties, Inc. | | | 18,171 | | | | 850,766 | |
| Healthcare Realty Trust, Inc.(b) | | | 11,415 | | | | 331,834 | |
| Healthcare Trust of America, Inc., Class A | | | 17,088 | | | | 513,494 | |
| Healthpeak Properties, Inc. | | | 41,730 | | | | 1,238,964 | |
| Highwoods Properties, Inc. | | | 8,117 | | | | 318,917 | |
| Host Hotels & Resorts, Inc. | | | 55,249 | | | | 1,104,428 | |
| Hudson Pacific Properties, Inc. | | | 11,797 | | | | 234,878 | |
| Invitation Homes, Inc. | | | 46,178 | | | | 1,741,834 | |
| Iron Mountain, Inc. | | | 22,404 | | | | 1,207,576 | |
| JBG SMITH Properties | | | 8,832 | | | | 227,954 | |
| Kilroy Realty Corp. | | | 8,128 | | | | 493,370 | |
| Kimco Realty Corp. | | | 47,714 | | | | 1,128,436 | |
| Lamar Advertising Co., Class A | | | 6,719 | | | | 658,126 | |
| Life Storage, Inc. | | | 6,347 | | | | 741,076 | |
| LXP Industrial Trust(b) | | | 21,883 | | | | 252,968 | |
| Medical Properties Trust, Inc. | | | 46,180 | | | | 858,024 | |
| Mid-America Apartment Communities, Inc.(b) | | | 8,923 | | | | 1,615,063 | |
| National Health Investors, Inc. | | | 3,547 | | | | 209,805 | |
| National Retail Properties, Inc. | | | 13,589 | | | | 601,993 | |
| National Storage Affiliates Trust | | | 6,340 | | | | 332,533 | |
| Omega Healthcare Investors, Inc. | | | 18,494 | | | | 550,566 | |
| Orion Office REIT, Inc. | | | 4,381 | | | | 58,399 | |
| Physicians Realty Trust | | | 17,042 | | | | 316,129 | |
| PotlatchDeltic Corp. | | | 5,344 | | | | 280,346 | |
| Prologis, Inc. | | | 57,262 | | | | 7,299,760 | |
| PS Business Parks, Inc. | | | 1,556 | | | | 291,952 | |
| Public Storage | | | 11,804 | | | | 3,902,875 | |
| Rayonier, Inc. | | | 11,249 | | | | 463,684 | |
| Realty Income Corp. | | | 43,779 | | | | 2,986,603 | |
| Regency Centers Corp. | | | 11,925 | | | | 813,404 | |
| Rexford Industrial Realty, Inc. | | | 12,401 | | | | 792,052 | |
| Sabra Health Care REIT, Inc. | | | 17,693 | | | | 248,410 | |
| SBA Communications Corp. | | | 8,416 | | | | 2,832,910 | |
| Simon Property Group, Inc. | | | 25,428 | | | | 2,915,320 | |
| SL Green Realty Corp. | | | 4,961 | | | | 306,441 | |
| Spirit Realty Capital, Inc. | | | 9,881 | | | | 414,903 | |
| STAG Industrial, Inc. | | | 13,634 | | | | 454,012 | |
| STORE Capital Corp. | | | 18,988 | | | | 523,879 | |
| Sun Communities, Inc. | | | 8,974 | | | | 1,472,903 | |
| UDR, Inc. | | | 23,140 | | | | 1,106,092 | |
| Ventas, Inc. | | | 30,887 | | | | 1,752,528 | |
| VICI Properties, Inc. | | | 65,172 | | | | 2,010,556 | |
| Vornado Realty Trust | | | 12,305 | | | | 430,183 | |
| Welltower, Inc. | | | 33,680 | | | | 3,000,551 | |
| Weyerhaeuser Co. | | | 57,824 | | | | 2,285,205 | |
| WP Carey, Inc. | | | 14,750 | | | | 1,241,065 | |
| | | | | | | 97,897,218 | |
| Insurance - 10.5% | | | | | | | | |
| Aflac, Inc. | | | 46,425 | | | | 2,811,962 | |
| Alleghany Corp.* | | | 1,061 | | | | 884,641 | |
| Allstate Corp. (The) | | | 21,711 | | | | 2,967,677 | |
| American Financial Group, Inc. | | | 5,124 | | | | 724,021 | |
| American International Group, Inc. | | | 64,257 | | | | 3,770,601 | |
| Aon plc, Class A | | | 16,619 | | | | 4,581,360 | |
| Arch Capital Group Ltd.* | | | 29,877 | | | | 1,417,962 | |
| Arthur J Gallagher & Co. | | | 16,131 | | | | 2,612,254 | |
| Assurant, Inc. | | | 4,409 | | | | 779,026 | |
| Axis Capital Holdings Ltd. | | | 5,969 | | | | 349,604 | |
| Brighthouse Financial, Inc.* | | | 6,026 | | | | 295,997 | |
| Brown & Brown, Inc. | | | 18,143 | | | | 1,077,150 | |
| Chubb Ltd. | | | 33,330 | | | | 7,042,296 | |
| Cincinnati Financial Corp. | | | 11,597 | | | | 1,482,792 | |
| CNA Financial Corp. | | | 2,099 | | | | 96,218 | |
| Enstar Group Ltd.* | | | 962 | | | | 223,117 | |
| Erie Indemnity Co., Class A | | | 1,930 | | | | 323,757 | |
| Everest Re Group Ltd. | | | 3,048 | | | | 861,060 | |
| Fidelity National Financial, Inc. | | | 22,017 | | | | 931,319 | |
| First American Financial Corp. | | | 8,494 | | | | 514,651 | |
| Globe Life, Inc. | | | 7,188 | | | | 701,333 | |
| Hanover Insurance Group, Inc. (The) | | | 2,752 | | | | 403,443 | |
| Hartford Financial Services Group, Inc. (The) | | | 25,913 | | | | 1,878,952 | |
| Kemper Corp. | | | 4,633 | | | | 244,761 | |
| Lincoln National Corp. | | | 12,889 | | | | 746,660 | |
| Loews Corp. | | | 15,173 | | | | 993,680 | |
| Markel Corp.* | | | 1,056 | | | | 1,446,118 | |
| Marsh & McLennan Cos., Inc. | | | 39,069 | | | | 6,249,087 | |
| Mercury General Corp. | | | 2,056 | | | | 100,641 | |
| MetLife, Inc. | | | 54,296 | | | | 3,659,007 | |
| Old Republic International Corp. | | | 22,091 | | | | 528,417 | |
| Primerica, Inc. | | | 3,057 | | | | 385,182 | |
| Principal Financial Group, Inc. | | | 18,798 | | | | 1,370,938 | |
| Progressive Corp. (The) | | | 45,221 | | | | 5,398,483 | |
| Prudential Financial, Inc. | | | 29,248 | | | | 3,107,600 | |
| Reinsurance Group of America, Inc. | | | 5,198 | | | | 654,168 | |
| RenaissanceRe Holdings Ltd. | | | 3,405 | | | | 522,736 | |
| RLI Corp. | | | 3,083 | | | | 373,413 | |
| Ryan Specialty Group Holdings, Inc., Class A* | | | 4,505 | | | | 169,253 | |
| Selective Insurance Group, Inc. | | | 4,657 | | | | 369,300 | |
| Travelers Cos., Inc. (The) | | | 18,665 | | | | 3,341,782 | |
| Unum Group | | | 15,819 | | | | 576,603 | |
| W R Berkley Corp. | | | 16,210 | | | | 1,153,017 | |
| White Mountains Insurance Group Ltd. | | | 232 | | | | 288,808 | |
| Willis Towers Watson plc | | | 9,443 | | | | 1,993,134 | |
| | | | | | | 70,403,981 | |
| IT Services - 7.6% | | | | | | | | |
| Mastercard, Inc., Class A | | | 66,783 | | | | 23,899,632 | |
| Visa, Inc., Class A | | | 128,326 | | | | 27,226,928 | |
| | | | | | | 51,126,560 | |
| Mortgage Real Estate Investment Trusts (REITs) - 0.4% | | | | | | | | |
| AGNC Investment Corp. | | | 40,404 | | | | 494,141 | |
| Annaly Capital Management, Inc. | | | 120,682 | | | | 797,708 | |
| Blackstone Mortgage Trust, Inc., Class A | | | 13,046 | | | | 405,861 | |
See accompanying notes to the financial statements.
Ultra Financials
Schedule of Portfolio Investments
May 31, 2022
| Investments | | | Shares | | | Value ($) | |
| New Residential Investment Corp. | | | 36,117 | | | | 408,122 | |
| Starwood Property Trust, Inc. | | | 23,570 | | | | 563,087 | |
| | | | | | | 2,668,919 | |
| Professional Services - 0.3% | | | | | | | | |
| CoStar Group, Inc.* | | | 30,559 | | | | 1,862,265 | |
| | | | | | | | |
| Real Estate Management & Development - 0.6% | | | | | | | | |
| CBRE Group, Inc., Class A* | | | 25,897 | | | | 2,145,307 | |
| Compass, Inc., Class A*(b) | | | 2,198 | | | | 12,880 | |
| Howard Hughes Corp. (The)* | | | 3,199 | | | | 269,132 | |
| Jones Lang LaSalle, Inc.* | | | 3,905 | | | | 770,535 | |
| Opendoor Technologies, Inc.* | | | 30,119 | | | | 217,760 | |
| Redfin Corp.*(b) | | | 8,161 | | | | 79,978 | |
| Zillow Group, Inc., Class A* | | | 2,857 | | | | 114,166 | |
| Zillow Group, Inc., Class C*(b) | | | 12,882 | | | | 513,992 | |
| | | | | | | 4,123,750 | |
| Thrifts & Mortgage Finance - 0.2% | | | | | | | | |
| Essent Group Ltd. | | | 8,545 | | | | 365,641 | |
| MGIC Investment Corp. | | | 24,786 | | | | 345,269 | |
| New York Community Bancorp, Inc.(b) | | | 35,980 | | | | 359,080 | |
| Radian Group, Inc. | | | 13,877 | | | | 298,494 | |
| Rocket Cos., Inc., Class A(b) | | | 10,453 | | | | 94,809 | |
| TFS Financial Corp. | | | 3,694 | | | | 55,484 | |
| UWM Holdings Corp.(b) | | | 6,757 | | | | 27,366 | |
| | | | | | | 1,546,143 | |
TOTAL COMMON STOCKS
(Cost $559,634,392) | | | | | | | 509,077,166 | |
| | | | | | | | |
| SECURITIES LENDING REINVESTMENTS(c) - 0.1% | | | | | | | | |
| | | | | | | | |
| INVESTMENT COMPANIES - 0.1% | | | | | | | | |
BlackRock Liquidity FedFund, Institutional Class
0.72% (Cost $687,211) | | | 687,211 | | | | 687,211 | |
| | | | | | | | |
| Investments | | | Principal
Amount ($) | | | Value ($) | |
| SHORT-TERM INVESTMENTS - 2.0% | | | | | | | | |
| | | | | | | | |
| REPURCHASE AGREEMENTS(d) - 2.0% | | | | | | | | |
| Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $13,710,523 | | | | | | | | |
| (Cost $13,710,246) | | | 13,710,246 | | | | 13,710,246 | |
| | | | | | | | |
Total Investments - 78.0%
(Cost $574,031,849) | | | | | | | 523,474,623 | |
| Other assets less liabilities - 22.0% | | | | | | | 148,048,054 | |
| Net Assets - 100.0% | | | | | | | 671,522,677 | |
| * | Non-income producing security. |
| (a) | All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $72,813,856. |
| (b) | The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $4,056,340, collateralized in the form of cash with a value of $687,211 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $3,522,213 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 4.75%, and maturity dates ranging from June 9, 2022 – November 15, 2051. The total value of collateral is $4,209,424. |
| (c) | The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $687,211. |
| (d) | The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase. |
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 157,002,074 | |
| Aggregate gross unrealized depreciation | | | (61,669,363 | ) |
| Net unrealized appreciation | | $ | 95,332,711 | |
| Federal income tax cost | | $ | 574,284,503 | |
See accompanying notes to the financial statements.
Ultra Financials
Schedule of Portfolio Investments
May 31, 2022
Swap Agreementsa
Ultra Financials had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount ($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | | Reference Instrument | | Value and
Unrealized
Appreciationd
($) | | Financial
Instruments
for the
Benefit of (the
Fund)/ the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/
the
Counterparty
($) | | Net Amounte
($) | |
| 39,567,223 | | 11/7/2022 | | Bank of America NA | | 1.38 | % | | Dow Jones U.S. FinancialsSM Indexf | | 48,899,207 | | (48,899,207 | ) | — | | — | |
| 112,808,745 | | 11/7/2022 | | BNP Paribas SA | | 1.43 | % | | Dow Jones U.S. FinancialsSM Indexf | | 16,459,474 | | (16,354,146 | ) | (105,328 | ) | — | |
| 33,084,697 | | 11/6/2023 | | Citibank NA | | 1.53 | % | | Dow Jones U.S. FinancialsSM Indexf | | 25,017,836 | | — | | (25,017,836 | ) | — | |
| 63,698,467 | | 4/10/2023 | | Credit Suisse International | | 1.38 | % | | Dow Jones U.S. FinancialsSM Indexf | | 4,146,042 | | — | | (4,146,042 | ) | — | |
| 102,789,385 | | 4/10/2023 | | Goldman Sachs International | | 1.43 | % | | Dow Jones U.S. FinancialsSM Indexf | | 6,134,590 | | (6,134,590 | ) | — | | — | |
| 38,779,548 | | 11/7/2022 | | Morgan Stanley & Co. International plc | | 1.43 | % | | Dow Jones U.S. FinancialsSM Indexf | | 5,175,410 | | — | | (5,041,000 | ) | 134,410 | |
| 381,990,412 | | 4/10/2023 | | Societe Generale | | 1.58 | % | | Dow Jones U.S. FinancialsSM Indexf | | 24,823,514 | | (24,770,361 | ) | (53,153 | ) | — | |
| 61,062,604 | | 11/7/2022 | | UBS AG | | 1.48 | % | | Dow Jones U.S. FinancialsSM Indexf | | 15,486,518 | | (9,756,518 | ) | (5,730,000 | ) | — | |
| 833,781,081 | | | | | | | | | | | 146,142,591 | | | | | | | |
| | | | | | | | | Total Unrealized Appreciation | | 146,142,591 | | | | | | | |
| a | The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815. |
| b | Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity. |
| c | Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation). |
| d | The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities. |
| e | Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default. |
| f | See the Common Stocks section of the preceding Schedule of Portfolio Investments for the representative components of the underlying reference instrument and their relative weightings. |
See accompanying notes to the financial statements.
Ultra Industrials
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| COMMON STOCKS(a) - 92.9% | | | | | | | | |
| | | | | | | | |
| Aerospace & Defense - 12.9% | | | | | | | | |
| Axon Enterprise, Inc.* | | | 244 | | | | 24,732 | |
| Boeing Co. (The)* | | | 1,957 | | | | 257,150 | |
| BWX Technologies, Inc. | | | 329 | | | | 16,845 | |
| Curtiss-Wright Corp. | | | 141 | | | | 20,019 | |
| General Dynamics Corp. | | | 822 | | | | 184,876 | |
| HEICO Corp. | | | 152 | | | | 21,744 | |
| HEICO Corp., Class A | | | 268 | | | | 31,380 | |
| Hexcel Corp. | | | 299 | | | | 17,178 | |
| Howmet Aerospace, Inc. | | | 1,355 | | | | 48,468 | |
| Huntington Ingalls Industries, Inc. | | | 142 | | | | 29,885 | |
| L3Harris Technologies, Inc. | | | 702 | | | | 169,112 | |
| Lockheed Martin Corp. | | | 864 | | | | 380,255 | |
| Mercury Systems, Inc.* | | | 202 | | | | 12,082 | |
| Northrop Grumman Corp. | | | 524 | | | | 245,216 | |
| Raytheon Technologies Corp. | | | 5,327 | | | | 506,704 | |
| Textron, Inc. | | | 786 | | | | 51,318 | |
| TransDigm Group, Inc.* | | | 187 | | | | 113,204 | |
| Virgin Galactic Holdings, Inc.*(b) | | | 637 | | | | 4,465 | |
| Woodward, Inc. | | | 225 | | | | 22,862 | |
| | | | | | | 2,157,495 | |
| Air Freight & Logistics - 4.8% | | | | | | | | |
| CH Robinson Worldwide, Inc. | | | 465 | | | | 50,457 | |
| Expeditors International of Washington, Inc. | | | 604 | | | | 65,739 | |
| FedEx Corp. | | | 870 | | | | 195,385 | |
| GXO Logistics, Inc.* | | | 363 | | | | 19,700 | |
| United Parcel Service, Inc., Class B | | | 2,603 | | | | 474,397 | |
| | | | | | | 805,678 | |
| Building Products - 4.5% | | | | | | | | |
| A O Smith Corp. | | | 470 | | | | 28,256 | |
| Advanced Drainage Systems, Inc. | | | 203 | | | | 22,231 | |
| Allegion plc | | | 321 | | | | 35,840 | |
| Armstrong World Industries, Inc. | | | 169 | | | | 14,112 | |
| Builders FirstSource, Inc.* | | | 683 | | | | 44,456 | |
| Carlisle Cos., Inc. | | | 186 | | | | 47,324 | |
| Carrier Global Corp. | | | 3,053 | | | | 120,013 | |
| Fortune Brands Home & Security, Inc. | | | 484 | | | | 33,565 | |
| Johnson Controls International plc | | | 2,506 | | | | 136,602 | |
| Lennox International, Inc. | | | 120 | | | | 25,068 | |
| Masco Corp. | | | 858 | | | | 48,640 | |
| Owens Corning | | | 359 | | | | 34,313 | |
| Trane Technologies plc | | | 834 | | | | 115,142 | |
| Trex Co., Inc.* | | | 411 | | | | 26,189 | |
| Zurn Water Solutions Corp. | | | 451 | | | | 12,998 | |
| | | | | | | 744,749 | |
| Chemicals - 1.4% | | | | | | | | |
| Sherwin-Williams Co. (The) | | | 861 | | | | 230,782 | |
| | | | | | | | |
| Commercial Services & Supplies - 3.2% | | | | | | | | |
| Cimpress plc* | | | 69 | | | | 3,010 | |
| Cintas Corp. | | | 316 | | | | 125,872 | |
| Clean Harbors, Inc.* | | | 179 | | | | 16,719 | |
| MSA Safety, Inc. | | | 131 | | | | 16,701 | |
| Republic Services, Inc. | | | 746 | | | | 99,845 | |
| Stericycle, Inc.* | | | 327 | | | | 16,530 | |
| Tetra Tech, Inc. | | | 193 | | | | 26,049 | |
| Waste Management, Inc. | | | 1,375 | | | | 217,951 | |
| | | | | | | 522,677 | |
| Construction & Engineering - 1.2% | | | | | | | | |
| AECOM | | | 503 | | | | 35,134 | |
| EMCOR Group, Inc. | | | 190 | | | | 20,070 | |
| MasTec, Inc.* | | | 209 | | | | 17,470 | |
| MDU Resources Group, Inc. | | | 728 | | | | 19,933 | |
| Quanta Services, Inc. | | | 509 | | | | 60,571 | |
| Valmont Industries, Inc.(b) | | | 77 | | | | 19,770 | |
| WillScot Mobile Mini Holdings Corp.* | | | 797 | | | | 28,477 | |
| | | | | | | 201,425 | |
| Construction Materials - 1.0% | | | | | | | | |
| Eagle Materials, Inc. | | | 142 | | | | 18,540 | |
| Martin Marietta Materials, Inc. | | | 222 | | | | 75,342 | |
| Vulcan Materials Co. | | | 474 | | | | 78,148 | |
| | | | | | | 172,030 | |
| Containers & Packaging - 3.4% | | | | | | | | |
| Amcor plc | | | 5,401 | | | | 70,753 | |
| AptarGroup, Inc. | | | 235 | | | | 25,166 | |
| Ardagh Metal Packaging SA* | | | 558 | | | | 3,370 | |
| Avery Dennison Corp. | | | 297 | | | | 51,250 | |
| Ball Corp. | | | 1,155 | | | | 81,878 | |
| Berry Global Group, Inc.* | | | 483 | | | | 28,174 | |
| Crown Holdings, Inc. | | | 449 | | | | 46,894 | |
| Graphic Packaging Holding Co. | | | 1,009 | | | | 22,460 | |
| International Paper Co. | | | 1,383 | | | | 67,007 | |
| Packaging Corp. of America | | | 338 | | | | 53,161 | |
| Sealed Air Corp. | | | 528 | | | | 32,831 | |
| Silgan Holdings, Inc. | | | 299 | | | | 13,099 | |
| Sonoco Products Co. | | | 349 | | | | 20,406 | |
| WestRock Co. | | | 939 | | | | 45,532 | |
| | | | | | | 561,981 | |
| Electrical Equipment - 4.9% | | | | | | | | |
| Acuity Brands, Inc. | | | 125 | | | | 21,878 | |
| AMETEK, Inc. | | | 826 | | | | 100,334 | |
| ChargePoint Holdings, Inc.*(b) | | | 628 | | | | 8,032 | |
| Eaton Corp. plc | | | 1,424 | | | | 197,366 | |
| Emerson Electric Co. | | | 2,123 | | | | 188,225 | |
| EnerSys | | | 147 | | | | 9,955 | |
| Generac Holdings, Inc.* | | | 225 | | | | 55,593 | |
| Hubbell, Inc. | | | 193 | | | | 36,643 | |
| nVent Electric plc | | | 601 | | | | 21,275 | |
| Regal Rexnord Corp. | | | 244 | | | | 30,488 | |
| Rockwell Automation, Inc. | | | 415 | | | | 88,478 | |
| Sensata Technologies Holding plc | | | 564 | | | | 27,089 | |
| Shoals Technologies Group, Inc., Class A* | | | 375 | | | | 5,850 | |
| Sunrun, Inc.* | | | 740 | | | | 19,329 | |
| Vertiv Holdings Co. | | | 1,087 | | | | 11,946 | |
| | | | | | | 822,481 | |
| Electronic Equipment, Instruments & Components - 5.5% | | | | | | | | |
| Amphenol Corp., Class A | | | 2,137 | | | | 151,428 | |
| Arrow Electronics, Inc.* | | | 245 | | | | 29,559 | |
| Avnet, Inc. | | | 352 | | | | 17,054 | |
| Cognex Corp. | | | 630 | | | | 30,505 | |
| Coherent, Inc.* | | | 90 | | | | 24,386 | |
| Corning, Inc. | | | 2,666 | | | | 95,496 | |
| II-VI, Inc.*(b) | | | 379 | | | | 23,688 | |
| IPG Photonics Corp.* | | | 127 | | | | 13,397 | |
| Itron, Inc.* | | | 162 | | | | 8,361 | |
| Jabil, Inc. | | | 512 | | | | 31,498 | |
| Keysight Technologies, Inc.* | | | 654 | | | | 95,222 | |
| Littelfuse, Inc. | | | 89 | | | | 24,048 | |
| National Instruments Corp. | | | 471 | | | | 16,636 | |
See accompanying notes to the financial statements.
Ultra Industrials
Schedule of Portfolio Investments
May 31, 2022
| Investments | | | Shares | | | Value ($) | |
| TE Connectivity Ltd. | | | 1,164 | | | | 150,610 | |
| Teledyne Technologies, Inc.* | | | 167 | | | | 67,660 | |
| Trimble, Inc.* | | | 897 | | | | 61,041 | |
| Vontier Corp. | | | 605 | | | | 16,226 | |
| Zebra Technologies Corp., Class A* | | | 189 | | | | 63,918 | |
| | | | | | | 920,733 | |
| Industrial Conglomerates - 6.5% | | | | | | | | |
| 3M Co. | | | 2,038 | | | | 304,253 | |
| General Electric Co. | | | 3,924 | | | | 307,210 | |
| Honeywell International, Inc. | | | 2,448 | | | | 473,982 | |
| | | | | | | 1,085,445 | |
| IT Services - 15.9% | | | | | | | | |
| Accenture plc, Class A | | | 2,257 | | | | 673,624 | |
| Affirm Holdings, Inc.* | | | 579 | | | | 16,501 | |
| Automatic Data Processing, Inc. | | | 1,500 | | | | 334,410 | |
| Block, Inc., Class A* | | | 1,788 | | | | 156,468 | |
| Broadridge Financial Solutions, Inc. | | | 417 | | | | 60,974 | |
| Concentrix Corp. | | | 153 | | | | 23,698 | |
| Euronet Worldwide, Inc.* | | | 188 | | | | 22,778 | |
| Fidelity National Information Services, Inc. | | | 2,173 | | | | 227,078 | |
| Fiserv, Inc.* | | | 2,123 | | | | 212,682 | |
| FleetCor Technologies, Inc.* | | | 291 | | | | 72,404 | |
| Genpact Ltd. | | | 609 | | | | 27,021 | |
| Global Payments, Inc. | | | 1,015 | | | | 133,006 | |
| Jack Henry & Associates, Inc. | | | 261 | | | | 49,099 | |
| Marqeta, Inc., Class A* | | | 831 | | | | 8,701 | |
| Maximus, Inc. | | | 220 | | | | 14,276 | |
| Paychex, Inc. | | | 1,144 | | | | 141,662 | |
| PayPal Holdings, Inc.* | | | 4,160 | | | | 354,474 | |
| Shift4 Payments, Inc., Class A* | | | 185 | | | | 8,445 | |
| SS&C Technologies Holdings, Inc. | | | 795 | | | | 50,872 | |
| TaskUS, Inc., Class A* | | | 98 | | | | 2,409 | |
| Toast, Inc., Class A* | | | 264 | | | | 4,287 | |
| Western Union Co. (The) | | | 1,407 | | | | 25,523 | |
| WEX, Inc.* | | | 160 | | | | 27,245 | |
| | | | | | | 2,647,637 | |
| Life Sciences Tools & Services - 0.4% | | | | | | | | |
| PerkinElmer, Inc. | | | 449 | | | | 67,202 | |
| | | | | | | | |
| Machinery - 13.7% | | | | | | | | |
| AGCO Corp. | | | 218 | | | | 27,932 | |
| Allison Transmission Holdings, Inc. | | | 373 | | | | 14,924 | |
| Caterpillar, Inc. | | | 1,931 | | | | 416,806 | |
| Chart Industries, Inc.*(b) | | | 127 | | | | 22,337 | |
| Crane Holdings Co. | | | 179 | | | | 17,123 | |
| Cummins, Inc. | | | 508 | | | | 106,233 | |
| Deere & Co. | | | 1,001 | | | | 358,138 | |
| Donaldson Co., Inc. | | | 442 | | | | 23,108 | |
| Dover Corp. | | | 513 | | | | 68,696 | |
| Esab Corp.* | | | 160 | | | | 8,000 | |
| Flowserve Corp. | | | 466 | | | | 14,679 | |
| Fortive Corp. | | | 1,279 | | | | 79,004 | |
| Gates Industrial Corp. plc* | | | 344 | | | | 4,389 | |
| Graco, Inc. | | | 606 | | | | 38,360 | |
| IDEX Corp. | | | 271 | | | | 51,910 | |
| Illinois Tool Works, Inc. | | | 1,019 | | | | 212,023 | |
| Ingersoll Rand, Inc. | | | 1,455 | | | | 68,603 | |
| ITT, Inc. | | | 305 | | | | 22,515 | |
| Lincoln Electric Holdings, Inc. | | | 210 | | | | 28,522 | |
| Middleby Corp. (The)* | | | 198 | | | | 29,989 | |
| Nikola Corp.*(b) | | | 741 | | | | 5,231 | |
| Nordson Corp. | | | 191 | | | | 41,615 | |
| Oshkosh Corp. | | | 239 | | | | 22,206 | |
| Otis Worldwide Corp. | | | 1,518 | | | | 112,939 | |
| PACCAR, Inc. | | | 1,239 | | | | 107,595 | |
| Parker-Hannifin Corp. | | | 458 | | | | 124,654 | |
| Pentair plc | | | 590 | | | | 29,600 | |
| RBC Bearings, Inc.*(b) | | | 104 | | | | 19,385 | |
| Snap-on, Inc. | | | 191 | | | | 42,379 | |
| Timken Co. (The) | | | 247 | | | | 15,084 | |
| Toro Co. (The) | | | 373 | | | | 30,769 | |
| Westinghouse Air Brake Technologies Corp. | | | 665 | | | | 62,816 | |
| Xylem, Inc. | | | 642 | | | | 54,089 | |
| | | | | | | 2,281,653 | |
| Marine - 0.1% | | | | | | | | |
| Kirby Corp.* | | | 214 | | | | 14,451 | |
| | | | | | | | |
| Paper & Forest Products - 0.1% | | | | | | | | |
| Louisiana-Pacific Corp. | | | 315 | | | | 21,754 | |
| | | | | | | | |
| Professional Services - 4.0% | | | | | | | | |
| Alight, Inc., Class A* | | | 879 | | | | 7,173 | |
| ASGN, Inc.* | | | 186 | | | | 17,713 | |
| Booz Allen Hamilton Holding Corp. | | | 477 | | | | 40,955 | |
| CACI International, Inc., Class A* | | | 85 | | | | 23,831 | |
| Clarivate plc*(b) | | | 1,424 | | | | 21,032 | |
| Dun & Bradstreet Holdings, Inc.* | | | 540 | | | | 9,326 | |
| Equifax, Inc. | | | 436 | | | | 88,325 | |
| FTI Consulting, Inc.* | | | 121 | | | | 20,328 | |
| Insperity, Inc. | | | 127 | | | | 12,709 | |
| Jacobs Engineering Group, Inc. | | | 462 | | | | 64,722 | |
| KBR, Inc. | | | 502 | | | | 24,979 | |
| Leidos Holdings, Inc. | | | 501 | | | | 52,354 | |
| ManpowerGroup, Inc. | | | 192 | | | | 17,205 | |
| Nielsen Holdings plc | | | 1,284 | | | | 32,819 | |
| Robert Half International, Inc. | | | 392 | | | | 35,339 | |
| Science Applications International Corp. | | | 203 | | | | 17,572 | |
| TransUnion | | | 683 | | | | 59,291 | |
| TriNet Group, Inc.* | | | 144 | | | | 11,310 | |
| Upwork, Inc.* | | | 431 | | | | 7,866 | |
| Verisk Analytics, Inc. | | | 576 | | | | 100,754 | |
| | | | | | | 665,603 | |
| Road & Rail - 7.1% | | | | | | | | |
| CSX Corp. | | | 7,920 | | | | 251,777 | |
| Hertz Global Holdings, Inc.* | | | 204 | | | | 4,094 | |
| JB Hunt Transport Services, Inc. | | | 299 | | | | 51,601 | |
| Knight-Swift Transportation Holdings, Inc. | | | 593 | | | | 28,844 | |
| Landstar System, Inc. | | | 135 | | | | 20,443 | |
| Norfolk Southern Corp. | | | 857 | | | | 205,389 | |
| Old Dominion Freight Line, Inc. | | | 333 | | | | 85,994 | |
| Saia, Inc.* | | | 94 | | | | 18,574 | |
| TuSimple Holdings, Inc., Class A*(b) | | | 121 | | | | 993 | |
| Union Pacific Corp. | | | 2,274 | | | | 499,780 | |
| XPO Logistics, Inc.* | | | 351 | | | | 18,757 | |
| | | | | | | 1,186,246 | |
| Trading Companies & Distributors - 2.3% | | | | | | | | |
| Air Lease Corp. | | | 381 | | | | 14,330 | |
See accompanying notes to the financial statements.
Ultra Industrials
Schedule of Portfolio Investments
May 31, 2022
| Investments | | | Shares | | | Value ($) | |
| Applied Industrial Technologies, Inc. | | | 138 | | | | 14,271 | |
| Core & Main, Inc., Class A* | | | 204 | | | | 4,814 | |
| Fastenal Co. | | | 2,054 | | | | 110,012 | |
| MSC Industrial Direct Co., Inc., Class A | | | 167 | | | | 14,183 | |
| SiteOne Landscape Supply, Inc.* | | | 160 | | | | 21,483 | |
| United Rentals, Inc.* | | | 259 | | | | 77,229 | |
| Univar Solutions, Inc.* | | | 610 | | | | 18,739 | |
| Watsco, Inc. | | | 117 | | | | 29,909 | |
| WW Grainger, Inc. | | | 155 | | | | 75,496 | |
| | | | | | | 380,466 | |
TOTAL COMMON STOCKS
(Cost $19,657,799) | | | | | | | 15,490,488 | |
| | | | | | | | |
| SECURITIES LENDING REINVESTMENTS(c) - 0.1% | | | | | | | | |
| | | | | | | | |
| INVESTMENT COMPANIES - 0.1% | | | | | | | | |
BlackRock Liquidity FedFund, Institutional Class
0.72% (Cost $20,871) | | | 20,871 | | | | 20,871 | |
| | | | | | | | |
| Investments | | | Principal
Amount ($) | | | | Value ($) | |
| SHORT-TERM INVESTMENTS - 18.9% | | | | | | | | |
| | | | | | | | |
| REPURCHASE AGREEMENTS(d) - 18.9% | | | | | | | | |
| Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $3,162,194 | | | | | | | | |
| (Cost $3,162,129) | | | 3,162,129 | | | | 3,162,129 | |
| | | | | | | | |
Total Investments - 111.9%
(Cost $22,840,799) | | | | | | | 18,673,488 | |
| Liabilities in excess of other assets - (11.9%) | | | | | | | (1,979,686 | ) |
| Net Assets - 100.0% | | | | | | | 16,693,802 | |
| * | Non-income producing security. |
| (a) | All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $11,320,626. |
| (b) | The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $60,891, collateralized in the form of cash with a value of $20,871 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $43,217 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% – 4.63%, and maturity dates ranging from June 30, 2022 – August 15, 2050. The total value of collateral is $64,088. |
| (c) | The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $20,871. |
| (d) | The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase. |
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 262,357 | |
| Aggregate gross unrealized depreciation | | | (9,399,564 | ) |
| Net unrealized depreciation | | $ | (9,137,207 | ) |
| Federal income tax cost | | $ | 22,844,286 | |
See accompanying notes to the financial statements.
Ultra Industrials
Schedule of Portfolio Investments
May 31, 2022
Swap Agreementsa
Ultra Industrials had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount ($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | | Reference Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the Benefit
of (the Fund)/
the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/
the
Counterparty
($) | | Net Amounte
($) | |
| 5,123,654 | | 5/8/2023 | | Bank of America NA | | 1.13 | % | | Dow Jones U.S. IndustrialsSM Index | | (1,339,485 | ) | 1,339,391 | | 94 | | — | |
| 5,292,014 | | 11/7/2022 | | Citibank NA | | 1.13 | % | | Dow Jones U.S. IndustrialsSM Index | | (1,105,837 | ) | 1,102,160 | | 3,677 | | — | |
| 4,114,455 | | 3/7/2023 | | Goldman Sachs International | | 1.43 | % | | Dow Jones U.S. IndustrialsSM Index | | (1,507,066 | ) | — | | 1,507,066 | | — | |
| 468,783 | | 4/10/2023 | | Morgan Stanley & Co. International plc | | 1.43 | % | | Dow Jones U.S. IndustrialsSM Index | | (83,633 | ) | 80,660 | | 2,973 | | — | |
| 1,911,550 | | 3/7/2023 | | Societe Generale | | 1.38 | % | | Dow Jones U.S. IndustrialsSM Index | | (533,853 | ) | 449,915 | | 83,938 | | — | |
| 1,006,669 | | 3/7/2023 | | UBS AG | | 1.18 | % | | Dow Jones U.S. IndustrialsSM Index | | (396,535 | ) | 260,160 | | 136,375 | | — | |
| 17,917,125 | | | | | | | | | | | (4,966,409 | ) | | | | | | |
| | | | | | | | | Total Unrealized Depreciation | | (4,966,409 | ) | | | | | | |
| a | The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815. |
| b | Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity. |
| c | Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation). |
| d | The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities. |
| e | Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default. |
See accompanying notes to the financial statements.
Ultra MidCap400
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| COMMON STOCKS(a) - 91.4% | | | | | | | | |
| | | | | | | | |
| Aerospace & Defense - 1.2% | | | | | | | | |
| Axon Enterprise, Inc.* | | | 3,575 | | | | 362,362 | |
| Curtiss-Wright Corp. | | | 2,049 | | | | 290,917 | |
| Hexcel Corp.(b) | | | 4,382 | | | | 251,746 | |
| Mercury Systems, Inc.* | | | 2,963 | | | | 177,217 | |
| Woodward, Inc. | | | 3,293 | | | | 334,602 | |
| | | | | | | 1,416,844 | |
| Air Freight & Logistics - 0.2% | | | | | | | | |
| GXO Logistics, Inc.* | | | 5,149 | | | | 279,436 | |
| | | | | | | | |
| Airlines - 0.1% | | | | | | | | |
| JetBlue Airways Corp.* | | | 16,606 | | | | 178,348 | |
| | | | | | | | |
| Auto Components - 1.3% | | | | | | | | |
| Adient plc* | | | 4,948 | | | | 175,110 | |
| Dana, Inc. | | | 7,531 | | | | 124,714 | |
| Fox Factory Holding Corp.* | | | 2,199 | | | | 180,362 | |
| Gentex Corp. | | | 12,351 | | | | 383,869 | |
| Goodyear Tire & Rubber Co. (The)* | | | 14,672 | | | | 189,562 | |
| Lear Corp. | | | 3,117 | | | | 439,372 | |
| Visteon Corp.* | | | 1,463 | | | | 164,163 | |
| | | | | | | 1,657,152 | |
| Automobiles - 0.4% | | | | | | | | |
| Harley-Davidson, Inc. | | | 8,036 | | | | 282,706 | |
| Thor Industries, Inc. | | | 2,904 | | | | 220,617 | |
| | | | | | | 503,323 | |
| Banks - 6.3% | | | | | | | | |
| Associated Banc-Corp. | | | 7,812 | | | | 161,708 | |
| Bank of Hawaii Corp.(b) | | | 2,102 | | | | 167,067 | |
| Bank OZK | | | 6,318 | | | | 262,007 | |
| Cadence Bank | | | 9,835 | | | | 262,890 | |
| Cathay General Bancorp | | | 3,956 | | | | 162,631 | |
| Commerce Bancshares, Inc. | | | 5,770 | | | | 399,169 | |
| Cullen/Frost Bankers, Inc. | | | 2,976 | | | | 371,940 | |
| East West Bancorp, Inc. | | | 7,411 | | | | 545,005 | |
| First Financial Bankshares, Inc.(b) | | | 6,699 | | | | 276,267 | |
| First Horizon Corp. | | | 27,886 | | | | 636,637 | |
| FNB Corp. | | | 17,742 | | | | 215,565 | |
| Fulton Financial Corp. | | | 8,422 | | | | 133,489 | |
| Glacier Bancorp, Inc. | | | 5,665 | | | | 274,243 | |
| Hancock Whitney Corp. | | | 4,534 | | | | 225,975 | |
| Home BancShares, Inc. | | | 7,864 | | | | 177,648 | |
| International Bancshares Corp. | | | 2,779 | | | | 116,523 | |
| Old National Bancorp | | | 15,415 | | | | 245,099 | |
| PacWest Bancorp | | | 6,244 | | | | 197,186 | |
| Pinnacle Financial Partners, Inc. | | | 3,976 | | | | 323,726 | |
| Prosperity Bancshares, Inc. | | | 4,813 | | | | 348,942 | |
| Synovus Financial Corp. | | | 7,572 | | | | 322,946 | |
| Texas Capital Bancshares, Inc.* | | | 2,644 | | | | 149,465 | |
| UMB Financial Corp. | | | 2,251 | | | | 207,880 | |
| Umpqua Holdings Corp. | | | 11,311 | | | | 199,639 | |
| United Bankshares, Inc. | | | 7,123 | | | | 267,540 | |
| Valley National Bancorp | | | 22,007 | | | | 279,709 | |
| Washington Federal, Inc. | | | 3,406 | | | | 110,525 | |
| Webster Financial Corp. | | | 9,389 | | | | 460,906 | |
| Wintrust Financial Corp. | | | 2,978 | | | | 260,247 | |
| | | | | | | 7,762,574 | |
| Beverages - 0.1% | | | | | | | | |
| Boston Beer Co., Inc. (The), Class A* | | | 490 | | | | 174,097 | |
| | | | | | | | |
| Biotechnology - 1.5% | | | | | | | | |
| Arrowhead Pharmaceuticals, Inc.* | | | 5,507 | | | | 183,714 | |
| Exelixis, Inc.* | | | 16,522 | | | | 302,848 | |
| Halozyme Therapeutics, Inc.* | | | 7,352 | | | | 338,045 | |
| Neurocrine Biosciences, Inc.*(b) | | | 4,954 | | | | 463,149 | |
| United Therapeutics Corp.* | | | 2,353 | | | | 541,990 | |
| | | | | | | 1,829,746 | |
| Building Products - 2.3% | | | | | | | | |
| Builders FirstSource, Inc.* | | | 10,000 | | | | 650,900 | |
| Carlisle Cos., Inc. | | | 2,730 | | | | 694,594 | |
| Lennox International, Inc. | | | 1,758 | | | | 367,246 | |
| Owens Corning | | | 5,247 | | | | 501,508 | |
| Simpson Manufacturing Co., Inc. | | | 2,268 | | | | 245,738 | |
| Trex Co., Inc.* | | | 6,011 | | | | 383,021 | |
| | | | | | | 2,843,007 | |
| Capital Markets - 1.8% | | | | | | | | |
| Affiliated Managers Group, Inc. | | | 2,124 | | | | 283,809 | |
| Evercore, Inc., Class A | | | 2,037 | | | | 232,625 | |
| Federated Hermes, Inc. | | | 5,057 | | | | 171,786 | |
| Interactive Brokers Group, Inc., Class A | | | 4,563 | | | | 280,807 | |
| Janus Henderson Group plc | | | 8,827 | | | | 248,127 | |
| Jefferies Financial Group, Inc. | | | 10,104 | | | | 333,634 | |
| SEI Investments Co. | | | 5,495 | | | | 321,073 | |
| Stifel Financial Corp. | | | 5,458 | | | | 350,240 | |
| | | | | | | 2,222,101 | |
| Chemicals - 2.7% | | | | | | | | |
| Ashland Global Holdings, Inc. | | | 2,765 | | | | 295,910 | |
| Avient Corp. | | | 4,778 | | | | 235,078 | |
| Cabot Corp. | | | 2,955 | | | | 223,428 | |
| Chemours Co. (The) | | | 8,356 | | | | 360,060 | |
| Ingevity Corp.* | | | 2,052 | | | | 142,983 | |
| Minerals Technologies, Inc. | | | 1,739 | | | | 115,226 | |
| NewMarket Corp. | | | 357 | | | | 117,639 | |
| Olin Corp. | | | 7,369 | | | | 484,807 | |
| RPM International, Inc. | | | 6,773 | | | | 596,701 | |
| Scotts Miracle-Gro Co. (The)(b) | | | 2,118 | | | | 200,405 | |
| Sensient Technologies Corp. | | | 2,194 | | | | 191,843 | |
| Valvoline, Inc. | | | 9,367 | | | | 313,420 | |
| | | | | | | 3,277,500 | |
| Commercial Services & Supplies - 1.4% | | | | | | | | |
| Brink's Co. (The) | | | 2,567 | | | | 156,151 | |
| Clean Harbors, Inc.* | | | 2,614 | | | | 244,148 | |
| IAA, Inc.* | | | 7,041 | | | | 274,810 | |
| MillerKnoll, Inc.(b) | | | 3,955 | | | | 119,441 | |
| MSA Safety, Inc. | | | 1,905 | | | | 242,869 | |
| Stericycle, Inc.* | | | 4,797 | | | | 242,488 | |
| Tetra Tech, Inc. | | | 2,820 | | | | 380,615 | |
| | | | | | | 1,660,522 | |
| Communications Equipment - 0.8% | | | | | | | | |
| Calix, Inc.* | | | 2,864 | | | | 105,796 | |
| Ciena Corp.* | | | 8,088 | | | | 411,032 | |
| Lumentum Holdings, Inc.*(b) | | | 3,770 | | | | 324,522 | |
| Viasat, Inc.* | | | 3,885 | | | | 153,419 | |
| | | | | | | 994,769 | |
| Construction & Engineering - 1.6% | | | | | | | | |
| AECOM | | | 7,381 | | | | 515,563 | |
| Dycom Industries, Inc.* | | | 1,576 | | | | 146,741 | |
| EMCOR Group, Inc. | | | 2,787 | | | | 294,391 | |
See accompanying notes to the financial statements.
Ultra MidCap400
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Fluor Corp.*(b) | | | 7,384 | | | | 208,450 | |
| MasTec, Inc.* | | | 3,073 | | | | 256,872 | |
| MDU Resources Group, Inc. | | | 10,620 | | | | 290,776 | |
| Valmont Industries, Inc.(b) | | | 1,109 | | | | 284,736 | |
| | | | | | | 1,997,529 | |
| Construction Materials - 0.2% | | | | | | | | |
| Eagle Materials, Inc. | | | 2,064 | | | | 269,476 | |
| | | | | | | | |
| Consumer Finance - 0.5% | | | | | | | | |
| FirstCash Holdings, Inc. | | | 2,101 | | | | 156,840 | |
| Navient Corp. | | | 8,040 | | | | 128,640 | |
| SLM Corp. | | | 14,563 | | | | 285,289 | |
| | | | | | | 570,769 | |
| Containers & Packaging - 0.8% | | | | | | | | |
| AptarGroup, Inc. | | | 3,438 | | | | 368,175 | |
| Greif, Inc., Class A | | | 1,387 | | | | 82,485 | |
| Silgan Holdings, Inc. | | | 4,383 | | | | 192,019 | |
| Sonoco Products Co. | | | 5,135 | | | | 300,244 | |
| | | | | | | 942,923 | |
| Diversified Consumer Services - 1.0% | | | | | | | | |
| Graham Holdings Co., Class B | | | 210 | | | | 128,173 | |
| Grand Canyon Education, Inc.* | | | 2,069 | | | | 184,493 | |
| H&R Block, Inc. | | | 8,592 | | | | 302,782 | |
| Service Corp. International | | | 8,611 | | | | 603,028 | |
| | | | | | | 1,218,476 | |
| Diversified Financial Services - 0.3% | | | | | | | | |
| Voya Financial, Inc. | | | 5,640 | | | | 386,960 | |
| | | | | | | | |
| Diversified Telecommunication Services - 0.2% | | | | | | | | |
| Iridium Communications, Inc.* | | | 6,904 | | | | 256,207 | |
| | | | | | | | |
| Electric Utilities - 1.1% | | | | | | | | |
| ALLETE, Inc. | | | 2,913 | | | | 180,664 | |
| Hawaiian Electric Industries, Inc. | | | 5,709 | | | | 246,458 | |
| IDACORP, Inc. | | | 2,638 | | | | 287,595 | |
| OGE Energy Corp. | | | 10,453 | | | | 431,709 | |
| PNM Resources, Inc. | | | 4,482 | | | | 213,029 | |
| | | | | | | 1,359,455 | |
| Electrical Equipment - 1.7% | | | | | | | | |
| Acuity Brands, Inc. | | | 1,829 | | | | 320,112 | |
| EnerSys | | | 2,154 | | | | 145,869 | |
| Hubbell, Inc. | | | 2,841 | | | | 539,392 | |
| nVent Electric plc | | | 8,785 | | | | 310,989 | |
| Regal Rexnord Corp. | | | 3,539 | | | | 442,198 | |
| Sunrun, Inc.* | | | 10,810 | | | | 282,357 | |
| Vicor Corp.* | | | 1,120 | | | | 75,376 | |
| | | | | | | 2,116,293 | |
| Electronic Equipment, Instruments & Components - 2.9% | | | | | | | | |
| Arrow Electronics, Inc.* | | | 3,554 | | | | 428,790 | |
| Avnet, Inc. | | | 5,167 | | | | 250,341 | |
| Belden, Inc. | | | 2,346 | | | | 135,083 | |
| Cognex Corp. | | | 9,232 | | | | 447,014 | |
| Coherent, Inc.* | | | 1,294 | | | | 350,622 | |
| II-VI, Inc.*(b) | | | 5,552 | | | | 347,000 | |
| Jabil, Inc. | | | 7,493 | | | | 460,969 | |
| Littelfuse, Inc. | | | 1,287 | | | | 347,748 | |
| National Instruments Corp. | | | 6,888 | | | | 243,284 | |
| TD SYNNEX Corp. | | | 2,165 | | | | 224,835 | |
| Vishay Intertechnology, Inc. | | | 6,929 | | | | 141,629 | |
| Vontier Corp. | | | 8,828 | | | | 236,767 | |
| | | | | | | 3,614,082 | |
| Energy Equipment & Services - 0.5% | | | | | | | | |
| ChampionX Corp. | | | 10,552 | | | | 245,545 | |
| NOV, Inc. | | | 20,504 | | | | 410,080 | |
| | | | | | | 655,625 | |
| Entertainment - 0.1% | | | | | | | | |
| World Wrestling Entertainment, Inc., Class A | | | 2,285 | | | | 152,569 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (REITs) - 8.1% | | | | | | | | |
| American Campus Communities, Inc. | | | 7,267 | | | | 472,355 | |
| Apartment Income REIT Corp. | | | 8,198 | | | | 367,762 | |
| Brixmor Property Group, Inc. | | | 15,553 | | | | 379,182 | |
| Corporate Office Properties Trust | | | 5,865 | | | | 162,109 | |
| Cousins Properties, Inc.(b) | | | 7,764 | | | | 268,246 | |
| Douglas Emmett, Inc. | | | 9,164 | | | | 259,066 | |
| EastGroup Properties, Inc. | | | 2,125 | | | | 343,294 | |
| EPR Properties | | | 3,906 | | | | 200,143 | |
| First Industrial Realty Trust, Inc. | | | 6,803 | | | | 361,579 | |
| Healthcare Realty Trust, Inc.(b) | | | 7,705 | | | | 223,984 | |
| Highwoods Properties, Inc. | | | 5,477 | | | | 215,191 | |
| Hudson Pacific Properties, Inc. | | | 7,961 | | | | 158,504 | |
| Independence Realty Trust, Inc. | | | 12,088 | | | | 284,189 | |
| JBG SMITH Properties | | | 5,960 | | | | 153,828 | |
| Kilroy Realty Corp. | | | 5,486 | | | | 333,000 | |
| Kite Realty Group Trust | | | 11,437 | | | | 239,720 | |
| Lamar Advertising Co., Class A | | | 4,534 | | | | 444,105 | |
| Life Storage, Inc. | | | 4,283 | | | | 500,083 | |
| Macerich Co. (The) | | | 11,124 | | | | 130,707 | |
| Medical Properties Trust, Inc. | | | 31,165 | | | | 579,046 | |
| National Retail Properties, Inc. | | | 9,172 | | | | 406,320 | |
| National Storage Affiliates Trust | | | 4,280 | | | | 224,486 | |
| Omega Healthcare Investors, Inc. | | | 12,480 | | | | 371,530 | |
| Park Hotels & Resorts, Inc. | | | 12,348 | | | | 223,005 | |
| Pebblebrook Hotel Trust | | | 6,861 | | | | 154,441 | |
| Physicians Realty Trust | | | 11,502 | | | | 213,362 | |
| PotlatchDeltic Corp. | | | 3,607 | | | | 189,223 | |
| PS Business Parks, Inc. | | | 1,050 | | | | 197,012 | |
| Rayonier, Inc. | | | 7,592 | | | | 312,942 | |
| Rexford Industrial Realty, Inc. | | | 8,369 | | | | 534,528 | |
| Sabra Health Care REIT, Inc. | | | 11,940 | | | | 167,638 | |
| SL Green Realty Corp. | | | 3,348 | | | | 206,816 | |
| Spirit Realty Capital, Inc. | | | 6,669 | | | | 280,031 | |
| STORE Capital Corp. | | | 12,814 | | | | 353,538 | |
| | | | | | | 9,910,965 | |
| Food & Staples Retailing - 1.2% | | | | | | | | |
| BJ's Wholesale Club Holdings, Inc.* | | | 7,100 | | | | 410,877 | |
| Casey's General Stores, Inc. | | | 1,938 | | | | 406,088 | |
| Grocery Outlet Holding Corp.* | | | 4,563 | | | | 174,535 | |
| Performance Food Group Co.* | | | 8,084 | | | | 350,360 | |
| Sprouts Farmers Market, Inc.* | | | 5,862 | | | | 158,802 | |
| | | | | | | 1,500,662 | |
| Food Products - 1.7% | | | | | | | | |
| Darling Ingredients, Inc.* | | | 8,450 | | | | 676,591 | |
| Flowers Foods, Inc. | | | 10,376 | | | | 286,378 | |
| Hain Celestial Group, Inc. (The)* | | | 4,769 | | | | 125,663 | |
| Ingredion, Inc. | | | 3,474 | | | | 328,953 | |
| Lancaster Colony Corp. | | | 1,035 | | | | 126,167 | |
| Pilgrim's Pride Corp.* | | | 2,545 | | | | 84,799 | |
| Post Holdings, Inc.* | | | 2,973 | | | | 244,470 | |
| Sanderson Farms, Inc. | | | 1,108 | | | | 221,046 | |
| | | | | | | 2,094,067 | |
| Gas Utilities - 1.5% | | | | | | | | |
| National Fuel Gas Co. | | | 4,775 | | | | 351,106 | |
See accompanying notes to the financial statements.
Ultra MidCap400
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| New Jersey Resources Corp. | | | 5,017 | | | | 230,381 | |
| ONE Gas, Inc. | | | 2,799 | | | | 243,569 | |
| Southwest Gas Holdings, Inc. | | | 3,440 | | | | 320,367 | |
| Spire, Inc. | | | 2,702 | | | | 211,567 | |
| UGI Corp. | | | 10,956 | | | | 468,259 | |
| | | | | | | 1,825,249 | |
| Health Care Equipment & Supplies - 2.7% | | | | | | | | |
| Enovis Corp.* | | | 2,366 | | | | 156,962 | |
| Envista Holdings Corp.* | | | 8,426 | | | | 362,655 | |
| Globus Medical, Inc., Class A* | | | 4,127 | | | | 274,858 | |
| Haemonetics Corp.* | | | 2,669 | | | | 168,841 | |
| ICU Medical, Inc.* | | | 1,041 | | | | 189,087 | |
| Inari Medical, Inc.* | | | 1,678 | | | | 110,412 | |
| Integra LifeSciences Holdings Corp.* | | | 3,804 | | | | 238,283 | |
| LivaNova plc* | | | 2,779 | | | | 189,167 | |
| Masimo Corp.* | | | 2,653 | | | | 372,561 | |
| Neogen Corp.* | | | 5,626 | | | | 148,864 | |
| NuVasive, Inc.* | | | 2,702 | | | | 155,122 | |
| Penumbra, Inc.* | | | 1,834 | | | | 269,451 | |
| QuidelOrtho Corp.* | | | 2,611 | | | | 248,123 | |
| STAAR Surgical Co.* | | | 2,485 | | | | 163,861 | |
| Tandem Diabetes Care, Inc.* | | | 3,318 | | | | 226,188 | |
| | | | | | | 3,274,435 | |
| Health Care Providers & Services - 2.3% | | | | | | | | |
| Acadia Healthcare Co., Inc.* | | | 4,696 | | | | 334,214 | |
| Amedisys, Inc.* | | | 1,702 | | | | 197,279 | |
| Chemed Corp. | | | 804 | | | | 389,457 | |
| Encompass Health Corp. | | | 5,196 | | | | 340,546 | |
| HealthEquity, Inc.* | | | 4,365 | | | | 273,162 | |
| LHC Group, Inc.* | | | 1,654 | | | | 275,656 | |
| Option Care Health, Inc.* | | | 7,233 | | | | 219,594 | |
| Patterson Cos., Inc. | | | 4,531 | | | | 143,134 | |
| Progyny, Inc.* | | | 3,636 | | | | 114,934 | |
| R1 RCM, Inc.* | | | 6,974 | | | | 149,732 | |
| Tenet Healthcare Corp.* | | | 5,595 | | | | 362,052 | |
| | | | | | | 2,799,760 | |
| Hotels, Restaurants & Leisure - 2.5% | | | | | | | | |
| Boyd Gaming Corp. | | | 4,283 | | | | 251,712 | |
| Choice Hotels International, Inc. | | | 1,713 | | | | 219,076 | |
| Churchill Downs, Inc. | | | 1,798 | | | | 363,969 | |
| Cracker Barrel Old Country Store, Inc. | | | 1,228 | | | | 125,268 | |
| Light & Wonder, Inc.* | | | 5,040 | | | | 266,112 | |
| Marriott Vacations Worldwide Corp. | | | 2,224 | | | | 328,529 | |
| Papa John's International, Inc. | | | 1,690 | | | | 148,737 | |
| Six Flags Entertainment Corp.* | | | 4,040 | | | | 118,574 | |
| Texas Roadhouse, Inc. | | | 3,637 | | | | 283,577 | |
| Travel + Leisure Co. | | | 4,507 | | | | 230,353 | |
| Wendy's Co. (The) | | | 9,216 | | | | 171,786 | |
| Wingstop, Inc. | | | 1,558 | | | | 124,110 | |
| Wyndham Hotels & Resorts, Inc. | | | 4,866 | | | | 389,913 | |
| | | | | | | 3,021,716 | |
| Household Durables - 1.4% | | | | | | | | |
| Helen of Troy Ltd.* | | | 1,260 | | | | 233,339 | |
| KB Home | | | 4,475 | | | | 154,343 | |
| Leggett & Platt, Inc. | | | 6,965 | | | | 272,819 | |
| Taylor Morrison Home Corp.* | | | 6,417 | | | | 185,900 | |
| Tempur Sealy International, Inc. | | | 10,053 | | | | 265,098 | |
| Toll Brothers, Inc. | | | 5,868 | | | | 296,158 | |
| TopBuild Corp.* | | | 1,719 | | | | 339,090 | |
| | | | | | | 1,746,747 | |
| Household Products - 0.1% | | | | | | | | |
| Energizer Holdings, Inc. | | | 3,423 | | | | 102,656 | |
| | | | | | | | |
| Insurance - 3.9% | | | | | | | | |
| Alleghany Corp.* | | | 715 | | | | 596,153 | |
| American Financial Group, Inc. | | | 3,458 | | | | 488,615 | |
| Brighthouse Financial, Inc.* | | | 4,066 | | | | 199,722 | |
| CNO Financial Group, Inc. | | | 6,287 | | | | 129,324 | |
| First American Financial Corp. | | | 5,731 | | | | 347,241 | |
| Hanover Insurance Group, Inc. (The) | | | 1,858 | | | | 272,383 | |
| Kemper Corp. | | | 3,126 | | | | 165,147 | |
| Kinsale Capital Group, Inc. | | | 1,120 | | | | 246,266 | |
| Mercury General Corp. | | | 1,389 | | | | 67,991 | |
| Old Republic International Corp. | | | 14,909 | | | | 356,623 | |
| Primerica, Inc. | | | 2,063 | | | | 259,938 | |
| Reinsurance Group of America, Inc. | | | 3,508 | | | | 441,482 | |
| RenaissanceRe Holdings Ltd. | | | 2,297 | | | | 352,635 | |
| RLI Corp. | | | 2,081 | | | | 252,051 | |
| Selective Insurance Group, Inc. | | | 3,144 | | | | 249,319 | |
| Unum Group | | | 10,677 | | | | 389,177 | |
| | | | | | | 4,814,067 | |
| Interactive Media & Services - 0.3% | | | | | | | | |
| TripAdvisor, Inc.* | | | 5,172 | | | | 128,473 | |
| Yelp, Inc.* | | | 3,584 | | | | 105,405 | |
| Ziff Davis, Inc.* | | | 2,518 | | | | 192,224 | |
| | | | | | | 426,102 | |
| IT Services - 2.1% | | | | | | | | |
| Bread Financial Holdings, Inc. | | | 2,599 | | | | 143,205 | |
| Concentrix Corp. | | | 2,241 | | | | 347,109 | |
| Euronet Worldwide, Inc.* | | | 2,761 | | | | 334,523 | |
| Genpact Ltd. | | | 8,904 | | | | 395,070 | |
| Kyndryl Holdings, Inc.* | | | 9,362 | | | | 115,527 | |
| LiveRamp Holdings, Inc.* | | | 3,556 | | | | 91,034 | |
| Maximus, Inc. | | | 3,234 | | | | 209,854 | |
| Sabre Corp.* | | | 16,889 | | | | 126,836 | |
| Western Union Co. (The) | | | 20,564 | | | | 373,031 | |
| WEX, Inc.* | | | 2,340 | | | | 398,455 | |
| | | | | | | 2,534,644 | |
| Leisure Products - 1.2% | | | | | | | | |
| Brunswick Corp. | | | 4,026 | | | | 302,876 | |
| Callaway Golf Co.* | | | 6,120 | | | | 132,865 | |
| Mattel, Inc.* | | | 18,295 | | | | 459,570 | |
| Polaris, Inc. | | | 2,979 | | | | 317,413 | |
| YETI Holdings, Inc.* | | | 4,577 | | | | 209,398 | |
| | | | | | | 1,422,122 | |
| Life Sciences Tools & Services - 1.4% | | | | | | | | |
| Azenta, Inc.(b) | | | 3,912 | | | | 299,816 | |
| Bruker Corp. | | | 5,306 | | | | 331,519 | |
| Medpace Holdings, Inc.* | | | 1,502 | | | | 215,147 | |
| Repligen Corp.* | | | 2,686 | | | | 441,766 | |
| Syneos Health, Inc.* | | | 5,415 | | | | 400,114 | |
| | | | | | | 1,688,362 | |
| Machinery - 4.0% | | | | | | | | |
| AGCO Corp. | | | 3,205 | | | | 410,657 | |
| Chart Industries, Inc.*(b) | | | 1,860 | | | | 327,137 | |
| Crane Holdings Co. | | | 2,607 | | | | 249,386 | |
| Donaldson Co., Inc. | | | 6,451 | | | | 337,258 | |
| Esab Corp.* | | | 2,367 | | | | 118,350 | |
| Flowserve Corp. | | | 6,802 | | | | 214,263 | |
| Graco, Inc. | | | 8,876 | | | | 561,851 | |
| ITT, Inc. | | | 4,470 | | | | 329,975 | |
See accompanying notes to the financial statements.
Ultra MidCap400
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Kennametal, Inc. | | | 4,338 | | | | 120,336 | |
| Lincoln Electric Holdings, Inc. | | | 3,084 | | | | 418,869 | |
| Middleby Corp. (The)*(b) | | | 2,905 | | | | 439,991 | |
| Oshkosh Corp. | | | 3,478 | | | | 323,141 | |
| Terex Corp. | | | 3,645 | | | | 128,997 | |
| Timken Co. (The) | | | 3,605 | | | | 220,157 | |
| Toro Co. (The) | | | 5,478 | | | | 451,880 | |
| Trinity Industries, Inc. | | | 4,271 | | | | 106,177 | |
| Watts Water Technologies, Inc., Class A | | | 1,439 | | | | 188,264 | |
| | | | | | | 4,946,689 | |
| Marine - 0.2% | | | | | | | | |
| Kirby Corp.* | | | 3,139 | | | | 211,977 | |
| | | | | | | | |
| Media - 0.8% | | | | | | | | |
| Cable One, Inc. | | | 259 | | | | 337,503 | |
| John Wiley & Sons, Inc., Class A | | | 2,274 | | | | 120,431 | |
| New York Times Co. (The), Class A | | | 8,725 | | | | 300,925 | |
| TEGNA, Inc. | | | 11,555 | | | | 253,055 | |
| | | | | | | 1,011,914 | |
| Metals & Mining - 3.0% | | | | | | | | |
| Alcoa Corp. | | | 9,614 | | | | 593,376 | |
| Cleveland-Cliffs, Inc.* | | | 24,967 | | | | 578,735 | |
| Commercial Metals Co. | | | 6,344 | | | | 252,047 | |
| Reliance Steel & Aluminum Co. | | | 3,272 | | | | 636,077 | |
| Royal Gold, Inc. | | | 3,428 | | | | 387,638 | |
| Steel Dynamics, Inc. | | | 9,845 | | | | 840,566 | |
| United States Steel Corp. | | | 13,626 | | | | 341,604 | |
| Worthington Industries, Inc. | | | 1,702 | | | | 79,382 | |
| | | | | | | 3,709,425 | |
| Multiline Retail - 0.8% | | | | | | | | |
| Kohl's Corp. | | | 7,267 | | | | 293,005 | |
| Macy's, Inc. | | | 15,627 | | | | 369,579 | |
| Nordstrom, Inc. | | | 5,824 | | | | 153,928 | |
| Ollie's Bargain Outlet Holdings, Inc.* | | | 3,065 | | | | 143,963 | |
| | | | | | | 960,475 | |
| Multi-Utilities - 0.4% | | | | | | | | |
| Black Hills Corp. | | | 3,332 | | | | 255,431 | |
| NorthWestern Corp. | | | 2,825 | | | | 173,088 | |
| | | | | | | 428,519 | |
| Oil, Gas & Consumable Fuels - 3.6% | | | | | | | | |
| Antero Midstream Corp. | | | 16,955 | | | | 184,131 | |
| CNX Resources Corp.* | | | 10,574 | | | | 229,667 | |
| DT Midstream, Inc. | | | 5,051 | | | | 293,463 | |
| EQT Corp. | | | 15,709 | | | | 749,634 | |
| Equitrans Midstream Corp. | | | 21,229 | | | | 167,072 | |
| HF Sinclair Corp. | | | 7,807 | | | | 383,324 | |
| Matador Resources Co. | | | 5,760 | | | | 350,784 | |
| Murphy Oil Corp. | | | 7,582 | | | | 321,628 | |
| PDC Energy, Inc. | | | 5,086 | | | | 402,506 | |
| Range Resources Corp.* | | | 13,045 | | | | 442,878 | |
| Targa Resources Corp. | | | 11,958 | | | | 861,215 | |
| | | | | | | 4,386,302 | |
| Paper & Forest Products - 0.3% | | | | | | | | |
| Louisiana-Pacific Corp. | | | 4,595 | | | | 317,331 | |
| | | | | | | | |
| Personal Products - 0.3% | | | | | | | | |
| BellRing Brands, Inc.* | | | 5,832 | | | | 152,507 | |
| Coty, Inc., Class A* | | | 17,957 | | | | 127,315 | |
| Nu Skin Enterprises, Inc., Class A(b) | | | 2,602 | | | | 121,383 | |
| | | | | | | 401,205 | |
| Pharmaceuticals - 0.6% | | | | | | | | |
| Jazz Pharmaceuticals plc*(b) | | | 3,210 | | | | 480,473 | |
| Perrigo Co. plc | | | 6,986 | | | | 278,462 | |
| | | | | | | 758,935 | |
| Professional Services - 1.6% | | | | | | | | |
| ASGN, Inc.* | | | 2,721 | | | | 259,121 | |
| CACI International, Inc., Class A* | | | 1,219 | | | | 341,771 | |
| FTI Consulting, Inc.*(b) | | | 1,791 | | | | 300,888 | |
| Insperity, Inc. | | | 1,861 | | | | 186,230 | |
| KBR, Inc. | | | 7,327 | | | | 364,592 | |
| ManpowerGroup, Inc. | | | 2,833 | | | | 253,865 | |
| Science Applications International Corp. | | | 2,974 | | | | 257,429 | |
| | | | | | | 1,963,896 | |
| Real Estate Management & Development - 0.4% | | | | | | | | |
| Jones Lang LaSalle, Inc.* | | | 2,635 | | | | 519,938 | |
| | | | | | | | |
| Road & Rail - 1.6% | | | | | | | | |
| Avis Budget Group, Inc.*(b) | | | 2,093 | | | | 398,256 | |
| Knight-Swift Transportation Holdings, Inc. | | | 8,666 | | | | 421,514 | |
| Landstar System, Inc. | | | 1,968 | | | | 298,014 | |
| Ryder System, Inc. | | | 2,804 | | | | 224,376 | |
| Saia, Inc.* | | | 1,375 | | | | 271,687 | |
| Werner Enterprises, Inc. | | | 3,126 | | | | 126,822 | |
| XPO Logistics, Inc.* | | | 5,152 | | | | 275,323 | |
| | | | | | | 2,015,992 | |
| Semiconductors & Semiconductor Equipment - 3.1% | | | | | | | | |
| Amkor Technology, Inc. | | | 5,235 | | | | 107,003 | |
| Cirrus Logic, Inc.* | | | 2,991 | | | | 243,886 | |
| CMC Materials, Inc. | | | 1,492 | | | | 263,995 | |
| First Solar, Inc.* | | | 5,164 | | | | 364,630 | |
| Lattice Semiconductor Corp.* | | | 7,152 | | | | 372,047 | |
| MKS Instruments, Inc. | | | 2,895 | | | | 357,533 | |
| Power Integrations, Inc. | | | 3,090 | | | | 260,734 | |
| Semtech Corp.* | | | 3,365 | | | | 215,663 | |
| Silicon Laboratories, Inc.* | | | 1,994 | | | | 297,425 | |
| SiTime Corp.* | | | 783 | | | | 166,779 | |
| SunPower Corp.*(b) | | | 4,335 | | | | 76,599 | |
| Synaptics, Inc.* | | | 2,065 | | | | 305,868 | |
| Universal Display Corp. | | | 2,264 | | | | 285,966 | |
| Wolfspeed, Inc.*(b) | | | 6,453 | | | | 485,459 | |
| | | | | | | 3,803,587 | |
| Software - 3.0% | | | | | | | | |
| ACI Worldwide, Inc.* | | | 6,138 | | | | 163,516 | |
| Aspen Technology, Inc.* | | | 1,460 | | | | 282,457 | |
| Blackbaud, Inc.* | | | 2,334 | | | | 148,559 | |
| CDK Global, Inc. | | | 6,098 | | | | 332,097 | |
| CommVault Systems, Inc.* | | | 2,327 | | | | 141,970 | |
| Digital Turbine, Inc.* | | | 4,607 | | | | 117,156 | |
| Envestnet, Inc.* | | | 2,854 | | | | 190,134 | |
| Fair Isaac Corp.* | | | 1,372 | | | | 561,903 | |
| Manhattan Associates, Inc.* | | | 3,297 | | | | 398,706 | |
| NCR Corp.*(b) | | | 6,893 | | | | 239,118 | |
| Paylocity Holding Corp.* | | | 2,072 | | | | 362,310 | |
| Qualys, Inc.* | | | 1,743 | | | | 227,775 | |
| Sailpoint Technologies Holdings, Inc.* | | | 4,870 | | | | 308,953 | |
| Teradata Corp.* | | | 5,666 | | | | 217,744 | |
| | | | | | | 3,692,398 | |
See accompanying notes to the financial statements.
Ultra MidCap400
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Specialty Retail - 2.8% | | | | | | | | |
| American Eagle Outfitters, Inc. | | | 8,011 | | | | 97,013 | |
| AutoNation, Inc.* | | | 2,088 | | | | 249,641 | |
| Dick's Sporting Goods, Inc.(b) | | | 3,285 | | | | 266,841 | |
| Five Below, Inc.* | | | 2,926 | | | | 382,106 | |
| Foot Locker, Inc. | | | 4,560 | | | | 150,389 | |
| GameStop Corp., Class A*(b) | | | 3,230 | | | | 402,910 | |
| Gap, Inc. (The) | | | 11,113 | | | | 122,576 | |
| Lithia Motors, Inc. | | | 1,581 | | | | 481,367 | |
| Murphy USA, Inc. | | | 1,197 | | | | 298,197 | |
| RH* | | | 908 | | | | 263,393 | |
| Urban Outfitters, Inc.* | | | 3,424 | | | | 72,075 | |
| Victoria's Secret & Co.* | | | 3,794 | | | | 156,351 | |
| Williams-Sonoma, Inc. | | | 3,809 | | | | 487,247 | |
| | | | | | | 3,430,106 | |
| Technology Hardware, Storage & Peripherals - 0.1% | | | | | | | | |
| Xerox Holdings Corp. | | | 6,408 | | | | 120,599 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods - 1.4% | | | | | | | | |
| Capri Holdings Ltd.* | | | 7,708 | | | | 375,688 | |
| Carter's, Inc. | | | 2,207 | | | | 170,049 | |
| Columbia Sportswear Co. | | | 1,805 | | | | 140,393 | |
| Crocs, Inc.* | | | 3,072 | | | | 171,295 | |
| Deckers Outdoor Corp.* | | | 1,423 | | | | 382,161 | |
| Hanesbrands, Inc. | | | 18,234 | | | | 216,437 | |
| Skechers USA, Inc., Class A* | | | 7,045 | | | | 277,573 | |
| | | | | | | 1,733,596 | |
| Thrifts & Mortgage Finance - 0.6% | | | | | | | | |
| Essent Group Ltd. | | | 5,767 | | | | 246,770 | |
| MGIC Investment Corp. | | | 16,727 | | | | 233,007 | |
| New York Community Bancorp, Inc. | | | 24,282 | | | | 242,334 | |
| | | | | | | 722,111 | |
| Trading Companies & Distributors - 0.9% | | | | | | | | |
| GATX Corp. | | | 1,854 | | | | 200,139 | |
| MSC Industrial Direct Co., Inc., Class A | | | 2,462 | | | | 209,098 | |
| Univar Solutions, Inc.* | | | 8,928 | | | | 274,268 | |
| Watsco, Inc.(b) | | | 1,725 | | | | 440,962 | |
| | | | | | | 1,124,467 | |
| Water Utilities - 0.5% | | | | | | | | |
| Essential Utilities, Inc. | | | 12,012 | | | | 555,675 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $109,928,309) | | | | | | | 112,316,474 | |
| | | | | | | | |
| SECURITIES LENDING REINVESTMENTS(c) - 0.2% | | | | | | | | |
| | | | | | | | |
| INVESTMENT COMPANIES - 0.2% | | | | | | | | |
BlackRock Liquidity FedFund, Institutional Class
0.72% (Cost $246,710) | | | 246,710 | | | | 246,710 | |
| Investments | | Principal
Amount ($) | | | Value ($) | |
| SHORT-TERM INVESTMENTS - 30.4% | | | | | | | | |
| | | | | | | | |
| REPURCHASE AGREEMENTS(d) - 30.4% | | | | | | | | |
| Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $37,349,036 | | | | | | | | |
| (Cost $37,348,285) | | | 37,348,285 | | | | 37,348,285 | |
| | | | | | | | |
Total Investments - 122.0%
(Cost $147,523,304) | | | | | | | 149,911,469 | |
| Liabilities in excess of other assets - (22.0%) | | | | | | | (26,997,137 | ) |
| Net Assets - 100.0% | | | | | | | 122,914,332 | |
See accompanying notes to the financial statements.
Ultra MidCap400
Schedule of Portfolio Investments
May 31, 2022
| * | Non-income producing security. |
| (a) | All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $71,368,912. |
| (b) | The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $1,025,179, collateralized in the form of cash with a value of $246,710 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $829,608 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 5.50%, and maturity dates ranging from June 15, 2022 – May 15, 2051. The total value of collateral is $1,076,318. |
| (c) | The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $246,710. |
| (d) | The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase. |
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 13,078,196 | |
| Aggregate gross unrealized depreciation | | | (40,224,142 | ) |
| Net unrealized depreciation | | $ | (27,145,946 | ) |
| Federal income tax cost | | $ | 150,765,718 | |
See accompanying notes to the financial statements.
Ultra MidCap400
Schedule of Portfolio Investments
May 31, 2022
Futures Contracts Purchased
Ultra MidCap400 had the following open long futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration
Date | | Trading
Currency | | Notional Amount | | | Value and
Unrealized
Appreciation | |
| S&P Midcap 400 E-Mini Index | | 45 | | 6/17/2022 | | USD | | $ | 11,309,400 | | | $ | 111,178 | |
Swap Agreementsa
Ultra MidCap400 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount ($) | | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | | Reference Instrument | | Value and
Unrealized
Depreciationd
($) | | | Financial
Instruments
for the Benefit
of (the Fund)/
the
Counterparty
($) | | | Cash
Collateral for
the Benefit of
(the Fund)/
the
Counterparty
($) | | | Net
Amounte ($) | |
| 15,156,700 | | | 5/8/2023 | | Bank of America NA | | | 1.23 | % | | S&P MidCap 400® | | | (2,482,114 | ) | | | 2,386,301 | | | | 95,813 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 28,628,483 | | | 5/8/2023 | | BNP Paribas SA | | | 1.28 | % | | S&P MidCap 400® | | | (7,239,855 | ) | | | 7,132,301 | | | | 107,554 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10,018,963 | | | 4/10/2023 | | Citibank NA | | | 1.23 | % | | S&P MidCap 400® | | | (3,151,499 | ) | | | 3,119,808 | | | | 31,691 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 12,689,859 | | | 3/7/2023 | | Goldman Sachs International | | | 1.10 | % | | SPDR® S&P MidCap 400® ETF Trust | | | (4,429,808 | ) | | | | | | | | | | | | |
| 15,476,079 | | | 3/7/2023 | | Goldman Sachs International | | | 1.33 | % | | S&P MidCap 400® | | | (2,381,366 | ) | | | | | | | | | | | | |
| 28,165,938 | | | | | | | | | | | | | | (6,811,174 | ) | | | 6,701,299 | | | | 109,875 | | | | — | |
| 2,197,935 | | | 11/7/2022 | | Morgan Stanley & Co. International plc | | | 1.38 | % | | S&P MidCap 400® | | | (40,433 | ) | | | 36,127 | | | | 4,306 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 15,868,388 | | | 3/7/2023 | | Societe Generale | | | 1.10 | % | | S&P MidCap 400® | | | (3,602,639 | ) | | | 3,573,171 | | | | 29,468 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 22,205,684 | | | 3/7/2023 | | UBS AG | | | 1.18 | % | | S&P MidCap 400® | | | (3,075,161 | ) | | | 3,068,997 | | | | 6,164 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 122,242,091 | | | | | | | | | | | | | | (26,402,875 | ) | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized Depreciation | | | (26,402,875 | ) | | | | | | | | | | | | |
| a | The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815. |
| b | Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity. |
| c | Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation). |
| d | The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities. |
| e | Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default. |
| Abbreviations |
| USD | U.S. Dollar |
See accompanying notes to the financial statements.
Ultra Nasdaq Biotechnology
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| | | | | | |
| COMMON STOCKS(a) - 86.1% |
| | | | | | | | |
| Biotechnology - 67.7% |
| 4D Molecular Therapeutics, Inc.* | | | 2,748 | | | | 20,857 | |
| 89bio, Inc.* | | | 1,734 | | | | 5,219 | |
| Abcam plc, ADR*(b) | | | 2,146 | | | | 31,890 | |
| AC Immune SA*(b) | | | 6,864 | | | | 21,553 | |
| ACADIA Pharmaceuticals, Inc.* | | | 13,746 | | | | 221,998 | |
| Achilles Therapeutics plc, ADR*(b) | | | 3,334 | | | | 8,335 | |
| Acumen Pharmaceuticals, Inc.* | | | 3,461 | | | | 12,252 | |
| Adaptimmune Therapeutics plc, ADR*(b) | | | 11,735 | | | | 16,898 | |
| Adicet Bio, Inc.* | | | 3,347 | | | | 39,562 | |
| ADMA Biologics, Inc.* | | | 16,744 | | | | 34,325 | |
| Adverum Biotechnologies, Inc.* | | | 8,393 | | | | 7,530 | |
| Aeglea BioTherapeutics, Inc.* | | | 4,217 | | | | 6,663 | |
| Aerovate Therapeutics, Inc.*(b) | | | 2,087 | | | | 25,357 | |
| Affimed NV* | | | 12,766 | | | | 39,575 | |
| Agios Pharmaceuticals, Inc.* | | | 4,672 | | | | 90,964 | |
| Akebia Therapeutics, Inc.* | | | 14,961 | | | | 5,534 | |
| Akero Therapeutics, Inc.* | | | 2,994 | | | | 25,868 | |
| Akouos, Inc.* | | | 2,950 | | | | 9,204 | |
| Alaunos Therapeutics, Inc.* | | | 18,483 | | | | 9,570 | |
| Alector, Inc.* | | | 7,023 | | | | 62,224 | |
| Aligos Therapeutics, Inc.* | | | 3,380 | | | | 4,360 | |
| Alkermes plc* | | | 13,855 | | | | 413,572 | |
| Allakos, Inc.* | | | 4,644 | | | | 13,932 | |
| Allogene Therapeutics, Inc.* | | | 12,223 | | | | 96,928 | |
| Allovir, Inc.*(b) | | | 5,588 | | | | 21,626 | |
| Alnylam Pharmaceuticals, Inc.* | | | 10,279 | | | | 1,293,098 | |
| Alpine Immune Sciences, Inc.* | | | 2,499 | | | | 23,241 | |
| Altimmune, Inc.* | | | 3,401 | | | | 17,209 | |
| ALX Oncology Holdings, Inc.*(b) | | | 3,474 | | | | 26,646 | |
| Amarin Corp. plc, ADR* | | | 33,730 | | | | 48,908 | |
| Amgen, Inc. | | | 30,591 | | | | 7,853,933 | |
| Amicus Therapeutics, Inc.* | | | 23,947 | | | | 182,476 | |
| AnaptysBio, Inc.* | | | 2,364 | | | | 44,892 | |
| Anavex Life Sciences Corp.*(b) | | | 6,514 | | | | 59,343 | |
| Annexon, Inc.* | | | 3,281 | | | | 10,302 | |
| Apellis Pharmaceuticals, Inc.* | | | 8,357 | | | | 346,398 | |
| Applied Molecular Transport, Inc.* | | | 3,305 | | | | 10,940 | |
| Applied Therapeutics, Inc.* | | | 2,242 | | | | 3,228 | |
| Arbutus Biopharma Corp.* | | | 11,567 | | | | 28,108 | |
| Arcturus Therapeutics Holdings, Inc.*(b) | | | 2,254 | | | | 44,810 | |
| Arcutis Biotherapeutics, Inc.* | | | 4,308 | | | | 89,951 | |
| Argenx SE, ADR* | | | 2,360 | | | | 729,948 | |
| Arrowhead Pharmaceuticals, Inc.* | | | 9,018 | | | | 300,840 | |
| Ascendis Pharma A/S, ADR* | | | 4,742 | | | | 400,746 | |
| Atara Biotherapeutics, Inc.* | | | 7,954 | | | | 41,361 | |
| Athenex, Inc.* | | | 9,348 | | | | 4,475 | |
| Aurinia Pharmaceuticals, Inc.* | | | 12,113 | | | | 136,635 | |
| Autolus Therapeutics plc, ADR*(b) | | | 4,900 | | | | 13,426 | |
| Avidity Biosciences, Inc.* | | | 4,010 | | | | 55,859 | |
| Avrobio, Inc.* | | | 3,733 | | | | 3,628 | |
| Beam Therapeutics, Inc.* | | | 5,888 | | | | 207,140 | |
| BeiGene Ltd., ADR* | | | 4,257 | | | | 584,146 | |
| BELLUS Health, Inc.* | | | 9,099 | | | | 72,246 | |
| Bicycle Therapeutics plc, ADR*(b) | | | 2,176 | | | | 34,794 | |
| BioAtla, Inc.* | | | 3,064 | | | | 7,384 | |
| BioCryst Pharmaceuticals, Inc.* | | | 15,800 | | | | 147,098 | |
| Biogen, Inc.* | | | 12,567 | | | | 2,513,400 | |
| BioMarin Pharmaceutical, Inc.* | | | 15,733 | | | | 1,182,020 | |
| Biomea Fusion, Inc.* | | | 2,490 | | | | 13,670 | |
| BioNTech SE, ADR* | | | 7,535 | | | | 1,230,918 | |
| Black Diamond Therapeutics, Inc.* | | | 3,098 | | | | 5,236 | |
| Bluebird Bio, Inc.* | | | 5,995 | | | | 19,184 | |
| Blueprint Medicines Corp.* | | | 5,063 | | | | 278,465 | |
| Bolt Biotherapeutics, Inc.* | | | 3,188 | | | | 5,420 | |
| Bridgebio Pharma, Inc.* | | | 12,622 | | | | 86,208 | |
| Brooklyn ImmunoTherapeutics, Inc.* | | | 4,913 | | | | 3,294 | |
| C4 Therapeutics, Inc.*(b) | | | 4,198 | | | | 30,477 | |
| Cabaletta Bio, Inc.* | | | 2,423 | | | | 3,101 | |
| Candel Therapeutics, Inc.*(b) | | | 2,453 | | | | 9,248 | |
| Caribou Biosciences, Inc.* | | | 5,147 | | | | 42,874 | |
| Cellectis SA, ADR* | | | 1,719 | | | | 6,223 | |
| Centessa Pharmaceuticals plc, ADR*(b) | | | 1,661 | | | | 7,474 | |
| Century Therapeutics, Inc.*(b) | | | 4,672 | | | | 40,600 | |
| ChemoCentryx, Inc.* | | | 5,988 | | | | 133,353 | |
| Chimerix, Inc.* | | | 7,428 | | | | 13,965 | |
| Chinook Therapeutics, Inc.* | | | 4,524 | | | | 68,674 | |
| Clovis Oncology, Inc.* | | | 12,164 | | | | 8,458 | |
| Codiak Biosciences, Inc.* | | | 1,913 | | | | 5,337 | |
| Cogent Biosciences, Inc.*(b) | | | 3,918 | | | | 18,062 | |
| Coherus Biosciences, Inc.* | | | 6,608 | | | | 48,503 | |
| Compass Pathways plc, ADR*(b) | | | 1,984 | | | | 18,035 | |
| Connect Biopharma Holdings Ltd., ADR*(b) | | | 4,133 | | | | 3,306 | |
| Cortexyme, Inc.* | | | 2,572 | | | | 6,661 | |
| Corvus Pharmaceuticals, Inc.* | | | 3,980 | | | | 4,099 | |
| Crinetics Pharmaceuticals, Inc.* | | | 4,567 | | | | 76,497 | |
| CRISPR Therapeutics AG* | | | 6,593 | | | | 382,724 | |
| Cullinan Oncology, Inc.*(b) | | | 3,736 | | | | 39,938 | |
| CureVac NV*(b) | | | 15,995 | | | | 300,706 | |
| Curis, Inc.* | | | 7,837 | | | | 5,991 | |
| Cyteir Therapeutics, Inc.* | | | 3,025 | | | | 5,747 | |
| Cytokinetics, Inc.*(b) | | | 7,256 | | | | 289,514 | |
| CytomX Therapeutics, Inc.* | | | 5,580 | | | | 8,984 | |
| Day One Biopharmaceuticals, Inc.*(b) | | | 5,296 | | | | 32,941 | |
| Decibel Therapeutics, Inc.*(b) | | | 2,131 | | | | 4,688 | |
| Deciphera Pharmaceuticals, Inc.* | | | 5,662 | | | | 61,376 | |
| Denali Therapeutics, Inc.* | | | 10,504 | | | | 255,142 | |
| Design Therapeutics, Inc.* | | | 4,760 | | | | 59,405 | |
| Dyne Therapeutics, Inc.* | | | 4,406 | | | | 21,193 | |
| Eagle Pharmaceuticals, Inc.* | | | 1,104 | | | | 51,557 | |
| Editas Medicine, Inc.* | | | 5,859 | | | | 66,734 | |
| Eiger BioPharmaceuticals, Inc.* | | | 3,695 | | | | 25,643 | |
| Enanta Pharmaceuticals, Inc.* | | | 1,756 | | | | 70,117 | |
| Epizyme, Inc.* | | | 13,730 | | | | 5,767 | |
| Erasca, Inc.* | | | 10,368 | | | | 56,195 | |
| Evelo Biosciences, Inc.* | | | 4,571 | | | | 9,599 | |
| Exelixis, Inc.* | | | 27,330 | | | | 500,959 | |
| Fate Therapeutics, Inc.* | | | 8,246 | | | | 190,483 | |
| FibroGen, Inc.* | | | 7,953 | | | | 78,258 | |
| Forma Therapeutics Holdings, Inc.* | | | 4,054 | | | | 23,067 | |
| Frequency Therapeutics, Inc.* | | | 2,959 | | | | 3,314 | |
| G1 Therapeutics, Inc.*(b) | | | 3,652 | | | | 17,749 | |
| Galapagos NV, ADR*(b) | | | 1,054 | | | | 57,981 | |
| Gamida Cell Ltd.* | | | 5,071 | | | | 11,055 | |
| Generation Bio Co.* | | | 4,874 | | | | 27,392 | |
| Genmab A/S, ADR*(b) | | | 3,656 | | | | 110,594 | |
| Geron Corp.*(b) | | | 32,243 | | | | 44,495 | |
| Gilead Sciences, Inc. | | | 105,535 | | | | 6,843,945 | |
| Global Blood Therapeutics, Inc.* | | | 5,533 | | | | 137,993 | |
See accompanying notes to the financial statements.
Ultra Nasdaq Biotechnology
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| | | | | | |
| Gossamer Bio, Inc.* | | | 6,538 | | | | 46,093 | |
| Gracell Biotechnologies, Inc., ADR*(b) | | | 5,067 | | | | 16,670 | |
| Graphite Bio, Inc.* | | | 4,966 | | | | 11,670 | |
| Grifols SA, ADR | | | 9,884 | | | | 127,306 | |
| Gritstone bio, Inc.* | | | 5,814 | | | | 11,744 | |
| Halozyme Therapeutics, Inc.*(b) | | | 11,775 | | | | 541,414 | |
| Harpoon Therapeutics, Inc.* | | | 2,800 | | | | 5,768 | |
| Homology Medicines, Inc.* | | | 4,903 | | | | 7,207 | |
| Horizon Therapeutics plc* | | | 19,400 | | | | 1,739,986 | |
| Humacyte, Inc.*(b) | | | 8,808 | | | | 47,827 | |
| Icosavax, Inc.*(b) | | | 3,339 | | | | 22,672 | |
| Ideaya Biosciences, Inc.* | | | 3,292 | | | | 36,706 | |
| IGM Biosciences, Inc.*(b) | | | 2,226 | | | | 37,352 | |
| I-Mab, ADR*(b) | | | 4,236 | | | | 36,853 | |
| Imago Biosciences, Inc.*(b) | | | 2,869 | | | | 46,363 | |
| Immuneering Corp., Class A* | | | 2,218 | | | | 9,937 | |
| Immunic, Inc.* | | | 2,386 | | | | 14,793 | |
| ImmunityBio, Inc.*(b) | | | 34,016 | | | | 127,900 | |
| ImmunoGen, Inc.* | | | 18,858 | | | | 69,020 | |
| Immunovant, Inc.* | | | 9,953 | | | | 42,201 | |
| Impel Pharmaceuticals, Inc.* | | | 1,970 | | | | 13,573 | |
| Incyte Corp.* | | | 18,941 | | | | 1,437,432 | |
| Infinity Pharmaceuticals, Inc.* | | | 7,612 | | | | 5,118 | |
| Inhibrx, Inc.* | | | 3,349 | | | | 43,771 | |
| Inovio Pharmaceuticals, Inc.*(b) | | | 17,990 | | | | 33,641 | |
| Insmed, Inc.* | | | 10,168 | | | | 191,362 | |
| Instil Bio, Inc.*(b) | | | 11,025 | | | | 66,205 | |
| Intellia Therapeutics, Inc.* | | | 6,384 | | | | 294,558 | |
| Intercept Pharmaceuticals, Inc.*(b) | | | 2,527 | | | | 45,739 | |
| Ionis Pharmaceuticals, Inc.* | | | 12,116 | | | | 442,476 | |
| Iovance Biotherapeutics, Inc.* | | | 13,440 | | | | 90,720 | |
| Ironwood Pharmaceuticals, Inc.* | | | 13,621 | | | | 153,509 | |
| iTeos Therapeutics, Inc.* | | | 3,016 | | | | 52,780 | |
| IVERIC bio, Inc.* | | | 9,892 | | | | 103,272 | |
| Janux Therapeutics, Inc.* | | | 3,558 | | | | 39,601 | |
| Jounce Therapeutics, Inc.* | | | 4,382 | | | | 16,958 | |
| KalVista Pharmaceuticals, Inc.* | | | 2,092 | | | | 18,598 | |
| Kamada Ltd.*(b) | | | 3,830 | | | | 17,273 | |
| Karuna Therapeutics, Inc.* | | | 2,549 | | | | 265,912 | |
| Karyopharm Therapeutics, Inc.* | | | 6,471 | | | | 40,638 | |
| Keros Therapeutics, Inc.* | | | 2,001 | | | | 67,634 | |
| Kezar Life Sciences, Inc.* | | | 4,850 | | | | 24,492 | |
| Kiniksa Pharmaceuticals Ltd., Class A* | | | 2,916 | | | | 22,337 | |
| Kinnate Biopharma, Inc.* | | | 3,737 | | | | 29,672 | |
| Kodiak Sciences, Inc.* | | | 4,426 | | | | 32,044 | |
| Kronos Bio, Inc.* | | | 4,840 | | | | 18,005 | |
| Krystal Biotech, Inc.* | | | 2,156 | | | | 126,945 | |
| Kura Oncology, Inc.* | | | 5,696 | | | | 74,959 | |
| Kymera Therapeutics, Inc.* | | | 4,439 | | | | 63,345 | |
| Larimar Therapeutics, Inc.* | | | 1,514 | | | | 3,906 | |
| Leap Therapeutics, Inc.*(b) | | | 7,552 | | | | 8,156 | |
| Legend Biotech Corp., ADR* | | | 4,603 | | | | 194,661 | |
| Lexicon Pharmaceuticals, Inc.* | | | 12,732 | | | | 22,536 | |
| Ligand Pharmaceuticals, Inc.* | | | 1,441 | | | | 128,119 | |
| Lyell Immunopharma, Inc.*(b) | | | 20,563 | | | | 85,131 | |
| MacroGenics, Inc.* | | | 5,244 | | | | 18,197 | |
| Madrigal Pharmaceuticals, Inc.* | | | 1,463 | | | | 97,129 | |
| Magenta Therapeutics, Inc.* | | | 5,026 | | | | 5,830 | |
| MannKind Corp.*(b) | | | 21,532 | | | | 90,004 | |
| MeiraGTx Holdings plc* | | | 3,801 | | | | 31,890 | |
| Mereo Biopharma Group plc, ADR*(b) | | | 9,962 | | | | 5,035 | |
| Mersana Therapeutics, Inc.* | | | 8,294 | | | | 27,702 | |
| Merus NV*(b) | | | 3,718 | | | | 69,006 | |
| Mirati Therapeutics, Inc.* | | | 4,745 | | | | 185,814 | |
| Mirum Pharmaceuticals, Inc.* | | | 2,620 | | | | 61,282 | |
| Moderna, Inc.* | | | 33,920 | | | | 4,929,594 | |
| Molecular Templates, Inc.*(b) | | | 4,815 | | | | 4,757 | |
| Monte Rosa Therapeutics, Inc.*(b) | | | 3,977 | | | | 30,782 | |
| Morphic Holding, Inc.* | | | 3,173 | | | | 74,375 | |
| Mustang Bio, Inc.* | | | 8,738 | | | | 5,637 | |
| Myriad Genetics, Inc.* | | | 6,843 | | | | 131,659 | |
| Neoleukin Therapeutics, Inc.* | | | 3,628 | | | | 3,628 | |
| Neurocrine Biosciences, Inc.* | | | 8,144 | | | | 761,383 | |
| NextCure, Inc.* | | | 2,362 | | | | 9,212 | |
| Nkarta, Inc.* | | | 4,139 | | | | 59,726 | |
| Novavax, Inc.*(b) | | | 6,465 | | | | 357,708 | |
| Nurix Therapeutics, Inc.* | | | 3,826 | | | | 38,604 | |
| Nuvalent, Inc., Class A*(b) | | | 3,664 | | | | 32,463 | |
| ObsEva SA*(b) | | | 7,023 | | | | 12,712 | |
| Olema Pharmaceuticals, Inc.* | | | 3,450 | | | | 9,867 | |
| Omega Therapeutics, Inc.* | | | 4,085 | | | | 9,273 | |
| Oncocyte Corp.*(b) | | | 10,134 | | | | 10,945 | |
| Oncorus, Inc.* | | | 2,207 | | | | 2,626 | |
| ORIC Pharmaceuticals, Inc.* | | | 3,368 | | | | 11,249 | |
| Ovid therapeutics, Inc.*(b) | | | 5,823 | | | | 9,841 | |
| Oyster Point Pharma, Inc.*(b) | | | 2,277 | | | | 8,949 | |
| Passage Bio, Inc.* | | | 4,627 | | | | 8,329 | |
| PMV Pharmaceuticals, Inc.* | | | 3,881 | | | | 45,641 | |
| Poseida Therapeutics, Inc.* | | | 5,369 | | | | 12,188 | |
| Praxis Precision Medicines, Inc.* | | | 3,890 | | | | 32,287 | |
| Precigen, Inc.* | | | 17,678 | | | | 23,689 | |
| Precision BioSciences, Inc.* | | | 5,196 | | | | 8,729 | |
| Prelude Therapeutics, Inc.*(b) | | | 4,073 | | | | 17,107 | |
| Prometheus Biosciences, Inc.* | | | 3,330 | | | | 86,780 | |
| ProQR Therapeutics NV*(b) | | | 6,096 | | | | 4,023 | |
| Protagonist Therapeutics, Inc.* | | | 4,140 | | | | 36,266 | |
| Prothena Corp. plc* | | | 3,992 | | | | 108,702 | |
| PTC Therapeutics, Inc.* | | | 6,110 | | | | 179,451 | |
| Puma Biotechnology, Inc.* | | | 3,845 | | | | 7,459 | |
| Radius Health, Inc.* | | | 4,052 | | | | 25,649 | |
| Rallybio Corp.*(b) | | | 2,747 | | | | 37,359 | |
| RAPT Therapeutics, Inc.* | | | 2,527 | | | | 37,197 | |
| Recursion Pharmaceuticals, Inc., Class A*(b) | | | 13,641 | | | | 83,483 | |
| Regeneron Pharmaceuticals, Inc.* | | | 8,982 | | | | 5,970,695 | |
| REGENXBIO, Inc.* | | | 3,657 | | | | 76,943 | |
| Relay Therapeutics, Inc.* | | | 9,259 | | | | 150,737 | |
| Repare Therapeutics, Inc.*(b) | | | 3,569 | | | | 32,763 | |
| Replimune Group, Inc.* | | | 4,037 | | | | 58,658 | |
| REVOLUTION Medicines, Inc.* | | | 6,344 | | | | 107,721 | |
| Rhythm Pharmaceuticals, Inc.*(b) | | | 4,299 | | | | 14,789 | |
| Rigel Pharmaceuticals, Inc.* | | | 14,623 | | | | 26,468 | |
| Rocket Pharmaceuticals, Inc.* | | | 5,516 | | | | 65,365 | |
| Rubius Therapeutics, Inc.* | | | 7,670 | | | | 8,437 | |
| SAB Biotherapeutics, Inc.*(b) | | | 3,718 | | | | 7,287 | |
| Sage Therapeutics, Inc.* | | | 5,048 | | | | 157,851 | |
| Sana Biotechnology, Inc.*(b) | | | 16,180 | | | | 83,003 | |
| Sangamo Therapeutics, Inc.* | | | 12,482 | | | | 45,559 | |
| Sarepta Therapeutics, Inc.* | | | 7,446 | | | | 542,218 | |
| Scholar Rock Holding Corp.* | | | 3,002 | | | | 15,070 | |
| Seagen, Inc.* | | | 15,702 | | | | 2,130,447 | |
| Selecta Biosciences, Inc.* | | | 12,974 | | | | 11,446 | |
| Sensei Biotherapeutics, Inc.* | | | 2,616 | | | | 4,970 | |
| Sera Prognostics, Inc., Class A* | | | 2,505 | | | | 3,482 | |
| Seres Therapeutics, Inc.* | | | 7,854 | | | | 24,347 | |
See accompanying notes to the financial statements.
Ultra Nasdaq Biotechnology
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| | | | | | |
| Sesen Bio, Inc.* | | | 17,056 | | | | 10,454 | |
| Shattuck Labs, Inc.* | | | 3,613 | | | | 10,333 | |
| Silverback Therapeutics, Inc.* | | | 3,004 | | | | 10,484 | |
| Solid Biosciences, Inc.* | | | 9,432 | | | | 5,376 | |
| Spectrum Pharmaceuticals, Inc.* | | | 14,020 | | | | 10,479 | |
| Spero Therapeutics, Inc.* | | | 2,764 | | | | 3,262 | |
| SpringWorks Therapeutics, Inc.* | | | 4,219 | | | | 79,908 | |
| Stoke Therapeutics, Inc.* | | | 3,146 | | | | 38,098 | |
| Summit Therapeutics, Inc.*(b) | | | 8,356 | | | | 11,113 | |
| Surface Oncology, Inc.* | | | 4,670 | | | | 8,639 | |
| Sutro Biopharma, Inc.* | | | 3,966 | | | | 17,252 | |
| Syndax Pharmaceuticals, Inc.*(b) | | | 4,494 | | | | 74,151 | |
| Syros Pharmaceuticals, Inc.* | | | 5,297 | | | | 4,352 | |
| Talaris Therapeutics, Inc.* | | | 3,536 | | | | 30,445 | |
| Taysha Gene Therapies, Inc.* | | | 3,290 | | | | 8,389 | |
| TCR2 Therapeutics, Inc.* | | | 3,268 | | | | 7,582 | |
| Tenaya Therapeutics, Inc.*(b) | | | 3,530 | | | | 23,651 | |
| Tonix Pharmaceuticals Holding Corp.*(b) | | | 1,602 | | | | 3,909 | |
| Travere Therapeutics, Inc.* | | | 5,405 | | | | 125,991 | |
| Turning Point Therapeutics, Inc.* | | | 4,254 | | | | 150,464 | |
| Twist Bioscience Corp.*(b) | | | 4,798 | | | | 163,324 | |
| Ultragenyx Pharmaceutical, Inc.* | | | 5,933 | | | | 278,258 | |
| uniQure NV* | | | 3,973 | | | | 57,052 | |
| United Therapeutics Corp.* | | | 3,859 | | | | 888,882 | |
| UroGen Pharma Ltd.*(b) | | | 1,917 | | | | 10,198 | |
| Vanda Pharmaceuticals, Inc.* | | | 4,781 | | | | 46,997 | |
| Vaxcyte, Inc.* | | | 4,815 | | | | 115,512 | |
| Veracyte, Inc.*(b) | | | 6,090 | | | | 107,062 | |
| Verastem, Inc.* | | | 15,579 | | | | 19,941 | |
| Vertex Pharmaceuticals, Inc.* | | | 21,427 | | | | 5,756,364 | |
| Verve Therapeutics, Inc.*(b) | | | 4,119 | | | | 62,444 | |
| Vir Biotechnology, Inc.* | | | 11,313 | | | | 291,989 | |
| Viracta Therapeutics, Inc.*(b) | | | 3,198 | | | | 6,780 | |
| Vor BioPharma, Inc.* | | | 3,189 | | | | 13,426 | |
| Werewolf Therapeutics, Inc.* | | | 2,358 | | | | 8,937 | |
| Xencor, Inc.* | | | 5,077 | | | | 113,369 | |
| Xenon Pharmaceuticals, Inc.* | | | 4,411 | | | | 116,230 | |
| Y-mAbs Therapeutics, Inc.* | | | 3,732 | | | | 46,426 | |
| Zai Lab Ltd., ADR* | | | 6,051 | | | | 176,084 | |
| Zentalis Pharmaceuticals, Inc.* | | | 4,870 | | | | 117,416 | |
| | | | | | | 63,458,070 | |
| Health Care Equipment & Supplies - 0.8% |
| Bioventus, Inc., Class A* | | | 5,083 | | | | 50,220 | |
| Novocure Ltd.*(b) | | | 8,929 | | | | 717,713 | |
| | | | | | | 767,933 | |
| Health Care Providers & Services - 0.6% |
| 23andMe Holding Co.*(b) | | | 18,057 | | | | 54,171 | |
| Castle Biosciences, Inc.* | | | 2,173 | | | | 48,393 | |
| Guardant Health, Inc.* | | | 8,708 | | | | 356,854 | |
| PetIQ, Inc.* | | | 2,491 | | | | 42,745 | |
| | | | | | | 502,163 | |
| Life Sciences Tools & Services - 5.1% |
| AbCellera Biologics, Inc.*(b) | | | 24,279 | | | | 185,006 | |
| Absci Corp.*(b) | | | 7,918 | | | | 28,901 | |
| Adaptive Biotechnologies Corp.* | | | 12,107 | | | | 94,677 | |
| Alpha Teknova, Inc.*(b) | | | 2,395 | | | | 18,322 | |
| Codex DNA, Inc.* | | | 2,506 | | | | 9,974 | |
| Codexis, Inc.* | | | 5,567 | | | | 59,456 | |
| Compugen Ltd.*(b) | | | 7,393 | | | | 13,677 | |
| Harvard Bioscience, Inc.* | | | 3,490 | | | | 12,773 | |
| Illumina, Inc.* | | | 10,601 | | | | 2,538,727 | |
| Maravai LifeSciences Holdings, Inc., Class A* | | | 11,252 | | | | 350,500 | |
| MaxCyte, Inc.*(b) | | | 8,588 | | | | 39,591 | |
| Medpace Holdings, Inc.* | | | 3,012 | | | | 431,439 | |
| NanoString Technologies, Inc.* | | | 3,904 | | | | 61,059 | |
| Nautilus Biotechnology, Inc.*(b) | | | 10,640 | | | | 38,942 | |
| Pacific Biosciences of California, Inc.* | | | 18,963 | | | | 106,762 | |
| Personalis, Inc.* | | | 3,844 | | | | 15,222 | |
| Quantum-Si, Inc.* | | | 10,046 | | | | 42,695 | |
| Rapid Micro Biosystems, Inc., Class A* | | | 2,946 | | | | 14,759 | |
| Seer, Inc.* | | | 4,876 | | | | 43,299 | |
| Singular Genomics Systems, Inc.*(b) | | | 6,162 | | | | 20,026 | |
| Syneos Health, Inc.* | | | 8,912 | | | | 658,508 | |
| | | | | | | 4,784,315 | |
| Pharmaceuticals - 11.9% |
| Aclaris Therapeutics, Inc.* | | | 5,240 | | | | 67,020 | |
| Aerie Pharmaceuticals, Inc.* | | | 4,138 | | | | 21,435 | |
| Amphastar Pharmaceuticals, Inc.* | | | 4,092 | | | | 151,977 | |
| Aquestive Therapeutics, Inc.*(b) | | | 3,434 | | | | 3,413 | |
| Arvinas, Inc.* | | | 4,536 | | | | 189,106 | |
| AstraZeneca plc, ADR | | | 50,254 | | | | 3,340,886 | |
| ATAI Life Sciences NV*(b) | | | 13,707 | | | | 54,554 | |
| Atea Pharmaceuticals, Inc.* | | | 7,117 | | | | 56,082 | |
| Athira Pharma, Inc.* | | | 3,194 | | | | 29,002 | |
| Avadel Pharmaceuticals plc, ADR*(b) | | | 5,011 | | | | 11,074 | |
| Axsome Therapeutics, Inc.* | | | 3,222 | | | | 80,550 | |
| Cara Therapeutics, Inc.* | | | 4,576 | | | | 38,072 | |
| Clearside Biomedical, Inc.* | | | 5,102 | | | | 6,633 | |
| Collegium Pharmaceutical, Inc.* | | | 2,854 | | | | 44,579 | |
| Cymabay Therapeutics, Inc.* | | | 7,240 | | | | 14,190 | |
| Edgewise Therapeutics, Inc.*(b) | | | 4,234 | | | | 26,463 | |
| Endo International plc* | | | 19,981 | | | | 10,544 | |
| Esperion Therapeutics, Inc.* | | | 5,372 | | | | 30,620 | |
| Evolus, Inc.* | | | 4,752 | | | | 61,301 | |
| EyePoint Pharmaceuticals, Inc.* | | | 2,904 | | | | 28,024 | |
| Fulcrum Therapeutics, Inc.*(b) | | | 3,467 | | | | 24,685 | |
| Harmony Biosciences Holdings, Inc.* | | | 5,034 | | | | 219,482 | |
| Harrow Health, Inc.*(b) | | | 2,300 | | | | 16,629 | |
| HUTCHMED China Ltd., ADR* | | | 4,900 | | | | 51,548 | |
| Ikena Oncology, Inc.* | | | 3,070 | | | | 11,973 | |
| Innoviva, Inc.*(b) | | | 5,949 | | | | 90,246 | |
| Intra-Cellular Therapies, Inc.* | | | 7,903 | | | | 453,632 | |
| Jazz Pharmaceuticals plc* | | | 5,256 | | | | 786,718 | |
| KemPharm, Inc.* | | | 2,993 | | | | 13,858 | |
| Landos Biopharma, Inc.* | | | 3,441 | | | | 2,499 | |
| Marinus Pharmaceuticals, Inc.* | | | 3,144 | | | | 15,248 | |
| Nektar Therapeutics* | | | 15,782 | | | | 54,921 | |
| NGM Biopharmaceuticals, Inc.* | | | 6,660 | | | | 92,174 | |
| NRX Pharmaceuticals, Inc.*(b) | | | 5,699 | | | | 3,188 | |
| Ocular Therapeutix, Inc.* | | | 6,563 | | | | 20,542 | |
| Omeros Corp.* | | | 5,348 | | | | 13,263 | |
| Optinose, Inc.*(b) | | | 7,029 | | | | 14,445 | |
| Pacira BioSciences, Inc.* | | | 3,835 | | | | 242,564 | |
| Paratek Pharmaceuticals, Inc.* | | | 4,292 | | | | 8,112 | |
| Phathom Pharmaceuticals, Inc.* | | | 3,341 | | | | 23,955 | |
| Phibro Animal Health Corp., Class A | | | 1,739 | | | | 33,406 | |
| Pliant Therapeutics, Inc.* | | | 3,086 | | | | 17,374 | |
| Provention Bio, Inc.*(b) | | | 5,419 | | | | 22,326 | |
See accompanying notes to the financial statements.
Ultra Nasdaq Biotechnology
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Rain Therapeutics, Inc.* | | | 1,602 | | | | 3,717 | |
| Rani Therapeutics Holdings, Inc., Class A*(b) | | | 2,085 | | | | 23,769 | |
| Reata Pharmaceuticals, Inc., Class A* | | | 2,692 | | | | 76,130 | |
| Redhill Biopharma Ltd., ADR*(b) | | | 4,481 | | | | 5,019 | |
| Relmada Therapeutics, Inc.* | | | 2,371 | | | | 44,551 | |
| Revance Therapeutics, Inc.* | | | 6,110 | | | | 83,585 | |
| Royalty Pharma plc, Class A | | | 37,023 | | | | 1,523,126 | |
| Sanofi, ADR(b) | | | 23,655 | | | | 1,259,629 | |
| SIGA Technologies, Inc. | | | 6,338 | | | | 69,338 | |
| Supernus Pharmaceuticals, Inc.* | | | 4,548 | | | | 126,753 | |
| Terns Pharmaceuticals, Inc.* | | | 2,161 | | | | 3,739 | |
| TherapeuticsMD, Inc.*(b) | | | 727 | | | | 7,219 | |
| Theravance Biopharma, Inc.* | | | 6,387 | | | | 56,078 | |
| Tricida, Inc.*(b) | | | 4,713 | | | | 39,306 | |
| Verrica Pharmaceuticals, Inc.*(b) | | | 2,361 | | | | 4,557 | |
| Viatris, Inc. | | | 103,432 | | | | 1,269,111 | |
| WaVe Life Sciences Ltd.* | | | 5,031 | | | | 7,043 | |
| Xeris Biopharma Holdings, Inc.*(b) | | | 11,554 | | | | 25,534 | |
| | | | | | | 11,126,517 | |
TOTAL COMMON STOCKS
(Cost $118,471,815) | | | | | | | 80,638,998 | |
| | | | | | | | |
| Investments | | Number of
Rights | | | Value ($) | |
| | | | | | |
| RIGHTS - 0.0%(c) |
| | | | | | | | |
| Biotechnology - 0.0%(c) |
Achillion Pharmaceuticals, Inc., CVR*(d)(e)
(Cost $11,641) | | | 25,307 | | | | 11,641 | |
| | | | | | | | |
| Investments | | Shares | | | Value ($) | |
| | | | | | |
| SECURITIES LENDING REINVESTMENTS(f) - 2.5% |
| | | | | | | | |
| INVESTMENT COMPANIES - 2.5% |
BlackRock Liquidity FedFund, Institutional Class
0.72% (Cost $2,366,248) | | | 2,366,248 | | | | 2,366,248 | |
| | | | | | | | |
| Investments | | Principal Amount ($) | | | Value ($) | |
| | | | | | |
| SHORT-TERM INVESTMENTS - 9.3% |
| | | | | | | | |
| REPURCHASE AGREEMENTS(g) - 9.3% |
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $8,683,637 (Cost $8,683,464) | | | 8,683,464 | | | | 8,683,464 | |
| | | | | | | | |
Total Investments - 97.9%
(Cost $129,533,168) | | | | | | | 91,700,351 | |
| Other assets less liabilities - 2.1% | | | | | | | 1,984,742 | |
| Net Assets - 100.0% | | | | | | | 93,685,093 | |
| * | Non-income producing security. |
| (a) | All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $33,127,644. |
| (b) | The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $3,413,879, collateralized in the form of cash with a value of $2,366,248 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $1,292,500 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% – 4.63%, and maturity dates ranging from June 15, 2022 – May 15, 2052. The total value of collateral is $3,658,748. |
| (c) | Represents less than 0.05% of net assets. |
| (d) | Security fair valued as of May 31, 2022 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at May 31, 2022 amounted to $11,641, which represents approximately 0.01% of net assets of the Fund. |
| (e) | Illiquid security. |
| (f) | The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $2,366,248. |
| (g) | The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase. |
| Abbreviations |
| ADR | American Depositary Receipt |
| CVR | Contingent Value Rights - No defined expiration |
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 3,586,698 | |
| Aggregate gross unrealized depreciation | | | (94,764,936 | ) |
| Net unrealized depreciation | | $ | (91,178,238 | ) |
| Federal income tax cost | | $ | 130,490,481 | |
See accompanying notes to the financial statements.
Ultra Nasdaq Biotechnology
Schedule of Portfolio Investments
May 31, 2022
Swap Agreementsa
Ultra Nasdaq Biotechnology had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount ($) | | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | | Reference Instrument | | Value and
Unrealized
Depreciationd
($) | | | Financial
Instruments
for the Benefit
of (the Fund)/
the
Counterparty
($) | | | Cash
Collateral for
the Benefit of
(the Fund)/
the
Counterparty
($) | | | Net
Amounte ($) | |
| 16,807,255 | | | 5/8/2023 | | Bank of America NA | | | 0.98 | % | | NASDAQ Biotechnology Index® | | | (10,819,012 | ) | | | — | | | | 10,819,012 | | | | — | |
| 13,612,058 | | | 11/6/2023 | | BNP Paribas SA | | | 1.13 | % | | NASDAQ Biotechnology Index® | | | (119,111 | ) | | | 119,111 | | | | — | | | | — | |
| 16,766,433 | | | 4/10/2023 | | Citibank NA | | | 0.98 | % | | NASDAQ Biotechnology Index® | | | (11,346,311 | ) | | | — | | | | 11,346,311 | | | | — | |
| 18,878,010 | | | 3/7/2023 | | Goldman Sachs International | | | 1.43 | % | | NASDAQ Biotechnology Index® | | | (10,086,401 | ) | | | 2,108,500 | | | | 7,977,901 | | | | — | |
| 3,733,296 | | | 11/7/2022 | | Morgan Stanley & Co. International plc | | | 1.28 | % | | NASDAQ Biotechnology Index® | | | (1,476,525 | ) | | | 329,744 | | | | 1,146,781 | | | | — | |
| 24,823,080 | | | 3/7/2023 | | Societe Generale | | | 1.18 | % | | NASDAQ Biotechnology Index® | | | (9,083,315 | ) | | | — | | | | 9,083,315 | | | | — | |
| 12,662,034 | | | 3/7/2023 | | UBS AG | | | 0.83 | % | | NASDAQ Biotechnology Index® | | | (9,457,433 | ) | | | — | | | | 9,457,433 | | | | — | |
| 107,282,166 | | | | | | | | | | | | | | (52,388,108 | ) | | | | | | | | | | | | |
| | | | | | | | | | | Total Unrealized Depreciation | | | (52,388,108 | ) | | | | | | | | | | | | |
| a | The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815. |
| b | Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity. |
| c | Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation). |
| d | The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities. |
| e | Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default. |
See accompanying notes to the financial statements.
Ultra Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| COMMON STOCKS(a) - 71.1% | | | | | | | | |
| | | | | | | | |
| Aerospace & Defense - 0.5% | | | | | | | | |
| AAR Corp.* | | | 1,798 | | | | 86,700 | |
| Aerojet Rocketdyne Holdings, Inc.* | | | 3,976 | | | | 161,982 | |
| AeroVironment, Inc.* | | | 1,193 | | | | 109,708 | |
| AerSale Corp.*(b) | | | 842 | | | | 11,670 | |
| Astronics Corp.* | | | 1,322 | | | | 13,881 | |
| Byrna Technologies, Inc.* | | | 990 | | | | 7,979 | |
| Cadre Holdings, Inc. | | | 332 | | | | 8,363 | |
| Ducommun, Inc.* | | | 580 | | | | 26,477 | |
| Kaman Corp. | | | 1,465 | | | | 53,048 | |
| Kratos Defense & Security Solutions, Inc.* | | | 6,509 | | | | 93,860 | |
| Maxar Technologies, Inc. | | | 3,857 | | | | 115,170 | |
| Moog, Inc., Class A | | | 1,534 | | | | 124,852 | |
| National Presto Industries, Inc. | | | 269 | | | | 18,182 | |
| Park Aerospace Corp. | | | 1,035 | | | | 12,606 | |
| Parsons Corp.* | | | 1,396 | | | | 54,500 | |
| Triumph Group, Inc.* | | | 3,375 | | | | 51,638 | |
| Vectrus, Inc.* | | | 611 | | | | 21,886 | |
| | | | | | | 972,502 | |
| Air Freight & Logistics - 0.3% | | | | | | | | |
| Air Transport Services Group, Inc.* | | | 3,129 | | | | 94,559 | |
| Atlas Air Worldwide Holdings, Inc.* | | | 1,523 | | | | 106,168 | |
| Forward Air Corp. | | | 1,417 | | | | 132,050 | |
| Hub Group, Inc., Class A* | | | 1,758 | | | | 128,299 | |
| Radiant Logistics, Inc.* | | | 2,106 | | | | 13,963 | |
| | | | | | | 475,039 | |
| Airlines - 0.2% | | | | | | | | |
| Allegiant Travel Co.* | | | 808 | | | | 120,756 | |
| Frontier Group Holdings, Inc.*(b) | | | 1,844 | | | | 19,823 | |
| Hawaiian Holdings, Inc.* | | | 2,677 | | | | 47,517 | |
| Mesa Air Group, Inc.* | | | 1,836 | | | | 5,637 | |
| SkyWest, Inc.* | | | 2,646 | | | | 71,336 | |
| Spirit Airlines, Inc.* | | | 5,211 | | | | 109,170 | |
| Sun Country Airlines Holdings, Inc.* | | | 1,708 | | | | 40,394 | |
| | | | | | | 414,633 | |
| Auto Components - 0.9% | | | | | | | | |
| Adient plc* | | | 5,026 | | | | 177,870 | |
| American Axle & Manufacturing Holdings, Inc.* | | | 5,981 | | | | 48,506 | |
| Cooper-Standard Holdings, Inc.* | | | 889 | | | | 4,996 | |
| Dana, Inc. | | | 7,710 | | | | 127,678 | |
| Dorman Products, Inc.* | | | 1,402 | | | | 141,672 | |
| Fox Factory Holding Corp.* | | | 2,239 | | | | 183,643 | |
| Gentherm, Inc.* | | | 1,770 | | | | 122,024 | |
| Goodyear Tire & Rubber Co. (The)* | | | 14,660 | | | | 189,407 | |
| LCI Industries | | | 1,312 | | | | 156,810 | |
| Modine Manufacturing Co.* | | | 2,657 | | | | 31,406 | |
| Motorcar Parts of America, Inc.* | | | 995 | | | | 14,756 | |
| Patrick Industries, Inc.(b) | | | 1,205 | | | | 72,432 | |
| Standard Motor Products, Inc. | | | 1,110 | | | | 44,344 | |
| Stoneridge, Inc.* | | | 1,379 | | | | 28,518 | |
| Tenneco, Inc., Class A* | | | 3,602 | | | | 62,351 | |
| Visteon Corp.* | | | 1,472 | | | | 165,173 | |
| XL Fleet Corp.* | | | 6,365 | | | | 7,702 | |
| XPEL, Inc.*(c) | | | 950 | | | | 49,039 | |
| | | | | | | 1,628,327 | |
| Automobiles - 0.1% | | | | | | | | |
| Arcimoto, Inc.*(b) | | | 1,516 | | | | 6,064 | |
| Canoo, Inc.*(b) | | | 5,643 | | | | 18,904 | |
| Fisker, Inc.*(b) | | | 8,655 | | | | 89,839 | |
| Lordstown Motors Corp.*(b) | | | 8,225 | | | | 17,026 | |
| Winnebago Industries, Inc. | | | 1,715 | | | | 84,807 | |
| Workhorse Group, Inc.*(b) | | | 8,172 | | | | 25,251 | |
| | | | | | | 241,891 | |
| Banks - 6.6% | | | | | | | | |
| 1st Source Corp. | | | 884 | | | | 41,566 | |
| Allegiance Bancshares, Inc. | | | 1,003 | | | | 40,371 | |
| Amalgamated Financial Corp. | | | 727 | | | | 15,798 | |
| Amerant Bancorp, Inc. | | | 1,383 | | | | 40,743 | |
| American National Bankshares, Inc. | | | 546 | | | | 19,443 | |
| Ameris Bancorp | | | 3,536 | | | | 161,206 | |
| Arrow Financial Corp. | | | 732 | | | | 24,251 | |
| Associated Banc-Corp. | | | 7,886 | | | | 163,240 | |
| Atlantic Union Bankshares Corp. | | | 3,998 | | | | 140,969 | |
| Banc of California, Inc. | | | 2,904 | | | | 55,873 | |
| BancFirst Corp. | | | 908 | | | | 82,383 | |
| Bancorp, Inc. (The)* | | | 2,777 | | | | 57,845 | |
| Bank First Corp.(b) | | | 350 | | | | 25,434 | |
| Bank of Marin Bancorp | | | 814 | | | | 26,781 | |
| Bank of NT Butterfield & Son Ltd. (The) | | | 2,658 | | | | 83,940 | |
| BankUnited, Inc. | | | 4,540 | | | | 189,136 | |
| Banner Corp. | | | 1,808 | | | | 105,063 | |
| Bar Harbor Bankshares | | | 786 | | | | 21,418 | |
| Berkshire Hills Bancorp, Inc. | | | 2,593 | | | | 67,703 | |
| Blue Ridge Bankshares, Inc.(b) | | | 920 | | | | 13,993 | |
| Brookline Bancorp, Inc. | | | 4,068 | | | | 57,644 | |
| Business First Bancshares, Inc. | | | 1,009 | | | | 22,329 | |
| Byline Bancorp, Inc. | | | 1,320 | | | | 32,974 | |
| Cadence Bank | | | 9,583 | | | | 256,154 | |
| Cambridge Bancorp | | | 362 | | | | 30,227 | |
| Camden National Corp. | | | 770 | | | | 34,080 | |
| Capital Bancorp, Inc. | | | 418 | | | | 9,798 | |
| Capital City Bank Group, Inc. | | | 716 | | | | 19,547 | |
| Capstar Financial Holdings, Inc. | | | 1,083 | | | | 22,559 | |
| Carter Bankshares, Inc.* | | | 1,374 | | | | 20,321 | |
| Cathay General Bancorp | | | 3,854 | | | | 158,438 | |
| CBTX, Inc. | | | 977 | | | | 27,766 | |
| Central Pacific Financial Corp. | | | 1,447 | | | | 34,931 | |
| Citizens & Northern Corp. | | | 809 | | | | 19,691 | |
| City Holding Co. | | | 797 | | | | 65,426 | |
| Civista Bancshares, Inc. | | | 778 | | | | 16,610 | |
| CNB Financial Corp. | | | 853 | | | | 21,436 | |
| Coastal Financial Corp.* | | | 540 | | | | 21,308 | |
| Columbia Banking System, Inc. | | | 4,151 | | | | 125,153 | |
| Community Bank System, Inc. | | | 2,841 | | | | 187,506 | |
| Community Trust Bancorp, Inc. | | | 825 | | | | 34,691 | |
| ConnectOne Bancorp, Inc. | | | 1,973 | | | | 54,376 | |
| CrossFirst Bankshares, Inc.* | | | 2,446 | | | | 32,850 | |
| Customers Bancorp, Inc.* | | | 1,622 | | | | 66,989 | |
| CVB Financial Corp. | | | 7,258 | | | | 179,853 | |
| Dime Community Bancshares, Inc. | | | 1,781 | | | | 55,995 | |
| Eagle Bancorp, Inc. | | | 1,677 | | | | 83,112 | |
| Eastern Bankshares, Inc. | | | 9,115 | | | | 177,469 | |
| Enterprise Bancorp, Inc. | | | 488 | | | | 16,480 | |
| Enterprise Financial Services Corp. | | | 1,837 | | | | 85,071 | |
| Equity Bancshares, Inc., Class A | | | 721 | | | | 23,440 | |
| Farmers National Banc Corp. | | | 1,641 | | | | 25,485 | |
| FB Financial Corp. | | | 1,774 | | | | 74,543 | |
See accompanying notes to the financial statements.
Ultra Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Fidelity D&D Bancorp, Inc.(b) | | | 213 | | | | 8,392 | |
| Financial Institutions, Inc. | | | 831 | | | | 23,393 | |
| First Bancorp, Inc. (The) | | | 544 | | | | 16,467 | |
| First Bancorp/NC | | | 1,822 | | | | 68,270 | |
| First Bancorp/PR | | | 10,546 | | | | 157,452 | |
| First Bancshares, Inc. (The) | | | 1,076 | | | | 32,388 | |
| First Bank | | | 827 | | | | 11,826 | |
| First Busey Corp. | | | 2,666 | | | | 62,518 | |
| First Commonwealth Financial Corp. | | | 4,988 | | | | 69,882 | |
| First Community Bankshares, Inc. | | | 882 | | | | 25,402 | |
| First Financial Bancorp | | | 4,916 | | | | 103,138 | |
| First Financial Bankshares, Inc.(b) | | | 6,892 | | | | 284,226 | |
| First Financial Corp. | | | 598 | | | | 26,898 | |
| First Foundation, Inc. | | | 2,659 | | | | 59,960 | |
| First Internet Bancorp | | | 490 | | | | 18,939 | |
| First Interstate BancSystem, Inc., Class A | | | 4,643 | | | | 176,759 | |
| First Merchants Corp. | | | 2,766 | | | | 113,849 | |
| First Mid Bancshares, Inc. | | | 881 | | | | 33,170 | |
| First of Long Island Corp. (The) | | | 1,187 | | | | 22,577 | |
| Five Star Bancorp | | | 659 | | | | 17,154 | |
| Flushing Financial Corp. | | | 1,544 | | | | 35,666 | |
| Fulton Financial Corp. | | | 8,428 | | | | 133,584 | |
| German American Bancorp, Inc. | | | 1,307 | | | | 49,705 | |
| Glacier Bancorp, Inc. | | | 5,846 | | | | 283,005 | |
| Great Southern Bancorp, Inc. | | | 538 | | | | 31,930 | |
| Guaranty Bancshares, Inc. | | | 420 | | | | 15,313 | |
| Hancock Whitney Corp. | | | 4,591 | | | | 228,815 | |
| Hanmi Financial Corp. | | | 1,621 | | | | 37,834 | |
| HarborOne Bancorp, Inc. | | | 2,499 | | | | 35,711 | |
| HBT Financial, Inc. | | | 540 | | | | 9,391 | |
| Heartland Financial USA, Inc. | | | 2,142 | | | | 94,741 | |
| Heritage Commerce Corp. | | | 3,092 | | | | 35,465 | |
| Heritage Financial Corp. | | | 1,837 | | | | 47,946 | |
| Hilltop Holdings, Inc. | | | 3,285 | | | | 98,583 | |
| Home BancShares, Inc. | | | 8,088 | | | | 182,708 | |
| HomeStreet, Inc. | | | 1,035 | | | | 41,721 | |
| HomeTrust Bancshares, Inc. | | | 799 | | | | 21,445 | |
| Hope Bancorp, Inc. | | | 6,137 | | | | 89,477 | |
| Horizon Bancorp, Inc. | | | 2,275 | | | | 40,882 | |
| Independent Bank Corp. | | | 2,435 | | | | 202,836 | |
| Independent Bank Corp./MI | | | 1,078 | | | | 21,355 | |
| Independent Bank Group, Inc. | | | 2,154 | | | | 157,414 | |
| International Bancshares Corp. | | | 2,853 | | | | 119,626 | |
| Lakeland Bancorp, Inc. | | | 3,238 | | | | 50,254 | |
| Lakeland Financial Corp. | | | 1,289 | | | | 93,014 | |
| Live Oak Bancshares, Inc. | | | 1,697 | | | | 68,152 | |
| Macatawa Bank Corp. | | | 1,391 | | | | 12,895 | |
| Mercantile Bank Corp. | | | 821 | | | | 27,134 | |
| Meta Financial Group, Inc. | | | 1,567 | | | | 65,140 | |
| Metrocity Bankshares, Inc. | | | 1,000 | | | | 20,310 | |
| Metropolitan Bank Holding Corp.* | | | 531 | | | | 41,009 | |
| Mid Penn Bancorp, Inc. | | | 751 | | | | 20,630 | |
| Midland States Bancorp, Inc. | | | 1,129 | | | | 30,348 | |
| MidWestOne Financial Group, Inc. | | | 753 | | | | 22,914 | |
| MVB Financial Corp. | | | 542 | | | | 20,233 | |
| National Bank Holdings Corp., Class A | | | 1,522 | | | | 62,021 | |
| NBT Bancorp, Inc. | | | 2,236 | | | | 82,687 | |
| Nicolet Bankshares, Inc.* | | | 646 | | | | 51,590 | |
| Northrim Bancorp, Inc. | | | 321 | | | | 13,341 | |
| Northwest Bancshares, Inc. | | | 6,487 | | | | 83,617 | |
| OceanFirst Financial Corp. | | | 3,086 | | | | 62,245 | |
| OFG Bancorp | | | 2,594 | | | | 73,514 | |
| Old National Bancorp | | | 15,609 | | | | 248,183 | |
| Old Second Bancorp, Inc. | | | 1,471 | | | | 22,462 | |
| Origin Bancorp, Inc. | | | 1,187 | | | | 46,388 | |
| Orrstown Financial Services, Inc. | | | 581 | | | | 14,281 | |
| Pacific Premier Bancorp, Inc. | | | 4,969 | | | | 161,791 | |
| Park National Corp. | | | 765 | | | | 94,638 | |
| Peapack-Gladstone Financial Corp. | | | 932 | | | | 31,408 | |
| Peoples Bancorp, Inc. | | | 1,352 | | | | 38,640 | |
| Peoples Financial Services Corp. | | | 377 | | | | 19,917 | |
| Preferred Bank | | | 722 | | | | 49,464 | |
| Premier Financial Corp. | | | 1,911 | | | | 51,922 | |
| Primis Financial Corp. | | | 1,282 | | | | 17,307 | |
| QCR Holdings, Inc. | | | 770 | | | | 42,673 | |
| RBB Bancorp | | | 743 | | | | 15,945 | |
| Red River Bancshares, Inc. | | | 241 | | | | 12,375 | |
| Renasant Corp. | | | 2,901 | | | | 89,757 | |
| Republic Bancorp, Inc., Class A | | | 491 | | | | 22,561 | |
| Republic First Bancorp, Inc.*(b) | | | 2,366 | | | | 9,606 | |
| S&T Bancorp, Inc. | | | 2,056 | | | | 60,467 | |
| Sandy Spring Bancorp, Inc. | | | 2,349 | | | | 99,480 | |
| Seacoast Banking Corp. of Florida | | | 2,905 | | | | 99,467 | |
| ServisFirst Bancshares, Inc. | | | 2,654 | | | | 221,237 | |
| Sierra Bancorp | | | 742 | | | | 16,064 | |
| Silvergate Capital Corp., Class A* | | | 1,498 | | | | 117,593 | |
| Simmons First National Corp., Class A | | | 6,593 | | | | 169,506 | |
| SmartFinancial, Inc. | | | 733 | | | | 18,985 | |
| South Plains Financial, Inc. | | | 550 | | | | 13,596 | |
| Southern First Bancshares, Inc.* | | | 394 | | | | 17,769 | |
| Southside Bancshares, Inc. | | | 1,653 | | | | 66,665 | |
| SouthState Corp. | | | 4,091 | | | | 330,635 | |
| Stock Yards Bancorp, Inc. | | | 1,281 | | | | 75,579 | |
| Summit Financial Group, Inc. | | | 597 | | | | 16,346 | |
| Texas Capital Bancshares, Inc.* | | | 2,685 | | | | 151,783 | |
| Third Coast Bancshares, Inc.* | | | 219 | | | | 5,440 | |
| Tompkins Financial Corp. | | | 748 | | | | 57,005 | |
| Towne Bank | | | 3,567 | | | | 105,155 | |
| TriCo Bancshares | | | 1,461 | | | | 66,242 | |
| Triumph Bancorp, Inc.* | | | 1,264 | | | | 91,943 | |
| Trustmark Corp. | | | 3,253 | | | | 94,630 | |
| UMB Financial Corp. | | | 2,324 | | | | 214,621 | |
| United Bankshares, Inc. | | | 6,995 | | | | 262,732 | |
| United Community Banks, Inc. | | | 5,552 | | | | 174,499 | |
| Univest Financial Corp. | | | 1,532 | | | | 40,598 | |
| Valley National Bancorp | | | 21,241 | | | | 269,973 | |
| Veritex Holdings, Inc. | | | 2,524 | | | | 86,977 | |
| Washington Federal, Inc. | | | 3,438 | | | | 111,563 | |
| Washington Trust Bancorp, Inc. | | | 911 | | | | 45,732 | |
| WesBanco, Inc. | | | 3,210 | | | | 109,333 | |
| West Bancorp, Inc. | | | 853 | | | | 21,709 | |
| Westamerica Bancorp(b) | | | 1,379 | | | | 83,030 | |
| | | | | | | 12,025,941 | |
| Beverages - 0.3% | | | | | | | | |
| Celsius Holdings, Inc.* | | | 2,866 | | | | 192,280 | |
| Coca-Cola Consolidated, Inc. | | | 246 | | | | 138,983 | |
| Duckhorn Portfolio, Inc. (The)* | | | 1,908 | | | | 37,492 | |
| MGP Ingredients, Inc. | | | 750 | | | | 72,645 | |
| National Beverage Corp. | | | 1,244 | | | | 61,740 | |
| Primo Water Corp. | | | 8,344 | | | | 119,486 | |
| Zevia PBC, Class A* | | | 543 | | | | 1,330 | |
| | | | | | | 623,956 | |
| Biotechnology - 4.1% | | | | | | | | |
| 2seventy bio, Inc.* | | | 1,241 | | | | 15,388 | |
See accompanying notes to the financial statements.
Ultra Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| 4D Molecular Therapeutics, Inc.* | | | 1,486 | | | | 11,279 | |
| 89bio, Inc.* | | | 520 | | | | 1,565 | |
| ACADIA Pharmaceuticals, Inc.* | | | 6,348 | | | | 102,520 | |
| Acumen Pharmaceuticals, Inc.* | | | 1,491 | | | | 5,278 | |
| Adagio Therapeutics, Inc.*(b) | | | 3,118 | | | | 9,229 | |
| Adicet Bio, Inc.* | | | 1,361 | | | | 16,087 | |
| Adverum Biotechnologies, Inc.* | | | 4,607 | | | | 4,133 | |
| Aeglea BioTherapeutics, Inc.* | | | 2,146 | | | | 3,391 | |
| Aerovate Therapeutics, Inc.*(b) | | | 689 | | | | 8,371 | |
| Affimed NV* | | | 6,151 | | | | 19,068 | |
| Agenus, Inc.* | | | 11,614 | | | | 19,395 | |
| Agios Pharmaceuticals, Inc.* | | | 2,864 | | | | 55,762 | |
| Akebia Therapeutics, Inc.* | | | 9,240 | | | | 3,418 | |
| Akero Therapeutics, Inc.* | | | 1,355 | | | | 11,707 | |
| Akouos, Inc.* | | | 1,277 | | | | 3,984 | |
| Alaunos Therapeutics, Inc.* | | | 11,104 | | | | 5,750 | |
| Albireo Pharma, Inc.* | | | 894 | | | | 17,817 | |
| Aldeyra Therapeutics, Inc.* | | | 2,573 | | | | 7,951 | |
| Alector, Inc.* | | | 3,089 | | | | 27,369 | |
| Aligos Therapeutics, Inc.* | | | 1,121 | | | | 1,446 | |
| Alkermes plc* | | | 8,502 | | | | 253,785 | |
| Allakos, Inc.* | | | 1,875 | | | | 5,625 | |
| Allogene Therapeutics, Inc.* | | | 3,603 | | | | 28,572 | |
| Allovir, Inc.* | | | 1,563 | | | | 6,049 | |
| Alpine Immune Sciences, Inc.* | | | 615 | | | | 5,720 | |
| Altimmune, Inc.* | | | 3,028 | | | | 15,322 | |
| ALX Oncology Holdings, Inc.* | | | 934 | | | | 7,164 | |
| Amicus Therapeutics, Inc.* | | | 13,945 | | | | 106,261 | |
| AnaptysBio, Inc.* | | | 1,023 | | | | 19,427 | |
| Anavex Life Sciences Corp.*(b) | | | 3,559 | | | | 32,423 | |
| Anika Therapeutics, Inc.* | | | 760 | | | | 16,522 | |
| Annexon, Inc.* | | | 1,637 | | | | 5,140 | |
| Apellis Pharmaceuticals, Inc.* | | | 3,726 | | | | 154,443 | |
| Applied Molecular Transport, Inc.* | | | 1,324 | | | | 4,382 | |
| Applied Therapeutics, Inc.* | | | 933 | | | | 1,344 | |
| AquaBounty Technologies, Inc.* | | | 3,467 | | | | 5,166 | |
| Arbutus Biopharma Corp.*(b) | | | 4,827 | | | | 11,730 | |
| Arcellx, Inc.* | | | 478 | | | | 5,789 | |
| Arcturus Therapeutics Holdings, Inc.*(b) | | | 1,124 | | | | 22,345 | |
| Arcus Biosciences, Inc.* | | | 2,379 | | | | 45,082 | |
| Arcutis Biotherapeutics, Inc.* | | | 1,467 | | | | 30,631 | |
| Ardelyx, Inc.* | | | 5,121 | | | | 3,361 | |
| Arrowhead Pharmaceuticals, Inc.* | | | 5,438 | | | | 181,412 | |
| Atara Biotherapeutics, Inc.* | | | 4,611 | | | | 23,977 | |
| Athenex, Inc.* | | | 4,581 | | | | 2,193 | |
| Athersys, Inc.* | | | 11,281 | | | | 2,482 | |
| Atossa Therapeutics, Inc.* | | | 6,205 | | | | 6,033 | |
| Atreca, Inc., Class A* | | | 1,375 | | | | 2,310 | |
| Aura Biosciences, Inc.* | | | 300 | | | | 5,241 | |
| Avalo Therapeutics, Inc.* | | | 3,293 | | | | 1,186 | |
| Avid Bioservices, Inc.* | | | 3,204 | | | | 42,837 | |
| Avidity Biosciences, Inc.* | | | 1,999 | | | | 27,846 | |
| Avita Medical, Inc.* | | | 1,280 | | | | 7,296 | |
| Avrobio, Inc.* | | | 2,006 | | | | 1,950 | |
| Beam Therapeutics, Inc.* | | | 2,719 | | | | 95,654 | |
| Beyondspring, Inc.* | | | 1,188 | | | | 1,628 | |
| BioAtla, Inc.* | | | 819 | | | | 1,974 | |
| BioCryst Pharmaceuticals, Inc.* | | | 9,541 | | | | 88,827 | |
| Biohaven Pharmaceutical Holding Co. Ltd.* | | | 2,946 | | | | 423,429 | |
| Biomea Fusion, Inc.* | | | 1,142 | | | | 6,270 | |
| Bioxcel Therapeutics, Inc.*(b) | | | 913 | | | | 10,682 | |
| Black Diamond Therapeutics, Inc.* | | | 1,206 | | | | 2,038 | |
| Bluebird Bio, Inc.* | | | 3,576 | | | | 11,443 | |
| Blueprint Medicines Corp.* | | | 3,096 | | | | 170,280 | |
| Bolt Biotherapeutics, Inc.* | | | 1,216 | | | | 2,067 | |
| Bridgebio Pharma, Inc.* | | | 5,619 | | | | 38,378 | |
| Brooklyn ImmunoTherapeutics, Inc.* | | | 1,567 | | | | 1,051 | |
| C4 Therapeutics, Inc.*(b) | | | 2,043 | | | | 14,832 | |
| Cardiff Oncology, Inc.* | | | 2,016 | | | | 2,722 | |
| CareDx, Inc.* | | | 2,683 | | | | 67,477 | |
| Caribou Biosciences, Inc.* | | | 2,694 | | | | 22,441 | |
| Catalyst Pharmaceuticals, Inc.* | | | 5,146 | | | | 37,051 | |
| Celcuity, Inc.* | | | 517 | | | | 3,381 | |
| Celldex Therapeutics, Inc.* | | | 2,448 | | | | 57,577 | |
| CEL-SCI Corp.* | | | 1,919 | | | | 7,004 | |
| Century Therapeutics, Inc.*(b) | | | 921 | | | | 8,004 | |
| Cerevel Therapeutics Holdings, Inc.*(b) | | | 2,159 | | | | 56,415 | |
| ChemoCentryx, Inc.* | | | 2,870 | | | | 63,915 | |
| Chimerix, Inc.* | | | 3,863 | | | | 7,262 | |
| Chinook Therapeutics, Inc.* | | | 2,143 | | | | 32,531 | |
| Clene, Inc.* | | | 1,082 | | | | 2,359 | |
| Clovis Oncology, Inc.*(b) | | | 6,005 | | | | 4,175 | |
| Codiak Biosciences, Inc.* | | | 839 | | | | 2,341 | |
| Cogent Biosciences, Inc.*(b) | | | 1,970 | | | | 9,082 | |
| Coherus Biosciences, Inc.* | | | 3,444 | | | | 25,279 | |
| Cortexyme, Inc.* | | | 1,055 | | | | 2,732 | |
| Crinetics Pharmaceuticals, Inc.* | | | 2,444 | | | | 40,937 | |
| Cue Biopharma, Inc.* | | | 1,628 | | | | 6,300 | |
| Cullinan Oncology, Inc.*(b) | | | 1,370 | | | | 14,645 | |
| Curis, Inc.* | | | 4,591 | | | | 3,509 | |
| Cyteir Therapeutics, Inc.* | | | 991 | | | | 1,883 | |
| Cytokinetics, Inc.* | | | 4,202 | | | | 167,660 | |
| CytomX Therapeutics, Inc.* | | | 3,423 | | | | 5,511 | |
| Day One Biopharmaceuticals, Inc.*(b) | | | 1,207 | | | | 7,508 | |
| Deciphera Pharmaceuticals, Inc.* | | | 2,109 | | | | 22,862 | |
| Denali Therapeutics, Inc.* | | | 4,822 | | | | 117,126 | |
| DermTech, Inc.*(b) | | | 1,282 | | | | 8,512 | |
| Design Therapeutics, Inc.* | | | 1,413 | | | | 17,634 | |
| Dynavax Technologies Corp.* | | | 5,720 | | | | 67,839 | |
| Dyne Therapeutics, Inc.* | | | 1,588 | | | | 7,638 | |
| Eagle Pharmaceuticals, Inc.* | | | 607 | | | | 28,347 | |
| Editas Medicine, Inc.* | | | 3,628 | | | | 41,323 | |
| Eiger BioPharmaceuticals, Inc.* | | | 1,704 | | | | 11,826 | |
| Eliem Therapeutics, Inc.* | | | 315 | | | | 1,206 | |
| Emergent BioSolutions, Inc.* | | | 2,596 | | | | 85,564 | |
| Enanta Pharmaceuticals, Inc.* | | | 1,040 | | | | 41,527 | |
| Entrada Therapeutics, Inc.* | | | 552 | | | | 3,732 | |
| Epizyme, Inc.* | | | 7,593 | | | | 3,189 | |
| Erasca, Inc.*(b) | | | 3,383 | | | | 18,336 | |
| Evelo Biosciences, Inc.* | | | 1,607 | | | | 3,375 | |
| Exagen, Inc.* | | | 541 | | | | 2,705 | |
| Fate Therapeutics, Inc.* | | | 4,302 | | | | 99,376 | |
| FibroGen, Inc.* | | | 4,561 | | | | 44,880 | |
| Finch Therapeutics Group, Inc.* | | | 394 | | | | 934 | |
| Foghorn Therapeutics, Inc.*(b) | | | 1,035 | | | | 13,352 | |
| Forma Therapeutics Holdings, Inc.* | | | 1,801 | | | | 10,248 | |
| Forte Biosciences, Inc.* | | | 597 | | | | 788 | |
| Fortress Biotech, Inc.* | | | 3,892 | | | | 3,353 | |
| Frequency Therapeutics, Inc.* | | | 1,710 | | | | 1,915 | |
| G1 Therapeutics, Inc.*(b) | | | 2,098 | | | | 10,196 | |
| Gemini Therapeutics, Inc.* | | | 1,157 | | | | 1,481 | |
| Generation Bio Co.* | | | 2,324 | | | | 13,061 | |
| Geron Corp.*(b) | | | 16,149 | | | | 22,286 | |
See accompanying notes to the financial statements.
Ultra Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Global Blood Therapeutics, Inc.* | | | 3,290 | | | | 82,053 | |
| Gossamer Bio, Inc.* | | | 3,292 | | | | 23,209 | |
| Graphite Bio, Inc.* | | | 1,567 | | | | 3,682 | |
| Greenwich Lifesciences, Inc.* | | | 221 | | | | 1,711 | |
| Gritstone bio, Inc.* | | | 2,263 | | | | 4,571 | |
| GT Biopharma, Inc.* | | | 933 | | | | 2,575 | |
| Halozyme Therapeutics, Inc.* | | | 7,336 | | | | 337,309 | |
| Harpoon Therapeutics, Inc.* | | | 992 | | | | 2,044 | |
| Heron Therapeutics, Inc.*(b) | | | 4,896 | | | | 16,157 | |
| Homology Medicines, Inc.* | | | 2,220 | | | | 3,263 | |
| Hookipa Pharma, Inc.* | | | 1,013 | | | | 1,742 | |
| Humanigen, Inc.* | | | 2,584 | | | | 5,633 | |
| iBio, Inc.* | | | 11,458 | | | | 2,761 | |
| Icosavax, Inc.*(b) | | | 1,850 | | | | 12,562 | |
| Ideaya Biosciences, Inc.*(b) | | | 1,732 | | | | 19,312 | |
| IGM Biosciences, Inc.* | | | 438 | | | | 7,350 | |
| Imago Biosciences, Inc.*(b) | | | 1,064 | | | | 17,194 | |
| Immuneering Corp., Class A* | | | 998 | | | | 4,471 | |
| Immunic, Inc.* | | | 995 | | | | 6,169 | |
| ImmunityBio, Inc.*(b) | | | 3,678 | | | | 13,829 | |
| ImmunoGen, Inc.* | | | 11,400 | | | | 41,724 | |
| Immunovant, Inc.* | | | 2,151 | | | | 9,120 | |
| Impel Pharmaceuticals, Inc.* | | | 334 | | | | 2,301 | |
| Infinity Pharmaceuticals, Inc.* | | | 4,632 | | | | 3,115 | |
| Inhibrx, Inc.* | | | 1,484 | | | | 19,396 | |
| Inovio Pharmaceuticals, Inc.*(b) | | | 10,963 | | | | 20,501 | |
| Inozyme Pharma, Inc.*(b) | | | 763 | | | | 2,815 | |
| Insmed, Inc.* | | | 6,263 | | | | 117,870 | |
| Instil Bio, Inc.*(b) | | | 2,868 | | | | 17,222 | |
| Intellia Therapeutics, Inc.* | | | 3,701 | | | | 170,764 | |
| Intercept Pharmaceuticals, Inc.*(b) | | | 1,323 | | | | 23,946 | |
| Ironwood Pharmaceuticals, Inc.* | | | 7,788 | | | | 87,771 | |
| iTeos Therapeutics, Inc.* | | | 1,070 | | | | 18,725 | |
| IVERIC bio, Inc.* | | | 6,096 | | | | 63,642 | |
| Janux Therapeutics, Inc.* | | | 935 | | | | 10,407 | |
| Jounce Therapeutics, Inc.* | | | 1,745 | | | | 6,753 | |
| KalVista Pharmaceuticals, Inc.* | | | 1,190 | | | | 10,579 | |
| Karuna Therapeutics, Inc.* | | | 1,178 | | | | 122,889 | |
| Karyopharm Therapeutics, Inc.* | | | 3,800 | | | | 23,864 | |
| Keros Therapeutics, Inc.* | | | 828 | | | | 27,986 | |
| Kezar Life Sciences, Inc.* | | | 2,008 | | | | 10,140 | |
| Kiniksa Pharmaceuticals Ltd., Class A* | | | 1,546 | | | | 11,842 | |
| Kinnate Biopharma, Inc.* | | | 1,364 | | | | 10,830 | |
| Kodiak Sciences, Inc.* | | | 1,775 | | | | 12,851 | |
| Kronos Bio, Inc.* | | | 2,055 | | | | 7,645 | |
| Krystal Biotech, Inc.* | | | 1,065 | | | | 62,707 | |
| Kura Oncology, Inc.* | | | 3,363 | | | | 44,257 | |
| Kymera Therapeutics, Inc.* | | | 1,823 | | | | 26,014 | |
| Lexicon Pharmaceuticals, Inc.* | | | 3,708 | | | | 6,563 | |
| Ligand Pharmaceuticals, Inc.* | | | 797 | | | | 70,861 | |
| Lineage Cell Therapeutics, Inc.* | | | 6,648 | | | | 8,310 | |
| Lyell Immunopharma, Inc.*(b) | | | 7,867 | | | | 32,569 | |
| MacroGenics, Inc.* | | | 3,179 | | | | 11,031 | |
| Madrigal Pharmaceuticals, Inc.* | | | 621 | | | | 41,228 | |
| Magenta Therapeutics, Inc.* | | | 1,583 | | | | 1,836 | |
| MannKind Corp.*(b) | | | 13,084 | | | | 54,691 | |
| MEI Pharma, Inc.* | | | 6,774 | | | | 3,227 | |
| MeiraGTx Holdings plc* | | | 1,577 | | | | 13,231 | |
| Mersana Therapeutics, Inc.* | | | 3,786 | | | | 12,645 | |
| MiMedx Group, Inc.* | | | 5,886 | | | | 23,014 | |
| MiNK Therapeutics, Inc.* | | | 98 | | | | 152 | |
| Mirum Pharmaceuticals, Inc.* | | | 185 | | | | 4,327 | |
| Molecular Templates, Inc.*(b) | | | 1,960 | | | | 1,936 | |
| Monte Rosa Therapeutics, Inc.*(b) | | | 1,529 | | | | 11,834 | |
| Morphic Holding, Inc.* | | | 1,126 | | | | 26,393 | |
| Mustang Bio, Inc.* | | | 3,944 | | | | 2,544 | |
| Myriad Genetics, Inc.* | | | 4,217 | | | | 81,135 | |
| Neoleukin Therapeutics, Inc.* | | | 1,863 | | | | 1,863 | |
| NexImmune, Inc.* | | | 936 | | | | 2,134 | |
| Nkarta, Inc.* | | | 745 | | | | 10,750 | |
| Nurix Therapeutics, Inc.* | | | 1,658 | | | | 16,729 | |
| Nuvalent, Inc., Class A*(b) | | | 973 | | | | 8,621 | |
| Ocugen, Inc.*(b) | | | 9,791 | | | | 23,205 | |
| Olema Pharmaceuticals, Inc.* | | | 1,355 | | | | 3,875 | |
| Omega Therapeutics, Inc.* | | | 1,182 | | | | 2,683 | |
| Oncocyte Corp.* | | | 3,187 | | | | 3,442 | |
| Oncorus, Inc.* | | | 1,077 | | | | 1,282 | |
| Oncternal Therapeutics, Inc.* | | | 2,344 | | | | 3,469 | |
| Organogenesis Holdings, Inc.* | | | 3,672 | | | | 20,600 | |
| ORIC Pharmaceuticals, Inc.* | | | 1,675 | | | | 5,595 | |
| Outlook Therapeutics, Inc.*(b) | | | 6,038 | | | | 6,944 | |
| Oyster Point Pharma, Inc.*(b) | | | 598 | | | | 2,350 | |
| Passage Bio, Inc.* | | | 1,964 | | | | 3,535 | |
| PMV Pharmaceuticals, Inc.* | | | 1,388 | | | | 16,323 | |
| Portage Biotech, Inc.* | | | 259 | | | | 2,590 | |
| Poseida Therapeutics, Inc.* | | | 1,519 | | | | 3,448 | |
| Praxis Precision Medicines, Inc.* | | | 1,773 | | | | 14,716 | |
| Precigen, Inc.* | | | 5,022 | | | | 6,729 | |
| Precision BioSciences, Inc.* | | | 2,671 | | | | 4,487 | |
| Prelude Therapeutics, Inc.* | | | 577 | | | | 2,423 | |
| Prometheus Biosciences, Inc.* | | | 1,588 | | | | 41,383 | |
| Protagonist Therapeutics, Inc.* | | | 2,367 | | | | 20,735 | |
| Prothena Corp. plc* | | | 1,914 | | | | 52,118 | |
| PTC Therapeutics, Inc.* | | | 3,679 | | | | 108,052 | |
| Puma Biotechnology, Inc.* | | | 1,713 | | | | 3,323 | |
| Pyxis Oncology, Inc.* | | | 560 | | | | 1,383 | |
| Radius Health, Inc.* | | | 2,478 | | | | 15,686 | |
| Rallybio Corp.*(b) | | | 955 | | | | 12,988 | |
| RAPT Therapeutics, Inc.* | | | 1,129 | | | | 16,619 | |
| Recursion Pharmaceuticals, Inc., Class A* | | | 6,097 | | | | 37,314 | |
| REGENXBIO, Inc.* | | | 2,088 | | | | 43,932 | |
| Relay Therapeutics, Inc.* | | | 3,716 | | | | 60,496 | |
| Reneo Pharmaceuticals, Inc.* | | | 456 | | | | 944 | |
| Replimune Group, Inc.* | | | 1,599 | | | | 23,233 | |
| REVOLUTION Medicines, Inc.* | | | 3,152 | | | | 53,521 | |
| Rhythm Pharmaceuticals, Inc.*(b) | | | 2,335 | | | | 8,032 | |
| Rigel Pharmaceuticals, Inc.* | | | 9,052 | | | | 16,384 | |
| Rocket Pharmaceuticals, Inc.* | | | 2,181 | | | | 25,845 | |
| Rubius Therapeutics, Inc.* | | | 2,438 | | | | 2,682 | |
| Sana Biotechnology, Inc.*(b) | | | 4,582 | | | | 23,506 | |
| Sangamo Therapeutics, Inc.* | | | 6,293 | | | | 22,969 | |
| Scholar Rock Holding Corp.* | | | 1,492 | | | | 7,490 | |
| Selecta Biosciences, Inc.* | | | 4,883 | | | | 4,308 | |
| Sensei Biotherapeutics, Inc.* | | | 1,106 | | | | 2,101 | |
| Sera Prognostics, Inc., Class A* | | | 411 | | | | 571 | |
| Seres Therapeutics, Inc.* | | | 3,689 | | | | 11,436 | |
| Sesen Bio, Inc.* | | | 10,664 | | | | 6,536 | |
| Shattuck Labs, Inc.* | | | 1,412 | | | | 4,038 | |
| Sigilon Therapeutics, Inc.* | | | 801 | | | | 607 | |
| Silverback Therapeutics, Inc.* | | | 1,083 | | | | 3,780 | |
| Solid Biosciences, Inc.* | | | 3,153 | | | | 1,797 | |
| Sorrento Therapeutics, Inc.*(b) | | | 15,842 | | | | 25,981 | |
| Spectrum Pharmaceuticals, Inc.* | | | 8,638 | | | | 6,456 | |
| Spero Therapeutics, Inc.* | | | 1,283 | | | | 1,514 | |
| SpringWorks Therapeutics, Inc.* | | | 1,552 | | | | 29,395 | |
| Spruce Biosciences, Inc.* | | | 457 | | | | 713 | |
See accompanying notes to the financial statements.
Ultra Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| SQZ Biotechnologies Co.* | | | 1,207 | | | | 4,285 | |
| Stoke Therapeutics, Inc.* | | | 1,006 | | | | 12,183 | |
| Summit Therapeutics, Inc.* | | | 1,396 | | | | 1,857 | |
| Surface Oncology, Inc.* | | | 1,869 | | | | 3,458 | |
| Sutro Biopharma, Inc.* | | | 2,292 | | | | 9,970 | |
| Syndax Pharmaceuticals, Inc.* | | | 2,591 | | | | 42,752 | |
| Syros Pharmaceuticals, Inc.* | | | 3,050 | | | | 2,506 | |
| Talaris Therapeutics, Inc.* | | | 1,128 | | | | 9,712 | |
| Taysha Gene Therapies, Inc.* | | | 1,204 | | | | 3,070 | |
| TCR2 Therapeutics, Inc.* | | | 1,619 | | | | 3,756 | |
| Tenaya Therapeutics, Inc.*(b) | | | 1,514 | | | | 10,144 | |
| TG Therapeutics, Inc.* | | | 6,878 | | | | 30,401 | |
| Tonix Pharmaceuticals Holding Corp.*(b) | | | 829 | | | | 2,023 | |
| Travere Therapeutics, Inc.* | | | 3,132 | | | | 73,007 | |
| Trevena, Inc.* | | | 8,660 | | | | 2,700 | |
| Turning Point Therapeutics, Inc.* | | | 2,445 | | | | 86,480 | |
| Twist Bioscience Corp.* | | | 2,935 | | | | 99,907 | |
| Tyra Biosciences, Inc.*(b) | | | 619 | | | | 4,228 | |
| UroGen Pharma Ltd.* | | | 1,033 | | | | 5,496 | |
| Vanda Pharmaceuticals, Inc.* | | | 2,902 | | | | 28,527 | |
| Vaxart, Inc.*(b) | | | 6,484 | | | | 23,602 | |
| Vaxcyte, Inc.* | | | 2,260 | | | | 54,217 | |
| VBI Vaccines, Inc.*(b) | | | 9,994 | | | | 9,145 | |
| Vera Therapeutics, Inc.*(b) | | | 730 | | | | 10,614 | |
| Veracyte, Inc.*(b) | | | 3,571 | | | | 62,778 | |
| Verastem, Inc.* | | | 9,138 | | | | 11,697 | |
| Vericel Corp.* | | | 2,458 | | | | 66,735 | |
| Verve Therapeutics, Inc.*(b) | | | 1,930 | | | | 29,259 | |
| Vigil Neuroscience, Inc.* | | | 352 | | | | 1,024 | |
| Viking Therapeutics, Inc.* | | | 3,627 | | | | 8,052 | |
| Vincerx Pharma, Inc.* | | | 865 | | | | 1,410 | |
| Vir Biotechnology, Inc.* | | | 3,185 | | | | 82,205 | |
| Viracta Therapeutics, Inc.* | | | 1,920 | | | | 4,070 | |
| VistaGen Therapeutics, Inc.*(b) | | | 10,282 | | | | 11,824 | |
| Vor BioPharma, Inc.* | | | 998 | | | | 4,202 | |
| Werewolf Therapeutics, Inc.* | | | 1,401 | | | | 5,310 | |
| XBiotech, Inc. | | | 805 | | | | 4,428 | |
| Xencor, Inc.* | | | 3,001 | | | | 67,012 | |
| Xilio Therapeutics, Inc.* | | | 398 | | | | 1,194 | |
| XOMA Corp.* | | | 317 | | | | 5,773 | |
| Y-mAbs Therapeutics, Inc.* | | | 1,855 | | | | 23,076 | |
| Zentalis Pharmaceuticals, Inc.* | | | 1,935 | | | | 46,653 | |
| | | | | | | 7,474,022 | |
| Building Products - 1.0% | | | | | | | | |
| AAON, Inc. | | | 2,221 | | | | 119,001 | |
| American Woodmark Corp.* | | | 875 | | | | 45,570 | |
| Apogee Enterprises, Inc. | | | 1,289 | | | | 53,622 | |
| Caesarstone Ltd. | | | 1,204 | | | | 10,968 | |
| Cornerstone Building Brands, Inc.* | | | 2,905 | | | | 71,318 | |
| CSW Industrials, Inc. | | | 801 | | | | 85,002 | |
| Gibraltar Industries, Inc.* | | | 1,736 | | | | 72,495 | |
| Griffon Corp. | | | 2,736 | | | | 87,744 | |
| Insteel Industries, Inc. | | | 990 | | | | 40,996 | |
| JELD-WEN Holding, Inc.* | | | 4,846 | | | | 91,250 | |
| Masonite International Corp.* | | | 1,267 | | | | 116,349 | |
| PGT Innovations, Inc.* | | | 3,054 | | | | 61,385 | |
| Quanex Building Products Corp. | | | 1,777 | | | | 36,144 | |
| Resideo Technologies, Inc.* | | | 7,666 | | | | 181,071 | |
| Simpson Manufacturing Co., Inc. | | | 2,310 | | | | 250,289 | |
| UFP Industries, Inc. | | | 3,193 | | | | 246,500 | |
| View, Inc.*(b) | | | 5,199 | | | | 6,603 | |
| Zurn Water Solutions Corp. | | | 6,437 | | | | 185,514 | |
| | | | | | | 1,761,821 | |
| Capital Markets - 1.1% | | | | | | | | |
| Artisan Partners Asset Management, Inc., Class A | | | 3,102 | | | | 119,148 | |
| AssetMark Financial Holdings, Inc.* | | | 967 | | | | 20,201 | |
| Associated Capital Group, Inc., Class A | | | 99 | | | | 3,919 | |
| B Riley Financial, Inc. | | | 1,072 | | | | 58,263 | |
| BGC Partners, Inc., Class A | | | 16,770 | | | | 54,670 | |
| BlackRock Capital Investment Corp. | | | 2 | | | | 8 | |
| Blucora, Inc.* | | | 2,591 | | | | 45,835 | |
| Brightsphere Investment Group, Inc. | | | 1,711 | | | | 34,887 | |
| Cohen & Steers, Inc. | | | 1,317 | | | | 100,369 | |
| Cowen, Inc., Class A(b) | | | 1,401 | | | | 37,183 | |
| Diamond Hill Investment Group, Inc. | | | 165 | | | | 30,878 | |
| Donnelley Financial Solutions, Inc.* | | | 1,561 | | | | 48,563 | |
| Federated Hermes, Inc. | | | 4,940 | | | | 167,812 | |
| Focus Financial Partners, Inc., Class A* | | | 3,445 | | | | 129,876 | |
| GAMCO Investors, Inc., Class A(b) | | | 267 | | | | 5,489 | |
| GCM Grosvenor, Inc., Class A(b) | | | 2,359 | | | | 19,320 | |
| Greenhill & Co., Inc. | | | 739 | | | | 9,090 | |
| Hamilton Lane, Inc., Class A | | | 1,848 | | | | 128,528 | |
| Hercules Capital, Inc. | | | 6 | | | | 84 | |
| Houlihan Lokey, Inc. | | | 2,713 | | | | 233,155 | |
| Moelis & Co., Class A | | | 3,238 | | | | 151,927 | |
| Open Lending Corp., Class A* | | | 5,527 | | | | 72,735 | |
| Oppenheimer Holdings, Inc., Class A | | | 484 | | | | 17,284 | |
| Piper Sandler Cos. | | | 930 | | | | 122,565 | |
| PJT Partners, Inc., Class A | | | 1,259 | | | | 95,483 | |
| Prospect Capital Corp. | | | 3 | | | | 23 | |
| Pzena Investment Management, Inc., Class A | | | 883 | | | | 6,243 | |
| Sculptor Capital Management, Inc. | | | 1,174 | | | | 14,111 | |
| StepStone Group, Inc., Class A | | | 2,434 | | | | 66,351 | |
| StoneX Group, Inc.* | | | 909 | | | | 68,239 | |
| Value Line, Inc.(b) | | | 47 | | | | 3,319 | |
| Virtus Investment Partners, Inc. | | | 390 | | | | 75,137 | |
| WisdomTree Investments, Inc. | | | 7,140 | | | | 42,483 | |
| | | | | | | 1,983,178 | |
| Chemicals - 1.6% | | | | | | | | |
| AdvanSix, Inc. | | | 1,446 | | | | 66,993 | |
| American Vanguard Corp. | | | 1,561 | | | | 38,526 | |
| Amyris, Inc.*(b) | | | 9,369 | | | | 23,891 | |
| Aspen Aerogels, Inc.* | | | 1,167 | | | | 20,446 | |
| Avient Corp. | | | 4,827 | | | | 237,488 | |
| Balchem Corp. | | | 1,714 | | | | 213,273 | |
| Cabot Corp. | | | 2,979 | | | | 225,242 | |
| Chase Corp. | | | 393 | | | | 31,750 | |
| Danimer Scientific, Inc.*(b) | | | 4,802 | | | | 21,081 | |
| Ecovyst, Inc. | | | 3,153 | | | | 32,381 | |
| FutureFuel Corp. | | | 1,369 | | | | 9,843 | |
| GCP Applied Technologies, Inc.* | | | 3,557 | | | | 110,694 | |
| Hawkins, Inc. | | | 1,017 | | | | 36,775 | |
| HB Fuller Co. | | | 2,810 | | | | 199,735 | |
| Ingevity Corp.* | | | 2,105 | | | | 146,676 | |
| Innospec, Inc. | | | 1,300 | | | | 132,639 | |
| Intrepid Potash, Inc.* | | | 532 | | | | 35,043 | |
| Koppers Holdings, Inc. | | | 1,099 | | | | 29,783 | |
See accompanying notes to the financial statements.
Ultra Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Kronos Worldwide, Inc. | | | 1,184 | | | | 22,555 | |
| Livent Corp.*(b) | | | 8,586 | | | | 272,949 | |
| Marrone Bio Innovations, Inc.* | | | 5,365 | | | | 6,277 | |
| Minerals Technologies, Inc. | | | 1,764 | | | | 116,883 | |
| Orion Engineered Carbons SA | | | 3,219 | | | | 62,159 | |
| PureCycle Technologies, Inc.*(b) | | | 3,028 | | | | 25,859 | |
| Quaker Chemical Corp. | | | 719 | | | | 112,452 | |
| Rayonier Advanced Materials, Inc.* | | | 3,279 | | | | 12,624 | |
| Schweitzer-Mauduit International, Inc. | | | 1,659 | | | | 44,992 | |
| Sensient Technologies Corp. | | | 2,243 | | | | 196,128 | |
| Stepan Co. | | | 1,146 | | | | 128,478 | |
| Tredegar Corp. | | | 1,393 | | | | 16,869 | |
| Trinseo plc | | | 2,066 | | | | 97,701 | |
| Tronox Holdings plc, Class A | | | 6,077 | | | | 109,447 | |
| Valhi, Inc. | | | 124 | | | | 5,751 | |
| Zymergen, Inc.* | | | 4,254 | | | | 6,041 | |
| | | | | | | 2,849,424 | |
| Commercial Services & Supplies - 1.3% | | | | | | | | |
| ABM Industries, Inc. | | | 3,565 | | | | 172,368 | |
| ACCO Brands Corp. | | | 4,942 | | | | 37,263 | |
| Aris Water Solution, Inc., Class A | | | 1,029 | | | | 21,022 | |
| Brady Corp., Class A | | | 2,504 | | | | 121,469 | |
| BrightView Holdings, Inc.* | | | 2,515 | | | | 32,695 | |
| Brink's Co. (The) | | | 2,544 | | | | 154,751 | |
| Casella Waste Systems, Inc., Class A* | | | 2,603 | | | | 186,323 | |
| CECO Environmental Corp.* | | | 1,647 | | | | 10,310 | |
| Cimpress plc* | | | 936 | | | | 40,791 | |
| CompX International, Inc. | | | 92 | | | | 2,036 | |
| CoreCivic, Inc., REIT* | | | 6,362 | | | | 81,879 | |
| Deluxe Corp. | | | 2,255 | | | | 53,962 | |
| Ennis, Inc. | | | 1,348 | | | | 24,466 | |
| GEO Group, Inc. (The), REIT*(b) | | | 6,247 | | | | 44,416 | |
| Harsco Corp.* | | | 4,150 | | | | 34,445 | |
| Healthcare Services Group, Inc. | | | 3,974 | | | | 68,233 | |
| Heritage-Crystal Clean, Inc.* | | | 830 | | | | 22,883 | |
| HNI Corp. | | | 2,308 | | | | 88,004 | |
| Interface, Inc. | | | 3,087 | | | | 44,422 | |
| KAR Auction Services, Inc.* | | | 6,403 | | | | 102,256 | |
| Kimball International, Inc., Class B | | | 1,913 | | | | 16,337 | |
| Matthews International Corp., Class A | | | 1,635 | | | | 52,909 | |
| MillerKnoll, Inc. | | | 3,946 | | | | 119,169 | |
| Montrose Environmental Group, Inc.* | | | 1,386 | | | | 56,147 | |
| NL Industries, Inc. | | | 448 | | | | 4,113 | |
| Pitney Bowes, Inc. | | | 9,329 | | | | 43,660 | |
| SP Plus Corp.* | | | 1,223 | | | | 39,087 | |
| Steelcase, Inc., Class A | | | 4,550 | | | | 55,783 | |
| Team, Inc.* | | | 1,388 | | | | 1,638 | |
| Tetra Tech, Inc. | | | 2,866 | | | | 386,824 | |
| UniFirst Corp. | | | 797 | | | | 130,262 | |
| Viad Corp.* | | | 1,070 | | | | 32,228 | |
| VSE Corp. | | | 558 | | | | 21,684 | |
| | | | | | | 2,303,835 | |
| Communications Equipment - 0.5% | | | | | | | | |
| ADTRAN, Inc. | | | 2,593 | | | | 48,048 | |
| Aviat Networks, Inc.* | | | 582 | | | | 17,064 | |
| CalAmp Corp.* | | | 1,879 | | | | 13,642 | |
| Calix, Inc.* | | | 2,931 | | | | 108,271 | |
| Cambium Networks Corp.* | | | 573 | | | | 8,188 | |
| Casa Systems, Inc.* | | | 1,687 | | | | 7,423 | |
| Clearfield, Inc.* | | | 603 | | | | 37,265 | |
| Comtech Telecommunications Corp. | | | 1,364 | | | | 17,064 | |
| Digi International, Inc.* | | | 1,840 | | | | 40,664 | |
| DZS, Inc.* | | | 909 | | | | 15,898 | |
| EMCORE Corp.* | | | 1,959 | | | | 6,465 | |
| Extreme Networks, Inc.* | | | 6,757 | | | | 67,029 | |
| Harmonic, Inc.* | | | 4,807 | | | | 46,291 | |
| Infinera Corp.* | | | 9,699 | | | | 55,575 | |
| Inseego Corp.* | | | 4,518 | | | | 9,307 | |
| KVH Industries, Inc.* | | | 802 | | | | 6,240 | |
| NETGEAR, Inc.* | | | 1,535 | | | | 29,242 | |
| NetScout Systems, Inc.* | | | 3,715 | | | | 127,536 | |
| Plantronics, Inc.* | | | 2,259 | | | | 89,185 | |
| Ribbon Communications, Inc.* | | | 3,720 | | | | 10,528 | |
| Viavi Solutions, Inc.* | | | 12,201 | | | | 176,549 | |
| | | | | | | 937,474 | |
| Construction & Engineering - 1.2% | | | | | | | | |
| Ameresco, Inc., Class A* | | | 1,641 | | | | 96,360 | |
| API Group Corp.* | | | 10,706 | | | | 186,820 | |
| Arcosa, Inc. | | | 2,573 | | | | 136,034 | |
| Argan, Inc. | | | 796 | | | | 31,832 | |
| Comfort Systems USA, Inc. | | | 1,893 | | | | 169,840 | |
| Concrete Pumping Holdings, Inc.*(b) | | | 1,364 | | | | 7,379 | |
| Construction Partners, Inc., Class A* | | | 2,112 | | | | 48,555 | |
| Dycom Industries, Inc.* | | | 1,561 | | | | 145,345 | |
| EMCOR Group, Inc. | | | 2,826 | | | | 298,510 | |
| Fluor Corp.* | | | 7,528 | | | | 212,515 | |
| Granite Construction, Inc.(b) | | | 2,428 | | | | 79,274 | |
| Great Lakes Dredge & Dock Corp.* | | | 3,428 | | | | 50,392 | |
| IES Holdings, Inc.* | | | 461 | | | | 14,240 | |
| Infrastructure and Energy Alternatives, Inc.* | | | 1,449 | | | | 11,780 | |
| INNOVATE Corp.*(b) | | | 2,512 | | | | 6,104 | |
| Matrix Service Co.* | | | 1,395 | | | | 8,412 | |
| MYR Group, Inc.* | | | 873 | | | | 79,976 | |
| Northwest Pipe Co.* | | | 519 | | | | 17,340 | |
| NV5 Global, Inc.* | | | 695 | | | | 85,610 | |
| Primoris Services Corp. | | | 2,835 | | | | 68,834 | |
| Sterling Construction Co., Inc.* | | | 1,479 | | | | 36,398 | |
| Tutor Perini Corp.* | | | 2,183 | | | | 22,136 | |
| WillScot Mobile Mini Holdings Corp.* | | | 11,060 | | | | 395,174 | |
| | | | | | | 2,208,860 | |
| Construction Materials - 0.1% | | | | | | | | |
| Summit Materials, Inc., Class A* | | | 6,297 | | | | 171,971 | |
| United States Lime & Minerals, Inc. | | | 99 | | | | 11,773 | |
| | | | | | | 183,744 | |
| Consumer Finance - 0.5% | | | | | | | | |
| Atlanticus Holdings Corp.* | | | 254 | | | | 9,883 | |
| Curo Group Holdings Corp. | | | 1,120 | | | | 9,744 | |
| Encore Capital Group, Inc.* | | | 1,307 | | | | 79,871 | |
| Enova International, Inc.* | | | 1,924 | | | | 60,760 | |
| EZCORP, Inc., Class A* | | | 2,654 | | | | 20,117 | |
| FirstCash Holdings, Inc. | | | 2,099 | | | | 156,690 | |
| Green Dot Corp., Class A* | | | 2,834 | | | | 81,733 | |
| LendingClub Corp.* | | | 5,314 | | | | 83,536 | |
| LendingTree, Inc.* | | | 616 | | | | 38,876 | |
| Navient Corp. | | | 8,016 | | | | 128,256 | |
| Nelnet, Inc., Class A | | | 902 | | | | 76,390 | |
See accompanying notes to the financial statements.
Ultra Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Oportun Financial Corp.* | | | 1,125 | | | | 12,668 | |
| PRA Group, Inc.* | | | 2,301 | | | | 85,137 | |
| PROG Holdings, Inc.* | | | 3,001 | | | | 87,599 | |
| Regional Management Corp. | | | 400 | | | | 19,032 | |
| World Acceptance Corp.* | | | 228 | | | | 33,760 | |
| | | | | | | 984,052 | |
| Containers & Packaging - 0.2% | | | | | | | | |
| Greif, Inc., Class A | | | 1,364 | | | | 81,117 | |
| Greif, Inc., Class B | | | 315 | | | | 18,651 | |
| Myers Industries, Inc. | | | 1,913 | | | | 45,529 | |
| O-I Glass, Inc.* | | | 8,288 | | | | 136,338 | |
| Pactiv Evergreen, Inc. | | | 2,283 | | | | 23,492 | |
| Ranpak Holdings Corp.* | | | 1,995 | | | | 24,858 | |
| TriMas Corp. | | | 2,296 | | | | 64,701 | |
| | | | | | | 394,686 | |
| Distributors - 0.0%(d) | | | | | | | | |
| Funko, Inc., Class A* | | | 1,418 | | | | 28,885 | |
| Greenlane Holdings, Inc., Class A* | | | 967 | | | | 285 | |
| | | | | | | 29,170 | |
| Diversified Consumer Services - 0.4% | | | | | | | | |
| 2U, Inc.*(b) | | | 3,850 | | | | 35,882 | |
| Adtalem Global Education, Inc.* | | | 2,624 | | | | 85,595 | |
| American Public Education, Inc.* | | | 986 | | | | 13,745 | |
| Carriage Services, Inc. | | | 811 | | | | 32,740 | |
| Coursera, Inc.* | | | 3,872 | | | | 65,476 | |
| European Wax Center, Inc., Class A(b) | | | 696 | | | | 18,444 | |
| Graham Holdings Co., Class B | | | 202 | | | | 123,830 | |
| Laureate Education, Inc., Class A | | | 5,267 | | | | 67,049 | |
| OneSpaWorld Holdings Ltd.*(b) | | | 2,836 | | | | 26,658 | |
| Perdoceo Education Corp.* | | | 3,730 | | | | 40,694 | |
| PowerSchool Holdings, Inc., Class A* | | | 2,270 | | | | 29,033 | |
| Regis Corp.* | | | 2,259 | | | | 1,735 | |
| StoneMor, Inc.* | | | 1,703 | | | | 5,841 | |
| Strategic Education, Inc. | | | 1,288 | | | | 84,776 | |
| Stride, Inc.*(b) | | | 2,202 | | | | 86,120 | |
| Udemy, Inc.* | | | 742 | | | | 10,945 | |
| Vivint Smart Home, Inc.* | | | 4,851 | | | | 28,912 | |
| WW International, Inc.* | | | 2,797 | | | | 19,831 | |
| | | | | | | 777,306 | |
| Diversified Financial Services - 0.1% | | | | | | | | |
| Alerus Financial Corp. | | | 799 | | | | 20,295 | |
| A-Mark Precious Metals, Inc. | | | 472 | | | | 35,886 | |
| Banco Latinoamericano de Comercio Exterior SA, Class E | | | 1,639 | | | | 24,372 | |
| Cannae Holdings, Inc.* | | | 4,489 | | | | 90,992 | |
| | | | | | | 171,545 | |
| Diversified Telecommunication Services - 0.4% | | | | | | | | |
| Anterix, Inc.* | | | 616 | | | | 26,359 | |
| ATN International, Inc. | | | 598 | | | | 26,366 | |
| Bandwidth, Inc., Class A*(b) | | | 1,220 | | | | 25,669 | |
| Cogent Communications Holdings, Inc. | | | 2,258 | | | | 136,361 | |
| Consolidated Communications Holdings, Inc.* | | | 3,860 | | | | 25,553 | |
| EchoStar Corp., Class A* | | | 1,973 | | | | 47,411 | |
| Globalstar, Inc.*(b) | | | 32,187 | | | | 45,062 | |
| IDT Corp., Class B* | | | 767 | | | | 21,139 | |
| Iridium Communications, Inc.* | | | 6,265 | | | | 232,494 | |
| Liberty Latin America Ltd., Class A* | | | 2,150 | | | | 20,446 | |
| Liberty Latin America Ltd., Class C* | | | 8,200 | | | | 77,982 | |
| Ooma, Inc.* | | | 1,184 | | | | 16,623 | |
| Radius Global Infrastructure, Inc.* | | | 3,819 | | | | 56,903 | |
| Telesat Corp.* | | | 385 | | | | 6,441 | |
| | | | | | | 764,809 | |
| Electric Utilities - 0.5% | | | | | | | | |
| ALLETE, Inc. | | | 2,788 | | | | 172,912 | |
| MGE Energy, Inc. | | | 1,929 | | | | 153,105 | |
| Otter Tail Corp. | | | 2,182 | | | | 142,681 | |
| PNM Resources, Inc. | | | 4,544 | | | | 215,976 | |
| Portland General Electric Co. | | | 4,766 | | | | 234,725 | |
| Via Renewables, Inc.(b) | | | 633 | | | | 5,362 | |
| | | | | | | 924,761 | |
| Electrical Equipment - 0.7% | | | | | | | | |
| Advent Technologies Holdings, Inc.* | | | 1,698 | | | | 2,309 | |
| Allied Motion Technologies, Inc. | | | 636 | | | | 15,607 | |
| American Superconductor Corp.* | | | 1,471 | | | | 7,855 | |
| Array Technologies, Inc.* | | | 6,767 | | | | 74,978 | |
| Atkore, Inc.* | | | 2,378 | | | | 259,012 | |
| AZZ, Inc. | | | 1,300 | | | | 58,188 | |
| Babcock & Wilcox Enterprises, Inc.* | | | 2,948 | | | | 19,309 | |
| Beam Global* | | | 468 | | | | 6,688 | |
| Blink Charging Co.*(b) | | | 1,935 | | | | 30,824 | |
| Bloom Energy Corp., Class A*(b) | | | 7,534 | | | | 131,996 | |
| Encore Wire Corp. | | | 1,051 | | | | 131,396 | |
| EnerSys | | | 2,198 | | | | 148,849 | |
| Eos Energy Enterprises, Inc.* | | | 2,360 | | | | 3,257 | |
| FTC Solar, Inc.*(b) | | | 2,165 | | | | 8,768 | |
| FuelCell Energy, Inc.*(b) | | | 19,619 | | | | 80,438 | |
| GrafTech International Ltd. | | | 10,635 | | | | 92,312 | |
| Powell Industries, Inc. | | | 475 | | | | 12,768 | |
| Preformed Line Products Co. | | | 163 | | | | 10,104 | |
| Romeo Power, Inc.* | | | 5,184 | | | | 4,073 | |
| Stem, Inc.* | | | 6,045 | | | | 52,229 | |
| Thermon Group Holdings, Inc.* | | | 1,747 | | | | 27,498 | |
| TPI Composites, Inc.* | | | 1,921 | | | | 26,491 | |
| Vicor Corp.* | | | 1,124 | | | | 75,645 | |
| | | | | | | 1,280,594 | |
| Electronic Equipment, Instruments & Components - 1.7% | | | | | | | | |
| 908 Devices, Inc.*(b) | | | 1,111 | | | | 15,465 | |
| Advanced Energy Industries, Inc. | | | 2,008 | | | | 163,572 | |
| Aeva Technologies, Inc.*(b) | | | 5,619 | | | | 18,262 | |
| Akoustis Technologies, Inc.*(b) | | | 2,726 | | | | 10,904 | |
| Arlo Technologies, Inc.* | | | 4,474 | | | | 31,676 | |
| Badger Meter, Inc. | | | 1,552 | | | | 122,825 | |
| Belden, Inc. | | | 2,347 | | | | 135,140 | |
| Benchmark Electronics, Inc. | | | 1,865 | | | | 47,539 | |
| CTS Corp. | | | 1,699 | | | | 69,098 | |
| Daktronics, Inc.* | | | 1,966 | | | | 6,567 | |
| ePlus, Inc.* | | | 1,415 | | | | 80,287 | |
| Fabrinet* | | | 1,962 | | | | 170,439 | |
| FARO Technologies, Inc.* | | | 967 | | | | 31,157 | |
| Identiv, Inc.* | | | 1,142 | | | | 14,606 | |
| II-VI, Inc.*(b) | | | 5,622 | | | | 351,375 | |
| Insight Enterprises, Inc.* | | | 1,833 | | | | 181,137 | |
| Iteris, Inc.* | | | 2,244 | | | | 6,171 | |
| Itron, Inc.* | | | 2,395 | | | | 123,606 | |
| Kimball Electronics, Inc.* | | | 1,279 | | | | 24,314 | |
| Knowles Corp.* | | | 4,673 | | | | 89,815 | |
| Luna Innovations, Inc.* | | | 1,637 | | | | 9,888 | |
See accompanying notes to the financial statements.
Ultra Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Methode Electronics, Inc. | | | 1,962 | | | | 88,388 | |
| MicroVision, Inc.*(b) | | | 8,710 | | | | 31,356 | |
| Napco Security Technologies, Inc.* | | | 1,536 | | | | 30,121 | |
| nLight, Inc.* | | | 2,316 | | | | 28,417 | |
| Novanta, Inc.* | | | 1,872 | | | | 230,181 | |
| OSI Systems, Inc.* | | | 882 | | | | 74,018 | |
| Ouster, Inc.*(b) | | | 6,753 | | | | 14,857 | |
| PAR Technology Corp.*(b) | | | 1,349 | | | | 50,696 | |
| PC Connection, Inc. | | | 596 | | | | 26,647 | |
| Plexus Corp.* | | | 1,490 | | | | 126,352 | |
| Rogers Corp.* | | | 995 | | | | 264,053 | |
| Sanmina Corp.* | | | 3,324 | | | | 145,890 | |
| ScanSource, Inc.* | | | 1,337 | | | | 51,795 | |
| TTM Technologies, Inc.* | | | 5,532 | | | | 79,052 | |
| Velodyne Lidar, Inc.* | | | 4,052 | | | | 6,848 | |
| Vishay Intertechnology, Inc. | | | 7,069 | | | | 144,490 | |
| Vishay Precision Group, Inc.* | | | 656 | | | | 19,942 | |
| | | | | | | 3,116,946 | |
| Energy Equipment & Services - 1.0% | | | | | | | | |
| Archrock, Inc. | | | 7,167 | | | | 71,885 | |
| Bristow Group, Inc.* | | | 1,255 | | | | 39,896 | |
| Cactus, Inc., Class A | | | 2,942 | | | | 154,220 | |
| ChampionX Corp. | | | 10,735 | | | | 249,804 | |
| DMC Global, Inc.* | | | 1,010 | | | | 27,947 | |
| Dril-Quip, Inc.* | | | 1,859 | | | | 58,447 | |
| Expro Group Holdings NV* | | | 2,458 | | | | 33,601 | |
| Helix Energy Solutions Group, Inc.* | | | 7,594 | | | | 35,236 | |
| Helmerich & Payne, Inc. | | | 5,466 | | | | 275,213 | |
| Liberty Energy, Inc., Class A* | | | 4,912 | | | | 79,918 | |
| Nabors Industries Ltd.* | | | 380 | | | | 63,373 | |
| National Energy Services Reunited Corp.* | | | 2,016 | | | | 15,039 | |
| Newpark Resources, Inc.* | | | 4,784 | | | | 20,571 | |
| NexTier Oilfield Solutions, Inc.* | | | 9,169 | | | | 99,942 | |
| Oceaneering International, Inc.* | | | 5,282 | | | | 67,187 | |
| Oil States International, Inc.* | | | 3,214 | | | | 24,876 | |
| Patterson-UTI Energy, Inc. | | | 9,887 | | | | 188,644 | |
| ProPetro Holding Corp.* | | | 4,570 | | | | 59,639 | |
| RPC, Inc.* | | | 3,578 | | | | 33,490 | |
| Select Energy Services, Inc., Class A* | | | 3,371 | | | | 28,552 | |
| Solaris Oilfield Infrastructure, Inc., Class A | | | 1,655 | | | | 22,309 | |
| TETRA Technologies, Inc.* | | | 6,508 | | | | 32,670 | |
| Tidewater, Inc.* | | | 2,175 | | | | 55,354 | |
| US Silica Holdings, Inc.* | | | 3,900 | | | | 68,952 | |
| | | | | | | 1,806,765 | |
| Entertainment - 0.4% | | | | | | | | |
| AMC Entertainment Holdings, Inc., Class A*(b) | | | 27,364 | | | | 392,400 | |
| Chicken Soup For The Soul Entertainment, Inc.* | | | 556 | | | | 3,692 | |
| Cinemark Holdings, Inc.* | | | 5,714 | | | | 97,024 | |
| CuriosityStream, Inc.* | | | 1,374 | | | | 2,075 | |
| Eros STX Global Corp.*(b) | | | 839 | | | | 1,661 | |
| IMAX Corp.* | | | 2,647 | | | | 45,846 | |
| Liberty Media Corp.-Liberty Braves, Class A* | | | 528 | | | | 13,401 | |
| Liberty Media Corp.-Liberty Braves, Class C* | | | 1,937 | | | | 47,553 | |
| Lions Gate Entertainment Corp., Class A* | | | 3,086 | | | | 31,570 | |
| Lions Gate Entertainment Corp., Class B* | | | 6,264 | | | | 58,819 | |
| LiveOne, Inc.* | | | 3,223 | | | | 2,707 | |
| Madison Square Garden Entertainment Corp.*(b) | | | 1,380 | | | | 93,550 | |
| Marcus Corp. (The)* | | | 1,214 | | | | 19,023 | |
| | | | | | | 809,321 | |
| Equity Real Estate Investment Trusts (REITs) - 5.0% | | | | | | | | |
| Acadia Realty Trust | | | 4,608 | | | | 90,593 | |
| Agree Realty Corp.(b) | | | 3,730 | | | | 259,496 | |
| Alexander & Baldwin, Inc. | | | 3,845 | | | | 78,438 | |
| Alexander's, Inc. | | | 103 | | | | 24,952 | |
| American Assets Trust, Inc. | | | 2,656 | | | | 90,570 | |
| Apartment Investment and Management Co., Class A* | | | 8,012 | | | | 50,315 | |
| Apple Hospitality REIT, Inc. | | | 11,368 | | | | 189,959 | |
| Armada Hoffler Properties, Inc. | | | 3,535 | | | | 48,712 | |
| Ashford Hospitality Trust, Inc.* | | | 903 | | | | 5,093 | |
| Braemar Hotels & Resorts, Inc. | | | 3,021 | | | | 17,522 | |
| Brandywine Realty Trust | | | 9,000 | | | | 100,350 | |
| Broadstone Net Lease, Inc. | | | 8,344 | | | | 176,476 | |
| BRT Apartments Corp. | | | 602 | | | | 13,792 | |
| CareTrust REIT, Inc. | | | 5,119 | | | | 94,855 | |
| CatchMark Timber Trust, Inc., Class A | | | 2,592 | | | | 30,560 | |
| Centerspace REIT | | | 758 | | | | 62,899 | |
| Chatham Lodging Trust* | | | 2,530 | | | | 32,232 | |
| City Office REIT, Inc. | | | 2,264 | | | | 31,560 | |
| Clipper Realty, Inc. | | | 650 | | | | 5,499 | |
| Community Healthcare Trust, Inc. | | | 1,270 | | | | 47,854 | |
| Corporate Office Properties Trust | | | 5,998 | | | | 165,785 | |
| CTO Realty Growth, Inc. | | | 319 | | | | 21,019 | |
| DiamondRock Hospitality Co.* | | | 11,107 | | | | 114,291 | |
| DigitalBridge Group, Inc.* | | | 25,728 | | | | 154,883 | |
| Diversified Healthcare Trust | | | 12,580 | | | | 28,557 | |
| Easterly Government Properties, Inc. | | | 4,599 | | | | 90,278 | |
| EastGroup Properties, Inc. | | | 2,148 | | | | 347,009 | |
| Empire State Realty Trust, Inc., Class A(b) | | | 7,594 | | | | 60,752 | |
| Equity Commonwealth* | | | 5,773 | | | | 157,314 | |
| Essential Properties Realty Trust, Inc. | | | 6,421 | | | | 146,913 | |
| Farmland Partners, Inc. | | | 1,517 | | | | 22,785 | |
| Four Corners Property Trust, Inc. | | | 4,096 | | | | 112,927 | |
| Franklin Street Properties Corp. | | | 5,381 | | | | 24,322 | |
| Getty Realty Corp. | | | 2,154 | | | | 60,183 | |
| Gladstone Commercial Corp. | | | 1,964 | | | | 39,850 | |
| Gladstone Land Corp. | | | 1,658 | | | | 44,501 | |
| Global Medical REIT, Inc. | | | 3,172 | | | | 41,236 | |
| Global Net Lease, Inc. | | | 5,530 | | | | 80,019 | |
| Healthcare Realty Trust, Inc.(b) | | | 7,824 | | | | 227,444 | |
| Hersha Hospitality Trust* | | | 1,715 | | | | 18,831 | |
| Independence Realty Trust, Inc. | | | 11,729 | | | | 275,749 | |
| Indus Realty Trust, Inc. | | | 311 | | | | 19,347 | |
| Industrial Logistics Properties Trust | | | 3,450 | | | | 52,647 | |
| Innovative Industrial Properties, Inc. | | | 1,228 | | | | 163,385 | |
| iStar, Inc. | | | 3,566 | | | | 62,048 | |
| Kite Realty Group Trust | | | 11,516 | | | | 241,375 | |
| LTC Properties, Inc. | | | 2,066 | | | | 80,037 | |
| LXP Industrial Trust(b) | | | 14,817 | | | | 171,285 | |
| Macerich Co. (The) | | | 11,335 | | | | 133,186 | |
| National Health Investors, Inc. | | | 2,322 | | | | 137,346 | |
See accompanying notes to the financial statements.
Ultra Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| National Storage Affiliates Trust | | | 4,312 | | | | 226,164 | |
| Necessity Retail REIT, Inc. (The) | | | 6,585 | | | | 52,548 | |
| NETSTREIT Corp.(b) | | | 2,102 | | | | 44,205 | |
| NexPoint Residential Trust, Inc. | | | 1,191 | | | | 87,515 | |
| Office Properties Income Trust | | | 2,535 | | | | 54,021 | |
| One Liberty Properties, Inc. | | | 856 | | | | 23,480 | |
| Outfront Media, Inc. | | | 7,727 | | | | 159,408 | |
| Paramount Group, Inc. | | | 9,894 | | | | 89,640 | |
| Pebblebrook Hotel Trust | | | 6,895 | | | | 155,206 | |
| Phillips Edison & Co., Inc. | | | 6,052 | | | | 204,195 | |
| Physicians Realty Trust | | | 11,691 | | | | 216,868 | |
| Piedmont Office Realty Trust, Inc., Class A | | | 6,584 | | | | 97,048 | |
| Plymouth Industrial REIT, Inc. | | | 1,656 | | | | 33,633 | |
| Postal Realty Trust, Inc., Class A | | | 886 | | | | 14,087 | |
| PotlatchDeltic Corp. | | | 3,505 | | | | 183,872 | |
| Preferred Apartment Communities, Inc., Class A | | | 2,763 | | | | 68,909 | |
| PS Business Parks, Inc. | | | 1,066 | | | | 200,014 | |
| Retail Opportunity Investments Corp. | | | 6,299 | | | | 113,823 | |
| RLJ Lodging Trust | | | 8,778 | | | | 117,889 | |
| RPT Realty | | | 4,445 | | | | 54,096 | |
| Ryman Hospitality Properties, Inc.* | | | 2,855 | | | | 254,923 | |
| Sabra Health Care REIT, Inc. | | | 12,109 | | | | 170,010 | |
| Safehold, Inc. | | | 1,101 | | | | 49,380 | |
| Saul Centers, Inc. | | | 622 | | | | 30,515 | |
| Seritage Growth Properties, Class A*(b) | | | 1,977 | | | | 15,875 | |
| Service Properties Trust | | | 8,712 | | | | 55,147 | |
| SITE Centers Corp. | | | 9,191 | | | | 144,483 | |
| STAG Industrial, Inc. | | | 9,508 | | | | 316,616 | |
| Summit Hotel Properties, Inc.* | | | 5,498 | | | | 48,053 | |
| Sunstone Hotel Investors, Inc.* | | | 11,563 | | | | 138,409 | |
| Tanger Factory Outlet Centers, Inc. | | | 5,428 | | | | 95,044 | |
| Terreno Realty Corp. | | | 3,917 | | | | 237,801 | |
| UMH Properties, Inc. | | | 2,323 | | | | 45,740 | |
| Uniti Group, Inc.(b) | | | 10,453 | | | | 118,537 | |
| Universal Health Realty Income Trust | | | 678 | | | | 36,388 | |
| Urban Edge Properties | | | 6,146 | | | | 115,852 | |
| Urstadt Biddle Properties, Inc., Class A | | | 1,577 | | | | 27,755 | |
| Veris Residential, Inc.* | | | 4,656 | | | | 74,915 | |
| Washington REIT | | | 4,486 | | | | 108,965 | |
| Whitestone REIT | | | 2,443 | | | | 30,024 | |
| Xenia Hotels & Resorts, Inc.* | | | 6,043 | | | | 111,131 | |
| | | | | | | 9,169,215 | |
| Food & Staples Retailing - 0.8% | | | | | | | | |
| Andersons, Inc. (The) | | | 1,663 | | | | 62,545 | |
| BJ's Wholesale Club Holdings, Inc.* | | | 7,263 | | | | 420,310 | |
| Chefs' Warehouse, Inc. (The)* | | | 1,661 | | | | 59,348 | |
| HF Foods Group, Inc.* | | | 1,982 | | | | 10,524 | |
| Ingles Markets, Inc., Class A | | | 742 | | | | 66,083 | |
| MedAvail Holdings, Inc.* | | | 631 | | | | 1,079 | |
| Natural Grocers by Vitamin Cottage, Inc. | | | 484 | | | | 8,548 | |
| Performance Food Group Co.* | | | 8,045 | | | | 348,670 | |
| PriceSmart, Inc. | | | 1,300 | | | | 102,219 | |
| Rite Aid Corp.*(b) | | | 2,940 | | | | 16,376 | |
| SpartanNash Co. | | | 1,905 | | | | 65,551 | |
| Sprouts Farmers Market, Inc.* | | | 5,982 | | | | 162,052 | |
| United Natural Foods, Inc.* | | | 3,056 | | | | 129,605 | |
| Village Super Market, Inc., Class A | | | 451 | | | | 10,707 | |
| Weis Markets, Inc. | | | 870 | | | | 63,962 | |
| | | | | | | 1,527,579 | |
| Food Products - 0.8% | | | | | | | | |
| AppHarvest, Inc.*(b) | | | 3,700 | | | | 11,692 | |
| B&G Foods, Inc. | | | 3,400 | | | | 76,874 | |
| Calavo Growers, Inc. | | | 909 | | | | 30,951 | |
| Cal-Maine Foods, Inc. | | | 2,160 | | | | 103,097 | |
| Fresh Del Monte Produce, Inc. | | | 1,782 | | | | 45,512 | |
| Hostess Brands, Inc.* | | | 7,319 | | | | 155,529 | |
| J & J Snack Foods Corp. | | | 781 | | | | 100,140 | |
| John B Sanfilippo & Son, Inc. | | | 473 | | | | 36,128 | |
| Laird Superfood, Inc.* | | | 324 | | | | 774 | |
| Lancaster Colony Corp. | | | 1,000 | | | | 121,900 | |
| Landec Corp.* | | | 1,383 | | | | 13,138 | |
| Limoneira Co. | | | 833 | | | | 9,938 | |
| Mission Produce, Inc.* | | | 1,968 | | | | 26,312 | |
| Sanderson Farms, Inc. | | | 1,070 | | | | 213,465 | |
| Seneca Foods Corp., Class A* | | | 315 | | | | 17,908 | |
| Simply Good Foods Co. (The)* | | | 4,514 | | | | 180,379 | |
| Sovos Brands, Inc.* | | | 1,359 | | | | 19,189 | |
| Tattooed Chef, Inc.*(b) | | | 2,511 | | | | 18,180 | |
| Tootsie Roll Industries, Inc. | | | 836 | | | | 27,647 | |
| TreeHouse Foods, Inc.* | | | 2,754 | | | | 113,244 | |
| Utz Brands, Inc.(b) | | | 3,165 | | | | 44,310 | |
| Vita Coco Co., Inc. (The)*(b) | | | 592 | | | | 7,258 | |
| Vital Farms, Inc.*(b) | | | 1,301 | | | | 12,880 | |
| Whole Earth Brands, Inc.* | | | 1,977 | | | | 13,523 | |
| | | | | | | 1,399,968 | |
| Gas Utilities - 0.9% | | | | | | | | |
| Brookfield Infrastructure Corp., Class A(b) | | | 3,367 | | | | 237,542 | |
| Chesapeake Utilities Corp. | | | 912 | | | | 121,816 | |
| New Jersey Resources Corp. | | | 5,126 | | | | 235,386 | |
| Northwest Natural Holding Co. | | | 1,622 | | | | 88,058 | |
| ONE Gas, Inc. | | | 2,800 | | | | 243,656 | |
| South Jersey Industries, Inc. | | | 5,464 | | | | 190,420 | |
| Southwest Gas Holdings, Inc. | | | 3,497 | | | | 325,676 | |
| Spire, Inc. | | | 2,685 | | | | 210,235 | |
| | | | | | | 1,652,789 | |
| Health Care Equipment & Supplies - 2.4% | | | | | | | | |
| Accelerate Diagnostics, Inc.* | | | 1,746 | | | | 1,062 | |
| Accuray, Inc.* | | | 4,877 | | | | 10,144 | |
| Acutus Medical, Inc.* | | | 1,006 | | | | 697 | |
| Alphatec Holdings, Inc.* | | | 3,753 | | | | 28,823 | |
| AngioDynamics, Inc.* | | | 1,988 | | | | 39,024 | |
| Apyx Medical Corp.* | | | 1,635 | | | | 9,924 | |
| Artivion, Inc.* | | | 2,013 | | | | 39,374 | |
| Asensus Surgical, Inc.* | | | 12,399 | | | | 4,860 | |
| Aspira Women's Health, Inc.* | | | 3,844 | | | | 2,268 | |
| AtriCure, Inc.* | | | 2,373 | | | | 96,415 | |
| Atrion Corp. | | | 76 | | | | 47,788 | |
| Avanos Medical, Inc.* | | | 2,549 | | | | 73,131 | |
| Axogen, Inc.* | | | 2,046 | | | | 19,785 | |
| Axonics, Inc.* | | | 2,433 | | | | 121,650 | |
| BioLife Solutions, Inc.* | | | 551 | | | | 7,560 | |
| Bioventus, Inc., Class A* | | | 1,493 | | | | 14,751 | |
| Butterfly Network, Inc.*(b) | | | 7,090 | | | | 21,625 | |
| Cardiovascular Systems, Inc.* | | | 2,103 | | | | 34,195 | |
| Cerus Corp.* | | | 8,916 | | | | 44,134 | |
| ClearPoint Neuro, Inc.* | | | 1,003 | | | | 10,993 | |
| CONMED Corp. | | | 1,540 | | | | 179,087 | |
| CryoPort, Inc.* | | | 2,150 | | | | 54,718 | |
See accompanying notes to the financial statements.
Ultra Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Cue Health, Inc.*(b) | | | 769 | | | | 4,068 | |
| Cutera, Inc.* | | | 936 | | | | 42,111 | |
| CVRx, Inc.* | | | 596 | | | | 3,701 | |
| CytoSorbents Corp.* | | | 2,177 | | | | 4,202 | |
| DarioHealth Corp.* | | | 717 | | | | 4,768 | |
| Eargo, Inc.* | | | 1,591 | | | | 2,466 | |
| Glaukos Corp.* | | | 2,411 | | | | 98,441 | |
| Haemonetics Corp.* | | | 2,667 | | | | 168,714 | |
| Heska Corp.* | | | 525 | | | | 52,390 | |
| Inari Medical, Inc.* | | | 1,828 | | | | 120,282 | |
| Inogen, Inc.* | | | 1,055 | | | | 27,092 | |
| Integer Holdings Corp.* | | | 1,739 | | | | 138,737 | |
| Invacare Corp.* | | | 1,781 | | | | 1,663 | |
| iRadimed Corp. | | | 331 | | | | 10,820 | |
| iRhythm Technologies, Inc.* | | | 1,566 | | | | 220,571 | |
| Lantheus Holdings, Inc.* | | | 3,576 | | | | 245,028 | |
| LeMaitre Vascular, Inc. | | | 1,002 | | | | 45,811 | |
| LivaNova plc* | | | 2,833 | | | | 192,842 | |
| Lucid Diagnostics, Inc.* | | | 261 | | | | 548 | |
| Meridian Bioscience, Inc.* | | | 2,256 | | | | 62,040 | |
| Merit Medical Systems, Inc.* | | | 2,728 | | | | 167,472 | |
| Mesa Laboratories, Inc. | | | 258 | | | | 53,987 | |
| Natus Medical, Inc.* | | | 1,784 | | | | 58,497 | |
| Neogen Corp.* | | | 5,711 | | | | 151,113 | |
| Neuronetics, Inc.* | | | 1,344 | | | | 3,602 | |
| NeuroPace, Inc.* | | | 381 | | | | 2,374 | |
| Nevro Corp.* | | | 1,840 | | | | 80,187 | |
| NuVasive, Inc.* | | | 2,741 | | | | 157,361 | |
| Omnicell, Inc.* | | | 2,323 | | | | 258,225 | |
| OraSure Technologies, Inc.* | | | 3,787 | | | | 15,716 | |
| Orthofix Medical, Inc.* | | | 1,006 | | | | 27,655 | |
| OrthoPediatrics Corp.* | | | 736 | | | | 33,981 | |
| Outset Medical, Inc.* | | | 2,483 | | | | 54,129 | |
| Paragon 28, Inc.*(b) | | | 475 | | | | 8,512 | |
| PAVmed, Inc.* | | | 3,844 | | | | 3,882 | |
| PROCEPT BioRobotics Corp.*(b) | | | 383 | | | | 14,983 | |
| Pulmonx Corp.* | | | 1,380 | | | | 25,199 | |
| Pulse Biosciences, Inc.* | | | 737 | | | | 1,644 | |
| Quotient Ltd.* | | | 4,212 | | | | 1,622 | |
| Retractable Technologies, Inc.* | | | 918 | | | | 4,250 | |
| RxSight, Inc.*(b) | | | 934 | | | | 12,758 | |
| SeaSpine Holdings Corp.* | | | 1,686 | | | | 13,943 | |
| Senseonics Holdings, Inc.*(b) | | | 22,914 | | | | 26,580 | |
| Shockwave Medical, Inc.* | | | 1,785 | | | | 293,115 | |
| SI-BONE, Inc.* | | | 1,727 | | | | 25,819 | |
| Sientra, Inc.* | | | 3,078 | | | | 2,986 | |
| Sight Sciences, Inc.* | | | 1,184 | | | | 10,171 | |
| Silk Road Medical, Inc.* | | | 1,822 | | | | 60,527 | |
| STAAR Surgical Co.* | | | 2,520 | | | | 166,169 | |
| Stereotaxis, Inc.* | | | 2,629 | | | | 5,284 | |
| Surmodics, Inc.* | | | 722 | | | | 28,324 | |
| Tactile Systems Technology, Inc.* | | | 1,010 | | | | 10,262 | |
| Talis Biomedical Corp.* | | | 784 | | | | 823 | |
| TransMedics Group, Inc.* | | | 1,376 | | | | 40,138 | |
| Treace Medical Concepts, Inc.* | | | 1,590 | | | | 26,537 | |
| UFP Technologies, Inc.* | | | 370 | | | | 28,287 | |
| Utah Medical Products, Inc. | | | 180 | | | | 15,505 | |
| Vapotherm, Inc.* | | | 1,206 | | | | 3,895 | |
| Varex Imaging Corp.* | | | 2,031 | | | | 46,794 | |
| ViewRay, Inc.* | | | 7,964 | | | | 23,016 | |
| Zynex, Inc. | | | 1,189 | | | | 8,668 | |
| | | | | | | 4,282,295 | |
| Health Care Providers & Services - 2.1% | | | | | | | | |
| 1Life Healthcare, Inc.* | | | 6,098 | | | | 51,650 | |
| Accolade, Inc.* | | | 2,705 | | | | 17,366 | |
| AdaptHealth Corp.* | | | 3,796 | | | | 68,290 | |
| Addus HomeCare Corp.* | | | 812 | | | | 67,802 | |
| Agiliti, Inc.* | | | 1,246 | | | | 24,073 | |
| AirSculpt Technologies, Inc.* | | | 347 | | | | 3,061 | |
| Alignment Healthcare, Inc.* | | | 4,206 | | | | 44,920 | |
| AMN Healthcare Services, Inc.* | | | 2,502 | | | | 242,444 | |
| Apollo Medical Holdings, Inc.* | | | 2,001 | | | | 75,118 | |
| Aveanna Healthcare Holdings, Inc.* | | | 2,088 | | | | 6,431 | |
| Biodesix, Inc.* | | | 740 | | | | 1,095 | |
| Brookdale Senior Living, Inc.* | | | 9,812 | | | | 55,928 | |
| Castle Biosciences, Inc.* | | | 1,129 | | | | 25,143 | |
| Community Health Systems, Inc.* | | | 6,589 | | | | 34,526 | |
| CorVel Corp.* | | | 458 | | | | 68,315 | |
| Covetrus, Inc.* | | | 5,489 | | | | 114,281 | |
| Cross Country Healthcare, Inc.* | | | 1,911 | | | | 33,729 | |
| Ensign Group, Inc. (The) | | | 2,790 | | | | 226,464 | |
| Fulgent Genetics, Inc.* | | | 1,107 | | | | 60,343 | |
| Hanger, Inc.* | | | 1,990 | | | | 31,422 | |
| HealthEquity, Inc.* | | | 4,332 | | | | 271,097 | |
| InfuSystem Holdings, Inc.* | | | 957 | | | | 9,254 | |
| Innovage Holding Corp.*(b) | | | 972 | | | | 4,714 | |
| Invitae Corp.* | | | 10,616 | | | | 38,961 | |
| Joint Corp. (The)* | | | 732 | | | | 12,210 | |
| LHC Group, Inc.* | | | 1,623 | | | | 270,489 | |
| LifeStance Health Group, Inc.*(b) | | | 3,812 | | | | 28,399 | |
| MEDNAX, Inc.* | | | 4,040 | | | | 78,053 | |
| ModivCare, Inc.* | | | 665 | | | | 63,461 | |
| National HealthCare Corp. | | | 667 | | | | 46,883 | |
| National Research Corp. | | | 740 | | | | 26,559 | |
| Ontrak, Inc.* | | | 619 | | | | 1,176 | |
| OPKO Health, Inc.* | | | 21,182 | | | | 63,546 | |
| Option Care Health, Inc.* | | | 8,431 | | | | 255,965 | |
| Owens & Minor, Inc. | | | 3,850 | | | | 134,288 | |
| Patterson Cos., Inc. | | | 4,544 | | | | 143,545 | |
| Pennant Group, Inc. (The)* | | | 1,356 | | | | 25,940 | |
| PetIQ, Inc.* | | | 1,423 | | | | 24,419 | |
| Privia Health Group, Inc.* | | | 2,220 | | | | 53,191 | |
| Progyny, Inc.* | | | 3,422 | | | | 108,169 | |
| R1 RCM, Inc.* | | | 6,301 | | | | 135,282 | |
| RadNet, Inc.* | | | 2,411 | | | | 49,498 | |
| Select Medical Holdings Corp. | | | 5,864 | | | | 142,788 | |
| Sharps Compliance Corp.* | | | 989 | | | | 4,273 | |
| Surgery Partners, Inc.*(b) | | | 1,821 | | | | 71,383 | |
| Tenet Healthcare Corp.* | | | 5,636 | | | | 364,706 | |
| Tivity Health, Inc.* | | | 2,332 | | | | 75,557 | |
| US Physical Therapy, Inc. | | | 676 | | | | 76,111 | |
| Viemed Healthcare, Inc.* | | | 1,871 | | | | 10,740 | |
| | | | | | | 3,843,058 | |
| Health Care Technology - 0.5% | | | | | | | | |
| Allscripts Healthcare Solutions, Inc.* | | | 6,445 | | | | 110,145 | |
| American Well Corp., Class A* | | | 9,711 | | | | 36,708 | |
| Computer Programs and Systems, Inc.* | | | 745 | | | | 23,758 | |
| Convey Health Solutions Holdings, Inc.* | | | 716 | | | | 4,439 | |
| Evolent Health, Inc., Class A* | | | 4,232 | | | | 119,046 | |
| Forian, Inc.* | | | 998 | | | | 3,074 | |
| Health Catalyst, Inc.* | | | 2,772 | | | | 40,610 | |
| HealthStream, Inc.* | | | 1,348 | | | | 27,459 | |
| iCAD, Inc.* | | | 1,159 | | | | 4,427 | |
| Inspire Medical Systems, Inc.* | | | 1,422 | | | | 251,452 | |
See accompanying notes to the financial statements.
Ultra Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Multiplan Corp.* | | | 17,295 | | | | 86,475 | |
| NantHealth, Inc.* | | | 1,419 | | | | 738 | |
| NextGen Healthcare, Inc.* | | | 2,970 | | | | 53,787 | |
| OptimizeRx Corp.* | | | 915 | | | | 23,406 | |
| Phreesia, Inc.* | | | 2,636 | | | | 47,817 | |
| Schrodinger, Inc.*(b) | | | 2,398 | | | | 61,964 | |
| Simulations Plus, Inc. | | | 810 | | | | 38,459 | |
| Tabula Rasa HealthCare, Inc.* | | | 1,191 | | | | 4,335 | |
| | | | | | | 938,099 | |
| Hotels, Restaurants & Leisure - 1.6% | | | | | | | | |
| Accel Entertainment, Inc.* | | | 2,987 | | | | 32,349 | |
| Bally's Corp.* | | | 1,726 | | | | 45,118 | |
| Biglari Holdings, Inc., Class B* | | | 33 | | | | 4,347 | |
| BJ's Restaurants, Inc.* | | | 1,198 | | | | 31,471 | |
| Bloomin' Brands, Inc. | | | 4,700 | | | | 99,217 | |
| Bluegreen Vacations Holding Corp. | | | 758 | | | | 21,118 | |
| Brinker International, Inc.* | | | 2,348 | | | | 71,262 | |
| Carrols Restaurant Group, Inc. | | | 1,769 | | | | 3,255 | |
| Century Casinos, Inc.* | | | 1,447 | | | | 12,647 | |
| Cheesecake Factory, Inc. (The) | | | 2,444 | | | | 79,821 | |
| Chuy's Holdings, Inc.* | | | 1,062 | | | | 23,991 | |
| Cracker Barrel Old Country Store, Inc. | | | 1,259 | | | | 128,431 | |
| Dave & Buster's Entertainment, Inc.* | | | 2,329 | | | | 88,246 | |
| Denny's Corp.* | | | 3,288 | | | | 34,064 | |
| Dine Brands Global, Inc. | | | 868 | | | | 63,789 | |
| Drive Shack, Inc.* | | | 4,379 | | | | 7,006 | |
| EBET, Inc.*(b) | | | 708 | | | | 2,174 | |
| El Pollo Loco Holdings, Inc.* | | | 1,003 | | | | 10,391 | |
| Everi Holdings, Inc.* | | | 4,539 | | | | 81,248 | |
| F45 Training Holdings, Inc.* | | | 1,683 | | | | 10,704 | |
| Fiesta Restaurant Group, Inc.* | | | 925 | | | | 6,891 | |
| First Watch Restaurant Group, Inc.* | | | 587 | | | | 9,333 | |
| Full House Resorts, Inc.* | | | 1,729 | | | | 12,172 | |
| GAN Ltd.* | | | 2,125 | | | | 7,161 | |
| Golden Entertainment, Inc.* | | | 915 | | | | 43,261 | |
| Hall of Fame Resort & Entertainment Co.* | | | 2,941 | | | | 1,966 | |
| Hilton Grand Vacations, Inc.* | | | 4,539 | | | | 207,659 | |
| International Game Technology plc(b) | | | 5,299 | | | | 113,505 | |
| Jack in the Box, Inc. | | | 1,125 | | | | 76,837 | |
| Krispy Kreme, Inc.(b) | | | 4,517 | | | | 66,942 | |
| Kura Sushi USA, Inc., Class A* | | | 247 | | | | 9,309 | |
| Life Time Group Holdings, Inc.* | | | 2,065 | | | | 30,252 | |
| Light & Wonder, Inc.* | | | 5,106 | | | | 269,597 | |
| Lindblad Expeditions Holdings, Inc.* | | | 1,633 | | | | 23,450 | |
| Monarch Casino & Resort, Inc.* | | | 693 | | | | 47,020 | |
| Nathan's Famous, Inc. | | | 156 | | | | 7,964 | |
| NEOGAMES SA* | | | 543 | | | | 7,130 | |
| Noodles & Co.* | | | 2,153 | | | | 14,210 | |
| ONE Group Hospitality, Inc. (The)* | | | 1,097 | | | | 9,862 | |
| Papa John's International, Inc. | | | 1,757 | | | | 154,634 | |
| PlayAGS, Inc.* | | | 1,454 | | | | 8,433 | |
| Portillo's, Inc., Class A*(b) | | | 1,214 | | | | 22,544 | |
| RCI Hospitality Holdings, Inc. | | | 471 | | | | 27,191 | |
| Red Robin Gourmet Burgers, Inc.* | | | 827 | | | | 8,138 | |
| Red Rock Resorts, Inc., Class A | | | 2,845 | | | | 110,187 | |
| Rush Street Interactive, Inc.* | | | 2,791 | | | | 16,634 | |
| Ruth's Hospitality Group, Inc. | | | 1,750 | | | | 32,252 | |
| SeaWorld Entertainment, Inc.* | | | 2,671 | | | | 144,715 | |
| Shake Shack, Inc., Class A* | | | 1,980 | | | | 96,327 | |
| Sweetgreen, Inc., Class A*(b) | | | 660 | | | | 12,065 | |
| Target Hospitality Corp.* | | | 1,320 | | | | 8,382 | |
| Texas Roadhouse, Inc. | | | 3,710 | | | | 289,269 | |
| Wingstop, Inc. | | | 1,581 | | | | 125,942 | |
| Xponential Fitness, Inc., Class A* | | | 659 | | | | 12,442 | |
| | | | | | | 2,884,325 | |
| Household Durables - 1.2% | | | | | | | | |
| Aterian, Inc.*(b) | | | 1,372 | | | | 4,431 | |
| Bassett Furniture Industries, Inc. | | | 483 | | | | 7,863 | |
| Beazer Homes USA, Inc.* | | | 1,558 | | | | 25,255 | |
| Cavco Industries, Inc.* | | | 484 | | | | 107,525 | |
| Century Communities, Inc. | | | 1,588 | | | | 86,340 | |
| Ethan Allen Interiors, Inc. | | | 1,198 | | | | 27,865 | |
| Flexsteel Industries, Inc. | | | 329 | | | | 6,409 | |
| GoPro, Inc., Class A* | | | 6,825 | | | | 47,161 | |
| Green Brick Partners, Inc.* | | | 1,630 | | | | 39,642 | |
| Hamilton Beach Brands Holding Co., Class A | | | 394 | | | | 4,066 | |
| Helen of Troy Ltd.* | | | 1,282 | | | | 237,414 | |
| Hooker Furnishings Corp. | | | 616 | | | | 10,651 | |
| Hovnanian Enterprises, Inc., Class A* | | | 273 | | | | 13,975 | |
| Installed Building Products, Inc. | | | 1,259 | | | | 120,285 | |
| iRobot Corp.* | | | 1,417 | | | | 67,435 | |
| KB Home | | | 4,210 | | | | 145,203 | |
| Landsea Homes Corp.* | | | 569 | | | | 4,085 | |
| La-Z-Boy, Inc. | | | 2,332 | | | | 59,536 | |
| Legacy Housing Corp.* | | | 425 | | | | 6,655 | |
| LGI Homes, Inc.* | | | 1,139 | | | | 111,611 | |
| Lifetime Brands, Inc. | | | 670 | | | | 7,645 | |
| Lovesac Co. (The)* | | | 676 | | | | 23,545 | |
| M/I Homes, Inc.* | | | 1,514 | | | | 70,779 | |
| MDC Holdings, Inc. | | | 3,027 | | | | 115,571 | |
| Meritage Homes Corp.* | | | 1,962 | | | | 167,378 | |
| Purple Innovation, Inc.*(b) | | | 3,049 | | | | 15,794 | |
| Skyline Champion Corp.* | | | 2,789 | | | | 148,180 | |
| Snap One Holdings Corp.*(b) | | | 939 | | | | 11,597 | |
| Sonos, Inc.* | | | 6,805 | | | | 150,595 | |
| Taylor Morrison Home Corp.* | | | 6,352 | | | | 184,017 | |
| Traeger, Inc.* | | | 1,669 | | | | 7,928 | |
| Tri Pointe Homes, Inc.* | | | 5,856 | | | | 123,386 | |
| Tupperware Brands Corp.* | | | 2,589 | | | | 17,165 | |
| Universal Electronics, Inc.* | | | 670 | | | | 17,956 | |
| VOXX International Corp.* | | | 824 | | | | 6,905 | |
| Vuzix Corp.*(b) | | | 3,108 | | | | 20,202 | |
| Weber, Inc., Class A(b) | | | 1,126 | | | | 8,704 | |
| | | | | | | 2,230,754 | |
| Household Products - 0.2% | | | | | | | | |
| Central Garden & Pet Co.* | | | 521 | | | | 23,539 | |
| Central Garden & Pet Co., Class A* | | | 2,114 | | | | 89,485 | |
| Energizer Holdings, Inc. | | | 3,537 | | | | 106,075 | |
| Oil-Dri Corp. of America | | | 275 | | | | 6,537 | |
| WD-40 Co. | | | 729 | | | | 137,628 | |
| | | | | | | 363,264 | |
| Independent Power and Renewable Electricity Producers - 0.3% | | | | | | | | |
| Clearway Energy, Inc., Class A | | | 2,668 | | | | 86,870 | |
| Clearway Energy, Inc., Class C, Class C(b) | | | 4,343 | | | | 152,222 | |
| Ormat Technologies, Inc. | | | 2,407 | | | | 202,092 | |
See accompanying notes to the financial statements.
Ultra Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Sunnova Energy International, Inc.*(b) | | | 4,562 | | | | 91,240 | |
| | | | | | | 532,424 | |
| Insurance - 1.4% | | | | | | | | |
| Ambac Financial Group, Inc.* | | | 2,410 | | | | 25,811 | |
| American Equity Investment Life Holding Co. | | | 4,390 | | | | 176,741 | |
| AMERISAFE, Inc. | | | 1,013 | | | | 51,055 | |
| Argo Group International Holdings Ltd. | | | 1,682 | | | | 71,250 | |
| Bright Health Group, Inc.*(b) | | | 13,716 | | | | 23,317 | |
| BRP Group, Inc., Class A* | | | 2,513 | | | | 63,378 | |
| Citizens, Inc.*(b) | | | 2,651 | | | | 8,801 | |
| CNO Financial Group, Inc. | | | 6,372 | | | | 131,072 | |
| Crawford & Co., Class A | | | 868 | | | | 7,118 | |
| Donegal Group, Inc., Class A | | | 783 | | | | 12,669 | |
| eHealth, Inc.* | | | 1,305 | | | | 13,703 | |
| Employers Holdings, Inc. | | | 1,489 | | | | 61,660 | |
| Enstar Group Ltd.* | | | 665 | | | | 154,233 | |
| Genworth Financial, Inc., Class A* | | | 26,880 | | | | 108,864 | |
| Goosehead Insurance, Inc., Class A | | | 955 | | | | 49,450 | |
| Greenlight Capital Re Ltd., Class A* | | | 1,391 | | | | 10,878 | |
| HCI Group, Inc.(b) | | | 434 | | | | 29,499 | |
| Heritage Insurance Holdings, Inc. | | | 1,366 | | | | 5,000 | |
| Horace Mann Educators Corp. | | | 2,217 | | | | 89,700 | |
| Investors Title Co. | | | 68 | | | | 11,283 | |
| James River Group Holdings Ltd. | | | 1,943 | | | | 49,644 | |
| Kinsale Capital Group, Inc. | | | 1,140 | | | | 250,663 | |
| Maiden Holdings Ltd.* | | | 3,680 | | | | 8,979 | |
| MBIA, Inc.* | | | 2,535 | | | | 35,515 | |
| MetroMile, Inc.* | | | 6,042 | | | | 6,344 | |
| National Western Life Group, Inc., Class A | | | 134 | | | | 28,018 | |
| NI Holdings, Inc.* | | | 455 | | | | 7,599 | |
| Palomar Holdings, Inc.* | | | 1,303 | | | | 80,981 | |
| ProAssurance Corp. | | | 2,852 | | | | 63,343 | |
| RLI Corp. | | | 2,118 | | | | 256,532 | |
| Safety Insurance Group, Inc. | | | 765 | | | | 71,038 | |
| Selective Insurance Group, Inc. | | | 3,161 | | | | 250,667 | |
| Selectquote, Inc.* | | | 7,100 | | | | 20,732 | |
| SiriusPoint Ltd.* | | | 4,697 | | | | 26,303 | |
| Stewart Information Services Corp. | | | 1,424 | | | | 79,018 | |
| Tiptree, Inc. | | | 1,244 | | | | 13,473 | |
| Trean Insurance Group, Inc.* | | | 936 | | | | 6,692 | |
| Trupanion, Inc.* | | | 2,025 | | | | 135,432 | |
| United Fire Group, Inc. | | | 1,118 | | | | 36,234 | |
| United Insurance Holdings Corp. | | | 1,068 | | | | 1,826 | |
| Universal Insurance Holdings, Inc. | | | 1,434 | | | | 18,499 | |
| | | | | | | 2,553,014 | |
| Interactive Media & Services - 0.3% | | | | | | | | |
| Cargurus, Inc.* | | | 5,062 | | | | 128,170 | |
| Cars.com, Inc.* | | | 3,628 | | | | 37,550 | |
| Eventbrite, Inc., Class A* | | | 4,057 | | | | 47,589 | |
| EverQuote, Inc., Class A* | | | 1,040 | | | | 9,308 | |
| fuboTV, Inc.*(b) | | | 7,183 | | | | 23,632 | |
| Liberty TripAdvisor Holdings, Inc., Class A* | | | 3,854 | | | | 4,008 | |
| MediaAlpha, Inc., Class A* | | | 1,129 | | | | 11,403 | |
| Outbrain, Inc.* | | | 1,280 | | | | 7,859 | |
| QuinStreet, Inc.* | | | 2,663 | | | | 29,293 | |
| Society Pass, Inc.* | | | 196 | | | | 402 | |
| TrueCar, Inc.* | | | 5,053 | | | | 16,826 | |
| Yelp, Inc.* | | | 3,789 | | | | 111,434 | |
| Ziff Davis, Inc.* | | | 2,303 | | | | 175,811 | |
| | | | | | | 603,285 | |
| Internet & Direct Marketing Retail - 0.3% | | | | | | | | |
| 1-800-Flowers.com, Inc., Class A* | | | 1,419 | | | | 13,849 | |
| 1stdibs.com, Inc.*(b) | | | 1,077 | | | | 6,150 | |
| aka Brands Holding Corp.*(b) | | | 507 | | | | 1,998 | |
| CarParts.com, Inc.* | | | 2,591 | | | | 19,614 | |
| Duluth Holdings, Inc., Class B* | | | 646 | | | | 8,056 | |
| Groupon, Inc.*(b) | | | 1,249 | | | | 19,297 | |
| Lands' End, Inc.* | | | 762 | | | | 8,839 | |
| Liquidity Services, Inc.* | | | 1,222 | | | | 16,570 | |
| Lulu's Fashion Lounge Holdings, Inc.*(b) | | | 315 | | | | 5,913 | |
| Overstock.com, Inc.* | | | 2,283 | | | | 70,750 | |
| PetMed Express, Inc.(b) | | | 1,074 | | | | 23,660 | |
| Porch Group, Inc.*(b) | | | 4,043 | | | | 16,657 | |
| Quotient Technology, Inc.* | | | 4,768 | | | | 19,930 | |
| RealReal, Inc. (The)* | | | 4,235 | | | | 13,891 | |
| Rent the Runway, Inc., Class A*(b) | | | 912 | | | | 3,949 | |
| Revolve Group, Inc.* | | | 1,908 | | | | 56,057 | |
| Shutterstock, Inc. | | | 1,240 | | | | 74,648 | |
| Stitch Fix, Inc., Class A* | | | 4,322 | | | | 36,607 | |
| Xometry, Inc., Class A*(b) | | | 1,304 | | | | 44,349 | |
| | | | | | | 460,784 | |
| IT Services - 1.1% | | | | | | | | |
| BigCommerce Holdings, Inc., Series 1*(b) | | | 2,567 | | | | 47,567 | |
| Brightcove, Inc.* | | | 2,151 | | | | 15,143 | |
| Cantaloupe, Inc.* | | | 3,086 | | | | 16,171 | |
| Cass Information Systems, Inc. | | | 734 | | | | 25,044 | |
| Conduent, Inc.* | | | 8,879 | | | | 47,059 | |
| CSG Systems International, Inc. | | | 1,704 | | | | 105,972 | |
| DigitalOcean Holdings, Inc.*(b) | | | 2,691 | | | | 131,455 | |
| EVERTEC, Inc. | | | 3,217 | | | | 122,053 | |
| Evo Payments, Inc., Class A* | | | 2,517 | | | | 58,017 | |
| ExlService Holdings, Inc.* | | | 1,737 | | | | 246,984 | |
| Flywire Corp.* | | | 2,979 | | | | 57,524 | |
| GreenBox POS* | | | 968 | | | | 2,546 | |
| Grid Dynamics Holdings, Inc.* | | | 2,411 | | | | 43,422 | |
| Hackett Group, Inc. (The) | | | 1,303 | | | | 26,698 | |
| I3 Verticals, Inc., Class A* | | | 1,133 | | | | 26,422 | |
| IBEX Holdings Ltd.* | | | 305 | | | | 5,460 | |
| International Money Express, Inc.* | | | 1,712 | | | | 35,301 | |
| Limelight Networks, Inc.* | | | 6,618 | | | | 23,957 | |
| LiveRamp Holdings, Inc.* | | | 3,495 | | | | 89,472 | |
| Maximus, Inc. | | | 3,246 | | | | 210,633 | |
| MoneyGram International, Inc.* | | | 4,752 | | | | 47,900 | |
| Paya Holdings, Inc.* | | | 4,547 | | | | 26,782 | |
| Perficient, Inc.* | | | 1,724 | | | | 168,797 | |
| Priority Technology Holdings, Inc.*(b) | | | 598 | | | | 3,062 | |
| Rackspace Technology, Inc.* | | | 2,887 | | | | 26,647 | |
| Remitly Global, Inc.* | | | 660 | | | | 7,227 | |
| Repay Holdings Corp.* | | | 4,595 | | | | 57,208 | |
| StarTek, Inc.* | | | 889 | | | | 3,200 | |
| TTEC Holdings, Inc. | | | 985 | | | | 66,428 | |
| Tucows, Inc., Class A* | | | 521 | | | | 25,227 | |
| Unisys Corp.* | | | 3,482 | | | | 41,540 | |
| Verra Mobility Corp.* | | | 8,072 | | | | 128,748 | |
| | | | | | | 1,939,666 | |
| Leisure Products - 0.4% | | | | | | | | |
| Acushnet Holdings Corp. | | | 1,818 | | | | 73,993 | |
| American Outdoor Brands, Inc.* | | | 757 | | | | 8,759 | |
See accompanying notes to the financial statements.
Ultra Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| AMMO, Inc.*(b) | | | 4,694 | | | | 20,748 | |
| Callaway Golf Co.* | | | 6,152 | | | | 133,560 | |
| Clarus Corp. | | | 1,408 | | | | 30,849 | |
| Escalade, Inc. | | | 527 | | | | 7,057 | |
| Genius Brands International, Inc.*(b) | | | 14,958 | | | | 11,368 | |
| Johnson Outdoors, Inc., Class A | | | 276 | | | | 17,987 | |
| Latham Group, Inc.* | | | 2,273 | | | | 21,616 | |
| Malibu Boats, Inc., Class A* | | | 1,095 | | | | 64,167 | |
| Marine Products Corp. | | | 433 | | | | 4,598 | |
| MasterCraft Boat Holdings, Inc.* | | | 975 | | | | 22,815 | |
| Nautilus, Inc.* | | | 1,614 | | | | 3,389 | |
| Smith & Wesson Brands, Inc. | | | 2,532 | | | | 39,195 | |
| Solo Brands, Inc., Class A*(b) | | | 798 | | | | 4,014 | |
| Sturm Ruger & Co., Inc. | | | 908 | | | | 61,644 | |
| Vista Outdoor, Inc.* | | | 2,991 | | | | 115,273 | |
| | | | | | | 641,032 | |
| Life Sciences Tools & Services - 0.4% | | | | | | | | |
| Absci Corp.*(b) | | | 2,942 | | | | 10,738 | |
| Akoya Biosciences, Inc.* | | | 714 | | | | 8,318 | |
| Alpha Teknova, Inc.* | | | 373 | | | | 2,853 | |
| Berkeley Lights, Inc.* | | | 2,579 | | | | 12,328 | |
| Bionano Genomics, Inc.*(b) | | | 15,419 | | | | 26,675 | |
| ChromaDex Corp.* | | | 2,481 | | | | 4,714 | |
| Codex DNA, Inc.* | | | 476 | | | | 1,894 | |
| Codexis, Inc.* | | | 3,190 | | | | 34,069 | |
| Cytek Biosciences, Inc.*(b) | | | 5,169 | | | | 50,191 | |
| Harvard Bioscience, Inc.* | | | 2,083 | | | | 7,624 | |
| Inotiv, Inc.* | | | 926 | | | | 14,168 | |
| IsoPlexis Corp.* | | | 452 | | | | 958 | |
| MaxCyte, Inc.*(b) | | | 5,299 | | | | 24,428 | |
| Medpace Holdings, Inc.* | | | 1,536 | | | | 220,017 | |
| NanoString Technologies, Inc.* | | | 2,401 | | | | 37,552 | |
| NeoGenomics, Inc.* | | | 6,008 | | | | 50,587 | |
| Pacific Biosciences of California, Inc.* | | | 10,305 | | | | 58,017 | |
| Personalis, Inc.* | | | 1,903 | | | | 7,536 | |
| Quanterix Corp.* | | | 1,639 | | | | 27,634 | |
| Rapid Micro Biosystems, Inc., Class A* | | | 839 | | | | 4,203 | |
| Seer, Inc.* | | | 2,211 | | | | 19,634 | |
| Singular Genomics Systems, Inc.* | | | 2,496 | | | | 8,112 | |
| Standard BioTools, Inc.* | | | 4,040 | | | | 7,636 | |
| | | | | | | 639,886 | |
| Machinery - 2.6% | | | | | | | | |
| AgEagle Aerial Systems, Inc.* | | | 3,698 | | | | 2,885 | |
| Alamo Group, Inc. | | | 532 | | | | 62,579 | |
| Albany International Corp., Class A | | | 1,632 | | | | 137,741 | |
| Altra Industrial Motion Corp. | | | 3,430 | | | | 134,490 | |
| Astec Industries, Inc. | | | 1,202 | | | | 56,218 | |
| Barnes Group, Inc. | | | 2,514 | | | | 90,580 | |
| Blue Bird Corp.* | | | 920 | | | | 11,233 | |
| Chart Industries, Inc.* | | | 1,936 | | | | 340,504 | |
| CIRCOR International, Inc.* | | | 978 | | | | 19,012 | |
| Columbus McKinnon Corp. | | | 1,480 | | | | 49,950 | |
| Commercial Vehicle Group, Inc.* | | | 1,699 | | | | 11,468 | |
| Desktop Metal, Inc., Class A*(b) | | | 9,933 | | | | 20,363 | |
| Douglas Dynamics, Inc. | | | 1,203 | | | | 37,798 | |
| Energy Recovery, Inc.* | | | 2,207 | | | | 44,604 | |
| Enerpac Tool Group Corp. | | | 3,206 | | | | 62,581 | |
| EnPro Industries, Inc. | | | 1,095 | | | | 104,857 | |
| ESCO Technologies, Inc. | | | 1,353 | | | | 89,041 | |
| Evoqua Water Technologies Corp.* | | | 6,153 | | | | 218,985 | |
| Federal Signal Corp. | | | 3,197 | | | | 112,215 | |
| Franklin Electric Co., Inc. | | | 2,463 | | | | 181,572 | |
| Gorman-Rupp Co. (The) | | | 1,205 | | | | 35,897 | |
| Greenbrier Cos., Inc. (The) | | | 1,697 | | | | 70,612 | |
| Helios Technologies, Inc. | | | 1,712 | | | | 117,135 | |
| Hillenbrand, Inc. | | | 3,866 | | | | 161,754 | |
| Hydrofarm Holdings Group, Inc.*(b) | | | 2,092 | | | | 14,414 | |
| Hyliion Holdings Corp.*(b) | | | 6,208 | | | | 22,535 | |
| Hyster-Yale Materials Handling, Inc. | | | 533 | | | | 19,694 | |
| Ideanomics, Inc.* | | | 25,789 | | | | 15,473 | |
| John Bean Technologies Corp. | | | 1,659 | | | | 201,983 | |
| Kadant, Inc. | | | 615 | | | | 113,837 | |
| Kennametal, Inc. | | | 4,433 | | | | 122,972 | |
| Lindsay Corp. | | | 581 | | | | 73,206 | |
| Luxfer Holdings plc | | | 1,459 | | | | 24,365 | |
| Manitowoc Co., Inc. (The)* | | | 1,821 | | | | 23,710 | |
| Mayville Engineering Co., Inc.* | | | 472 | | | | 4,281 | |
| Meritor, Inc.* | | | 3,598 | | | | 130,140 | |
| Miller Industries, Inc. | | | 596 | | | | 14,709 | |
| Mueller Industries, Inc. | | | 2,979 | | | | 160,419 | |
| Mueller Water Products, Inc., Class A | | | 8,271 | | | | 98,673 | |
| Nikola Corp.*(b) | | | 12,116 | | | | 85,539 | |
| NN, Inc.* | | | 2,263 | | | | 6,336 | |
| Omega Flex, Inc. | | | 169 | | | | 18,681 | |
| Park-Ohio Holdings Corp. | | | 450 | | | | 7,011 | |
| Proto Labs, Inc.* | | | 1,475 | | | | 71,080 | |
| RBC Bearings, Inc.*(b) | | | 1,489 | | | | 277,535 | |
| REV Group, Inc. | | | 1,863 | | | | 22,859 | |
| Shyft Group, Inc. (The) | | | 1,842 | | | | 40,874 | |
| SPX Corp.* | | | 2,322 | | | | 116,866 | |
| Standex International Corp. | | | 632 | | | | 58,839 | |
| Tennant Co. | | | 983 | | | | 61,182 | |
| Terex Corp. | | | 3,635 | | | | 128,643 | |
| Titan International, Inc.* | | | 2,711 | | | | 49,367 | |
| Trinity Industries, Inc. | | | 4,096 | | | | 101,827 | |
| Wabash National Corp. | | | 2,592 | | | | 39,787 | |
| Watts Water Technologies, Inc., Class A | | | 1,457 | | | | 190,619 | |
| Welbilt, Inc.* | | | 6,934 | | | | 164,128 | |
| | | | | | | 4,655,658 | |
| Marine - 0.2% | | | | | | | | |
| Costamare, Inc. | | | 2,801 | | | | 39,830 | |
| Eagle Bulk Shipping, Inc. | | | 471 | | | | 34,506 | |
| Genco Shipping & Trading Ltd. | | | 1,704 | | | | 43,026 | |
| Matson, Inc. | | | 2,207 | | | | 198,365 | |
| Safe Bulkers, Inc. | | | 3,359 | | | | 15,989 | |
| | | | | | | 331,716 | |
| Media - 0.7% | | | | | | | | |
| Advantage Solutions, Inc.* | | | 4,050 | | | | 17,415 | |
| AMC Networks, Inc., Class A* | | | 1,543 | | | | 60,578 | |
| Audacy, Inc.* | | | 6,253 | | | | 10,880 | |
| Boston Omaha Corp., Class A* | | | 1,074 | | | | 23,467 | |
| Cardlytics, Inc.*(b) | | | 1,714 | | | | 44,410 | |
| Clear Channel Outdoor Holdings, Inc.* | | | 19,253 | | | | 30,420 | |
| comScore, Inc.* | | | 3,705 | | | | 7,151 | |
| Daily Journal Corp.* | | | 63 | | | | 17,377 | |
| Digital Media Solutions, Inc.* | | | 176 | | | | 292 | |
| Emerald Holding, Inc.* | | | 1,245 | | | | 4,171 | |
| Entravision Communications Corp., Class A | | | 3,187 | | | | 16,668 | |
| EW Scripps Co. (The), Class A* | | | 3,035 | | | | 48,165 | |
See accompanying notes to the financial statements.
Ultra Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Fluent, Inc.* | | | 2,291 | | | | 2,955 | |
| Gannett Co., Inc.* | | | 7,456 | | | | 29,302 | |
| Gray Television, Inc. | | | 4,524 | | | | 89,213 | |
| Hemisphere Media Group, Inc.* | | | 860 | | | | 5,900 | |
| iHeartMedia, Inc., Class A* | | | 5,931 | | | | 69,986 | |
| Integral Ad Science Holding Corp.* | | | 1,709 | | | | 20,816 | |
| John Wiley & Sons, Inc., Class A | | | 2,293 | | | | 121,437 | |
| Magnite, Inc.* | | | 6,885 | | | | 75,666 | |
| National CineMedia, Inc. | | | 3,181 | | | | 3,913 | |
| Scholastic Corp. | | | 1,464 | | | | 54,944 | |
| Sinclair Broadcast Group, Inc., Class A | | | 2,439 | | | | 59,097 | |
| Stagwell, Inc.*(b) | | | 3,273 | | | | 25,889 | |
| TechTarget, Inc.* | | | 1,381 | | | | 98,175 | |
| TEGNA, Inc. | | | 11,729 | | | | 256,865 | |
| Thryv Holdings, Inc.* | | | 400 | | | | 10,476 | |
| WideOpenWest, Inc.* | | | 2,781 | | | | 61,126 | |
| | | | | | | 1,266,754 | |
| Metals & Mining - 1.1% | | | | | | | | |
| Allegheny Technologies, Inc.* | | | 6,755 | | | | 185,763 | |
| Arconic Corp.* | | | 5,661 | | | | 159,244 | |
| Carpenter Technology Corp. | | | 2,528 | | | | 89,061 | |
| Century Aluminum Co.* | | | 2,720 | | | | 32,096 | |
| Coeur Mining, Inc.* | | | 13,564 | | | | 52,764 | |
| Commercial Metals Co. | | | 6,370 | | | | 253,080 | |
| Compass Minerals International, Inc. | | | 1,812 | | | | 81,413 | |
| Constellium SE* | | | 6,590 | | | | 111,305 | |
| Gatos Silver, Inc.* | | | 2,461 | | | | 7,580 | |
| Haynes International, Inc. | | | 656 | | | | 25,092 | |
| Hecla Mining Co. | | | 28,188 | | | | 133,047 | |
| Kaiser Aluminum Corp. | | | 836 | | | | 85,414 | |
| Materion Corp. | | | 1,074 | | | | 88,047 | |
| MP Materials Corp.* | | | 4,028 | | | | 158,824 | |
| Novagold Resources, Inc.* | | | 12,575 | | | | 70,294 | |
| Olympic Steel, Inc. | | | 495 | | | | 16,914 | |
| Perpetua Resources Corp.* | | | 1,716 | | | | 5,972 | |
| PolyMet Mining Corp.*(b) | | | 1,527 | | | | 4,230 | |
| Ryerson Holding Corp. | | | 866 | | | | 26,101 | |
| Schnitzer Steel Industries, Inc., Class A | | | 1,393 | | | | 56,584 | |
| SunCoke Energy, Inc. | | | 4,400 | | | | 35,596 | |
| TimkenSteel Corp.* | | | 2,440 | | | | 56,364 | |
| Warrior Met Coal, Inc. | | | 2,733 | | | | 91,883 | |
| Worthington Industries, Inc. | | | 1,754 | | | | 81,807 | |
| | | | | | | 1,908,475 | |
| Mortgage Real Estate Investment Trusts (REITs) - 1.0% | | | | | | | | |
| AFC Gamma, Inc. | | | 797 | | | | 14,282 | |
| Angel Oak Mortgage, Inc.(b) | | | 513 | | | | 7,849 | |
| Apollo Commercial Real Estate Finance, Inc. | | | 7,444 | | | | 94,762 | |
| Arbor Realty Trust, Inc. | | | 7,628 | | | | 125,252 | |
| Ares Commercial Real Estate Corp. | | | 2,322 | | | | 34,133 | |
| ARMOUR Residential REIT, Inc.(b) | | | 4,718 | | | | 35,668 | |
| Blackstone Mortgage Trust, Inc., Class A | | | 8,340 | | | | 259,457 | |
| BrightSpire Capital, Inc. | | | 4,474 | | | | 39,774 | |
| Broadmark Realty Capital, Inc. | | | 6,810 | | | | 50,326 | |
| Chicago Atlantic Real Estate Finance, Inc. | | | 321 | | | | 5,467 | |
| Chimera Investment Corp. | | | 12,492 | | | | 122,422 | |
| Dynex Capital, Inc. | | | 1,912 | | | | 31,166 | |
| Ellington Financial, Inc. | | | 2,858 | | | | 44,270 | |
| Franklin BSP Realty Trust, Inc. | | | 1,904 | | | | 29,474 | |
| Granite Point Mortgage Trust, Inc. | | | 2,833 | | | | 31,163 | |
| Great Ajax Corp. | | | 1,146 | | | | 12,090 | |
| Hannon Armstrong Sustainable Infrastructure Capital, Inc.(b) | | | 4,065 | | | | 154,755 | |
| Invesco Mortgage Capital, Inc.(b) | | | 16,641 | | | | 29,621 | |
| KKR Real Estate Finance Trust, Inc. | | | 1,874 | | | | 38,267 | |
| Ladder Capital Corp. | | | 6,025 | | | | 69,649 | |
| MFA Financial, Inc. | | | 5,862 | | | | 79,254 | |
| New York Mortgage Trust, Inc. | | | 20,131 | | | | 60,997 | |
| Orchid Island Capital, Inc.(b) | | | 7,203 | | | | 22,473 | |
| PennyMac Mortgage Investment Trust | | | 5,202 | | | | 84,168 | |
| Ready Capital Corp. | | | 3,574 | | | | 52,466 | |
| Redwood Trust, Inc. | | | 6,081 | | | | 62,026 | |
| TPG RE Finance Trust, Inc. | | | 3,181 | | | | 33,369 | |
| Two Harbors Investment Corp. | | | 18,249 | | | | 97,450 | |
| | | | | | | 1,722,050 | |
| Multiline Retail - 0.3% | | | | | | | | |
| Big Lots, Inc. | | | 1,601 | | | | 39,208 | |
| Dillard's, Inc., Class A(b) | | | 291 | | | | 87,731 | |
| Franchise Group, Inc. | | | 1,499 | | | | 59,465 | |
| Macy's, Inc. | | | 15,989 | | | | 378,140 | |
| | | | | | | 564,544 | |
| Multi-Utilities - 0.4% | | | | | | | | |
| Avista Corp. | | | 3,749 | | | | 162,856 | |
| Black Hills Corp. | | | 3,395 | | | | 260,261 | |
| NorthWestern Corp. | | | 2,875 | | | | 176,151 | |
| Unitil Corp. | | | 828 | | | | 47,867 | |
| | | | | | | 647,135 | |
| Oil, Gas & Consumable Fuels - 4.8% | | | | | | | | |
| Aemetis, Inc.*(b) | | | 1,430 | | | | 11,597 | |
| Alto Ingredients, Inc.* | | | 3,783 | | | | 16,834 | |
| Antero Resources Corp.* | | | 15,172 | | | | 650,575 | |
| Arch Resources, Inc.(b) | | | 797 | | | | 121,813 | |
| Berry Corp. | | | 3,570 | | | | 39,734 | |
| Brigham Minerals, Inc., Class A | | | 2,315 | | | | 70,168 | |
| California Resources Corp. | | | 4,306 | | | | 188,043 | |
| Callon Petroleum Co.* | | | 2,552 | | | | 149,190 | |
| Centennial Resource Development, Inc., Class A*(b) | | | 9,768 | | | | 77,558 | |
| Centrus Energy Corp., Class A* | | | 520 | | | | 13,307 | |
| Chesapeake Energy Corp. | | | 5,570 | | | | 542,407 | |
| Civitas Resources, Inc.(b) | | | 2,305 | | | | 175,987 | |
| Clean Energy Fuels Corp.* | | | 8,220 | | | | 45,457 | |
| CNX Resources Corp.* | | | 10,671 | | | | 231,774 | |
| Comstock Resources, Inc.* | | | 4,851 | | | | 93,624 | |
| CONSOL Energy, Inc.* | | | 1,818 | | | | 93,736 | |
| Crescent Energy Co., Class A(b) | | | 1,565 | | | | 28,280 | |
| CVR Energy, Inc. | | | 1,565 | | | | 53,883 | |
| Delek US Holdings, Inc.* | | | 3,478 | | | | 101,418 | |
| Denbury, Inc.* | | | 2,666 | | | | 194,991 | |
| DHT Holdings, Inc.(b) | | | 7,437 | | | | 44,324 | |
| Dorian LPG Ltd. | | | 1,651 | | | | 28,067 | |
| Earthstone Energy, Inc., Class A*(b) | | | 1,638 | | | | 29,517 | |
| Energy Fuels, Inc.* | | | 8,200 | | | | 52,562 | |
| Equitrans Midstream Corp. | | | 21,678 | | | | 170,606 | |
| Falcon Minerals Corp. | | | 2,085 | | | | 15,450 | |
| Frontline Ltd.*(b) | | | 6,517 | | | | 63,085 | |
| Gevo, Inc.*(b) | | | 10,538 | | | | 44,260 | |
| Golar LNG Ltd.* | | | 5,365 | | | | 135,895 | |
See accompanying notes to the financial statements.
Ultra Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Green Plains, Inc.* | | | 2,532 | | | | 82,493 | |
| HighPeak Energy, Inc. | | | 276 | | | | 8,796 | |
| International Seaways, Inc.(b) | | | 2,443 | | | | 58,950 | |
| Kinetik Holdings, Inc. | | | 181 | | | | 15,211 | |
| Kosmos Energy Ltd.* | | | 23,785 | | | | 184,096 | |
| Laredo Petroleum, Inc.* | | | 668 | | | | 56,226 | |
| Magnolia Oil & Gas Corp., Class A(b) | | | 7,650 | | | | 211,216 | |
| Matador Resources Co. | | | 5,868 | | | | 357,361 | |
| Murphy Oil Corp. | | | 7,770 | | | | 329,603 | |
| Nordic American Tankers Ltd.(b) | | | 8,911 | | | | 18,268 | |
| Northern Oil and Gas, Inc. | | | 3,241 | | | | 105,948 | |
| Oasis Petroleum, Inc. | | | 1,056 | | | | 167,619 | |
| Ovintiv, Inc. | | | 13,893 | | | | 777,869 | |
| Par Pacific Holdings, Inc.* | | | 2,368 | | | | 38,835 | |
| PBF Energy, Inc., Class A* | | | 5,106 | | | | 169,519 | |
| PDC Energy, Inc. | | | 5,166 | | | | 408,837 | |
| Peabody Energy Corp.*(b) | | | 4,717 | | | | 111,368 | |
| Range Resources Corp.* | | | 12,683 | | | | 430,588 | |
| Ranger Oil Corp.* | | | 1,131 | | | | 48,418 | |
| Renewable Energy Group, Inc.* | | | 2,371 | | | | 145,366 | |
| REX American Resources Corp.* | | | 278 | | | | 24,155 | |
| Riley Exploration Permian, Inc. | | | 557 | | | | 15,301 | |
| Scorpio Tankers, Inc. | | | 2,593 | | | | 85,699 | |
| SFL Corp. Ltd. | | | 6,576 | | | | 73,980 | |
| SM Energy Co. | | | 6,365 | | | | 307,239 | |
| Southwestern Energy Co.* | | | 53,877 | | | | 491,358 | |
| Talos Energy, Inc.* | | | 1,956 | | | | 42,250 | |
| Teekay Corp.* | | | 3,676 | | | | 12,425 | |
| Teekay Tankers Ltd., Class A* | | | 1,267 | | | | 26,164 | |
| Tellurian, Inc.* | | | 19,649 | | | | 93,726 | |
| Uranium Energy Corp.* | | | 14,024 | | | | 53,572 | |
| Ur-Energy, Inc.* | | | 9,823 | | | | 11,984 | |
| W&T Offshore, Inc.* | | | 4,984 | | | | 33,542 | |
| Whiting Petroleum Corp. | | | 2,088 | | | | 184,704 | |
| World Fuel Services Corp. | | | 3,303 | | | | 81,881 | |
| | | | | | | 8,748,709 | |
| Paper & Forest Products - 0.1% | | | | | | | | |
| Clearwater Paper Corp.* | | | 872 | | | | 29,953 | |
| Glatfelter Corp. | | | 2,324 | | | | 20,033 | |
| Neenah, Inc. | | | 894 | | | | 33,892 | |
| | | | | | | 83,878 | |
| Personal Products - 0.4% | | | | | | | | |
| Beauty Health Co. (The)* | | | 4,628 | | | | 66,042 | |
| BellRing Brands, Inc.* | | | 5,972 | | | | 156,168 | |
| Edgewell Personal Care Co. | | | 2,871 | | | | 104,504 | |
| elf Beauty, Inc.* | | | 2,553 | | | | 67,961 | |
| Honest Co., Inc. (The)* | | | 4,506 | | | | 15,501 | |
| Inter Parfums, Inc. | | | 945 | | | | 69,741 | |
| Medifast, Inc. | | | 610 | | | | 101,717 | |
| Nature's Sunshine Products, Inc.* | | | 624 | | | | 7,544 | |
| NewAge, Inc.* | | | 7,123 | | | | 2,564 | |
| Nu Skin Enterprises, Inc., Class A | | | 2,637 | | | | 123,016 | |
| Revlon, Inc., Class A*(b) | | | 380 | | | | 1,592 | |
| Thorne HealthTech, Inc.* | | | 354 | | | | 2,085 | |
| USANA Health Sciences, Inc.* | | | 635 | | | | 44,660 | |
| Veru, Inc.*(b) | | | 3,418 | | | | 44,229 | |
| | | | | | | 807,324 | |
| Pharmaceuticals - 1.0% | | | | | | | | |
| 9 Meters Biopharma, Inc.* | | | 11,998 | | | | 5,424 | |
| Aclaris Therapeutics, Inc.* | | | 2,706 | | | | 34,610 | |
| Aerie Pharmaceuticals, Inc.* | | | 2,241 | | | | 11,608 | |
| Amneal Pharmaceuticals, Inc.* | | | 5,291 | | | | 19,206 | |
| Amphastar Pharmaceuticals, Inc.* | | | 1,962 | | | | 72,869 | |
| Ampio Pharmaceuticals, Inc.* | | | 10,321 | | | | 1,887 | |
| Amylyx Pharmaceuticals, Inc.*(b) | | | 512 | | | | 4,552 | |
| Angion Biomedica Corp.* | | | 1,149 | | | | 2,022 | |
| ANI Pharmaceuticals, Inc.* | | | 584 | | | | 17,666 | |
| Arvinas, Inc.* | | | 2,499 | | | | 104,183 | |
| Atea Pharmaceuticals, Inc.* | | | 3,426 | | | | 26,997 | |
| Athira Pharma, Inc.* | | | 1,714 | | | | 15,563 | |
| Axsome Therapeutics, Inc.* | | | 1,474 | | | | 36,850 | |
| Cara Therapeutics, Inc.* | | | 2,357 | | | | 19,610 | |
| Cassava Sciences, Inc.*(b) | | | 2,028 | | | | 62,057 | |
| CinCor Pharma, Inc.* | | | 616 | | | | 9,585 | |
| Citius Pharmaceuticals, Inc.* | | | 6,566 | | | | 6,170 | |
| Collegium Pharmaceutical, Inc.* | | | 1,837 | | | | 28,694 | |
| Corcept Therapeutics, Inc.* | | | 4,628 | | | | 96,448 | |
| CorMedix, Inc.* | | | 2,008 | | | | 6,506 | |
| Cymabay Therapeutics, Inc.* | | | 4,511 | | | | 8,842 | |
| DICE Therapeutics, Inc.* | | | 739 | | | | 10,161 | |
| Durect Corp.* | | | 11,983 | | | | 6,591 | |
| Edgewise Therapeutics, Inc.*(b) | | | 2,048 | | | | 12,800 | |
| Endo International plc* | | | 12,147 | | | | 6,410 | |
| Esperion Therapeutics, Inc.*(b) | | | 3,063 | | | | 17,459 | |
| Evolus, Inc.* | | | 1,765 | | | | 22,769 | |
| EyePoint Pharmaceuticals, Inc.* | | | 1,322 | | | | 12,757 | |
| Fulcrum Therapeutics, Inc.*(b) | | | 1,456 | | | | 10,367 | |
| Harmony Biosciences Holdings, Inc.* | | | 1,212 | | | | 52,843 | |
| Ikena Oncology, Inc.* | | | 1,466 | | | | 5,717 | |
| Innoviva, Inc.* | | | 2,294 | | | | 34,800 | |
| Intra-Cellular Therapies, Inc.* | | | 4,269 | | | | 245,041 | |
| Kala Pharmaceuticals, Inc.* | | | 2,594 | | | | 903 | |
| KemPharm, Inc.* | | | 1,567 | | | | 7,255 | |
| Landos Biopharma, Inc.* | | | 242 | | | | 176 | |
| Marinus Pharmaceuticals, Inc.* | | | 1,958 | | | | 9,496 | |
| Mind Medicine MindMed, Inc.* | | | 17,074 | | | | 15,447 | |
| NGM Biopharmaceuticals, Inc.* | | | 1,666 | | | | 23,057 | |
| Nuvation Bio, Inc.*(b) | | | 8,419 | | | | 29,719 | |
| Ocular Therapeutix, Inc.* | | | 4,059 | | | | 12,705 | |
| Omeros Corp.* | | | 3,196 | | | | 7,926 | |
| Oramed Pharmaceuticals, Inc.* | | | 1,971 | | | | 9,126 | |
| Pacira BioSciences, Inc.* | | | 2,342 | | | | 148,131 | |
| Paratek Pharmaceuticals, Inc.* | | | 2,593 | | | | 4,901 | |
| Phathom Pharmaceuticals, Inc.* | | | 1,076 | | | | 7,715 | |
| Phibro Animal Health Corp., Class A | | | 1,080 | | | | 20,747 | |
| Pliant Therapeutics, Inc.* | | | 1,277 | | | | 7,190 | |
| Prestige Consumer Healthcare, Inc.* | | | 2,659 | | | | 148,425 | |
| Provention Bio, Inc.*(b) | | | 2,942 | | | | 12,121 | |
| Rain Therapeutics, Inc.* | | | 841 | | | | 1,951 | |
| Reata Pharmaceuticals, Inc., Class A* | | | 1,454 | | | | 41,119 | |
| Relmada Therapeutics, Inc.* | | | 1,317 | | | | 24,746 | |
| Revance Therapeutics, Inc.* | | | 3,715 | | | | 50,821 | |
| Seelos Therapeutics, Inc.* | | | 5,207 | | | | 3,377 | |
| SIGA Technologies, Inc. | | | 2,558 | | | | 27,985 | |
| Supernus Pharmaceuticals, Inc.* | | | 2,599 | | | | 72,434 | |
| Tarsus Pharmaceuticals, Inc.*(b) | | | 454 | | | | 6,243 | |
| Terns Pharmaceuticals, Inc.* | | | 732 | | | | 1,266 | |
| TherapeuticsMD, Inc.*(b) | | | 409 | | | | 4,061 | |
| Theravance Biopharma, Inc.* | | | 3,178 | | | | 27,903 | |
| Theseus Pharmaceuticals, Inc.* | | | 611 | | | | 4,124 | |
| Ventyx Biosciences, Inc.*(b) | | | 546 | | | | 9,560 | |
| Verrica Pharmaceuticals, Inc.* | | | 690 | | | | 1,332 | |
See accompanying notes to the financial statements.
Ultra Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| WaVe Life Sciences Ltd.* | | | 2,345 | | | | 3,283 | |
| | | | | | | 1,774,309 | |
| Professional Services - 1.3% | | | | | | | | |
| Acacia Research Corp.* | | | 2,598 | | | | 12,418 | |
| ASGN, Inc.* | | | 2,699 | | | | 257,026 | |
| Atlas Technical Consultants, Inc.* | | | 786 | | | | 6,430 | |
| Barrett Business Services, Inc. | | | 396 | | | | 29,645 | |
| CBIZ, Inc.* | | | 2,603 | | | | 106,619 | |
| CRA International, Inc. | | | 382 | | | | 32,749 | |
| Exponent, Inc. | | | 2,750 | | | | 248,573 | |
| First Advantage Corp.* | | | 2,920 | | | | 42,632 | |
| Forrester Research, Inc.* | | | 600 | | | | 31,398 | |
| Franklin Covey Co.* | | | 669 | | | | 25,629 | |
| Heidrick & Struggles International, Inc. | | | 1,023 | | | | 35,355 | |
| HireQuest, Inc.(b) | | | 267 | | | | 4,122 | |
| HireRight Holdings Corp.* | | | 1,191 | | | | 17,567 | |
| Huron Consulting Group, Inc.* | | | 1,147 | | | | 68,728 | |
| ICF International, Inc.(b) | | | 986 | | | | 100,779 | |
| Insperity, Inc. | | | 1,928 | | | | 192,935 | |
| KBR, Inc. | | | 7,498 | | | | 373,100 | |
| Kelly Services, Inc., Class A | | | 1,865 | | | | 37,225 | |
| Kforce, Inc. | | | 1,077 | | | | 70,737 | |
| Korn Ferry | | | 2,867 | | | | 176,206 | |
| ManTech International Corp., Class A | | | 1,454 | | | | 139,075 | |
| Mistras Group, Inc.* | | | 1,058 | | | | 6,126 | |
| Resources Connection, Inc. | | | 1,654 | | | | 30,549 | |
| Sterling Check Corp.* | | | 874 | | | | 16,239 | |
| TriNet Group, Inc.* | | | 2,151 | | | | 168,940 | |
| TrueBlue, Inc.* | | | 1,855 | | | | 40,847 | |
| Upwork, Inc.* | | | 6,259 | | | | 114,227 | |
| Willdan Group, Inc.* | | | 590 | | | | 15,718 | |
| | | | | | | 2,401,594 | |
| Real Estate Management & Development - 0.5% | | | | | | | | |
| Cushman & Wakefield plc* | | | 7,358 | | | | 137,374 | |
| Douglas Elliman, Inc. | | | 3,799 | | | | 21,844 | |
| eXp World Holdings, Inc.(b) | | | 3,326 | | | | 46,464 | |
| Fathom Holdings, Inc.* | | | 359 | | | | 3,446 | |
| Forestar Group, Inc.* | | | 913 | | | | 15,138 | |
| FRP Holdings, Inc.* | | | 352 | | | | 21,127 | |
| Kennedy-Wilson Holdings, Inc. | | | 6,307 | | | | 132,825 | |
| Marcus & Millichap, Inc. | | | 1,259 | | | | 52,727 | |
| Newmark Group, Inc., Class A | | | 8,911 | | | | 98,645 | |
| Rafael Holdings, Inc., Class B* | | | 662 | | | | 1,291 | |
| RE/MAX Holdings, Inc., Class A(b) | | | 987 | | | | 23,984 | |
| Realogy Holdings Corp.* | | | 6,109 | | | | 75,630 | |
| Redfin Corp.*(b) | | | 5,474 | | | | 53,645 | |
| RMR Group, Inc. (The), Class A | | | 808 | | | | 24,256 | |
| St Joe Co. (The) | | | 1,774 | | | | 89,569 | |
| Tejon Ranch Co.* | | | 1,105 | | | | 18,774 | |
| | | | | | | 816,739 | |
| Road & Rail - 0.6% | | | | | | | | |
| ArcBest Corp. | | | 1,349 | | | | 102,025 | |
| Avis Budget Group, Inc.* | | | 2,188 | | | | 416,333 | |
| Covenant Logistics Group, Inc. | | | 643 | | | | 14,577 | |
| Daseke, Inc.* | | | 2,127 | | | | 16,080 | |
| Heartland Express, Inc. | | | 2,499 | | | | 35,686 | |
| HyreCar, Inc.* | | | 933 | | | | 1,063 | |
| Marten Transport Ltd. | | | 3,165 | | | | 55,577 | |
| PAM Transportation Services, Inc.* | | | 382 | | | | 10,639 | |
| Saia, Inc.* | | | 1,410 | | | | 278,602 | |
| Universal Logistics Holdings, Inc. | | | 400 | | | | 11,156 | |
| US Xpress Enterprises, Inc., Class A* | | | 1,419 | | | | 4,200 | |
| Werner Enterprises, Inc. | | | 3,221 | | | | 130,676 | |
| Yellow Corp.* | | | 2,673 | | | | 10,104 | |
| | | | | | | 1,086,718 | |
| Semiconductors & Semiconductor Equipment - 2.3% | | | | | | | | |
| Alpha & Omega Semiconductor Ltd.* | | | 1,140 | | | | 50,080 | |
| Ambarella, Inc.* | | | 1,871 | | | | 159,447 | |
| Amkor Technology, Inc. | | | 5,415 | | | | 110,683 | |
| Atomera, Inc.*(b) | | | 1,070 | | | | 13,000 | |
| Axcelis Technologies, Inc.* | | | 1,747 | | | | 108,419 | |
| AXT, Inc.* | | | 2,153 | | | | 12,595 | |
| CEVA, Inc.* | | | 1,198 | | | | 43,212 | |
| CMC Materials, Inc. | | | 1,503 | | | | 265,941 | |
| Cohu, Inc.* | | | 2,532 | | | | 77,049 | |
| Credo Technology Group Holding Ltd.*(b) | | | 1,167 | | | | 11,938 | |
| Diodes, Inc.* | | | 2,311 | | | | 177,970 | |
| FormFactor, Inc.* | | | 4,126 | | | | 169,414 | |
| Ichor Holdings Ltd.* | | | 1,496 | | | | 45,239 | |
| Impinj, Inc.*(b) | | | 1,006 | | | | 47,091 | |
| Kopin Corp.* | | | 4,118 | | | | 4,571 | |
| Kulicke & Soffa Industries, Inc.(b) | | | 3,241 | | | | 175,565 | |
| Lattice Semiconductor Corp.* | | | 7,191 | | | | 374,076 | |
| MACOM Technology Solutions Holdings, Inc.* | | | 2,617 | | | | 142,653 | |
| MaxLinear, Inc.* | | | 3,766 | | | | 149,096 | |
| Meta Materials, Inc.*(b) | | | 10,737 | | | | 20,615 | |
| NeoPhotonics Corp.* | | | 2,766 | | | | 42,624 | |
| NVE Corp. | | | 252 | | | | 12,464 | |
| Onto Innovation, Inc.* | | | 2,587 | | | | 207,943 | |
| PDF Solutions, Inc.* | | | 1,588 | | | | 37,953 | |
| Photronics, Inc.* | | | 3,157 | | | | 68,633 | |
| Power Integrations, Inc. | | | 3,124 | | | | 263,603 | |
| Rambus, Inc.* | | | 5,755 | | | | 144,450 | |
| Semtech Corp.* | | | 3,429 | | | | 219,765 | |
| Silicon Laboratories, Inc.* | | | 2,016 | | | | 300,707 | |
| SiTime Corp.* | | | 859 | | | | 182,967 | |
| SkyWater Technology, Inc.* | | | 426 | | | | 2,841 | |
| SMART Global Holdings, Inc.* | | | 2,590 | | | | 63,843 | |
| SunPower Corp.* | | | 4,241 | | | | 74,938 | |
| Synaptics, Inc.* | | | 2,098 | | | | 310,756 | |
| Ultra Clean Holdings, Inc.* | | | 2,354 | | | | 79,000 | |
| Veeco Instruments, Inc.* | | | 2,646 | | | | 56,704 | |
| | | | | | | 4,227,845 | |
| Software - 3.4% | | | | | | | | |
| 8x8, Inc.* | | | 5,981 | | | | 43,362 | |
| A10 Networks, Inc. | | | 3,187 | | | | 49,112 | |
| ACI Worldwide, Inc.* | | | 6,263 | | | | 166,846 | |
| Agilysys, Inc.* | | | 1,132 | | | | 46,265 | |
| Alarm.com Holdings, Inc.* | | | 2,516 | | | | 159,087 | |
| Alkami Technology, Inc.*(b) | | | 1,505 | | | | 21,145 | |
| Altair Engineering, Inc., Class A* | | | 2,454 | | | | 134,872 | |
| American Software, Inc., Class A | | | 1,662 | | | | 28,420 | |
| Appfolio, Inc., Class A* | | | 1,005 | | | | 100,681 | |
| Appian Corp.* | | | 2,090 | | | | 99,839 | |
| Arteris, Inc.*(b) | | | 278 | | | | 2,580 | |
| Asana, Inc., Class A*(b) | | | 3,878 | | | | 84,308 | |
| Avaya Holdings Corp.* | | | 4,425 | | | | 16,328 | |
| AvidXchange Holdings, Inc.* | | | 1,348 | | | | 11,835 | |
| Benefitfocus, Inc.* | | | 1,323 | | | | 12,039 | |
| Blackbaud, Inc.* | | | 2,532 | | | | 161,162 | |
See accompanying notes to the financial statements.
Ultra Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Blackline, Inc.* | | | 2,881 | | | | 210,947 | |
| Box, Inc., Class A* | | | 7,255 | | | | 189,428 | |
| BTRS Holdings, Inc., Class A* | | | 5,038 | | | | 25,039 | |
| Cerence, Inc.* | | | 2,090 | | | | 66,378 | |
| ChannelAdvisor Corp.* | | | 1,569 | | | | 21,417 | |
| Cleanspark, Inc.*(b) | | | 2,108 | | | | 12,416 | |
| CommVault Systems, Inc.* | | | 2,366 | | | | 144,350 | |
| Consensus Cloud Solutions, Inc.* | | | 853 | | | | 40,970 | |
| CoreCard Corp.* | | | 384 | | | | 9,009 | |
| Couchbase, Inc.*(b) | | | 1,244 | | | | 17,640 | |
| CS Disco, Inc.*(b) | | | 826 | | | | 20,576 | |
| Digimarc Corp.*(b) | | | 673 | | | | 11,616 | |
| Digital Turbine, Inc.* | | | 4,822 | | | | 122,623 | |
| Domo, Inc., Class B* | | | 1,508 | | | | 48,075 | |
| E2open Parent Holdings, Inc.*(b) | | | 10,541 | | | | 85,171 | |
| Ebix, Inc. | | | 1,410 | | | | 41,101 | |
| eGain Corp.* | | | 1,094 | | | | 9,988 | |
| Enfusion, Inc., Class A*(b) | | | 1,150 | | | | 12,593 | |
| EngageSmart, Inc.* | | | 851 | | | | 17,871 | |
| Envestnet, Inc.* | | | 2,879 | | | | 191,799 | |
| EverCommerce, Inc.* | | | 1,588 | | | | 15,102 | |
| GTY Technology Holdings, Inc.* | | | 1,704 | | | | 10,088 | |
| Instructure Holdings, Inc.* | | | 647 | | | | 11,549 | |
| Intapp, Inc.*(b) | | | 733 | | | | 14,572 | |
| InterDigital, Inc. | | | 1,633 | | | | 106,619 | |
| JFrog Ltd.* | | | 2,851 | | | | 53,171 | |
| Kaltura, Inc.* | | | 2,913 | | | | 5,273 | |
| LivePerson, Inc.* | | | 3,490 | | | | 58,562 | |
| Marathon Digital Holdings, Inc.*(b) | | | 5,059 | | | | 51,754 | |
| MeridianLink, Inc.*(b) | | | 1,202 | | | | 21,432 | |
| MicroStrategy, Inc., Class A*(b) | | | 498 | | | | 131,816 | |
| Mitek Systems, Inc.*(b) | | | 2,277 | | | | 20,539 | |
| Model N, Inc.* | | | 1,914 | | | | 48,156 | |
| Momentive Global, Inc.* | | | 7,025 | | | | 85,564 | |
| ON24, Inc.* | | | 1,465 | | | | 17,785 | |
| OneSpan, Inc.* | | | 1,871 | | | | 24,753 | |
| PagerDuty, Inc.* | | | 4,403 | | | | 108,534 | |
| Ping Identity Holding Corp.* | | | 3,226 | | | | 60,971 | |
| Progress Software Corp. | | | 2,330 | | | | 112,562 | |
| PROS Holdings, Inc.* | | | 2,114 | | | | 57,691 | |
| Q2 Holdings, Inc.* | | | 2,900 | | | | 152,917 | |
| Qualys, Inc.* | | | 1,804 | | | | 235,747 | |
| Rapid7, Inc.*(b) | | | 2,983 | | | | 211,405 | |
| Rekor Systems, Inc.* | | | 1,781 | | | | 4,755 | |
| Rimini Street, Inc.* | | | 2,364 | | | | 14,610 | |
| Riot Blockchain, Inc.*(b) | | | 5,700 | | | | 40,983 | |
| Sailpoint Technologies Holdings, Inc.* | | | 4,846 | | | | 307,430 | |
| Sapiens International Corp. NV | | | 1,637 | | | | 41,465 | |
| SecureWorks Corp., Class A* | | | 484 | | | | 5,789 | |
| ShotSpotter, Inc.* | | | 456 | | | | 13,753 | |
| Smith Micro Software, Inc.* | | | 2,489 | | | | 6,546 | |
| Sprout Social, Inc., Class A* | | | 2,393 | | | | 121,875 | |
| SPS Commerce, Inc.* | | | 1,911 | | | | 204,553 | |
| Stronghold Digital Mining, Inc., Class A* | | | 388 | | | | 1,253 | |
| Sumo Logic, Inc.* | | | 4,700 | | | | 38,117 | |
| Telos Corp.* | | | 2,110 | | | | 20,319 | |
| Tenable Holdings, Inc.* | | | 4,891 | | | | 246,017 | |
| Upland Software, Inc.* | | | 1,530 | | | | 20,165 | |
| UserTesting, Inc.* | | | 475 | | | | 2,427 | |
| Varonis Systems, Inc.* | | | 5,678 | | | | 187,771 | |
| Verint Systems, Inc.* | | | 3,420 | | | | 174,557 | |
| Veritone, Inc.*(b) | | | 1,504 | | | | 11,701 | |
| Viant Technology, Inc., Class A* | | | 614 | | | | 3,684 | |
| VirnetX Holding Corp.* | | | 3,361 | | | | 4,067 | |
| Vonage Holdings Corp.* | | | 13,454 | | | | 260,604 | |
| Weave Communications, Inc.* | | | 250 | | | | 1,248 | |
| Workiva, Inc.* | | | 2,273 | | | | 165,952 | |
| Xperi Holding Corp. | | | 5,562 | | | | 91,551 | |
| Yext, Inc.* | | | 6,057 | | | | 30,770 | |
| Zuora, Inc., Class A* | | | 6,009 | | | | 60,931 | |
| | | | | | | 6,136,343 | |
| Specialty Retail - 1.6% | | | | | | | | |
| Aaron's Co., Inc. (The) | | | 1,654 | | | | 32,352 | |
| Abercrombie & Fitch Co., Class A* | | | 2,967 | | | | 60,645 | |
| Academy Sports & Outdoors, Inc. | | | 4,161 | | | | 139,435 | |
| American Eagle Outfitters, Inc. | | | 8,072 | | | | 97,752 | |
| America's Car-Mart, Inc.* | | | 320 | | | | 34,688 | |
| Arko Corp.(b) | | | 4,413 | | | | 39,849 | |
| Asbury Automotive Group, Inc.* | | | 1,226 | | | | 222,090 | |
| Barnes & Noble Education, Inc.* | | | 2,387 | | | | 5,991 | |
| Bed Bath & Beyond, Inc.* | | | 5,135 | | | | 44,418 | |
| Big 5 Sporting Goods Corp.(b) | | | 1,105 | | | | 14,089 | |
| Boot Barn Holdings, Inc.* | | | 1,555 | | | | 125,489 | |
| Buckle, Inc. (The) | | | 1,577 | | | | 51,820 | |
| Caleres, Inc. | | | 1,953 | | | | 55,582 | |
| Camping World Holdings, Inc., Class A(b) | | | 2,219 | | | | 60,201 | |
| CarLotz, Inc.* | | | 3,788 | | | | 2,114 | |
| Cato Corp. (The), Class A | | | 1,018 | | | | 13,285 | |
| Chico's FAS, Inc.* | | | 6,375 | | | | 31,556 | |
| Children's Place, Inc. (The)* | | | 729 | | | | 34,613 | |
| Citi Trends, Inc.* | | | 425 | | | | 12,699 | |
| Conn's, Inc.* | | | 944 | | | | 12,461 | |
| Container Store Group, Inc. (The)* | | | 1,689 | | | | 13,005 | |
| Designer Brands, Inc., Class A | | | 3,226 | | | | 50,100 | |
| Genesco, Inc.* | | | 758 | | | | 42,683 | |
| Group 1 Automotive, Inc. | | | 883 | | | | 158,578 | |
| GrowGeneration Corp.*(b) | | | 2,936 | | | | 15,120 | |
| Guess?, Inc. | | | 2,139 | | | | 44,620 | |
| Haverty Furniture Cos., Inc. | | | 868 | | | | 24,530 | |
| Hibbett, Inc. | | | 733 | | | | 37,200 | |
| JOANN, Inc.(b) | | | 594 | | | | 4,805 | |
| Kirkland's, Inc.* | | | 671 | | | | 3,885 | |
| Lazydays Holdings, Inc.* | | | 400 | | | | 6,212 | |
| LL Flooring Holdings, Inc.* | | | 1,519 | | | | 18,243 | |
| MarineMax, Inc.* | | | 1,124 | | | | 46,545 | |
| Monro, Inc. | | | 1,764 | | | | 83,649 | |
| Murphy USA, Inc. | | | 1,240 | | | | 308,909 | |
| National Vision Holdings, Inc.* | | | 4,410 | | | | 124,097 | |
| ODP Corp. (The)* | | | 2,446 | | | | 93,413 | |
| OneWater Marine, Inc., Class A | | | 585 | | | | 20,007 | |
| Party City Holdco, Inc.* | | | 5,863 | | | | 8,443 | |
| Rent-A-Center, Inc. | | | 3,501 | | | | 96,418 | |
| Sally Beauty Holdings, Inc.* | | | 5,828 | | | | 88,352 | |
| Shift Technologies, Inc.* | | | 3,174 | | | | 3,301 | |
| Shoe Carnival, Inc. | | | 930 | | | | 25,352 | |
| Signet Jewelers Ltd. | | | 2,810 | | | | 167,476 | |
| Sleep Number Corp.* | | | 1,173 | | | | 53,876 | |
| Sonic Automotive, Inc., Class A | | | 1,140 | | | | 51,995 | |
| Sportsman's Warehouse Holdings, Inc.* | | | 2,308 | | | | 21,834 | |
| Tilly's, Inc., Class A | | | 1,208 | | | | 10,002 | |
| Torrid Holdings, Inc.*(b) | | | 978 | | | | 5,702 | |
| TravelCenters of America, Inc.* | | | 660 | | | | 25,773 | |
| Urban Outfitters, Inc.* | | | 3,645 | | | | 76,727 | |
See accompanying notes to the financial statements.
Ultra Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Winmark Corp. | | | 175 | | | | 34,615 | |
| Zumiez, Inc.* | | | 1,032 | | | | 33,860 | |
| | | | | | | 2,890,456 | |
| Technology Hardware, Storage & Peripherals - 0.2% | | | | | | | | |
| 3D Systems Corp.* | | | 6,588 | | | | 71,216 | |
| Avid Technology, Inc.* | | | 1,915 | | | | 56,091 | |
| Corsair Gaming, Inc.* | | | 1,445 | | | | 23,192 | |
| Diebold Nixdorf, Inc.* | | | 3,817 | | | | 11,871 | |
| Eastman Kodak Co.*(b) | | | 2,376 | | | | 10,977 | |
| Quantum Corp.* | | | 3,143 | | | | 6,003 | |
| Super Micro Computer, Inc.* | | | 2,368 | | | | 118,542 | |
| Turtle Beach Corp.*(b) | | | 804 | | | | 14,054 | |
| | | | | | | 311,946 | |
| Textiles, Apparel & Luxury Goods - 0.4% | | | | | | | | |
| Crocs, Inc.* | | | 3,089 | | | | 172,243 | |
| Fossil Group, Inc.* | | | 2,531 | | | | 18,578 | |
| G-III Apparel Group Ltd.* | | | 2,341 | | | | 58,665 | |
| Kontoor Brands, Inc. | | | 2,744 | | | | 109,952 | |
| Movado Group, Inc. | | | 829 | | | | 28,128 | |
| Oxford Industries, Inc. | | | 853 | | | | 77,759 | |
| PLBY Group, Inc.*(b) | | | 1,566 | | | | 13,875 | |
| Rocky Brands, Inc. | | | 363 | | | | 13,594 | |
| Steven Madden Ltd. | | | 4,267 | | | | 158,647 | |
| Superior Group of Cos., Inc. | | | 617 | | | | 11,106 | |
| Unifi, Inc.* | | | 739 | | | | 11,684 | |
| Vera Bradley, Inc.* | | | 1,375 | | | | 9,364 | |
| Wolverine World Wide, Inc. | | | 4,322 | | | | 92,231 | |
| | | | | | | 775,826 | |
| Thrifts & Mortgage Finance - 1.0% | | | | | | | | |
| Axos Financial, Inc.* | | | 3,026 | | | | 116,955 | |
| Blue Foundry Bancorp* | | | 1,493 | | | | 17,871 | |
| Bridgewater Bancshares, Inc.* | | | 1,120 | | | | 18,178 | |
| Capitol Federal Financial, Inc. | | | 6,892 | | | | 69,954 | |
| Columbia Financial, Inc.* | | | 2,087 | | | | 43,389 | |
| Enact Holdings, Inc. | | | 786 | | | | 19,115 | |
| Essent Group Ltd. | | | 5,744 | | | | 245,786 | |
| Federal Agricultural Mortgage Corp., Class C | | | 479 | | | | 50,300 | |
| Finance of America Cos., Inc., Class A*(b) | | | 964 | | | | 2,333 | |
| Flagstar Bancorp, Inc. | | | 2,762 | | | | 106,420 | |
| FS Bancorp, Inc. | | | 385 | | | | 11,646 | |
| Hingham Institution For Savings (The) | | | 80 | | | | 25,824 | |
| Home Bancorp, Inc. | | | 397 | | | | 13,653 | |
| Home Point Capital, Inc.(b) | | | 389 | | | | 1,537 | |
| Kearny Financial Corp. | | | 3,490 | | | | 43,311 | |
| Luther Burbank Corp. | | | 818 | | | | 11,157 | |
| Merchants Bancorp | | | 786 | | | | 20,035 | |
| Mr Cooper Group, Inc.* | | | 3,291 | | | | 142,698 | |
| NMI Holdings, Inc., Class A* | | | 4,454 | | | | 82,889 | |
| Northfield Bancorp, Inc. | | | 2,332 | | | | 30,992 | |
| Ocwen Financial Corp.* | | | 435 | | | | 12,171 | |
| PCSB Financial Corp. | | | 665 | | | | 13,027 | |
| PennyMac Financial Services, Inc. | | | 1,592 | | | | 78,040 | |
| Pioneer Bancorp, Inc.* | | | 616 | | | | 6,215 | |
| Provident Bancorp, Inc. | | | 802 | | | | 12,046 | |
| Provident Financial Services, Inc. | | | 3,982 | | | | 91,546 | |
| Radian Group, Inc. | | | 9,554 | | | | 205,506 | |
| Southern Missouri Bancorp, Inc. | | | 400 | | | | 18,672 | |
| TrustCo Bank Corp. | | | 1,003 | | | | 32,307 | |
| Velocity Financial, Inc.* | | | 657 | | | | 7,194 | |
| Walker & Dunlop, Inc. | | | 1,555 | | | | 165,312 | |
| Waterstone Financial, Inc. | | | 1,133 | | | | 19,590 | |
| WSFS Financial Corp. | | | 3,433 | | | | 146,864 | |
| | | | | | | 1,882,533 | |
| Tobacco - 0.1% | | | | | | | | |
| 22nd Century Group, Inc.*(b) | | | 8,533 | | | | 15,530 | |
| Turning Point Brands, Inc. | | | 768 | | | | 22,456 | |
| Universal Corp. | | | 1,284 | | | | 81,765 | |
| Vector Group Ltd. | | | 7,609 | | | | 93,667 | |
| | | | | | | 213,418 | |
| Trading Companies & Distributors - 1.3% | | | | | | | | |
| Alta Equipment Group, Inc.* | | | 1,003 | | | | 10,802 | |
| Applied Industrial Technologies, Inc. | | | 2,036 | | | | 210,543 | |
| Beacon Roofing Supply, Inc.* | | | 2,957 | | | | 181,589 | |
| BlueLinx Holdings, Inc.* | | | 484 | | | | 40,007 | |
| Boise Cascade Co. | | | 2,094 | | | | 161,908 | |
| Custom Truck One Source, Inc.*(b) | | | 3,100 | | | | 18,476 | |
| Distribution Solutions Group, Inc.* | | | 254 | | | | 9,751 | |
| DXP Enterprises, Inc.* | | | 917 | | | | 28,134 | |
| EVI Industries, Inc.* | | | 247 | | | | 2,678 | |
| GATX Corp. | | | 1,874 | | | | 202,298 | |
| Global Industrial Co. | | | 676 | | | | 23,167 | |
| GMS, Inc.* | | | 2,271 | | | | 113,119 | |
| H&E Equipment Services, Inc. | | | 1,708 | | | | 60,890 | |
| Herc Holdings, Inc. | | | 1,323 | | | | 155,082 | |
| Karat Packaging, Inc.* | | | 242 | | | | 4,751 | |
| McGrath RentCorp | | | 1,282 | | | | 105,393 | |
| MRC Global, Inc.* | | | 4,265 | | | | 47,725 | |
| NOW, Inc.* | | | 5,847 | | | | 64,551 | |
| Rush Enterprises, Inc., Class A | | | 2,241 | | | | 114,246 | |
| Rush Enterprises, Inc., Class B | | | 340 | | | | 16,833 | |
| Textainer Group Holdings Ltd. | | | 2,501 | | | | 81,132 | |
| Titan Machinery, Inc.* | | | 1,026 | | | | 27,097 | |
| Transcat, Inc.* | | | 385 | | | | 24,405 | |
| Triton International Ltd. | | | 3,537 | | | | 225,555 | |
| Veritiv Corp.* | | | 762 | | | | 110,757 | |
| WESCO International, Inc.* | | | 2,366 | | | | 297,122 | |
| Willis Lease Finance Corp.* | | | 161 | | | | 6,041 | |
| | | | | | | 2,344,052 | |
| Water Utilities - 0.3% | | | | | | | | |
| American States Water Co. | | | 1,956 | | | | 155,013 | |
| Artesian Resources Corp., Class A | | | 433 | | | | 21,252 | |
| Cadiz, Inc.* | | | 1,204 | | | | 2,432 | |
| California Water Service Group | | | 2,794 | | | | 149,954 | |
| Global Water Resources, Inc. | | | 674 | | | | 9,665 | |
| Middlesex Water Co. | | | 915 | | | | 77,803 | |
| Pure Cycle Corp.* | | | 1,021 | | | | 11,537 | |
| SJW Group | | | 1,468 | | | | 90,796 | |
| York Water Co. (The) | | | 691 | | | | 28,317 | |
| | | | | | | 546,769 | |
| Wireless Telecommunication Services - 0.1% | | | | | | | | |
| Gogo, Inc.* | | | 3,136 | | | | 63,536 | |
| Shenandoah Telecommunications Co. | | | 2,568 | | | | 58,961 | |
| Telephone and Data Systems, Inc. | | | 5,360 | | | | 95,033 | |
| United States Cellular Corp.* | | | 810 | | | | 24,875 | |
| | | | | | | 242,405 | |
TOTAL COMMON STOCKS
(Cost $178,669,262) | | | | | | | 129,193,235 | |
See accompanying notes to the financial statements.
Ultra Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Number of
Rights | | | Value ($) | |
| RIGHTS - 0.0%(d) | | | | | | | | |
| | | | | | | | |
| Biotechnology - 0.0% | | | | | | | | |
| Contra Aduro Biotech I, CVR*(e)(f) | | | 687 | | | | — | |
| Oncternal Therapeutics, Inc., CVR*(e)(f) | | | 42 | | | | — | |
| Tobira Therapeutics, Inc., CVR*(e)(f) | | | 756 | | | | — | |
| | | | | | | — | |
| Food Products - 0.0%(d) | | | | | | | | |
| Contraf-Nicotex-Tobacco GmbH*(e)(f) | | | 2,444 | | | | 1,222 | |
| | | | | | | | |
| Pharmaceuticals - 0.0%(d) | | | | | | | | |
| ANI Pharmaceuticals, Inc., CVR, expiring 12/31/2050*(e)(f) | | | 2 | | | | — | |
| Zogenix, Inc., CVR*(e)(f) | | | 4,182 | | | | 2,844 | |
| | | | | | | 2,844 | |
TOTAL RIGHTS
(Cost $1,951) | | | | | | | 4,066 | |
| Investments | | Shares | | | Value ($) | |
| SECURITIES LENDING REINVESTMENTS(g) - 1.8% | | | | | | | | |
| | | | | | | | |
| INVESTMENT COMPANIES - 1.8% | | | | | | | | |
| BlackRock Liquidity FedFund, Institutional Class | | | | | | | | |
| 0.72% (Cost $3,360,840) | | | 3,360,840 | | | | 3,360,840 | |
| Investments | | Principal
Amount ($) | | | Value ($) | |
| SHORT-TERM INVESTMENTS - 36.6% | | | | | | | | |
| | | | | | | | |
| REPURCHASE AGREEMENTS(h) - 36.6% | | | | | | | | |
| Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $66,533,171 | | | | | | | | |
| (Cost $66,531,831) | | | 66,531,831 | | | | 66,531,831 | |
| | | | | | | | |
Total Investments - 109.5%
(Cost $248,563,884) | | | | | | | 199,089,972 | |
| Liabilities in excess of other assets - (9.5%) | | | | | | | (17,319,873 | ) |
| Net Assets - 100.0% | | | | | | | 181,770,099 | |
| * | Non-income producing security. |
| (a) | All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $61,666,940. |
| (b) | The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $5,200,000, collateralized in the form of cash with a value of $3,360,840 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $2,143,985 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 4.63%, and maturity dates ranging from June 15, 2022 – February 15, 2051. The total value of collateral is $5,504,825. |
| (c) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
| (d) | Represents less than 0.05% of net assets. |
| (e) | Security fair valued as of May 31, 2022 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at May 31, 2022 amounted to $4,066, which represents approximately 0.00% of net assets of the Fund. |
| (f) | Illiquid security. |
| (g) | The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $3,360,840. |
| (h) | The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase. |
| Abbreviations |
| CVR | Contingent Value Rights - No defined expiration |
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 3,996,444 | |
| Aggregate gross unrealized depreciation | | | (119,401,200 | ) |
| Net unrealized depreciation | | $ | (115,404,756 | ) |
| Federal income tax cost | | $ | 250,388,448 | |
See accompanying notes to the financial statements.
Ultra Russell2000
Schedule of Portfolio Investments
May 31, 2022
Futures Contracts Purchased
Ultra Russell2000 had the following open long futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration
Date | | Trading
Currency | | Notional Amount | | | Value and
Unrealized
Appreciation | |
| Russell 2000 E-Mini Index | | 162 | | 6/17/2022 | | USD | | $ | 15,081,390 | | | $ | 415,747 | |
Swap Agreementsa
Ultra Russell2000 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount ($) | | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | | Reference Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | | Financial
Instruments
for the
Benefit of (the
Fund)/ the
Counterparty
($) | | | Cash
Collateral for
the Benefit of
(the Fund)/
the
Counterparty
($) | | | Net
Amounte ($) | |
| 7,595,963 | | | 5/8/2023 | | Bank of America NA | | | 1.13 | % | | Russell 2000® Index | | | (9,640,583 | ) | | | 7,892,497 | | | | 1,748,086 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 531,251 | | | 11/6/2023 | | Barclays Capital | | | 1.33 | % | | Russell 2000® Index | | | 28,364 | | | | — | | | | — | | | | 28,364 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 33,841,646 | | | 5/8/2023 | | BNP Paribas SA | | | 0.98 | % | | Russell 2000® Index | | | (7,982,438 | ) | | | — | | | | 7,982,438 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 22,279,006 | | | 4/10/2023 | | Citibank NA | | | 1.12 | % | | Russell 2000® Index | | | (10,863,855 | ) | | | 10,558,947 | | | | 304,908 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 31,901,181 | | | 3/7/2023 | | Goldman Sachs International | | | 1.23 | % | | Russell 2000® Index | | | (10,523,235 | ) | | | — | | | | 10,523,235 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 11,456,826 | | | 11/7/2022 | | Morgan Stanley & Co. International plc | | | 1.28 | % | | iShares® Russell 2000 ETF | | | (1,101,396 | ) | | | | | | | | | | | | |
| 30,350,299 | | | 11/7/2022 | | Morgan Stanley & Co. International plc | | | 1.28 | % | | Russell 2000® Index | | | (2,639,415 | ) | | | | | | | | | | | | |
| 41,807,125 | | | | | | | | | | | | | | (3,740,811 | ) | | | 1,203,667 | | | | 2,537,144 | | | | — | |
| 62,525,494 | | | 3/7/2023 | | Societe Generale | | | 1.18 | % | | Russell 2000® Index | | | (12,376,553 | ) | | | 595,094 | | | | 11,781,459 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 18,767,155 | | | 3/7/2023 | | UBS AG | | | 0.83 | % | | Russell 2000® Index | | | (9,422,916 | ) | | | 9,330,552 | | | | 92,364 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 219,248,821 | | | | | | | | | | | | | | (64,522,027 | ) | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized Appreciation | | | 28,364 | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized Depreciation | | | (64,550,391 | ) | | | | | | | | | | | | |
| a | The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815. |
| b | Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity. |
| c | Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation). |
| d | The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities. |
| e | Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default. |
| Abbreviations |
| USD | U.S. Dollar |
See accompanying notes to the financial statements.
Ultra S&P500® Schedule of Portfolio Investments May 31, 2022 |
| Investments | | Shares | | | Value ($) | |
| COMMON STOCKS(a) - 90.8% | | | | | | | | |
| | | | | | | | |
| Aerospace & Defense - 1.5% | | | | | | | | |
| Boeing Co. (The)* | | | 48,777 | | | | 6,409,298 | |
| General Dynamics Corp. | | | 20,513 | | | | 4,613,579 | |
| Howmet Aerospace, Inc. | | | 33,776 | | | | 1,208,167 | |
| Huntington Ingalls Industries, Inc. | | | 3,565 | | | | 750,290 | |
| L3Harris Technologies, Inc. | | | 17,468 | | | | 4,208,041 | |
| Lockheed Martin Corp. | | | 21,570 | | | | 9,493,173 | |
| Northrop Grumman Corp. | | | 13,059 | | | | 6,111,220 | |
| Raytheon Technologies Corp. | | | 132,822 | | | | 12,634,029 | |
| Textron, Inc. | | | 19,617 | | | | 1,280,794 | |
| TransDigm Group, Inc.* | | | 4,689 | | | | 2,838,580 | |
| | | | | | | 49,547,171 | |
| Air Freight & Logistics - 0.6% | | | | | | | | |
| CH Robinson Worldwide, Inc. | | | 11,565 | | | | 1,254,918 | |
| Expeditors International of Washington, Inc. | | | 15,082 | | | | 1,641,525 | |
| FedEx Corp. | | | 21,695 | | | | 4,872,263 | |
| United Parcel Service, Inc., Class B | | | 64,898 | | | | 11,827,661 | |
| | | | | | | 19,596,367 | |
| Airlines - 0.2% | | | | | | | | |
| Alaska Air Group, Inc.* | | | 11,206 | | | | 540,802 | |
| American Airlines Group, Inc.*(b) | | | 57,650 | | | | 1,030,206 | |
| Delta Air Lines, Inc.* | | | 56,960 | | | | 2,374,662 | |
| Southwest Airlines Co.* | | | 52,721 | | | | 2,417,785 | |
| United Airlines Holdings, Inc.* | | | 28,818 | | | | 1,372,601 | |
| | | | | | | 7,736,056 | |
| Auto Components - 0.1% | | | | | | | | |
| Aptiv plc* | | | 24,075 | | | | 2,557,728 | |
| BorgWarner, Inc. | | | 21,336 | | | | 860,268 | |
| | | | | | | 3,417,996 | |
| Automobiles - 1.9% | | | | | | | | |
| Ford Motor Co. | | | 350,073 | | | | 4,788,999 | |
| General Motors Co.* | | | 129,315 | | | | 5,001,904 | |
| Tesla, Inc.* | | | 74,507 | | | | 56,495,678 | |
| | | | | | | 66,286,581 | |
| Banks - 3.6% | | | | | | | | |
| Bank of America Corp. | | | 632,651 | | | | 23,534,617 | |
| Citigroup, Inc. | | | 176,614 | | | | 9,432,954 | |
| Citizens Financial Group, Inc. | | | 44,046 | | | | 1,822,623 | |
| Comerica, Inc. | | | 11,630 | | | | 967,732 | |
| Fifth Third Bancorp | | | 60,857 | | | | 2,399,591 | |
| First Republic Bank | | | 15,954 | | | | 2,473,349 | |
| Huntington Bancshares, Inc. | | | 127,963 | | | | 1,776,126 | |
| JPMorgan Chase & Co. | | | 263,011 | | | | 34,777,945 | |
| KeyCorp | | | 82,670 | | | | 1,650,093 | |
| M&T Bank Corp. | | | 15,949 | | | | 2,870,342 | |
| PNC Financial Services Group, Inc. (The) | | | 37,378 | | | | 6,556,475 | |
| Regions Financial Corp. | | | 83,840 | | | | 1,852,026 | |
| Signature Bank | | | 5,582 | | | | 1,207,219 | |
| SVB Financial Group* | | | 5,229 | | | | 2,554,733 | |
| Truist Financial Corp. | | | 118,802 | | | | 5,909,211 | |
| US Bancorp | | | 120,186 | | | | 6,378,271 | |
| Wells Fargo & Co. | | | 345,831 | | | | 15,828,685 | |
| Zions Bancorp NA | | | 13,495 | | | | 769,755 | |
| | | | | | | 122,761,747 | |
| Beverages - 1.5% | | | | | | | | |
| Brown-Forman Corp., Class B | | | 16,268 | | | | 1,075,640 | |
| Coca-Cola Co. (The) | | | 345,984 | | | | 21,928,466 | |
| Constellation Brands, Inc., Class A | | | 14,626 | | | | 3,590,244 | |
| Molson Coors Beverage Co., Class B | | | 16,768 | | | | 936,325 | |
| Monster Beverage Corp.* | | | 33,432 | | | | 2,979,460 | |
| PepsiCo, Inc. | | | 123,131 | | | | 20,655,226 | |
| | | | | | | 51,165,361 | |
| Biotechnology - 1.9% | | | | | | | | |
| AbbVie, Inc. | | | 157,337 | | | | 23,186,754 | |
| Amgen, Inc. | | | 50,133 | | | | 12,871,147 | |
| Biogen, Inc.* | | | 13,073 | | | | 2,614,600 | |
| Gilead Sciences, Inc. | | | 111,637 | | | | 7,239,660 | |
| Incyte Corp.* | | | 16,742 | | | | 1,270,550 | |
| Moderna, Inc.* | | | 31,392 | | | | 4,562,199 | |
| Regeneron Pharmaceuticals, Inc.* | | | 9,497 | | | | 6,313,036 | |
| Vertex Pharmaceuticals, Inc.* | | | 22,656 | | | | 6,086,534 | |
| | | | | | | 64,144,480 | |
| Building Products - 0.4% | | | | | | | | |
| A O Smith Corp. | | | 11,695 | | | | 703,103 | |
| Allegion plc | | | 7,982 | | | | 891,190 | |
| Carrier Global Corp. | | | 76,135 | | | | 2,992,867 | |
| Fortune Brands Home & Security, Inc. | | | 12,080 | | | | 837,748 | |
| Johnson Controls International plc | | | 62,529 | | | | 3,408,456 | |
| Masco Corp. | | | 21,349 | | | | 1,210,275 | |
| Trane Technologies plc | | | 20,784 | | | | 2,869,439 | |
| | | | | | | 12,913,078 | |
| Capital Markets - 2.6% | | | | | | | | |
| Ameriprise Financial, Inc. | | | 9,869 | | | | 2,726,509 | |
| Bank of New York Mellon Corp. (The) | | | 65,846 | | | | 3,069,082 | |
| BlackRock, Inc. | | | 12,694 | | | | 8,493,301 | |
| Cboe Global Markets, Inc. | | | 9,491 | | | | 1,065,934 | |
| Charles Schwab Corp. (The) | | | 133,804 | | | | 9,379,660 | |
| CME Group, Inc. | | | 31,990 | | | | 6,360,572 | |
| FactSet Research Systems, Inc. | | | 3,363 | | | | 1,283,926 | |
| Franklin Resources, Inc. | | | 25,022 | | | | 677,596 | |
| Goldman Sachs Group, Inc. (The) | | | 30,210 | | | | 9,874,138 | |
| Intercontinental Exchange, Inc. | | | 50,007 | | | | 5,120,217 | |
| Invesco Ltd. | | | 30,373 | | | | 587,414 | |
| MarketAxess Holdings, Inc. | | | 3,383 | | | | 952,923 | |
| Moody's Corp. | | | 14,394 | | | | 4,340,799 | |
| Morgan Stanley | | | 126,163 | | | | 10,867,681 | |
| MSCI, Inc. | | | 7,233 | | | | 3,199,518 | |
| Nasdaq, Inc. | | | 10,417 | | | | 1,617,343 | |
| Northern Trust Corp. | | | 18,490 | | | | 2,066,257 | |
| Raymond James Financial, Inc. | | | 16,628 | | | | 1,637,692 | |
| S&P Global, Inc. | | | 31,523 | | | | 11,016,658 | |
| State Street Corp. | | | 32,571 | | | | 2,361,072 | |
| T. Rowe Price Group, Inc. | | | 20,398 | | | | 2,592,382 | |
| | | | | | | 89,290,674 | |
| Chemicals - 1.7% | | | | | | | | |
| Air Products and Chemicals, Inc. | | | 19,732 | | | | 4,857,229 | |
| Albemarle Corp. | | | 10,410 | | | | 2,710,972 | |
| Celanese Corp. | | | 9,614 | | | | 1,504,783 | |
| CF Industries Holdings, Inc. | | | 19,087 | | | | 1,885,223 | |
| Corteva, Inc. | | | 64,707 | | | | 4,051,952 | |
| Dow, Inc. | | | 65,483 | | | | 4,451,534 | |
| DuPont de Nemours, Inc. | | | 45,643 | | | | 3,096,878 | |
| Eastman Chemical Co. | | | 11,485 | | | | 1,265,188 | |
| Ecolab, Inc. | | | 22,193 | | | | 3,637,655 | |
| FMC Corp. | | | 11,281 | | | | 1,382,825 | |
| International Flavors & Fragrances, Inc. | | | 22,653 | | | | 2,994,047 | |
| Linde plc | | | 45,612 | | | | 14,809,304 | |
See accompanying notes to the financial statements.
Ultra S&P500® Schedule of Portfolio Investments May 31, 2022 |
| Investments | | Shares | | | Value ($) | |
| LyondellBasell Industries NV, Class A | | | 23,402 | | | | 2,673,678 | |
| Mosaic Co. (The) | | | 32,966 | | | | 2,065,320 | |
| PPG Industries, Inc. | | | 21,133 | | | | 2,673,113 | |
| Sherwin-Williams Co. (The) | | | 21,467 | | | | 5,754,015 | |
| | | | | | | 59,813,716 | |
| Commercial Services & Supplies - 0.4% | | | | | | | | |
| Cintas Corp. | | | 7,852 | | | | 3,127,687 | |
| Copart, Inc.* | | | 18,998 | | | | 2,175,841 | |
| Republic Services, Inc. | | | 18,586 | | | | 2,487,550 | |
| Rollins, Inc. | | | 20,141 | | | | 714,200 | |
| Waste Management, Inc. | | | 34,255 | | | | 5,429,760 | |
| | | | | | | 13,935,038 | |
| Communications Equipment - 0.7% | | | | | | | | |
| Arista Networks, Inc.* | | | 19,968 | | | | 2,042,327 | |
| Cisco Systems, Inc. | | | 375,364 | | | | 16,910,148 | |
| F5, Inc.* | | | 5,410 | | | | 882,046 | |
| Juniper Networks, Inc. | | | 28,941 | | | | 887,910 | |
| Motorola Solutions, Inc. | | | 15,035 | | | | 3,303,791 | |
| | | | | | | 24,026,222 | |
| Construction & Engineering - 0.0%(c) | | | | | | | | |
| Quanta Services, Inc. | | | 12,686 | | | | 1,509,634 | |
| | | | | | | | |
| Construction Materials - 0.1% | | | | | | | | |
| Martin Marietta Materials, Inc. | | | 5,552 | | | | 1,884,238 | |
| Vulcan Materials Co. | | | 11,810 | | | | 1,947,115 | |
| | | | | | | 3,831,353 | |
| Consumer Finance - 0.5% | | | | | | | | |
| American Express Co. | | | 54,744 | | | | 9,241,882 | |
| Capital One Financial Corp. | | | 36,840 | | | | 4,710,363 | |
| Discover Financial Services | | | 25,631 | | | | 2,908,862 | |
| Synchrony Financial | | | 46,396 | | | | 1,718,508 | |
| | | | | | | 18,579,615 | |
| Containers & Packaging - 0.3% | | | | | | | | |
| Amcor plc | | | 134,718 | | | | 1,764,806 | |
| Avery Dennison Corp. | | | 7,368 | | | | 1,271,422 | |
| Ball Corp. | | | 28,825 | | | | 2,043,404 | |
| International Paper Co. | | | 34,470 | | | | 1,670,072 | |
| Packaging Corp. of America | | | 8,455 | | | | 1,329,802 | |
| Sealed Air Corp. | | | 13,186 | | | | 819,905 | |
| WestRock Co. | | | 23,430 | | | | 1,136,121 | |
| | | | | | | 10,035,532 | |
| Distributors - 0.1% | | | | | | | | |
| Genuine Parts Co. | | | 12,679 | | | | 1,733,600 | |
| LKQ Corp. | | | 23,867 | | | | 1,226,525 | |
| Pool Corp. | | | 3,567 | | | | 1,421,877 | |
| | | | | | | 4,382,002 | |
| Diversified Financial Services - 1.5% | | | | | | | | |
| Berkshire Hathaway, Inc., Class B* | | | 162,992 | | | | 51,502,212 | |
| | | | | | | | |
| Diversified Telecommunication Services - 1.0% | | | | | | | | |
| AT&T, Inc. | | | 635,551 | | | | 13,530,881 | |
| Lumen Technologies, Inc.(b) | | | 82,007 | | | | 1,003,766 | |
| Verizon Communications, Inc. | | | 373,619 | | | | 19,162,918 | |
| | | | | | | 33,697,565 | |
| Electric Utilities - 1.7% | | | | | | | | |
| Alliant Energy Corp. | | | 22,285 | | | | 1,422,229 | |
| American Electric Power Co., Inc. | | | 44,824 | | | | 4,573,393 | |
| Constellation Energy Corp. | | | 29,058 | | | | 1,803,920 | |
| Duke Energy Corp. | | | 68,463 | | | | 7,703,457 | |
| Edison International | | | 33,811 | | | | 2,363,727 | |
| Entergy Corp. | | | 17,887 | | | | 2,152,164 | |
| Evergy, Inc. | | | 20,407 | | | | 1,427,265 | |
| Eversource Energy | | | 30,602 | | | | 2,825,176 | |
| Exelon Corp. | | | 87,173 | | | | 4,284,553 | |
| FirstEnergy Corp. | | | 50,745 | | | | 2,180,005 | |
| NextEra Energy, Inc. | | | 174,629 | | | | 13,217,669 | |
| NRG Energy, Inc. | | | 21,791 | | | | 1,003,258 | |
| Pinnacle West Capital Corp. | | | 10,041 | | | | 779,684 | |
| PPL Corp. | | | 66,816 | | | | 2,016,507 | |
| Southern Co. (The) | | | 94,320 | | | | 7,136,251 | |
| Xcel Energy, Inc. | | | 47,946 | | | | 3,612,252 | |
| | | | | | | 58,501,510 | |
| Electrical Equipment - 0.5% | | | | | | | | |
| AMETEK, Inc. | | | 20,587 | | | | 2,500,703 | |
| Eaton Corp. plc | | | 35,479 | | | | 4,917,389 | |
| Emerson Electric Co. | | | 52,861 | | | | 4,686,656 | |
| Generac Holdings, Inc.* | | | 5,614 | | | | 1,387,107 | |
| Rockwell Automation, Inc. | | | 10,338 | | | | 2,204,062 | |
| | | | | | | 15,695,917 | |
| Electronic Equipment, Instruments & Components - 0.6% | | | | | | | | |
| Amphenol Corp., Class A | | | 53,304 | | | | 3,777,122 | |
| CDW Corp. | | | 12,079 | | | | 2,051,739 | |
| Corning, Inc. | | | 66,478 | | | | 2,381,242 | |
| IPG Photonics Corp.* | | | 3,178 | | | | 335,247 | |
| Keysight Technologies, Inc.* | | | 16,294 | | | | 2,372,406 | |
| TE Connectivity Ltd. | | | 28,975 | | | | 3,749,075 | |
| Teledyne Technologies, Inc.* | | | 4,153 | | | | 1,682,588 | |
| Trimble, Inc.* | | | 22,343 | | | | 1,520,441 | |
| Zebra Technologies Corp., Class A* | | | 4,724 | | | | 1,597,610 | |
| | | | | | | 19,467,470 | |
| Energy Equipment & Services - 0.3% | | | | | | | | |
| Baker Hughes Co. | | | 80,607 | | | | 2,900,240 | |
| Halliburton Co. | | | 79,974 | | | | 3,238,947 | |
| Schlumberger NV | | | 124,898 | | | | 5,740,312 | |
| | | | | | | 11,879,499 | |
| Entertainment - 1.2% | | | | | | | | |
| Activision Blizzard, Inc. | | | 69,338 | | | | 5,400,043 | |
| Electronic Arts, Inc. | | | 25,024 | | | | 3,469,578 | |
| Live Nation Entertainment, Inc.*(b) | | | 12,022 | | | | 1,142,691 | |
| Netflix, Inc.* | | | 39,507 | | | | 7,800,262 | |
| Take-Two Interactive Software, Inc.* | | | 14,071 | | | | 1,752,262 | |
| Walt Disney Co. (The)* | | | 162,039 | | | | 17,895,587 | |
| Warner Bros Discovery, Inc.* | | | 196,813 | | | | 3,631,200 | |
| | | | | | | 41,091,623 | |
| Equity Real Estate Investment Trusts (REITs) - 2.4% | | | | | | | | |
| Alexandria Real Estate Equities, Inc. | | | 12,953 | | | | 2,149,550 | |
| American Tower Corp. | | | 40,535 | | | | 10,382,230 | |
| AvalonBay Communities, Inc. | | | 12,438 | | | | 2,586,606 | |
| Boston Properties, Inc. | | | 12,655 | | | | 1,406,983 | |
| Camden Property Trust | | | 9,100 | | | | 1,305,759 | |
| Crown Castle International Corp. | | | 38,465 | | | | 7,294,887 | |
| Digital Realty Trust, Inc. | | | 25,256 | | | | 3,525,485 | |
| Duke Realty Corp. | | | 33,895 | | | | 1,790,673 | |
| Equinix, Inc. | | | 8,013 | | | | 5,505,652 | |
| Equity Residential | | | 30,413 | | | | 2,336,631 | |
| Essex Property Trust, Inc. | | | 5,807 | | | | 1,648,317 | |
| Extra Space Storage, Inc. | | | 11,915 | | | | 2,123,253 | |
| Federal Realty Investment Trust(b) | | | 6,297 | | | | 723,966 | |
| Healthpeak Properties, Inc. | | | 47,992 | | | | 1,424,883 | |
| Host Hotels & Resorts, Inc. | | | 63,551 | | | | 1,270,385 | |
| Iron Mountain, Inc. | | | 25,769 | | | | 1,388,949 | |
| Kimco Realty Corp. | | | 54,885 | | | | 1,298,030 | |
See accompanying notes to the financial statements.
Ultra S&P500® Schedule of Portfolio Investments May 31, 2022 |
| Investments | | Shares | | | Value ($) | |
| Mid-America Apartment Communities, Inc.(b) | | | 10,269 | | | | 1,858,689 | |
| Prologis, Inc. | | | 65,862 | | | | 8,396,088 | |
| Public Storage | | | 13,577 | | | | 4,489,099 | |
| Realty Income Corp. | | | 50,355 | | | | 3,435,218 | |
| Regency Centers Corp. | | | 13,714 | | | | 935,432 | |
| SBA Communications Corp. | | | 9,681 | | | | 3,258,721 | |
| Simon Property Group, Inc. | | | 29,246 | | | | 3,353,054 | |
| UDR, Inc. | | | 26,616 | | | | 1,272,245 | |
| Ventas, Inc. | | | 35,530 | | | | 2,015,972 | |
| Vornado Realty Trust | | | 14,150 | | | | 494,684 | |
| Welltower, Inc. | | | 38,738 | | | | 3,451,168 | |
| Weyerhaeuser Co. | | | 66,505 | | | | 2,628,278 | |
| | | | | | | 83,750,887 | |
| Food & Staples Retailing - 1.3% | | | | | | | | |
| Costco Wholesale Corp. | | | 39,461 | | | | 18,397,507 | |
| Kroger Co. (The) | | | 59,550 | | | | 3,154,364 | |
| Sysco Corp. | | | 45,165 | | | | 3,801,990 | |
| Walgreens Boots Alliance, Inc. | | | 63,765 | | | | 2,794,820 | |
| Walmart, Inc. | | | 125,902 | | | | 16,194,774 | |
| | | | | | | 44,343,455 | |
| Food Products - 1.0% | | | | | | | | |
| Archer-Daniels-Midland Co. | | | 49,802 | | | | 4,523,018 | |
| Campbell Soup Co. | | | 17,992 | | | | 861,997 | |
| Conagra Brands, Inc. | | | 42,696 | | | | 1,404,271 | |
| General Mills, Inc. | | | 53,688 | | | | 3,750,107 | |
| Hershey Co. (The) | | | 12,938 | | | | 2,739,104 | |
| Hormel Foods Corp. | | | 25,110 | | | | 1,222,104 | |
| J M Smucker Co. (The) | | | 9,644 | | | | 1,209,068 | |
| Kellogg Co. | | | 22,768 | | | | 1,587,840 | |
| Kraft Heinz Co. (The) | | | 63,188 | | | | 2,390,402 | |
| Lamb Weston Holdings, Inc. | | | 12,922 | | | | 873,269 | |
| McCormick & Co., Inc. (Non-Voting) | | | 22,230 | | | | 2,061,166 | |
| Mondelez International, Inc., Class A | | | 123,557 | | | | 7,853,283 | |
| Tyson Foods, Inc., Class A | | | 26,032 | | | | 2,332,727 | |
| | | | | | | 32,808,356 | |
| Gas Utilities - 0.0%(c) | | | | | | | | |
| Atmos Energy Corp. | | | 12,053 | | | | 1,401,884 | |
| | | | | | | | |
| Health Care Equipment & Supplies - 2.5% | | | | | | | | |
| Abbott Laboratories | | | 157,372 | | | | 18,484,915 | |
| ABIOMED, Inc.* | | | 4,051 | | | | 1,068,249 | |
| Align Technology, Inc.* | | | 6,527 | | | | 1,812,156 | |
| Baxter International, Inc. | | | 44,556 | | | | 3,388,484 | |
| Becton Dickinson and Co. | | | 25,343 | | | | 6,482,739 | |
| Boston Scientific Corp.* | | | 126,829 | | | | 5,201,257 | |
| Cooper Cos., Inc. (The)(b) | | | 4,386 | | | | 1,538,346 | |
| DENTSPLY SIRONA, Inc. | | | 19,455 | | | | 769,640 | |
| Dexcom, Inc.* | | | 8,625 | | | | 2,569,732 | |
| Edwards Lifesciences Corp.* | | | 55,563 | | | | 5,603,529 | |
| Hologic, Inc.* | | | 22,252 | | | | 1,674,908 | |
| IDEXX Laboratories, Inc.* | | | 7,546 | | | | 2,955,165 | |
| Intuitive Surgical, Inc.* | | | 31,843 | | | | 7,248,741 | |
| Medtronic plc | | | 119,662 | | | | 11,984,149 | |
| ResMed, Inc. | | | 13,015 | | | | 2,648,032 | |
| STERIS plc | | | 8,912 | | | | 2,033,718 | |
| Stryker Corp. | | | 29,877 | | | | 7,006,156 | |
| Teleflex, Inc. | | | 4,170 | | | | 1,199,876 | |
| Zimmer Biomet Holdings, Inc. | | | 18,596 | | | | 2,235,425 | |
| | | | | | | 85,905,217 | |
| Health Care Providers & Services - 2.9% | | | | | | | | |
| AmerisourceBergen Corp. | | | 13,401 | | | | 2,074,341 | |
| Anthem, Inc. | | | 21,600 | | | | 11,007,576 | |
| Cardinal Health, Inc. | | | 24,663 | | | | 1,389,020 | |
| Centene Corp.* | | | 51,930 | | | | 4,229,179 | |
| Cigna Corp. | | | 28,741 | | | | 7,710,923 | |
| CVS Health Corp. | | | 116,814 | | | | 11,301,755 | |
| DaVita, Inc.* | | | 5,481 | | | | 534,343 | |
| HCA Healthcare, Inc. | | | 21,310 | | | | 4,483,624 | |
| Henry Schein, Inc.* | | | 12,341 | | | | 1,056,883 | |
| Humana, Inc. | | | 11,443 | | | | 5,197,754 | |
| Laboratory Corp. of America Holdings | | | 8,286 | | | | 2,044,322 | |
| McKesson Corp. | | | 13,332 | | | | 4,382,095 | |
| Molina Healthcare, Inc.* | | | 5,197 | | | | 1,508,273 | |
| Quest Diagnostics, Inc. | | | 10,591 | | | | 1,493,543 | |
| UnitedHealth Group, Inc. | | | 83,826 | | | | 41,643,080 | |
| Universal Health Services, Inc., Class B | | | 6,507 | | | | 810,837 | |
| | | | | | | 100,867,548 | |
| Health Care Technology - 0.1% | | | | | | | | |
| Cerner Corp. | | | 26,182 | | | | 2,483,363 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure - 1.7% | | | | | | | | |
| Booking Holdings, Inc.* | | | 3,655 | | | | 8,200,212 | |
| Caesars Entertainment, Inc.* | | | 19,024 | | | | 954,434 | |
| Carnival Corp.*(b) | | | 71,986 | | | | 999,166 | |
| Chipotle Mexican Grill, Inc.* | | | 2,504 | | | | 3,511,985 | |
| Darden Restaurants, Inc. | | | 11,367 | | | | 1,420,875 | |
| Domino's Pizza, Inc. | | | 3,238 | | | | 1,175,944 | |
| Expedia Group, Inc.* | | | 13,369 | | | | 1,729,013 | |
| Hilton Worldwide Holdings, Inc. | | | 24,810 | | | | 3,494,737 | |
| Las Vegas Sands Corp.* | | | 30,601 | | | | 1,085,111 | |
| Marriott International, Inc., Class A | | | 24,347 | | | | 4,177,458 | |
| McDonald's Corp. | | | 66,499 | | | | 16,771,713 | |
| MGM Resorts International | | | 33,518 | | | | 1,172,124 | |
| Norwegian Cruise Line Holdings Ltd.*(b) | | | 37,098 | | | | 593,939 | |
| Penn National Gaming, Inc.* | | | 14,786 | | | | 472,561 | |
| Royal Caribbean Cruises Ltd.* | | | 19,961 | | | | 1,159,135 | |
| Starbucks Corp. | | | 102,378 | | | | 8,036,673 | |
| Wynn Resorts Ltd.* | | | 9,366 | | | | 619,093 | |
| Yum! Brands, Inc. | | | 25,720 | | | | 3,124,208 | |
| | | | | | | 58,698,381 | |
| Household Durables - 0.3% | | | | | | | | |
| DR Horton, Inc. | | | 28,698 | | | | 2,156,655 | |
| Garmin Ltd. | | | 13,522 | | | | 1,428,194 | |
| Lennar Corp., Class A | | | 23,262 | | | | 1,866,775 | |
| Mohawk Industries, Inc.* | | | 4,882 | | | | 690,608 | |
| Newell Brands, Inc. | | | 33,694 | | | | 722,399 | |
| NVR, Inc.* | | | 292 | | | | 1,299,581 | |
| PulteGroup, Inc. | | | 22,129 | | | | 1,001,559 | |
| Whirlpool Corp. | | | 5,251 | | | | 967,444 | |
| | | | | | | 10,133,215 | |
| Household Products - 1.3% | | | | | | | | |
| Church & Dwight Co., Inc. | | | 21,537 | | | | 1,939,622 | |
| Clorox Co. (The) | | | 10,953 | | | | 1,592,128 | |
| Colgate-Palmolive Co. | | | 75,012 | | | | 5,911,696 | |
| Kimberly-Clark Corp. | | | 29,974 | | | | 3,987,141 | |
| Procter & Gamble Co. (The) | | | 213,337 | | | | 31,548,276 | |
| | | | | | | 44,978,863 | |
See accompanying notes to the financial statements.
Ultra S&P500® Schedule of Portfolio Investments May 31, 2022 |
| Investments | | Shares | | | Value ($) | |
| Independent Power and Renewable Electricity Producers - 0.0%(c) | | | | | | | | |
| AES Corp. (The) | | | 59,336 | | | | 1,307,765 | |
| | | | | | | | |
| Industrial Conglomerates - 0.8% | | | | | | | | |
| 3M Co. | | | 50,826 | | | | 7,587,814 | |
| General Electric Co. | | | 97,837 | | | | 7,659,659 | |
| Honeywell International, Inc. | | | 61,041 | | | | 11,818,758 | |
| | | | | | | 27,066,231 | |
| Insurance - 2.0% | | | | | | | | |
| Aflac, Inc. | | | 53,399 | | | | 3,234,377 | |
| Allstate Corp. (The) | | | 24,969 | | | | 3,413,013 | |
| American International Group, Inc. | | | 73,898 | | | | 4,336,335 | |
| Aon plc, Class A | | | 19,117 | | | | 5,269,983 | |
| Arthur J Gallagher & Co. | | | 18,551 | | | | 3,004,149 | |
| Assurant, Inc. | | | 5,070 | | | | 895,818 | |
| Brown & Brown, Inc. | | | 20,867 | | | | 1,238,874 | |
| Chubb Ltd. | | | 38,331 | | | | 8,098,957 | |
| Cincinnati Financial Corp. | | | 13,337 | | | | 1,705,269 | |
| Everest Re Group Ltd. | | | 3,504 | | | | 989,880 | |
| Globe Life, Inc. | | | 8,268 | | | | 806,709 | |
| Hartford Financial Services Group, Inc. (The) | | | 29,801 | | | | 2,160,870 | |
| Lincoln National Corp. | | | 14,824 | | | | 858,754 | |
| Loews Corp. | | | 17,455 | | | | 1,143,128 | |
| Marsh & McLennan Cos., Inc. | | | 44,935 | | | | 7,187,353 | |
| MetLife, Inc. | | | 62,451 | | | | 4,208,573 | |
| Principal Financial Group, Inc. | | | 21,621 | | | | 1,576,820 | |
| Progressive Corp. (The) | | | 52,010 | | | | 6,208,954 | |
| Prudential Financial, Inc. | | | 33,640 | | | | 3,574,250 | |
| Travelers Cos., Inc. (The) | | | 21,465 | | | | 3,843,094 | |
| W R Berkley Corp. | | | 18,648 | | | | 1,326,432 | |
| Willis Towers Watson plc | | | 10,862 | | | | 2,292,642 | |
| | | | | | | 67,374,234 | |
| Interactive Media & Services - 4.7% | | | | | | | | |
| Alphabet, Inc., Class A* | | | 26,766 | | | | 60,899,074 | |
| Alphabet, Inc., Class C* | | | 24,724 | | | | 56,390,005 | |
| Match Group, Inc.* | | | 25,193 | | | | 1,984,704 | |
| Meta Platforms, Inc., Class A* | | | 205,506 | | | | 39,794,182 | |
| Twitter, Inc.* | | | 71,159 | | | | 2,817,896 | |
| | | | | | | 161,885,861 | |
| Internet & Direct Marketing Retail - 2.8% | | | | | | | | |
| Amazon.com, Inc.* | | | 38,945 | | | | 93,631,179 | |
| eBay, Inc. | | | 55,713 | | | | 2,711,552 | |
| Etsy, Inc.* | | | 11,283 | | | | 915,277 | |
| | | | | | | 97,258,008 | |
| IT Services - 4.0% | | | | | | | | |
| Accenture plc, Class A | | | 56,250 | | | | 16,788,375 | |
| Akamai Technologies, Inc.*(b) | | | 14,461 | | | | 1,461,139 | |
| Automatic Data Processing, Inc. | | | 37,382 | | | | 8,333,943 | |
| Broadridge Financial Solutions, Inc. | | | 10,392 | | | | 1,519,518 | |
| Cognizant Technology Solutions Corp., Class A | | | 46,742 | | | | 3,491,627 | |
| DXC Technology Co.* | | | 21,757 | | | | 766,282 | |
| EPAM Systems, Inc.* | | | 5,048 | | | | 1,708,849 | |
| Fidelity National Information Services, Inc. | | | 54,191 | | | | 5,662,960 | |
| Fiserv, Inc.* | | | 52,879 | | | | 5,297,418 | |
| FleetCor Technologies, Inc.* | | | 7,227 | | | | 1,798,150 | |
| Gartner, Inc.* | | | 7,318 | | | | 1,920,243 | |
| Global Payments, Inc. | | | 25,342 | | | | 3,320,816 | |
| International Business Machines Corp. | | | 79,814 | | | | 11,081,376 | |
| Jack Henry & Associates, Inc. | | | 6,481 | | | | 1,219,206 | |
| Mastercard, Inc., Class A | | | 76,814 | | | | 27,489,426 | |
| Paychex, Inc. | | | 28,571 | | | | 3,537,947 | |
| PayPal Holdings, Inc.* | | | 103,687 | | | | 8,835,169 | |
| VeriSign, Inc.* | | | 8,600 | | | | 1,501,130 | |
| Visa, Inc., Class A | | | 147,596 | | | | 31,315,443 | |
| | | | | | | 137,049,017 | |
| Leisure Products - 0.0%(c) | | | | | | | | |
| Hasbro, Inc. | | | 11,536 | | | | 1,035,356 | |
| | | | | | | | |
| Life Sciences Tools & Services - 1.7% | | | | | | | | |
| Agilent Technologies, Inc. | | | 26,732 | | | | 3,409,934 | |
| Bio-Rad Laboratories, Inc., Class A* | | | 1,922 | | | | 1,033,632 | |
| Bio-Techne Corp. | | | 3,497 | | | | 1,292,946 | |
| Charles River Laboratories International, Inc.* | | | 4,491 | | | | 1,051,253 | |
| Danaher Corp. | | | 56,629 | | | | 14,939,863 | |
| Illumina, Inc.* | | | 13,915 | | | | 3,332,364 | |
| IQVIA Holdings, Inc.* | | | 17,003 | | | | 3,659,896 | |
| Mettler-Toledo International, Inc.* | | | 2,046 | | | | 2,631,402 | |
| PerkinElmer, Inc. | | | 11,232 | | | | 1,681,093 | |
| Thermo Fisher Scientific, Inc. | | | 35,069 | | | | 19,904,112 | |
| Waters Corp.* | | | 5,436 | | | | 1,782,736 | |
| West Pharmaceutical Services, Inc. | | | 6,594 | | | | 2,046,646 | |
| | | | | | | 56,765,877 | |
| Machinery - 1.5% | | | | | | | | |
| Caterpillar, Inc. | | | 48,138 | | | | 10,390,587 | |
| Cummins, Inc. | | | 12,680 | | | | 2,651,642 | |
| Deere & Co. | | | 24,956 | | | | 8,928,758 | |
| Dover Corp. | | | 12,811 | | | | 1,715,521 | |
| Fortive Corp. | | | 31,916 | | | | 1,971,451 | |
| IDEX Corp. | | | 6,766 | | | | 1,296,027 | |
| Illinois Tool Works, Inc. | | | 25,420 | | | | 5,289,139 | |
| Ingersoll Rand, Inc. | | | 36,274 | | | | 1,710,319 | |
| Nordson Corp. | | | 4,816 | | | | 1,049,310 | |
| Otis Worldwide Corp. | | | 37,824 | | | | 2,814,106 | |
| PACCAR, Inc. | | | 30,914 | | | | 2,684,572 | |
| Parker-Hannifin Corp. | | | 11,438 | | | | 3,113,081 | |
| Pentair plc | | | 14,727 | | | | 738,854 | |
| Snap-on, Inc. | | | 4,756 | | | | 1,055,261 | |
| Stanley Black & Decker, Inc. | | | 14,510 | | | | 1,722,192 | |
| Westinghouse Air Brake Technologies Corp. | | | 16,627 | | | | 1,570,586 | |
| Xylem, Inc. | | | 16,048 | | | | 1,352,044 | |
| | | | | | | 50,053,450 | |
| Media - 0.9% | | | | | | | | |
| Charter Communications, Inc., Class A* | | | 10,607 | | | | 5,377,007 | |
| Comcast Corp., Class A | | | 402,613 | | | | 17,827,704 | |
| DISH Network Corp., Class A*(b) | | | 22,227 | | | | 507,442 | |
| Fox Corp., Class A | | | 28,106 | | | | 998,044 | |
| Fox Corp., Class B | | | 12,975 | | | | 424,412 | |
| Interpublic Group of Cos., Inc. (The) | | | 35,031 | | | | 1,129,049 | |
| News Corp., Class A | | | 34,783 | | | | 605,224 | |
| News Corp., Class B | | | 10,776 | | | | 189,442 | |
| Omnicom Group, Inc. | | | 18,603 | | | | 1,387,970 | |
| Paramount Global, Class B | | | 53,999 | | | | 1,853,786 | |
| | | | | | | 30,300,080 | |
| Metals & Mining - 0.4% | | | | | | | | |
| Freeport-McMoRan, Inc. | | | 130,653 | | | | 5,105,920 | |
| Newmont Corp. | | | 70,973 | | | | 4,815,518 | |
See accompanying notes to the financial statements.
Ultra S&P500® Schedule of Portfolio Investments May 31, 2022 |
| Investments | | Shares | | | Value ($) | |
| Nucor Corp. | | | 24,207 | | | | 3,206,459 | |
| | | | | | | 13,127,897 | |
| Multiline Retail - 0.4% | | | | | | | | |
| Dollar General Corp. | | | 20,621 | | | | 4,543,631 | |
| Dollar Tree, Inc.* | | | 20,025 | | | | 3,210,608 | |
| Target Corp. | | | 42,645 | | | | 6,903,373 | |
| | | | | | | 14,657,612 | |
| Multi-Utilities - 0.9% | | | | | | | | |
| Ameren Corp. | | | 22,926 | | | | 2,182,326 | |
| CenterPoint Energy, Inc. | | | 55,972 | | | | 1,793,903 | |
| CMS Energy Corp. | | | 25,792 | | | | 1,832,264 | |
| Consolidated Edison, Inc. | | | 31,482 | | | | 3,124,903 | |
| Dominion Energy, Inc. | | | 72,092 | | | | 6,071,588 | |
| DTE Energy Co. | | | 17,243 | | | | 2,288,319 | |
| NiSource, Inc. | | | 34,950 | | | | 1,099,177 | |
| Public Service Enterprise Group, Inc. | | | 45,007 | | | | 3,084,780 | |
| Sempra Energy | | | 28,425 | | | | 4,657,720 | |
| WEC Energy Group, Inc. | | | 28,073 | | | | 2,949,630 | |
| | | | | | | 29,084,610 | |
| Oil, Gas & Consumable Fuels - 4.0% | | | | | | | | |
| APA Corp. | | | 32,327 | | | | 1,519,692 | |
| Chevron Corp. | | | 171,566 | | | | 29,965,718 | |
| ConocoPhillips | | | 115,903 | | | | 13,022,861 | |
| Coterra Energy, Inc.(b) | | | 72,402 | | | | 2,485,561 | |
| Devon Energy Corp. | | | 56,038 | | | | 4,197,246 | |
| Diamondback Energy, Inc. | | | 15,161 | | | | 2,304,775 | |
| EOG Resources, Inc. | | | 52,071 | | | | 7,131,644 | |
| Exxon Mobil Corp. | | | 376,788 | | | | 36,171,648 | |
| Hess Corp. | | | 24,532 | | | | 3,019,153 | |
| Kinder Morgan, Inc. | | | 173,553 | | | | 3,417,259 | |
| Marathon Oil Corp. | | | 69,292 | | | | 2,177,848 | |
| Marathon Petroleum Corp. | | | 51,534 | | | | 5,245,646 | |
| Occidental Petroleum Corp.(b) | | | 78,969 | | | | 5,473,341 | |
| ONEOK, Inc. | | | 39,686 | | | | 2,613,323 | |
| Phillips 66 | | | 41,642 | | | | 4,197,930 | |
| Pioneer Natural Resources Co. | | | 20,206 | | | | 5,616,056 | |
| Valero Energy Corp. | | | 36,385 | | | | 4,715,496 | |
| Williams Cos., Inc. (The) | | | 108,138 | | | | 4,007,594 | |
| | | | | | | 137,282,791 | |
| Personal Products - 0.2% | | | | | | | | |
| Estee Lauder Cos., Inc. (The), Class A | | | 20,685 | | | | 5,267,435 | |
| | | | | | | | |
| Pharmaceuticals - 4.0% | | | | | | | | |
| Bristol-Myers Squibb Co. | | | 193,993 | | | | 14,636,772 | |
| Catalent, Inc.* | | | 15,941 | | | | 1,642,879 | |
| Eli Lilly & Co. | | | 70,665 | | | | 22,149,238 | |
| Johnson & Johnson | | | 234,298 | | | | 42,063,520 | |
| Merck & Co., Inc. | | | 224,807 | | | | 20,688,988 | |
| Organon & Co. | | | 22,561 | | | | 856,415 | |
| Pfizer, Inc. | | | 499,546 | | | | 26,495,920 | |
| Viatris, Inc. | | | 107,633 | | | | 1,320,657 | |
| Zoetis, Inc. | | | 42,103 | | | | 7,196,666 | |
| | | | | | | 137,051,055 | |
| Professional Services - 0.3% | | | | | | | | |
| Equifax, Inc. | | | 10,857 | | | | 2,199,411 | |
| Jacobs Engineering Group, Inc. | | | 11,504 | | | | 1,611,595 | |
| Leidos Holdings, Inc. | | | 12,490 | | | | 1,305,205 | |
| Nielsen Holdings plc | | | 31,937 | | | | 816,310 | |
| Robert Half International, Inc. | | | 9,744 | | | | 878,422 | |
| Verisk Analytics, Inc. | | | 14,343 | | | | 2,508,877 | |
| | | | | | | 9,319,820 | |
| Real Estate Management & Development - 0.1% | | | | | | | | |
| CBRE Group, Inc., Class A* | | | 29,781 | | | | 2,467,058 | |
| | | | | | | | |
| Road & Rail - 0.8% | | | | | | | | |
| CSX Corp. | | | 197,399 | | | | 6,275,314 | |
| JB Hunt Transport Services, Inc. | | | 7,477 | | | | 1,290,381 | |
| Norfolk Southern Corp. | | | 21,336 | | | | 5,113,386 | |
| Old Dominion Freight Line, Inc. | | | 8,291 | | | | 2,141,068 | |
| Union Pacific Corp. | | | 56,679 | | | | 12,456,910 | |
| | | | | | | 27,277,059 | |
| Semiconductors & Semiconductor Equipment - 5.1% | | | | | | | | |
| Advanced Micro Devices, Inc.* | | | 145,495 | | | | 14,820,071 | |
| Analog Devices, Inc. | | | 46,750 | | | | 7,872,700 | |
| Applied Materials, Inc. | | | 79,032 | | | | 9,269,663 | |
| Broadcom, Inc. | | | 36,749 | | | | 21,319,197 | |
| Enphase Energy, Inc.* | | | 11,919 | | | | 2,219,199 | |
| Intel Corp. | | | 362,409 | | | | 16,098,208 | |
| KLA Corp. | | | 13,414 | | | | 4,894,098 | |
| Lam Research Corp. | | | 12,416 | | | | 6,456,692 | |
| Microchip Technology, Inc. | | | 49,481 | | | | 3,594,795 | |
| Micron Technology, Inc. | | | 99,661 | | | | 7,358,968 | |
| Monolithic Power Systems, Inc. | | | 3,857 | | | | 1,737,154 | |
| NVIDIA Corp. | | | 222,502 | | | | 41,545,573 | |
| NXP Semiconductors NV | | | 23,672 | | | | 4,491,999 | |
| Qorvo, Inc.* | | | 9,650 | | | | 1,078,387 | |
| QUALCOMM, Inc. | | | 100,300 | | | | 14,364,966 | |
| Skyworks Solutions, Inc. | | | 14,596 | | | | 1,589,067 | |
| SolarEdge Technologies, Inc.* | | | 4,674 | | | | 1,275,020 | |
| Teradyne, Inc.(b) | | | 14,507 | | | | 1,585,035 | |
| Texas Instruments, Inc. | | | 82,193 | | | | 14,528,435 | |
| | | | | | | 176,099,227 | |
| Software - 7.9% | | | | | | | | |
| Adobe, Inc.* | | | 41,976 | | | | 17,482,164 | |
| ANSYS, Inc.* | | | 7,766 | | | | 2,021,956 | |
| Autodesk, Inc.* | | | 19,577 | | | | 4,067,122 | |
| Cadence Design Systems, Inc.* | | | 24,670 | | | | 3,792,519 | |
| Ceridian HCM Holding, Inc.*(b) | | | 12,175 | | | | 685,452 | |
| Citrix Systems, Inc. | | | 11,100 | | | | 1,117,659 | |
| Fortinet, Inc.* | | | 12,078 | | | | 3,552,623 | |
| Intuit, Inc. | | | 25,201 | | | | 10,444,806 | |
| Microsoft Corp. | | | 667,209 | | | | 181,394,111 | |
| NortonLifeLock, Inc. | | | 51,781 | | | | 1,260,350 | |
| Oracle Corp. | | | 140,228 | | | | 10,085,198 | |
| Paycom Software, Inc.* | | | 4,285 | | | | 1,218,397 | |
| PTC, Inc.* | | | 9,367 | | | | 1,091,536 | |
| Roper Technologies, Inc. | | | 9,388 | | | | 4,153,627 | |
| Salesforce, Inc.* | | | 87,667 | | | | 14,047,760 | |
| ServiceNow, Inc.* | | | 17,799 | | | | 8,320,499 | |
| Synopsys, Inc.* | | | 13,656 | | | | 4,358,995 | |
| Tyler Technologies, Inc.*(b) | | | 3,647 | | | | 1,297,676 | |
| | | | | | | 270,392,450 | |
| Specialty Retail - 1.9% | | | | | | | | |
| Advance Auto Parts, Inc. | | | 5,549 | | | | 1,053,533 | |
| AutoZone, Inc.* | | | 1,836 | | | | 3,781,521 | |
| Bath & Body Works, Inc. | | | 22,936 | | | | 940,835 | |
| Best Buy Co., Inc. | | | 19,269 | | | | 1,581,214 | |
| CarMax, Inc.* | | | 14,389 | | | | 1,428,396 | |
| Home Depot, Inc. (The) | | | 92,930 | | | | 28,134,558 | |
| Lowe's Cos., Inc. | | | 59,966 | | | | 11,711,360 | |
| O'Reilly Automotive, Inc.* | | | 5,996 | | | | 3,820,471 | |
| Ross Stores, Inc. | | | 31,445 | | | | 2,673,454 | |
| TJX Cos., Inc. (The) | | | 106,171 | | | | 6,749,291 | |
| Tractor Supply Co. | | | 10,129 | | | | 1,897,769 | |
See accompanying notes to the financial statements.
Ultra S&P500® Schedule of Portfolio Investments May 31, 2022 |
| Investments | | Shares | | | Value ($) | |
| Ulta Beauty, Inc.* | | | 4,816 | | | | 2,037,650 | |
| | | | | | | 65,810,052 | |
| Technology Hardware, Storage & Peripherals - 6.3% | | | | | | | | |
| Apple, Inc. | | | 1,379,803 | | | | 205,369,878 | |
| Hewlett Packard Enterprise Co. | | | 115,114 | | | | 1,795,778 | |
| HP, Inc.(b) | | | 96,364 | | | | 3,742,778 | |
| NetApp, Inc. | | | 19,782 | | | | 1,423,315 | |
| Seagate Technology Holdings plc | | | 17,922 | | | | 1,517,456 | |
| Western Digital Corp.* | | | 27,849 | | | | 1,690,156 | |
| | | | | | | 215,539,361 | |
| Textiles, Apparel & Luxury Goods - 0.5% | | | | | | | | |
| NIKE, Inc., Class B | | | 113,586 | | | | 13,499,696 | |
| PVH Corp. | | | 6,228 | | | | 441,378 | |
| Ralph Lauren Corp. | | | 4,120 | | | | 416,491 | |
| Tapestry, Inc. | | | 23,499 | | | | 810,716 | |
| Under Armour, Inc., Class A*(b) | | | 16,790 | | | | 177,638 | |
| Under Armour, Inc., Class C* | | | 19,141 | | | | 185,668 | |
| VF Corp. | | | 28,727 | | | | 1,449,564 | |
| | | | | | | 16,981,151 | |
| Tobacco - 0.7% | | | | | | | | |
| Altria Group, Inc. | | | 162,258 | | | | 8,776,535 | |
| Philip Morris International, Inc. | | | 137,931 | | | | 14,655,169 | |
| | | | | | | 23,431,704 | |
| Trading Companies & Distributors - 0.2% | | | | | | | | |
| Fastenal Co. | | | 51,227 | | | | 2,743,718 | |
| United Rentals, Inc.* | | | 6,445 | | | | 1,921,770 | |
| WW Grainger, Inc. | | | 3,852 | | | | 1,876,194 | |
| | | | | | | 6,541,682 | |
| Water Utilities - 0.1% | | | | | | | | |
| American Water Works Co., Inc. | | | 16,157 | | | | 2,443,746 | |
| | | | | | | | |
| Wireless Telecommunication Services - 0.2% | | | | | | | | |
| T-Mobile US, Inc.* | | | 52,257 | | | | 6,965,336 | |
| | | | | | | | |
TOTAL COMMON STOCKS (Cost $3,572,179,499) | | | | | | | 3,110,015,513 | |
| | | | | | | | |
| SECURITIES LENDING REINVESTMENTS(d) - 0.0%(c) | | | | | | | | |
| | | | | | | | |
| INVESTMENT COMPANIES - 0.0%(c) | | | | | | | | |
BlackRock Liquidity FedFund, Institutional Class
0.72% (Cost $1,589,475) | | | 1,589,475 | | | | 1,589,475 | |
| Investments | | Principal Amount ($) | | | Value ($) | |
| SHORT-TERM INVESTMENTS - 23.8% | | | | | | | | |
| | | | | | | | |
| REPURCHASE AGREEMENTS(e) - 6.4% | | | | | | | | |
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $219,208,041 (Cost $219,203,627) | | | 219,203,627 | | | | 219,203,627 | |
| | | | | | | | |
| U.S. TREASURY OBLIGATIONS - 17.4% | | | | | | | | |
| U.S. Treasury Bills | | | | | | | | |
| 0.37%, 6/7/2022(f) | | | 50,000,000 | | | | 49,995,916 | |
| 0.51%, 6/21/2022(f) | | | 50,000,000 | | | | 49,983,611 | |
| 0.63%, 6/30/2022(f) | | | 175,000,000 | | | | 174,904,138 | |
| 0.71%, 7/5/2022(b)(f) | | | 75,000,000 | | | | 74,952,188 | |
| 0.39%, 7/21/2022(b)(f) | | | 100,000,000 | | | | 99,883,333 | |
| 0.74%, 8/18/2022(f) | | | 100,000,000 | | | | 99,773,854 | |
| 0.69%, 12/29/2022(f) | | | 45,000,000 | | | | 44,583,249 | |
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $594,447,259) | | | | | | | 594,076,289 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(Cost $813,650,886) | | | | | | | 813,279,916 | |
Total Investments - 114.6%
(Cost $4,387,419,860) | | | | | | | 3,924,884,904 | |
| Liabilities in excess of other assets - (14.6%) | | | | | | | (500,685,590 | ) |
| Net Assets - 100.0% | | | | | | | 3,424,199,314 | |
| * | Non-income producing security. |
| (a) | All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $1,472,167,759. |
| (b) | The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $31,941,272, collateralized in the form of cash with a value of $1,589,475 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $31,086,923 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% – 6.87%, and maturity dates ranging from June 15, 2022 – May 20, 2052. The total value of collateral is $32,676,398. |
| (c) | Represents less than 0.05% of net assets. |
| (d) | The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $1,589,475. |
| (e) | The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase. |
| (f) | The rate shown was the current yield as of May 31, 2022. |
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 109,208,214 | |
| Aggregate gross unrealized depreciation | | | (1,116,857,774 | ) |
| Net unrealized depreciation | | $ | (1,007,649,560 | ) |
| Federal income tax cost | | $ | 4,431,515,065 | |
See accompanying notes to the financial statements.
Ultra S&P500® Schedule of Portfolio Investments May 31, 2022 |
Futures Contracts Purchased
Ultra S&P500® had the following open long futures contracts as of May 31, 2022:
| | | Number of
Contracts | | | Expiration
Date | | Trading
Currency | | Notional Amount | | | Value and
Unrealized
Appreciation | |
| S&P 500 E-Mini Index | | | 1,255 | | | 6/17/2022 | | USD | | $ | 259,235,938 | | | $ | 8,680,002 | |
Swap Agreementsa
Ultra S&P500® had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount ($) | | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | | Reference Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | | Financial
Instruments
for the
Benefit of (the
Fund)/ the
Counterparty
($) | | | Cash
Collateral for
the Benefit of
(the Fund)/
the
Counterparty
($) | | | Net
Amounte ($) | |
| 266,953,419 | | | 5/8/2023 | | Bank of America NA | | | 1.38 | % | | S&P 500® | | | (37,274,846 | ) | | | 37,274,422 | | | | 424 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 308,568,301 | | | 5/8/2023 | | BNP Paribas SA | | | 1.43 | % | | S&P 500® | | | (141,588,300 | ) | | | 141,015,917 | | | | 572,383 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 415,454,625 | | | 4/10/2023 | | Citibank NA | | | 1.49 | % | | S&P 500® | | | (60,819,881 | ) | | | 60,714,954 | | | | 104,927 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 482,564,873 | | | 4/10/2023 | | Credit Suisse International | | | 1.43 | % | | S&P 500® | | | (37,859,705 | ) | | | 26,234,042 | | | | 11,625,663 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 50,457,684 | | | 4/8/2024 | | Goldman Sachs International | | | 1.43 | % | | S&P 500® | | | 916,761 | | | | | | | | | | | | | |
| 352,091,129 | | | 3/7/2023 | | Goldman Sachs International | | | 1.34 | % | | SPDR® S&P 500® ETF Trust | | | (91,963,118 | ) | | | | | | | | | | | | |
| 402,548,813 | | | | | | | | | | | | | | (91,046,357 | ) | | | 90,450,105 | | | | 596,252 | | | | — | |
| 362,881,281 | | | 5/8/2023 | | J.P. Morgan Securities | | | 1.23 | % | | S&P 500® | | | (61,262,822 | ) | | | 60,776,730 | | | | 486,092 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 176,748,584 | | | 4/10/2023 | | Morgan Stanley & Co. International plc | | | 1.38 | % | | S&P 500® | | | (23,781,081 | ) | | | 23,739,902 | | | | 41,179 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 560,022,025 | | | 11/6/2023 | | Societe Generale | | | 1.33 | % | | S&P 500® | | | 10,853,083 | | | | (10,831,670 | ) | | | (21,413 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 504,225,604 | | | 3/7/2023 | | UBS AG | | | 1.33 | % | | S&P 500® | | | (66,919,492 | ) | | | 66,895,671 | | | | 23,821 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 3,479,967,525 | | | | | | | | | | | | | | (509,699,401 | ) | | | | | | | | | | | | |
| | | | | | | | | | | Total Unrealized Appreciation | | | 11,769,844 | | | | | | | | | | | | | |
| | | | | | | | | | | Total Unrealized Depreciation | | | (521,469,245 | ) | | | | | | | | | | | | |
| a | The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815. |
| b | Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity. |
| c | Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation). |
| d | The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities. |
| e | Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default. |
| Abbreviations |
| USD | U.S. Dollar |
See accompanying notes to the financial statements.
Ultra SmallCap600
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| | | | | | |
| COMMON STOCKS(a) - 90.4% |
| | | | | | | | |
| Aerospace & Defense - 1.1% |
| AAR Corp.* | | | 1,067 | | | | 51,451 | |
| Aerojet Rocketdyne Holdings, Inc.* | | | 2,396 | | | | 97,613 | |
| AeroVironment, Inc.* | | | 737 | | | | 67,775 | |
| Kaman Corp. | | | 890 | | | | 32,227 | |
| Moog, Inc., Class A | | | 929 | | | | 75,611 | |
| National Presto Industries, Inc. | | | 163 | | | | 11,017 | |
| Park Aerospace Corp. | | | 624 | | | | 7,600 | |
| Triumph Group, Inc.* | | | 2,067 | | | | 31,625 | |
| | | | | | | 374,919 | |
| Air Freight & Logistics - 0.7% |
| Atlas Air Worldwide Holdings, Inc.* | | | 864 | | | | 60,229 | |
| Forward Air Corp. | | | 861 | | | | 80,237 | |
| Hub Group, Inc., Class A* | | | 1,084 | | | | 79,110 | |
| | | | | | | 219,576 | |
| Airlines - 0.4% |
| Allegiant Travel Co.* | | | 485 | | | | 72,483 | |
| Hawaiian Holdings, Inc.* | | | 1,638 | | | | 29,074 | |
| SkyWest, Inc.* | | | 1,611 | | | | 43,433 | |
| | | | | | | 144,990 | |
| Auto Components - 1.2% |
| American Axle & Manufacturing Holdings, Inc.* | | | 3,650 | | | | 29,602 | |
| Dorman Products, Inc.* | | | 910 | | | | 91,955 | |
| Gentherm, Inc.* | | | 1,062 | | | | 73,214 | |
| LCI Industries | | | 808 | | | | 96,572 | |
| Motorcar Parts of America, Inc.* | | | 614 | | | | 9,106 | |
| Patrick Industries, Inc.(b) | | | 717 | | | | 43,099 | |
| Standard Motor Products, Inc. | | | 611 | | | | 24,409 | |
| XPEL, Inc.*(c) | | | 530 | | | | 27,359 | |
| | | | | | | 395,316 | |
| Automobiles - 0.2% |
| Winnebago Industries, Inc. | | | 1,067 | | | | 52,763 | |
| | | | | | | | |
| Banks - 9.2% |
| Allegiance Bancshares, Inc. | | | 605 | | | | 24,351 | |
| Ameris Bancorp | | | 2,116 | | | | 96,469 | |
| Banc of California, Inc. | | | 1,729 | | | | 33,266 | |
| BancFirst Corp.(b) | | | 605 | | | | 54,892 | |
| Bancorp, Inc. (The)* | | | 1,834 | | | | 38,202 | |
| BankUnited, Inc. | | | 2,739 | | | | 114,107 | |
| Banner Corp. | | | 1,093 | | | | 63,514 | |
| Berkshire Hills Bancorp, Inc. | | | 1,556 | | | | 40,627 | |
| Brookline Bancorp, Inc. | | | 2,483 | | | | 35,184 | |
| Central Pacific Financial Corp. | | | 887 | | | | 21,412 | |
| City Holding Co. | | | 483 | | | | 39,650 | |
| Columbia Banking System, Inc. | | | 2,485 | | | | 74,923 | |
| Community Bank System, Inc. | | | 1,722 | | | | 113,652 | |
| Customers Bancorp, Inc.* | | | 968 | | | | 39,978 | |
| CVB Financial Corp. | | | 4,332 | | | | 107,347 | |
| Dime Community Bancshares, Inc. | | | 1,045 | | | | 32,855 | |
| Eagle Bancorp, Inc. | | | 1,020 | | | | 50,551 | |
| FB Financial Corp. | | | 1,142 | | | | 47,987 | |
| First Bancorp/NC | | | 1,105 | | | | 41,404 | |
| First Bancorp/PR(b) | | | 6,454 | | | | 96,358 | |
| First Commonwealth Financial Corp. | | | 3,014 | | | | 42,226 | |
| First Financial Bancorp | | | 3,010 | | | | 63,150 | |
| First Hawaiian, Inc. | | | 4,077 | | | | 104,412 | |
| Hanmi Financial Corp. | | | 972 | | | | 22,687 | |
| Heritage Financial Corp. | | | 1,123 | | | | 29,310 | |
| Hilltop Holdings, Inc. | | | 1,946 | | | | 58,400 | |
| HomeStreet, Inc. | | | 643 | | | | 25,919 | |
| Hope Bancorp, Inc. | | | 3,838 | | | | 55,958 | |
| Independent Bank Corp. | | | 1,511 | | | | 125,866 | |
| Independent Bank Group, Inc. | | | 1,199 | | | | 87,623 | |
| Lakeland Financial Corp. | | | 808 | | | | 58,305 | |
| Meta Financial Group, Inc. | | | 953 | | | | 39,616 | |
| National Bank Holdings Corp., Class A | | | 958 | | | | 39,039 | |
| NBT Bancorp, Inc. | | | 1,384 | | | | 51,180 | |
| Northwest Bancshares, Inc. | | | 4,051 | | | | 52,217 | |
| OFG Bancorp | | | 1,586 | | | | 44,947 | |
| Pacific Premier Bancorp, Inc. | | | 3,019 | | | | 98,299 | |
| Park National Corp. | | | 461 | | | | 57,030 | |
| Preferred Bank | | | 432 | | | | 29,596 | |
| Renasant Corp. | | | 1,783 | | | | 55,166 | |
| S&T Bancorp, Inc. | | | 1,258 | | | | 36,998 | |
| Seacoast Banking Corp. of Florida | | | 1,870 | | | | 64,029 | |
| ServisFirst Bancshares, Inc. | | | 1,562 | | | | 130,208 | |
| Simmons First National Corp., Class A | | | 4,036 | | | | 103,766 | |
| Southside Bancshares, Inc. | | | 1,034 | | | | 41,701 | |
| Tompkins Financial Corp. | | | 380 | | | | 28,960 | |
| Triumph Bancorp, Inc.* | | | 756 | | | | 54,992 | |
| Trustmark Corp. | | | 1,971 | | | | 57,336 | |
| United Community Banks, Inc. | | | 3,350 | | | | 105,291 | |
| Veritex Holdings, Inc. | | | 1,579 | | | | 54,412 | |
| Westamerica Bancorp | | | 859 | | | | 51,720 | |
| | | | | | | 3,037,088 | |
| Beverages - 0.7% |
| Celsius Holdings, Inc.* | | | 1,222 | | | | 81,984 | |
| Coca-Cola Consolidated, Inc. | | | 148 | | | | 83,616 | |
| MGP Ingredients, Inc. | | | 400 | | | | 38,744 | |
| National Beverage Corp. | | | 745 | | | | 36,974 | |
| | | | | | | 241,318 | |
| Biotechnology - 1.9% |
| Anika Therapeutics, Inc.* | | | 461 | | | | 10,022 | |
| Arcus Biosciences, Inc.* | | | 1,462 | | | | 27,705 | |
| Avid Bioservices, Inc.*(b) | | | 1,971 | | | | 26,352 | |
| Coherus Biosciences, Inc.* | | | 2,040 | | | | 14,974 | |
| Cytokinetics, Inc.*(b) | | | 2,683 | | | | 107,052 | |
| Dynavax Technologies Corp.*(b) | | | 3,568 | | | | 42,316 | |
| Eagle Pharmaceuticals, Inc.* | | | 364 | | | | 16,999 | |
| Emergent BioSolutions, Inc.* | | | 1,531 | | | | 50,462 | |
| Enanta Pharmaceuticals, Inc.* | | | 584 | | | | 23,319 | |
| iTeos Therapeutics, Inc.* | | | 644 | | | | 11,270 | |
| Ligand Pharmaceuticals, Inc.* | | | 534 | | | | 47,478 | |
| Myriad Genetics, Inc.* | | | 2,553 | | | | 49,120 | |
| Organogenesis Holdings, Inc.* | | | 2,019 | | | | 11,326 | |
| REGENXBIO, Inc.* | | | 1,202 | | | | 25,290 | |
| uniQure NV* | | | 1,154 | | | | 16,571 | |
| Vanda Pharmaceuticals, Inc.* | | | 1,784 | | | | 17,537 | |
| Vericel Corp.* | | | 1,497 | | | | 40,643 | |
| Vir Biotechnology, Inc.* | | | 2,338 | | | | 60,344 | |
| Xencor, Inc.* | | | 1,869 | | | | 41,735 | |
| | | | | | | 640,515 | |
| Building Products - 1.7% |
| AAON, Inc. | | | 1,323 | | | | 70,886 | |
| American Woodmark Corp.* | | | 530 | | | | 27,602 | |
| Apogee Enterprises, Inc. | | | 795 | | | | 33,072 | |
| Gibraltar Industries, Inc.* | | | 1,046 | | | | 43,681 | |
See accompanying notes to the financial statements.
Ultra SmallCap600
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Griffon Corp. | | | 1,511 | | | | 48,458 | |
| Insteel Industries, Inc. | | | 620 | | | | 25,674 | |
| PGT Innovations, Inc.* | | | 1,906 | | | | 38,311 | |
| Quanex Building Products Corp. | | | 1,068 | | | | 21,723 | |
| Resideo Technologies, Inc.* | | | 4,618 | | | | 109,077 | |
| UFP Industries, Inc. | | | 1,978 | | | | 152,702 | |
| | | | | | | 571,186 | |
| Capital Markets - 0.8% |
| B Riley Financial, Inc. | | | 514 | | | | 27,936 | |
| Blucora, Inc.* | | | 1,558 | | | | 27,561 | |
| Brightsphere Investment Group, Inc. | | | 1,120 | | | | 22,837 | |
| Donnelley Financial Solutions, Inc.* | | | 932 | | | | 28,995 | |
| Greenhill & Co., Inc. | | | 430 | | | | 5,289 | |
| Piper Sandler Cos. | | | 452 | | | | 59,569 | |
| StoneX Group, Inc.* | | | 548 | | | | 41,138 | |
| Virtus Investment Partners, Inc. | | | 229 | | | | 44,119 | |
| WisdomTree Investments, Inc. | | | 3,481 | | | | 20,712 | |
| | | | | | | 278,156 | |
| Chemicals - 2.7% |
| AdvanSix, Inc. | | | 900 | | | | 41,697 | |
| American Vanguard Corp. | | | 860 | | | | 21,225 | |
| Balchem Corp. | | | 1,035 | | | | 128,785 | |
| FutureFuel Corp. | | | 827 | | | | 5,946 | |
| GCP Applied Technologies, Inc.* | | | 1,726 | | | | 53,713 | |
| Hawkins, Inc. | | | 602 | | | | 21,768 | |
| HB Fuller Co. | | | 1,688 | | | | 119,983 | |
| Innospec, Inc. | | | 789 | | | | 80,502 | |
| Koppers Holdings, Inc. | | | 681 | | | | 18,455 | |
| Livent Corp.*(b) | | | 5,167 | | | | 164,259 | |
| Quaker Chemical Corp. | | | 430 | | | | 67,252 | |
| Rayonier Advanced Materials, Inc.* | | | 2,042 | | | | 7,862 | |
| Schweitzer-Mauduit International, Inc. | | | 1,006 | | | | 27,283 | |
| Stepan Co. | | | 681 | | | | 76,347 | |
| Tredegar Corp. | | | 821 | | | | 9,942 | |
| Trinseo plc | | | 1,242 | | | | 58,734 | |
| | | | | | | 903,753 | |
| Commercial Services & Supplies - 2.0% |
| ABM Industries, Inc. | | | 2,154 | | | | 104,146 | |
| Brady Corp., Class A | | | 1,543 | | | | 74,851 | |
| CoreCivic, Inc., REIT* | | | 3,847 | | | | 49,511 | |
| Deluxe Corp. | | | 1,365 | | | | 32,664 | |
| GEO Group, Inc. (The), REIT*(b) | | | 3,921 | | | | 27,878 | |
| Harsco Corp.* | | | 2,535 | | | | 21,041 | |
| Healthcare Services Group, Inc.(b) | | | 2,383 | | | | 40,916 | |
| HNI Corp. | | | 1,393 | | | | 53,115 | |
| Interface, Inc. | | | 1,891 | | | | 27,211 | |
| KAR Auction Services, Inc.* | | | 3,874 | | | | 61,868 | |
| Matthews International Corp., Class A | | | 1,010 | | | | 32,684 | |
| Pitney Bowes, Inc. | | | 5,316 | | | | 24,879 | |
| UniFirst Corp. | | | 487 | | | | 79,595 | |
| Viad Corp.* | | | 656 | | | | 19,759 | |
| | | | | | | 650,118 | |
| Communications Equipment - 1.2% |
| ADTRAN, Inc. | | | 1,571 | | | | 29,110 | |
| CalAmp Corp.*(b) | | | 1,150 | | | | 8,349 | |
| Comtech Telecommunications Corp. | | | 845 | | | | 10,571 | |
| Digi International, Inc.* | | | 1,120 | | | | 24,752 | |
| Extreme Networks, Inc.* | | | 4,133 | | | | 40,999 | |
| Harmonic, Inc.* | | | 3,294 | | | | 31,721 | |
| NETGEAR, Inc.* | | | 938 | | | | 17,869 | |
| NetScout Systems, Inc.* | | | 2,360 | | | | 81,019 | |
| Plantronics, Inc.* | | | 1,368 | | | | 54,009 | |
| Viavi Solutions, Inc.* | | | 7,357 | | | | 106,456 | |
| | | | | | | 404,855 | |
| Construction & Engineering - 1.0% |
| Arcosa, Inc. | | | 1,545 | | | | 81,684 | |
| Comfort Systems USA, Inc. | | | 1,154 | | | | 103,537 | |
| Granite Construction, Inc.(b) | | | 1,466 | | | | 47,865 | |
| MYR Group, Inc.* | | | 540 | | | | 49,470 | |
| NV5 Global, Inc.* | | | 379 | | | | 46,685 | |
| | | | | | | 329,241 | |
| Consumer Finance - 0.9% |
| Encore Capital Group, Inc.*(b) | | | 794 | | | | 48,522 | |
| Enova International, Inc.* | | | 1,091 | | | | 34,454 | |
| EZCORP, Inc., Class A* | | | 1,715 | | | | 13,000 | |
| Green Dot Corp., Class A* | | | 1,749 | | | | 50,441 | |
| LendingTree, Inc.* | | | 366 | | | | 23,098 | |
| PRA Group, Inc.* | | | 1,395 | | | | 51,615 | |
| PROG Holdings, Inc.* | | | 1,811 | | | | 52,863 | |
| World Acceptance Corp.* | | | 131 | | | | 19,397 | |
| | | | | | | 293,390 | |
| Containers & Packaging - 0.3% |
| Myers Industries, Inc. | | | 1,159 | | | | 27,584 | |
| O-I Glass, Inc.* | | | 4,977 | | | | 81,872 | |
| | | | | | | 109,456 | |
| Diversified Consumer Services - 0.4% |
| Adtalem Global Education, Inc.* | | | 1,592 | | | | 51,931 | |
| American Public Education, Inc.* | | | 598 | | | | 8,336 | |
| Perdoceo Education Corp.* | | | 2,245 | | | | 24,493 | |
| Strategic Education, Inc. | | | 724 | | | | 47,654 | |
| WW International, Inc.* | | | 1,702 | | | | 12,067 | |
| | | | | | | 144,481 | |
| Diversified Telecommunication Services - 0.3% |
| ATN International, Inc. | | | 349 | | | | 15,388 | |
| Cogent Communications Holdings, Inc. | | | 1,357 | | | | 81,949 | |
| Consolidated Communications Holdings, Inc.* | | | 2,297 | | | | 15,206 | |
| | | | | | | 112,543 | |
| Electrical Equipment - 0.4% |
| AZZ, Inc. | | | 789 | | | | 35,316 | |
| Encore Wire Corp. | | | 649 | | | | 81,138 | |
| Powell Industries, Inc.(b) | | | 289 | | | | 7,768 | |
| | | | | | | 124,222 | |
| Electronic Equipment, Instruments & Components - 3.6% |
| Advanced Energy Industries, Inc. | | | 1,204 | | | | 98,078 | |
| Arlo Technologies, Inc.* | | | 2,698 | | | | 19,102 | |
| Badger Meter, Inc. | | | 937 | | | | 74,154 | |
| Benchmark Electronics, Inc. | | | 1,127 | | | | 28,727 | |
| CTS Corp.(b) | | | 1,031 | | | | 41,931 | |
| ePlus, Inc.* | | | 859 | | | | 48,740 | |
| Fabrinet* | | | 1,184 | | | | 102,854 | |
| FARO Technologies, Inc.* | | | 582 | | | | 18,752 | |
| Insight Enterprises, Inc.* | | | 1,116 | | | | 110,283 | |
| Itron, Inc.* | | | 1,446 | | | | 74,628 | |
| Knowles Corp.* | | | 2,935 | | | | 56,411 | |
| Methode Electronics, Inc. | | | 1,192 | | | | 53,699 | |
| OSI Systems, Inc.* | | | 525 | | | | 44,058 | |
| PC Connection, Inc. | | | 352 | | | | 15,738 | |
| Plexus Corp.* | | | 900 | | | | 76,320 | |
See accompanying notes to the financial statements.
Ultra SmallCap600
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Rogers Corp.* | | | 599 | | | | 158,963 | |
| Sanmina Corp.* | | | 2,033 | | | | 89,228 | |
| ScanSource, Inc.* | | | 818 | | | | 31,689 | |
| TTM Technologies, Inc.* | | | 3,337 | | | | 47,686 | |
| | | | | | | 1,191,041 | |
| Energy Equipment & Services - 2.1% |
| Archrock, Inc. | | | 4,289 | | | | 43,019 | |
| Bristow Group, Inc.* | | | 741 | | | | 23,556 | |
| Core Laboratories NV | | | 1,481 | | | | 41,735 | |
| DMC Global, Inc.*(b) | | | 615 | | | | 17,017 | |
| Dril-Quip, Inc.* | | | 1,133 | | | | 35,621 | |
| Helix Energy Solutions Group, Inc.* | | | 4,536 | | | | 21,047 | |
| Helmerich & Payne, Inc. | | | 3,374 | | | | 169,881 | |
| Nabors Industries Ltd.* | | | 247 | | | | 41,192 | |
| Oceaneering International, Inc.* | | | 3,191 | | | | 40,590 | |
| Oil States International, Inc.* | | | 1,966 | | | | 15,217 | |
| Patterson-UTI Energy, Inc. | | | 6,879 | | | | 131,251 | |
| ProPetro Holding Corp.* | | | 2,711 | | | | 35,379 | |
| RPC, Inc.* | | | 2,250 | | | | 21,060 | |
| US Silica Holdings, Inc.* | | | 2,384 | | | | 42,149 | |
| | | | | | | 678,714 | |
| Entertainment - 0.2% |
| Cinemark Holdings, Inc.*(b) | | | 3,405 | | | | 57,817 | |
| Marcus Corp. (The)* | | | 700 | | | | 10,969 | |
| | | | | | | 68,786 | |
| Equity Real Estate Investment Trusts (REITs) - 6.5% |
| Acadia Realty Trust | | | 2,828 | | | | 55,598 | |
| Agree Realty Corp.(b) | | | 2,279 | | | | 158,550 | |
| Alexander & Baldwin, Inc. | | | 2,318 | | | | 47,287 | |
| American Assets Trust, Inc. | | | 1,684 | | | | 57,424 | |
| Armada Hoffler Properties, Inc. | | | 2,155 | | | | 29,696 | |
| Brandywine Realty Trust | | | 5,473 | | | | 61,024 | |
| CareTrust REIT, Inc. | | | 3,105 | | | | 57,536 | |
| Centerspace REIT | | | 480 | | | | 39,830 | |
| Chatham Lodging Trust* | | | 1,561 | | | | 19,887 | |
| Community Healthcare Trust, Inc. | | | 751 | | | | 28,298 | |
| DiamondRock Hospitality Co.* | | | 6,737 | | | | 69,324 | |
| Diversified Healthcare Trust | | | 7,645 | | | | 17,354 | |
| Easterly Government Properties, Inc. | | | 2,755 | | | | 54,081 | |
| Essential Properties Realty Trust, Inc. | | | 3,890 | | | | 89,003 | |
| Four Corners Property Trust, Inc. | | | 2,474 | | | | 68,208 | |
| Franklin Street Properties Corp. | | | 3,042 | | | | 13,750 | |
| Getty Realty Corp. | | | 1,262 | | | | 35,260 | |
| Global Net Lease, Inc. | | | 3,315 | | | | 47,968 | |
| Hersha Hospitality Trust* | | | 1,058 | | | | 11,617 | |
| Industrial Logistics Properties Trust | | | 2,091 | | | | 31,909 | |
| Innovative Industrial Properties, Inc. | | | 869 | | | | 115,620 | |
| iStar, Inc. | | | 2,222 | | | | 38,663 | |
| LTC Properties, Inc. | | | 1,259 | | | | 48,774 | |
| LXP Industrial Trust(b) | | | 9,046 | | | | 104,572 | |
| NexPoint Residential Trust, Inc. | | | 729 | | | | 53,567 | |
| Office Properties Income Trust | | | 1,548 | | | | 32,988 | |
| Orion Office REIT, Inc. | | | 1,811 | | | | 24,141 | |
| Retail Opportunity Investments Corp. | | | 3,884 | | | | 70,184 | |
| RPT Realty | | | 2,696 | | | | 32,810 | |
| Safehold, Inc. | | | 453 | | | | 20,317 | |
| Saul Centers, Inc. | | | 418 | | | | 20,507 | |
| Service Properties Trust | | | 5,280 | | | | 33,422 | |
| SITE Centers Corp. | | | 5,742 | | | | 90,264 | |
| Summit Hotel Properties, Inc.* | | | 3,406 | | | | 29,768 | |
| Tanger Factory Outlet Centers, Inc. | | | 3,325 | | | | 58,221 | |
| Uniti Group, Inc.(b) | | | 7,546 | | | | 85,572 | |
| Universal Health Realty Income Trust | | | 410 | | | | 22,005 | |
| Urban Edge Properties | | | 3,521 | | | | 66,371 | |
| Urstadt Biddle Properties, Inc., Class A | | | 965 | | | | 16,984 | |
| Veris Residential, Inc.* | | | 2,560 | | | | 41,190 | |
| Washington REIT | | | 2,706 | | | | 65,729 | |
| Whitestone REIT | | | 1,479 | | | | 18,177 | |
| Xenia Hotels & Resorts, Inc.* | | | 3,651 | | | | 67,142 | |
| | | | | | | 2,150,592 | |
| Food & Staples Retailing - 0.8% |
| Andersons, Inc. (The) | | | 973 | | | | 36,594 | |
| Chefs' Warehouse, Inc. (The)* | | | 1,042 | | | | 37,231 | |
| PriceSmart, Inc. | | | 770 | | | | 60,545 | |
| SpartanNash Co. | | | 1,149 | | | | 39,537 | |
| United Natural Foods, Inc.* | | | 1,858 | | | | 78,798 | |
| | | | | | | 252,705 | |
| Food Products - 1.6% |
| B&G Foods, Inc.(b) | | | 2,075 | | | | 46,916 | |
| Calavo Growers, Inc. | | | 565 | | | | 19,238 | |
| Cal-Maine Foods, Inc. | | | 1,197 | | | | 57,133 | |
| Fresh Del Monte Produce, Inc. | | | 1,063 | | | | 27,149 | |
| Hostess Brands, Inc.* | | | 4,426 | | | | 94,052 | |
| J & J Snack Foods Corp. | | | 476 | | | | 61,033 | |
| John B Sanfilippo & Son, Inc. | | | 285 | | | | 21,768 | |
| Seneca Foods Corp., Class A* | | | 193 | | | | 10,972 | |
| Simply Good Foods Co. (The)* | | | 2,705 | | | | 108,092 | |
| Tootsie Roll Industries, Inc. | | | 569 | | | | 18,817 | |
| TreeHouse Foods, Inc.* | | | 1,784 | | | | 73,358 | |
| | | | | | | 538,528 | |
| Gas Utilities - 0.8% |
| Chesapeake Utilities Corp. | | | 562 | | | | 75,066 | |
| Northwest Natural Holding Co. | | | 982 | | | | 53,313 | |
| South Jersey Industries, Inc.(b) | | | 3,595 | | | | 125,286 | |
| | | | | | | 253,665 | |
| Health Care Equipment & Supplies - 3.5% |
| AngioDynamics, Inc.* | | | 1,237 | | | | 24,282 | |
| Artivion, Inc.* | | | 1,258 | | | | 24,606 | |
| Avanos Medical, Inc.* | | | 1,540 | | | | 44,183 | |
| BioLife Solutions, Inc.* | | | 961 | | | | 13,185 | |
| Cardiovascular Systems, Inc.* | | | 1,298 | | | | 21,105 | |
| CONMED Corp. | | | 937 | | | | 108,964 | |
| Cutera, Inc.* | | | 523 | | | | 23,530 | |
| Embecta Corp.* | | | 1,836 | | | | 45,496 | |
| Glaukos Corp.* | | | 1,499 | | | | 61,204 | |
| Heska Corp.* | | | 343 | | | | 34,228 | |
| Inogen, Inc.* | | | 655 | | | | 16,820 | |
| Integer Holdings Corp.* | | | 1,055 | | | | 84,168 | |
| Lantheus Holdings, Inc.* | | | 2,164 | | | | 148,277 | |
| LeMaitre Vascular, Inc. | | | 613 | | | | 28,026 | |
| Meridian Bioscience, Inc.* | | | 1,391 | | | | 38,253 | |
| Merit Medical Systems, Inc.* | | | 1,625 | | | | 99,759 | |
| Mesa Laboratories, Inc. | | | 168 | | | | 35,154 | |
| Natus Medical, Inc.* | | | 1,091 | | | | 35,774 | |
| Omnicell, Inc.* | | | 1,405 | | | | 156,180 | |
| OraSure Technologies, Inc.*(b) | | | 2,306 | | | | 9,570 | |
| Orthofix Medical, Inc.* | | | 632 | | | | 17,374 | |
| Surmodics, Inc.* | | | 448 | | | | 17,575 | |
| Tactile Systems Technology, Inc.* | | | 636 | | | | 6,462 | |
See accompanying notes to the financial statements.
Ultra SmallCap600
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Varex Imaging Corp.*(b) | | | 1,266 | | | | 29,169 | |
| Zimvie, Inc.* | | | 681 | | | | 14,825 | |
| Zynex, Inc. | | | 727 | | | | 5,300 | |
| | | | | | | 1,143,469 | |
| Health Care Providers & Services - 3.0% |
| Addus HomeCare Corp.* | | | 510 | | | | 42,585 | |
| AMN Healthcare Services, Inc.*(b) | | | 1,511 | | | | 146,416 | |
| Apollo Medical Holdings, Inc.*(b) | | | 1,207 | | | | 45,311 | |
| Community Health Systems, Inc.* | | | 3,973 | | | | 20,819 | |
| CorVel Corp.* | | | 302 | | | | 45,046 | |
| Covetrus, Inc.* | | | 3,305 | | | | 68,810 | |
| Cross Country Healthcare, Inc.* | | | 1,131 | | | | 19,962 | |
| Ensign Group, Inc. (The) | | | 1,673 | | | | 135,797 | |
| Fulgent Genetics, Inc.*(b) | | | 620 | | | | 33,796 | |
| Hanger, Inc.* | | | 1,176 | | | | 18,569 | |
| Joint Corp. (The)* | | | 461 | | | | 7,690 | |
| MEDNAX, Inc.* | | | 2,726 | | | | 52,666 | |
| ModivCare, Inc.* | | | 393 | | | | 37,504 | |
| Owens & Minor, Inc. | | | 2,413 | | | | 84,165 | |
| Pennant Group, Inc. (The)*(b) | | | 867 | | | | 16,586 | |
| RadNet, Inc.* | | | 1,491 | | | | 30,610 | |
| Select Medical Holdings Corp. | | | 3,391 | | | | 82,571 | |
| Tivity Health, Inc.* | | | 1,415 | | | | 45,846 | |
| US Physical Therapy, Inc. | | | 415 | | | | 46,725 | |
| | | | | | | 981,474 | |
| Health Care Technology - 0.5% |
| Allscripts Healthcare Solutions, Inc.* | | | 3,921 | | | | 67,010 | |
| Computer Programs and Systems, Inc.* | | | 467 | | | | 14,893 | |
| HealthStream, Inc.* | | | 807 | | | | 16,439 | |
| NextGen Healthcare, Inc.* | | | 1,795 | | | | 32,507 | |
| OptimizeRx Corp.* | | | 569 | | | | 14,555 | |
| Simulations Plus, Inc. | | | 503 | | | | 23,882 | |
| | | | | | | 169,286 | |
| Hotels, Restaurants & Leisure - 1.4% |
| BJ's Restaurants, Inc.* | | | 744 | | | | 19,545 | |
| Bloomin' Brands, Inc. | | | 2,598 | | | | 54,844 | |
| Brinker International, Inc.* | | | 1,426 | | | | 43,279 | |
| Cheesecake Factory, Inc. (The) | | | 1,552 | | | | 50,688 | |
| Chuy's Holdings, Inc.* | | | 634 | | | | 14,322 | |
| Dave & Buster's Entertainment, Inc.* | | | 1,238 | | | | 46,908 | |
| Dine Brands Global, Inc. | | | 552 | | | | 40,567 | |
| El Pollo Loco Holdings, Inc.* | | | 622 | | | | 6,444 | |
| Golden Entertainment, Inc.* | | | 651 | | | | 30,779 | |
| Jack in the Box, Inc. | | | 675 | | | | 46,103 | |
| Monarch Casino & Resort, Inc.* | | | 420 | | | | 28,497 | |
| Red Robin Gourmet Burgers, Inc.* | | | 506 | | | | 4,979 | |
| Ruth's Hospitality Group, Inc. | | | 1,015 | | | | 18,706 | |
| Shake Shack, Inc., Class A* | | | 1,251 | | | | 60,861 | |
| | | | | | | 466,522 | |
| Household Durables - 2.3% |
| Cavco Industries, Inc.* | | | 272 | | | | 60,427 | |
| Century Communities, Inc. | | | 948 | | | | 51,543 | |
| Ethan Allen Interiors, Inc. | | | 705 | | | | 16,398 | |
| Installed Building Products, Inc. | | | 751 | | | | 71,751 | |
| iRobot Corp.* | | | 861 | | | | 40,975 | |
| La-Z-Boy, Inc. | | | 1,404 | | | | 35,844 | |
| LGI Homes, Inc.*(b) | | | 682 | | | | 66,829 | |
| M/I Homes, Inc.* | | | 931 | | | | 43,524 | |
| MDC Holdings, Inc. | | | 1,809 | | | | 69,068 | |
| Meritage Homes Corp.* | | | 1,192 | | | | 101,689 | |
| Sonos, Inc.* | | | 4,091 | | | | 90,534 | |
| Tri Pointe Homes, Inc.* | | | 3,551 | | | | 74,820 | |
| Tupperware Brands Corp.* | | | 1,565 | | | | 10,376 | |
| Universal Electronics, Inc.* | | | 420 | | | | 11,256 | |
| | | | | | | 745,034 | |
| Household Products - 0.5% |
| Central Garden & Pet Co.* | | | 314 | | | | 14,187 | |
| Central Garden & Pet Co., Class A* | | | 1,267 | | | | 53,632 | |
| WD-40 Co. | | | 438 | | | | 82,690 | |
| | | | | | | 150,509 | |
| Insurance - 2.5% |
| Ambac Financial Group, Inc.* | | | 1,484 | | | | 15,894 | |
| American Equity Investment Life Holding Co. | | | 2,636 | | | | 106,125 | |
| AMERISAFE, Inc. | | | 619 | | | | 31,198 | |
| Assured Guaranty Ltd. | | | 2,232 | | | | 131,353 | |
| eHealth, Inc.* | | | 760 | | | | 7,980 | |
| Employers Holdings, Inc. | | | 895 | | | | 37,062 | |
| Genworth Financial, Inc., Class A* | | | 16,228 | | | | 65,723 | |
| HCI Group, Inc.(b) | | | 256 | | | | 17,400 | |
| Horace Mann Educators Corp. | | | 1,322 | | | | 53,488 | |
| James River Group Holdings Ltd. | | | 1,192 | | | | 30,456 | |
| Palomar Holdings, Inc.* | | | 772 | | | | 47,980 | |
| ProAssurance Corp. | | | 1,727 | | | | 38,357 | |
| Safety Insurance Group, Inc. | | | 455 | | | | 42,251 | |
| Selectquote, Inc.* | | | 3,988 | | | | 11,645 | |
| SiriusPoint Ltd.* | | | 2,753 | | | | 15,417 | |
| Stewart Information Services Corp. | | | 859 | | | | 47,666 | |
| Trupanion, Inc.* | | | 1,097 | | | | 73,367 | |
| United Fire Group, Inc. | | | 692 | | | | 22,428 | |
| Universal Insurance Holdings, Inc. | | | 899 | | | | 11,597 | |
| | | | | | | 807,387 | |
| Interactive Media & Services - 0.1% |
| Cars.com, Inc.* | | | 2,078 | | | | 21,507 | |
| QuinStreet, Inc.* | | | 1,607 | | | | 17,677 | |
| | | | | | | 39,184 | |
| Internet & Direct Marketing Retail - 0.2% |
| Liquidity Services, Inc.* | | | 854 | | | | 11,580 | |
| PetMed Express, Inc.(b) | | | 670 | | | | 14,760 | |
| Shutterstock, Inc. | | | 743 | | | | 44,729 | |
| | | | | | | 71,069 | |
| IT Services - 1.4% |
| CSG Systems International, Inc. | | | 1,040 | | | | 64,678 | |
| EVERTEC, Inc. | | | 1,910 | | | | 72,465 | |
| ExlService Holdings, Inc.* | | | 1,064 | | | | 151,290 | |
| Perficient, Inc.* | | | 1,053 | | | | 103,099 | |
| TTEC Holdings, Inc. | | | 586 | | | | 39,520 | |
| Unisys Corp.* | | | 2,148 | | | | 25,626 | |
| | | | | | | 456,678 | |
| Leisure Products - 0.3% |
| Sturm Ruger & Co., Inc. | | | 562 | | | | 38,154 | |
| Vista Outdoor, Inc.* | | | 1,799 | | | | 69,334 | |
| | | | | | | 107,488 | |
| Life Sciences Tools & Services - 0.1% |
| NeoGenomics, Inc.* | | | 3,938 | | | | 33,158 | |
| | | | | | | | |
| Machinery - 3.9% |
| Alamo Group, Inc. | | | 315 | | | | 37,053 | |
| Albany International Corp., Class A | | | 1,035 | | | | 87,354 | |
| Astec Industries, Inc. | | | 728 | | | | 34,049 | |
| Barnes Group, Inc. | | | 1,491 | | | | 53,721 | |
| CIRCOR International, Inc.* | | | 649 | | | | 12,617 | |
| Enerpac Tool Group Corp. | | | 1,929 | | | | 37,654 | |
See accompanying notes to the financial statements.
Ultra SmallCap600
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| EnPro Industries, Inc. | | | 659 | | | | 63,106 | |
| ESCO Technologies, Inc. | | | 830 | | | | 54,622 | |
| Federal Signal Corp. | | | 1,954 | | | | 68,585 | |
| Franklin Electric Co., Inc. | | | 1,249 | | | | 92,076 | |
| Greenbrier Cos., Inc. (The)(b) | | | 1,041 | | | | 43,316 | |
| Hillenbrand, Inc. | | | 2,329 | | | | 97,445 | |
| John Bean Technologies Corp. | | | 1,016 | | | | 123,698 | |
| Lindsay Corp. | | | 350 | | | | 44,100 | |
| Meritor, Inc.*(b) | | | 2,264 | | | | 81,889 | |
| Mueller Industries, Inc. | | | 1,834 | | | | 98,761 | |
| Proto Labs, Inc.* | | | 882 | | | | 42,504 | |
| SPX Corp.* | | | 1,438 | | | | 72,375 | |
| Standex International Corp. | | | 390 | | | | 36,309 | |
| Tennant Co. | | | 593 | | | | 36,908 | |
| Titan International, Inc.* | | | 1,636 | | | | 29,792 | |
| Wabash National Corp. | | | 1,567 | | | | 24,053 | |
| | | | | | | 1,271,987 | |
| Marine - 0.4% |
| Matson, Inc. | | | 1,346 | | | | 120,978 | |
| | | | | | | | |
| Media - 0.6% |
| AMC Networks, Inc., Class A* | | | 935 | | | | 36,708 | |
| EW Scripps Co. (The), Class A* | | | 1,829 | | | | 29,026 | |
| Gannett Co., Inc.* | | | 4,552 | | | | 17,889 | |
| Loyalty Ventures, Inc.* | | | 638 | | | | 6,763 | |
| Scholastic Corp. | | | 969 | | | | 36,367 | |
| TechTarget, Inc.* | | | 852 | | | | 60,569 | |
| Thryv Holdings, Inc.* | | | 543 | | | | 14,221 | |
| | | | | | | 201,543 | |
| Metals & Mining - 1.7% |
| Allegheny Technologies, Inc.*(b) | | | 4,070 | | | | 111,925 | |
| Arconic Corp.* | | | 3,404 | | | | 95,755 | |
| Carpenter Technology Corp.(b) | | | 1,542 | | | | 54,325 | |
| Century Aluminum Co.* | | | 1,614 | | | | 19,045 | |
| Compass Minerals International, Inc.(b) | | | 1,089 | | | | 48,929 | |
| Haynes International, Inc. | | | 397 | | | | 15,185 | |
| Kaiser Aluminum Corp. | | | 508 | | | | 51,902 | |
| Materion Corp. | | | 654 | | | | 53,615 | |
| Olympic Steel, Inc. | | | 299 | | | | 10,217 | |
| SunCoke Energy, Inc. | | | 2,660 | | | | 21,519 | |
| TimkenSteel Corp.* | | | 1,314 | | | | 30,353 | |
| Warrior Met Coal, Inc. | | | 1,643 | | | | 55,238 | |
| | | | | | | 568,008 | |
| Mortgage Real Estate Investment Trusts (REITs) - 1.2% |
| Apollo Commercial Real Estate Finance, Inc. | | | 4,225 | | | | 53,784 | |
| ARMOUR Residential REIT, Inc.(b) | | | 2,870 | | | | 21,697 | |
| Ellington Financial, Inc. | | | 1,744 | | | | 27,015 | |
| Franklin BSP Realty Trust, Inc. | | | 1,405 | | | | 21,749 | |
| Granite Point Mortgage Trust, Inc. | | | 1,722 | | | | 18,942 | |
| Invesco Mortgage Capital, Inc. | | | 9,970 | | | | 17,747 | |
| KKR Real Estate Finance Trust, Inc. | | | 1,433 | | | | 29,262 | |
| New York Mortgage Trust, Inc. | | | 12,132 | | | | 36,760 | |
| PennyMac Mortgage Investment Trust | | | 3,035 | | | | 49,106 | |
| Ready Capital Corp. | | | 2,150 | | | | 31,562 | |
| Redwood Trust, Inc. | | | 3,669 | | | | 37,424 | |
| Two Harbors Investment Corp. | | | 11,000 | | | | 58,740 | |
| | | | | | | 403,788 | |
| Multiline Retail - 0.1% |
| Big Lots, Inc. | | | 976 | | | | 23,902 | |
| | | | | | | | |
| Multi-Utilities - 0.4% |
| Avista Corp. | | | 2,263 | | | | 98,305 | |
| Unitil Corp. | | | 511 | | | | 29,541 | |
| | | | | | | 127,846 | |
| Oil, Gas & Consumable Fuels - 3.9% |
| Callon Petroleum Co.* | | | 1,510 | | | | 88,275 | |
| Civitas Resources, Inc.(b) | | | 2,304 | | | | 175,910 | |
| CONSOL Energy, Inc.* | | | 1,013 | | | | 52,230 | |
| Dorian LPG Ltd. | | | 886 | | | | 15,062 | |
| Green Plains, Inc.* | | | 1,715 | | | | 55,875 | |
| Laredo Petroleum, Inc.* | | | 460 | | | | 38,718 | |
| Par Pacific Holdings, Inc.* | | | 1,464 | | | | 24,010 | |
| PBF Energy, Inc., Class A* | | | 3,039 | | | | 100,895 | |
| Ranger Oil Corp.* | | | 675 | | | | 28,897 | |
| Renewable Energy Group, Inc.* | | | 1,608 | | | | 98,586 | |
| REX American Resources Corp.* | | | 166 | | | | 14,424 | |
| SM Energy Co. | | | 3,883 | | | | 187,432 | |
| Southwestern Energy Co.* | | | 35,636 | | | | 325,000 | |
| Talos Energy, Inc.* | | | 1,308 | | | | 28,253 | |
| World Fuel Services Corp. | | | 2,018 | | | | 50,026 | |
| | | | | | | 1,283,593 | |
| Paper & Forest Products - 0.4% |
| Clearwater Paper Corp.* | | | 534 | | | | 18,343 | |
| Glatfelter Corp. | | | 1,425 | | | | 12,283 | |
| Mercer International, Inc. | | | 1,289 | | | | 19,039 | |
| Neenah, Inc. | | | 535 | | | | 20,282 | |
| Sylvamo Corp.* | | | 1,128 | | | | 57,235 | |
| | | | | | | 127,182 | |
| Personal Products - 0.7% |
| Edgewell Personal Care Co. | | | 1,728 | | | | 62,899 | |
| elf Beauty, Inc.* | | | 1,533 | | | | 40,809 | |
| Inter Parfums, Inc. | | | 569 | | | | 41,992 | |
| Medifast, Inc. | | | 372 | | | | 62,031 | |
| USANA Health Sciences, Inc.*(b) | | | 374 | | | | 26,303 | |
| | | | | | | 234,034 | |
| Pharmaceuticals - 1.4% |
| Amphastar Pharmaceuticals, Inc.*(b) | | | 1,177 | | | | 43,714 | |
| ANI Pharmaceuticals, Inc.* | | | 407 | | | | 12,312 | |
| Cara Therapeutics, Inc.* | | | 1,340 | | | | 11,149 | |
| Collegium Pharmaceutical, Inc.* | | | 1,106 | | | | 17,276 | |
| Corcept Therapeutics, Inc.* | | | 3,049 | | | | 63,541 | |
| Endo International plc*(b) | | | 7,475 | | | | 3,944 | |
| Harmony Biosciences Holdings, Inc.* | | | 729 | | | | 31,784 | |
| Innoviva, Inc.*(b) | | | 2,001 | | | | 30,355 | |
| Nektar Therapeutics*(b) | | | 5,904 | | | | 20,546 | |
| Pacira BioSciences, Inc.*(b) | | | 1,425 | | | | 90,131 | |
| Phibro Animal Health Corp., Class A | | | 651 | | | | 12,506 | |
| Prestige Consumer Healthcare, Inc.* | | | 1,605 | | | | 89,591 | |
| Supernus Pharmaceuticals, Inc.* | | | 1,701 | | | | 47,407 | |
| | | | | | | 474,256 | |
| Professional Services - 1.4% |
| Exponent, Inc. | | | 1,666 | | | | 150,590 | |
| Forrester Research, Inc.* | | | 356 | | | | 18,629 | |
| Heidrick & Struggles International, Inc. | | | 626 | | | | 21,634 | |
| Kelly Services, Inc., Class A | | | 1,152 | | | | 22,994 | |
See accompanying notes to the financial statements.
Ultra SmallCap600
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Korn Ferry | | | 1,740 | | | | 106,940 | |
| ManTech International Corp., Class A | | | 881 | | | | 84,268 | |
| Resources Connection, Inc. | | | 976 | | | | 18,027 | |
| TrueBlue, Inc.* | | | 1,135 | | | | 24,993 | |
| | | | | | | 448,075 | |
| Real Estate Management & Development - 0.5% |
| Douglas Elliman, Inc. | | | 2,116 | | | | 12,167 | |
| Marcus & Millichap, Inc. | | | 800 | | | | 33,504 | |
| RE/MAX Holdings, Inc., Class A(b) | | | 605 | | | | 14,702 | |
| Realogy Holdings Corp.* | | | 3,728 | | | | 46,153 | |
| St Joe Co. (The) | | | 1,054 | | | | 53,216 | |
| | | | | | | 159,742 | |
| Road & Rail - 0.4% |
| ArcBest Corp. | | | 795 | | | | 60,126 | |
| Heartland Express, Inc. | | | 1,490 | | | | 21,277 | |
| Marten Transport Ltd. | | | 1,913 | | | | 33,592 | |
| | | | | | | 114,995 | |
| Semiconductors & Semiconductor Equipment - 3.1% |
| Alpha & Omega Semiconductor Ltd.* | | | 678 | | | | 29,784 | |
| Axcelis Technologies, Inc.* | | | 1,065 | | | | 66,094 | |
| CEVA, Inc.* | | | 735 | | | | 26,511 | |
| Cohu, Inc.* | | | 1,556 | | | | 47,349 | |
| Diodes, Inc.* | | | 1,438 | | | | 110,740 | |
| FormFactor, Inc.* | | | 2,502 | | | | 102,732 | |
| Ichor Holdings Ltd.* | | | 907 | | | | 27,428 | |
| Kulicke & Soffa Industries, Inc.(b) | | | 1,992 | | | | 107,907 | |
| MaxLinear, Inc.* | | | 2,259 | | | | 89,434 | |
| Onto Innovation, Inc.* | | | 1,576 | | | | 126,679 | |
| PDF Solutions, Inc.* | | | 954 | | | | 22,801 | |
| Photronics, Inc.* | | | 1,972 | | | | 42,871 | |
| Rambus, Inc.* | | | 3,498 | | | | 87,800 | |
| SMART Global Holdings, Inc.* | | | 1,500 | | | | 36,975 | |
| Ultra Clean Holdings, Inc.* | | | 1,435 | | | | 48,159 | |
| Veeco Instruments, Inc.* | | | 1,615 | | | | 34,609 | |
| | | | | | | 1,007,873 | |
| Software - 2.4% |
| 8x8, Inc.* | | | 3,785 | | | | 27,441 | |
| A10 Networks, Inc. | | | 1,909 | | | | 29,418 | |
| Agilysys, Inc.* | | | 623 | | | | 25,462 | |
| Alarm.com Holdings, Inc.*(b) | | | 1,474 | | | | 93,201 | |
| Cerence, Inc.*(b) | | | 1,252 | | | | 39,764 | |
| Consensus Cloud Solutions, Inc.* | | | 510 | | | | 24,495 | |
| Ebix, Inc. | | | 761 | | | | 22,183 | |
| InterDigital, Inc.(b) | | | 981 | | | | 64,050 | |
| LivePerson, Inc.* | | | 2,158 | | | | 36,211 | |
| OneSpan, Inc.* | | | 1,100 | | | | 14,553 | |
| Progress Software Corp. | | | 1,412 | | | | 68,214 | |
| SPS Commerce, Inc.* | | | 1,150 | | | | 123,096 | |
| Vonage Holdings Corp.* | | | 8,074 | | | | 156,393 | |
| Xperi Holding Corp. | | | 3,342 | | | | 55,009 | |
| | | | | | | 779,490 | |
| Specialty Retail - 3.6% |
| Aaron's Co., Inc. (The) | | | 1,007 | | | | 19,697 | |
| Abercrombie & Fitch Co., Class A* | | | 1,807 | | | | 36,935 | |
| Academy Sports & Outdoors, Inc. | | | 2,802 | | | | 93,895 | |
| America's Car-Mart, Inc.* | | | 193 | | | | 20,921 | |
| Asbury Automotive Group, Inc.*(b) | | | 739 | | | | 133,870 | |
| Bed Bath & Beyond, Inc.* | | | 3,081 | | | | 26,651 | |
| Boot Barn Holdings, Inc.* | | | 947 | | | | 76,423 | |
| Buckle, Inc. (The) | | | 940 | | | | 30,888 | |
| Caleres, Inc. | | | 1,219 | | | | 34,693 | |
| Cato Corp. (The), Class A | | | 609 | | | | 7,948 | |
| Chico's FAS, Inc.* | | | 3,921 | | | | 19,409 | |
| Children's Place, Inc. (The)* | | | 436 | | | | 20,701 | |
| Conn's, Inc.* | | | 614 | | | | 8,105 | |
| Designer Brands, Inc., Class A | | | 1,972 | | | | 30,625 | |
| Genesco, Inc.* | | | 439 | | | | 24,720 | |
| Group 1 Automotive, Inc. | | | 550 | | | | 98,775 | |
| Guess?, Inc.(b) | | | 1,247 | | | | 26,012 | |
| Haverty Furniture Cos., Inc. | | | 475 | | | | 13,424 | |
| Hibbett, Inc. | | | 411 | | | | 20,858 | |
| LL Flooring Holdings, Inc.* | | | 932 | | | | 11,193 | |
| MarineMax, Inc.* | | | 701 | | | | 29,028 | |
| Monro, Inc. | | | 1,074 | | | | 50,929 | |
| ODP Corp. (The)* | | | 1,468 | | | | 56,063 | |
| Rent-A-Center, Inc. | | | 1,933 | | | | 53,235 | |
| Sally Beauty Holdings, Inc.* | | | 3,521 | | | | 53,378 | |
| Shoe Carnival, Inc. | | | 559 | | | | 15,238 | |
| Signet Jewelers Ltd.(b) | | | 1,683 | | | | 100,307 | |
| Sleep Number Corp.* | | | 724 | | | | 33,253 | |
| Sonic Automotive, Inc., Class A | | | 664 | | | | 30,285 | |
| Zumiez, Inc.* | | | 624 | | | | 20,474 | |
| | | | | | | 1,197,933 | |
| Technology Hardware, Storage & Peripherals - 0.2% |
| 3D Systems Corp.*(b) | | | 4,088 | | | | 44,191 | |
| Corsair Gaming, Inc.*(b) | | | 1,056 | | | | 16,949 | |
| Diebold Nixdorf, Inc.* | | | 2,333 | | | | 7,256 | |
| | | | | | | 68,396 | |
| Textiles, Apparel & Luxury Goods - 1.0% |
| Fossil Group, Inc.* | | | 1,519 | | | | 11,150 | |
| G-III Apparel Group Ltd.* | | | 1,397 | | | | 35,009 | |
| Kontoor Brands, Inc. | | | 1,522 | | | | 60,987 | |
| Movado Group, Inc. | | | 525 | | | | 17,813 | |
| Oxford Industries, Inc. | | | 508 | | | | 46,309 | |
| Steven Madden Ltd. | | | 2,447 | | | | 90,979 | |
| Unifi, Inc.* | | | 445 | | | | 7,035 | |
| Vera Bradley, Inc.* | | | 811 | | | | 5,523 | |
| Wolverine World Wide, Inc. | | | 2,636 | | | | 56,252 | |
| | | | | | | 331,057 | |
| Thrifts & Mortgage Finance - 1.9% |
| Axos Financial, Inc.* | | | 1,715 | | | | 66,285 | |
| Capitol Federal Financial, Inc. | | | 4,131 | | | | 41,930 | |
| Flagstar Bancorp, Inc. | | | 1,702 | | | | 65,578 | |
| Mr Cooper Group, Inc.* | | | 2,405 | | | | 104,281 | |
| NMI Holdings, Inc., Class A* | | | 2,744 | | | | 51,066 | |
| Northfield Bancorp, Inc. | | | 1,387 | | | | 18,433 | |
| Provident Financial Services, Inc. | | | 2,447 | | | | 56,256 | |
| TrustCo Bank Corp. | | | 613 | | | | 19,745 | |
| Walker & Dunlop, Inc. | | | 943 | | | | 100,250 | |
| WSFS Financial Corp. | | | 2,093 | | | | 89,538 | |
| | | | | | | 613,362 | |
| Tobacco - 0.3% |
| Universal Corp. | | | 787 | | | | 50,116 | |
| Vector Group Ltd. | | | 4,185 | | | | 51,518 | |
| | | | | | | 101,634 | |
| Trading Companies & Distributors - 1.3% |
| Applied Industrial Technologies, Inc. | | | 1,230 | | | | 127,194 | |
| Boise Cascade Co. | | | 1,258 | | | | 97,269 | |
| DXP Enterprises, Inc.* | | | 552 | | | | 16,935 | |
| GMS, Inc.* | | | 1,377 | | | | 68,588 | |
| NOW, Inc.* | | | 3,536 | | | | 39,038 | |
See accompanying notes to the financial statements.
Ultra SmallCap600
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Veritiv Corp.* | | | 444 | | | | 64,535 | |
| | | | | | | 413,559 | |
| Water Utilities - 0.7% |
| American States Water Co. | | | 1,182 | | | | 93,674 | |
| California Water Service Group | | | 1,681 | | | | 90,219 | |
| Middlesex Water Co. | | | 560 | | | | 47,617 | |
| | | | | | | 231,510 | |
| Wireless Telecommunication Services - 0.4% |
| Gogo, Inc.* | | | 2,143 | | | | 43,417 | |
| Shenandoah Telecommunications Co. | | | 1,598 | | | | 36,690 | |
| Telephone and Data Systems, Inc. | | | 3,159 | | | | 56,009 | |
| | | | | | | 136,116 | |
TOTAL COMMON STOCKS
(Cost $32,734,500) | | | | | | | 29,774,034 | |
| | | | | | | | |
| SECURITIES LENDING REINVESTMENTS(d) - 0.7% |
| | | | | | | | |
| INVESTMENT COMPANIES - 0.7% |
BlackRock Liquidity FedFund, Institutional Class
0.72% (Cost $226,827) | | | 226,827 | | | | 226,827 | |
| Investments | | Principal
Amount ($) | | | Value ($) | |
| | | | | | |
| SHORT-TERM INVESTMENTS - 19.6% |
| | | | | | |
| REPURCHASE AGREEMENTS(e) - 19.6% |
| Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $6,447,384 | | | | | | | | |
| (Cost $6,447,256) | | | 6,447,256 | | | | 6,447,256 | |
| | | | | | | | |
Total Investments - 110.7%
(Cost $39,408,583) | | | | | | | 36,448,117 | |
| Liabilities in excess of other assets - (10.7%) | | | | | | | (3,513,096 | ) |
| Net Assets - 100.0% | | | | | | | 32,935,021 | |
| * | Non-income producing security. |
| (a) | All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $7,294,298. |
| (b) | The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $1,199,319, collateralized in the form of cash with a value of $226,827 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $1,023,145 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 4.63%, and maturity dates ranging from June 15, 2022 – February 15, 2051. The total value of collateral is $1,249,972. |
| (c) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
| (d) | The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $226,827. |
| (e) | The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase. |
| As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows: |
| |
| Aggregate gross unrealized appreciation | | $ | 2,190,133 | |
| Aggregate gross unrealized depreciation | | | (9,738,542 | ) |
| Net unrealized depreciation | | $ | (7,548,409 | ) |
| Federal income tax cost | | $ | 39,468,194 | |
See accompanying notes to the financial statements.
Ultra SmallCap600
Schedule of Portfolio Investments
May 31, 2022
Swap Agreementsa
Ultra SmallCap600 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount ($) | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | | Reference Instrument | | Value and
Unrealized
Depreciationd
($) | | Financial
Instruments
for the Benefit
of (the Fund)/
the
Counterparty
($) | | Cash
Collateral for
the Benefit of
(the Fund)/
the
Counterparty
($) | | Net Amounte
($) | |
| 8,264,995 | | 5/8/2023 | | Bank of America NA | | 1.18 | % | | S&P SmallCap 600® | | (1,693,273 | ) | 1,435,009 | | 258,264 | | — | |
| 6,902,118 | | 11/7/2022 | | Citibank NA | | 1.18 | % | | S&P SmallCap 600® | | (780,550 | ) | 769,506 | | 11,044 | | — | |
| 4,114,581 | | 11/7/2022 | | Morgan Stanley & Co. International plc | | 1.43 | % | | S&P SmallCap 600® | | (481,710 | ) | 477,887 | | 3,823 | | — | |
| 10,361,826 | | 3/7/2023 | | Societe Generale | | 1.28 | % | | S&P SmallCap 600® | | (888,300 | ) | 869,968 | | 18,332 | | — | |
| 6,439,999 | | 3/7/2023 | | UBS AG | | 1.13 | % | | S&P SmallCap 600® | | (684,499 | ) | — | | 684,499 | | — | |
| 36,083,519 | | | | | | | | | | | (4,528,332 | ) | | | | | | |
| | | | | | | | | Total Unrealized Depreciation | | (4,528,332 | ) | | | | | | |
| a | The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815. |
| b | Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity. |
| c | Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation). |
| d | The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities. |
| e | Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default. |
See accompanying notes to the financial statements.
UltraPro MidCap400
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| | | | | | |
| COMMON STOCKS(a) - 84.7% |
| | | | | | | | |
| Aerospace & Defense - 1.1% |
| Axon Enterprise, Inc.* | | | 805 | | | | 81,595 | |
| Curtiss-Wright Corp. | | | 461 | | | | 65,452 | |
| Hexcel Corp. | | | 984 | | | | 56,531 | |
| Mercury Systems, Inc.* | | | 664 | | | | 39,714 | |
| Woodward, Inc. | | | 739 | | | | 75,090 | |
| | | | | | | 318,382 | |
| Air Freight & Logistics - 0.2% |
| GXO Logistics, Inc.* | | | 1,158 | | | | 62,845 | |
| | | | | | | | |
| Airlines - 0.1% |
| JetBlue Airways Corp.* | | | 3,729 | | | | 40,049 | |
| | | | | | | | |
| Auto Components - 1.2% |
| Adient plc* | | | 1,110 | | | | 39,283 | |
| Dana, Inc. | | | 1,692 | | | | 28,019 | |
| Fox Factory Holding Corp.* | | | 494 | | | | 40,518 | |
| Gentex Corp. | | | 2,775 | | | | 86,247 | |
| Goodyear Tire & Rubber Co. (The)* | | | 3,295 | | | | 42,571 | |
| Lear Corp. | | | 701 | | | | 98,813 | |
| Visteon Corp.* | | | 327 | | | | 36,693 | |
| | | | | | | 372,144 | |
| Automobiles - 0.4% |
| Harley-Davidson, Inc. | | | 1,804 | | | | 63,465 | |
| Thor Industries, Inc. | | | 654 | | | | 49,684 | |
| | | | | | | 113,149 | |
| Banks - 5.9% |
| Associated Banc-Corp. | | | 1,754 | | | | 36,308 | |
| Bank of Hawaii Corp.(b) | | | 471 | | | | 37,435 | |
| Bank OZK | | | 1,419 | | | | 58,846 | |
| Cadence Bank | | | 2,208 | | | | 59,020 | |
| Cathay General Bancorp | | | 888 | | | | 36,506 | |
| Commerce Bancshares, Inc. | | | 1,297 | | | | 89,726 | |
| Cullen/Frost Bankers, Inc. | | | 667 | | | | 83,362 | |
| East West Bancorp, Inc. | | | 1,664 | | | | 122,371 | |
| First Financial Bankshares, Inc.(b) | | | 1,503 | | | | 61,984 | |
| First Horizon Corp. | | | 6,264 | | | | 143,007 | |
| FNB Corp. | | | 3,984 | | | | 48,406 | |
| Fulton Financial Corp. | | | 1,892 | | | | 29,988 | |
| Glacier Bancorp, Inc. | | | 1,272 | | | | 61,578 | |
| Hancock Whitney Corp. | | | 1,018 | | | | 50,737 | |
| Home BancShares, Inc. | | | 1,766 | | | | 39,894 | |
| International Bancshares Corp. | | | 623 | | | | 26,122 | |
| Old National Bancorp | | | 3,464 | | | | 55,078 | |
| PacWest Bancorp | | | 1,404 | | | | 44,338 | |
| Pinnacle Financial Partners, Inc. | | | 894 | | | | 72,789 | |
| Prosperity Bancshares, Inc. | | | 1,081 | | | | 78,372 | |
| Synovus Financial Corp. | | | 1,700 | | | | 72,505 | |
| Texas Capital Bancshares, Inc.* | | | 594 | | | | 33,579 | |
| UMB Financial Corp. | | | 507 | | | | 46,821 | |
| Umpqua Holdings Corp. | | | 2,540 | | | | 44,831 | |
| United Bankshares, Inc. | | | 1,598 | | | | 60,021 | |
| Valley National Bancorp | | | 4,944 | | | | 62,838 | |
| Washington Federal, Inc. | | | 763 | | | | 24,759 | |
| Webster Financial Corp. | | | 2,109 | | | | 103,531 | |
| Wintrust Financial Corp. | | | 668 | | | | 58,377 | |
| | | | | | | 1,743,129 | |
| Beverages - 0.1% |
| Boston Beer Co., Inc. (The), Class A* | | | 111 | | | | 39,438 | |
| | | | | | | | |
| Biotechnology - 1.4% |
| Arrowhead Pharmaceuticals, Inc.* | | | 1,237 | | | | 41,266 | |
| Exelixis, Inc.* | | | 3,712 | | | | 68,041 | |
| Halozyme Therapeutics, Inc.* | | | 1,650 | | | | 75,867 | |
| Neurocrine Biosciences, Inc.* | | | 1,111 | | | | 103,868 | |
| United Therapeutics Corp.* | | | 527 | | | | 121,389 | |
| | | | | | | 410,431 | |
| Building Products - 2.1% |
| Builders FirstSource, Inc.* | | | 2,246 | | | | 146,192 | |
| Carlisle Cos., Inc. | | | 614 | | | | 156,220 | |
| Lennox International, Inc. | | | 395 | | | | 82,516 | |
| Owens Corning | | | 1,179 | | | | 112,689 | |
| Simpson Manufacturing Co., Inc. | | | 511 | | | | 55,367 | |
| Trex Co., Inc.* | | | 1,352 | | | | 86,149 | |
| | | | | | | 639,133 | |
| Capital Markets - 1.7% |
| Affiliated Managers Group, Inc. | | | 476 | | | | 63,603 | |
| Evercore, Inc., Class A | | | 459 | | | | 52,418 | |
| Federated Hermes, Inc. | | | 1,136 | | | | 38,590 | |
| Interactive Brokers Group, Inc., Class A | | | 1,024 | | | | 63,017 | |
| Janus Henderson Group plc | | | 1,983 | | | | 55,742 | |
| Jefferies Financial Group, Inc. | | | 2,269 | | | | 74,922 | |
| SEI Investments Co. | | | 1,234 | | | | 72,103 | |
| Stifel Financial Corp. | | | 1,226 | | | | 78,672 | |
| | | | | | | 499,067 | |
| Chemicals - 2.5% |
| Ashland Global Holdings, Inc. | | | 620 | | | | 66,353 | |
| Avient Corp. | | | 1,072 | | | | 52,742 | |
| Cabot Corp. | | | 666 | | | | 50,356 | |
| Chemours Co. (The) | | | 1,878 | | | | 80,923 | |
| Ingevity Corp.* | | | 462 | | | | 32,192 | |
| Minerals Technologies, Inc. | | | 390 | | | | 25,841 | |
| NewMarket Corp. | | | 79 | | | | 26,032 | |
| Olin Corp. | | | 1,654 | | | | 108,817 | |
| RPM International, Inc. | | | 1,521 | | | | 134,000 | |
| Scotts Miracle-Gro Co. (The) | | | 475 | | | | 44,945 | |
| Sensient Technologies Corp. | | | 493 | | | | 43,108 | |
| Valvoline, Inc. | | | 2,103 | | | | 70,366 | |
| | | | | | | 735,675 | |
| Commercial Services & Supplies - 1.3% |
| Brink's Co. (The) | | | 575 | | | | 34,977 | |
| Clean Harbors, Inc.* | | | 587 | | | | 54,826 | |
| IAA, Inc.* | | | 1,582 | | | | 61,745 | |
| MillerKnoll, Inc. | | | 888 | | | | 26,818 | |
| MSA Safety, Inc. | | | 426 | | | | 54,311 | |
| Stericycle, Inc.* | | | 1,078 | | | | 54,493 | |
| Tetra Tech, Inc. | | | 633 | | | | 85,436 | |
| | | | | | | 372,606 | |
| Communications Equipment - 0.8% |
| Calix, Inc.* | | | 644 | | | | 23,790 | |
| Ciena Corp.* | | | 1,816 | | | | 92,289 | |
| Lumentum Holdings, Inc.* | | | 847 | | | | 72,910 | |
| Viasat, Inc.* | | | 872 | | | | 34,435 | |
| | | | | | | 223,424 | |
| Construction & Engineering - 1.5% |
| AECOM | | | 1,657 | | | | 115,741 | |
| Dycom Industries, Inc.* | | | 355 | | | | 33,054 | |
| EMCOR Group, Inc. | | | 625 | | | | 66,019 | |
See accompanying notes to the financial statements.
UltraPro MidCap400
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Fluor Corp.*(b) | | | 1,658 | | | | 46,805 | |
| MasTec, Inc.* | | | 691 | | | | 57,761 | |
| MDU Resources Group, Inc. | | | 2,387 | | | | 65,356 | |
| Valmont Industries, Inc. | | | 249 | | | | 63,931 | |
| | | | | | | 448,667 | |
| Construction Materials - 0.2% |
| Eagle Materials, Inc. | | | 464 | | | | 60,580 | |
| | | | | | | | |
| Consumer Finance - 0.4% |
| FirstCash Holdings, Inc. | | | 471 | | | | 35,160 | |
| Navient Corp. | | | 1,804 | | | | 28,864 | |
| SLM Corp. | | | 3,273 | | | | 64,118 | |
| | | | | | | 128,142 | |
| Containers & Packaging - 0.7% |
| AptarGroup, Inc. | | | 771 | | | | 82,566 | |
| Greif, Inc., Class A | | | 312 | | | | 18,555 | |
| Silgan Holdings, Inc. | | | 984 | | | | 43,109 | |
| Sonoco Products Co. | | | 1,155 | | | | 67,533 | |
| | | | | | | 211,763 | |
| Diversified Consumer Services - 0.9% |
| Graham Holdings Co., Class B | | | 47 | | | | 28,812 | |
| Grand Canyon Education, Inc.* | | | 467 | | | | 41,643 | |
| H&R Block, Inc. | | | 1,930 | | | | 68,013 | |
| Service Corp. International | | | 1,936 | | | | 135,578 | |
| | | | | | | 274,046 | |
| Diversified Financial Services - 0.3% |
| Voya Financial, Inc. | | | 1,266 | | | | 86,860 | |
| | | | | | | | |
| Diversified Telecommunication Services - 0.2% |
| Iridium Communications, Inc.* | | | 1,550 | | | | 57,520 | |
| | | | | | | | |
| Electric Utilities - 1.0% |
| ALLETE, Inc. | | | 655 | | | | 40,623 | |
| Hawaiian Electric Industries, Inc. | | | 1,282 | | | | 55,344 | |
| IDACORP, Inc. | | | 593 | | | | 64,649 | |
| OGE Energy Corp. | | | 2,347 | | | | 96,931 | |
| PNM Resources, Inc. | | | 1,008 | | | | 47,910 | |
| | | | | | | 305,457 | |
| Electrical Equipment - 1.6% |
| Acuity Brands, Inc. | | | 412 | | | | 72,108 | |
| EnerSys | | | 483 | | | | 32,709 | |
| Hubbell, Inc. | | | 638 | | | | 121,131 | |
| nVent Electric plc | | | 1,974 | | | | 69,880 | |
| Regal Rexnord Corp. | | | 795 | | | | 99,335 | |
| Sunrun, Inc.* | | | 2,429 | | | | 63,445 | |
| Vicor Corp.* | | | 252 | | | | 16,960 | |
| | | | | | | 475,568 | |
| Electronic Equipment, Instruments & Components - 2.7% |
| Arrow Electronics, Inc.* | | | 799 | | | | 96,399 | |
| Avnet, Inc. | | | 1,159 | | | | 56,154 | |
| Belden, Inc. | | | 525 | | | | 30,230 | |
| Cognex Corp. | | | 2,075 | | | | 100,472 | |
| Coherent, Inc.* | | | 290 | | | | 78,578 | |
| II-VI, Inc.*(b) | | | 1,248 | | | | 78,000 | |
| Jabil, Inc. | | | 1,683 | | | | 103,538 | |
| Littelfuse, Inc. | | | 288 | | | | 77,818 | |
| National Instruments Corp. | | | 1,548 | | | | 54,675 | |
| TD SYNNEX Corp. | | | 486 | | | | 50,471 | |
| Vishay Intertechnology, Inc. | | | 1,555 | | | | 31,784 | |
| Vontier Corp. | | | 1,984 | | | | 53,211 | |
| | | | | | | 811,330 | |
| Energy Equipment & Services - 0.5% |
| ChampionX Corp. | | | 2,370 | | | | 55,150 | |
| NOV, Inc. | | | 4,604 | | | | 92,080 | |
| | | | | | | 147,230 | |
| Entertainment - 0.1% |
| World Wrestling Entertainment, Inc., Class A | | | 514 | | | | 34,320 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (REITs) - 7.5% |
| American Campus Communities, Inc. | | | 1,633 | | | | 106,145 | |
| Apartment Income REIT Corp. | | | 1,843 | | | | 82,677 | |
| Brixmor Property Group, Inc. | | | 3,494 | | | | 85,184 | |
| Corporate Office Properties Trust | | | 1,317 | | | | 36,402 | |
| Cousins Properties, Inc.(b) | | | 1,745 | | | | 60,290 | |
| Douglas Emmett, Inc. | | | 2,057 | | | | 58,151 | |
| EastGroup Properties, Inc. | | | 476 | | | | 76,898 | |
| EPR Properties | | | 876 | | | | 44,886 | |
| First Industrial Realty Trust, Inc. | | | 1,529 | | | | 81,266 | |
| Healthcare Realty Trust, Inc.(b) | | | 1,731 | | | | 50,320 | |
| Highwoods Properties, Inc. | | | 1,230 | | | | 48,327 | |
| Hudson Pacific Properties, Inc. | | | 1,789 | | | | 35,619 | |
| Independence Realty Trust, Inc. | | | 2,822 | | | | 66,345 | |
| JBG SMITH Properties | | | 1,339 | | | | 34,560 | |
| Kilroy Realty Corp. | | | 1,232 | | | | 74,782 | |
| Kite Realty Group Trust | | | 2,569 | | | | 53,846 | |
| Lamar Advertising Co., Class A | | | 1,018 | | | | 99,713 | |
| Life Storage, Inc. | | | 960 | | | | 112,090 | |
| Macerich Co. (The) | | | 2,497 | | | | 29,340 | |
| Medical Properties Trust, Inc. | | | 7,000 | | | | 130,060 | |
| National Retail Properties, Inc. | | | 2,060 | | | | 91,258 | |
| National Storage Affiliates Trust | | | 960 | | | | 50,352 | |
| Omega Healthcare Investors, Inc. | | | 2,803 | | | | 83,445 | |
| Park Hotels & Resorts, Inc. | | | 2,775 | | | | 50,117 | |
| Pebblebrook Hotel Trust | | | 1,542 | | | | 34,710 | |
| Physicians Realty Trust | | | 2,585 | | | | 47,952 | |
| PotlatchDeltic Corp. | | | 811 | | | | 42,545 | |
| PS Business Parks, Inc. | | | 235 | | | | 44,093 | |
| Rayonier, Inc. | | | 1,704 | | | | 70,239 | |
| Rexford Industrial Realty, Inc. | | | 1,880 | | | | 120,076 | |
| Sabra Health Care REIT, Inc. | | | 2,683 | | | | 37,669 | |
| SL Green Realty Corp. | | | 754 | | | | 46,569 | |
| Spirit Realty Capital, Inc. | | | 1,500 | | | | 62,985 | |
| STORE Capital Corp. | | | 2,880 | | | | 79,459 | |
| | | | | | | 2,228,370 | |
| Food & Staples Retailing - 1.1% |
| BJ's Wholesale Club Holdings, Inc.* | | | 1,596 | | | | 92,361 | |
| Casey's General Stores, Inc. | | | 435 | | | | 91,150 | |
| Grocery Outlet Holding Corp.* | | | 1,024 | | | | 39,168 | |
| Performance Food Group Co.* | | | 1,816 | | | | 78,705 | |
| Sprouts Farmers Market, Inc.* | | | 1,316 | | | | 35,650 | |
| | | | | | | 337,034 | |
| Food Products - 1.6% |
| Darling Ingredients, Inc.* | | | 1,896 | | | | 151,813 | |
| Flowers Foods, Inc. | | | 2,332 | | | | 64,363 | |
| Hain Celestial Group, Inc. (The)* | | | 1,070 | | | | 28,194 | |
| Ingredion, Inc. | | | 780 | | | | 73,858 | |
| Lancaster Colony Corp. | | | 232 | | | | 28,281 | |
| Pilgrim's Pride Corp.* | | | 571 | | | | 19,026 | |
| Post Holdings, Inc.* | | | 667 | | | | 54,847 | |
| Sanderson Farms, Inc. | | | 249 | | | | 49,676 | |
| | | | | | | 470,058 | |
| Gas Utilities - 1.4% |
| National Fuel Gas Co. | | | 1,072 | | | | 78,824 | |
See accompanying notes to the financial statements.
UltraPro MidCap400
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| New Jersey Resources Corp. | | | 1,127 | | | | 51,752 | |
| ONE Gas, Inc. | | | 627 | | | | 54,562 | |
| Southwest Gas Holdings, Inc. | | | 772 | | | | 71,896 | |
| Spire, Inc. | | | 608 | | | | 47,606 | |
| UGI Corp. | | | 2,461 | | | | 105,183 | |
| | | | | | | 409,823 | |
| Health Care Equipment & Supplies - 2.5% |
| Enovis Corp.* | | | 567 | | | | 37,616 | |
| Envista Holdings Corp.* | | | 1,894 | | | | 81,518 | |
| Globus Medical, Inc., Class A* | | | 927 | | | | 61,738 | |
| Haemonetics Corp.* | | | 600 | | | | 37,956 | |
| ICU Medical, Inc.* | | | 233 | | | | 42,322 | |
| Inari Medical, Inc.* | | | 376 | | | | 24,741 | |
| Integra LifeSciences Holdings Corp.* | | | 856 | | | | 53,620 | |
| LivaNova plc* | | | 623 | | | | 42,408 | |
| Masimo Corp.* | | | 596 | | | | 83,696 | |
| Neogen Corp.* | | | 1,262 | | | | 33,393 | |
| NuVasive, Inc.* | | | 608 | | | | 34,905 | |
| Penumbra, Inc.* | | | 413 | | | | 60,678 | |
| QuidelOrtho Corp.* | | | 587 | | | | 55,783 | |
| STAAR Surgical Co.* | | | 559 | | | | 36,860 | |
| Tandem Diabetes Care, Inc.* | | | 746 | | | | 50,855 | |
| | | | | | | 738,089 | |
| Health Care Providers & Services - 2.1% |
| Acadia Healthcare Co., Inc.* | | | 1,056 | | | | 75,155 | |
| Amedisys, Inc.* | | | 382 | | | | 44,278 | |
| Chemed Corp. | | | 179 | | | | 86,708 | |
| Encompass Health Corp. | | | 1,166 | | | | 76,420 | |
| HealthEquity, Inc.* | | | 981 | | | | 61,391 | |
| LHC Group, Inc.* | | | 370 | | | | 61,664 | |
| Option Care Health, Inc.* | | | 1,624 | | | | 49,305 | |
| Patterson Cos., Inc. | | | 1,017 | | | | 32,127 | |
| Progyny, Inc.* | | | 815 | | | | 25,762 | |
| R1 RCM, Inc.* | | | 1,565 | | | | 33,600 | |
| Tenet Healthcare Corp.* | | | 1,255 | | | | 81,211 | |
| | | | | | | 627,621 | |
| Hotels, Restaurants & Leisure - 2.3% |
| Boyd Gaming Corp. | | | 960 | | | | 56,419 | |
| Choice Hotels International, Inc. | | | 385 | | | | 49,238 | |
| Churchill Downs, Inc. | | | 405 | | | | 81,984 | |
| Cracker Barrel Old Country Store, Inc.(b) | | | 275 | | | | 28,053 | |
| Light & Wonder, Inc.* | | | 1,132 | | | | 59,770 | |
| Marriott Vacations Worldwide Corp. | | | 500 | | | | 73,860 | |
| Papa John's International, Inc. | | | 378 | | | | 33,268 | |
| Six Flags Entertainment Corp.* | | | 909 | | | | 26,679 | |
| Texas Roadhouse, Inc. | | | 816 | | | | 63,623 | |
| Travel + Leisure Co. | | | 1,011 | | | | 51,672 | |
| Wendy's Co. (The) | | | 2,070 | | | | 38,585 | |
| Wingstop, Inc. | | | 350 | | | | 27,881 | |
| Wyndham Hotels & Resorts, Inc. | | | 1,094 | | | | 87,662 | |
| | | | | | | 678,694 | |
| Household Durables - 1.3% |
| Helen of Troy Ltd.* | | | 283 | | | | 52,409 | |
| KB Home | | | 1,007 | | | | 34,731 | |
| Leggett & Platt, Inc. | | | 1,564 | | | | 61,262 | |
| Taylor Morrison Home Corp.* | | | 1,442 | | | | 41,775 | |
| Tempur Sealy International, Inc. | | | 2,257 | | | | 59,517 | |
| Toll Brothers, Inc. | | | 1,317 | | | | 66,469 | |
| TopBuild Corp.* | | | 386 | | | | 76,142 | |
| | | | | | | 392,305 | |
| Household Products - 0.1% |
| Energizer Holdings, Inc. | | | 768 | | | | 23,032 | |
| | | | | | | | |
| Insurance - 3.6% |
| Alleghany Corp.* | | | 162 | | | | 135,072 | |
| American Financial Group, Inc. | | | 776 | | | | 109,649 | |
| Brighthouse Financial, Inc.* | | | 912 | | | | 44,798 | |
| CNO Financial Group, Inc. | | | 1,411 | | | | 29,024 | |
| First American Financial Corp. | | | 1,289 | | | | 78,101 | |
| Hanover Insurance Group, Inc. (The) | | | 419 | | | | 61,426 | |
| Kemper Corp. | | | 704 | | | | 37,192 | |
| Kinsale Capital Group, Inc. | | | 252 | | | | 55,410 | |
| Mercury General Corp. | | | 313 | | | | 15,321 | |
| Old Republic International Corp. | | | 3,349 | | | | 80,108 | |
| Primerica, Inc. | | | 464 | | | | 58,464 | |
| Reinsurance Group of America, Inc. | | | 788 | | | | 99,170 | |
| RenaissanceRe Holdings Ltd. | | | 518 | | | | 79,523 | |
| RLI Corp. | | | 469 | | | | 56,805 | |
| Selective Insurance Group, Inc. | | | 707 | | | | 56,065 | |
| Unum Group | | | 2,398 | | | | 87,407 | |
| | | | | | | 1,083,535 | |
| Interactive Media & Services - 0.3% |
| TripAdvisor, Inc.* | | | 1,160 | | | | 28,814 | |
| Yelp, Inc.* | | | 806 | | | | 23,705 | |
| Ziff Davis, Inc.* | | | 568 | | | | 43,361 | |
| | | | | | | 95,880 | |
| IT Services - 1.9% |
| Bread Financial Holdings, Inc. | | | 584 | | | | 32,178 | |
| Concentrix Corp. | | | 503 | | | | 77,910 | |
| Euronet Worldwide, Inc.* | | | 619 | | | | 74,998 | |
| Genpact Ltd. | | | 1,999 | | | | 88,696 | |
| Kyndryl Holdings, Inc.* | | | 2,101 | | | | 25,926 | |
| LiveRamp Holdings, Inc.* | | | 799 | | | | 20,454 | |
| Maximus, Inc. | | | 725 | | | | 47,045 | |
| Sabre Corp.* | | | 3,793 | | | | 28,486 | |
| Western Union Co. (The) | | | 4,618 | | | | 83,771 | |
| WEX, Inc.* | | | 525 | | | | 89,397 | |
| | | | | | | 568,861 | |
| Leisure Products - 1.1% |
| Brunswick Corp. | | | 906 | | | | 68,158 | |
| Callaway Golf Co.* | | | 1,374 | | | | 29,830 | |
| Mattel, Inc.* | | | 4,111 | | | | 103,268 | |
| Polaris, Inc. | | | 668 | | | | 71,176 | |
| YETI Holdings, Inc.* | | | 1,028 | | | | 47,031 | |
| | | | | | | 319,463 | |
| Life Sciences Tools & Services - 1.3% |
| Azenta, Inc.(b) | | | 879 | | | | 67,366 | |
| Bruker Corp. | | | 1,193 | | | | 74,539 | |
| Medpace Holdings, Inc.* | | | 337 | | | | 48,272 | |
| Repligen Corp.* | | | 604 | | | | 99,340 | |
| Syneos Health, Inc.* | | | 1,216 | | | | 89,850 | |
| | | | | | | 379,367 | |
| Machinery - 3.7% |
| AGCO Corp. | | | 719 | | | | 92,125 | |
| Chart Industries, Inc.*(b) | | | 420 | | | | 73,870 | |
| Crane Holdings Co. | | | 585 | | | | 55,961 | |
| Donaldson Co., Inc. | | | 1,451 | | | | 75,858 | |
| Esab Corp.* | | | 532 | | | | 26,600 | |
| Flowserve Corp. | | | 1,528 | | | | 48,132 | |
| Graco, Inc. | | | 1,992 | | | | 126,094 | |
| ITT, Inc. | | | 1,006 | | | | 74,263 | |
See accompanying notes to the financial statements.
UltraPro MidCap400
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Kennametal, Inc. | | | 974 | | | | 27,019 | |
| Lincoln Electric Holdings, Inc. | | | 693 | | | | 94,123 | |
| Middleby Corp. (The)* | | | 654 | | | | 99,055 | |
| Oshkosh Corp. | | | 781 | | | | 72,563 | |
| Terex Corp. | | | 818 | | | | 28,949 | |
| Timken Co. (The) | | | 811 | | | | 49,528 | |
| Toro Co. (The) | | | 1,231 | | | | 101,545 | |
| Trinity Industries, Inc. | | | 961 | | | | 23,890 | |
| Watts Water Technologies, Inc., Class A | | | 322 | | | | 42,127 | |
| | | | | | | 1,111,702 | |
| Marine - 0.2% |
| Kirby Corp.* | | | 706 | | | | 47,676 | |
| | | | | | | | |
| Media - 0.8% |
| Cable One, Inc. | | | 59 | | | | 76,883 | |
| John Wiley & Sons, Inc., Class A | | | 512 | | | | 27,115 | |
| New York Times Co. (The), Class A | | | 1,959 | | | | 67,566 | |
| TEGNA, Inc. | | | 2,594 | | | | 56,809 | |
| | | | | | | 228,373 | |
| Metals & Mining - 2.8% |
| Alcoa Corp. | | | 2,159 | | | | 133,254 | |
| Cleveland-Cliffs, Inc.* | | | 5,608 | | | | 129,993 | |
| Commercial Metals Co. | | | 1,425 | | | | 56,615 | |
| Reliance Steel & Aluminum Co. | | | 735 | | | | 142,884 | |
| Royal Gold, Inc. | | | 769 | | | | 86,959 | |
| Steel Dynamics, Inc. | | | 2,211 | | | | 188,775 | |
| United States Steel Corp. | | | 3,061 | | | | 76,739 | |
| Worthington Industries, Inc. | | | 382 | | | | 17,817 | |
| | | | | | | 833,036 | |
| Multiline Retail - 0.7% |
| Kohl's Corp. | | | 1,633 | | | | 65,843 | |
| Macy's, Inc. | | | 3,511 | | | | 83,035 | |
| Nordstrom, Inc. | | | 1,307 | | | | 34,544 | |
| Ollie's Bargain Outlet Holdings, Inc.* | | | 688 | | | | 32,315 | |
| | | | | | | 215,737 | |
| Multi-Utilities - 0.3% |
| Black Hills Corp. | | | 749 | | | | 57,419 | |
| NorthWestern Corp. | | | 634 | | | | 38,845 | |
| | | | | | | 96,264 | |
| Oil, Gas & Consumable Fuels - 3.3% |
| Antero Midstream Corp. | | | 3,809 | | | | 41,366 | |
| CNX Resources Corp.* | | | 2,376 | | | | 51,607 | |
| DT Midstream, Inc. | | | 1,135 | | | | 65,943 | |
| EQT Corp. | | | 3,528 | | | | 168,356 | |
| Equitrans Midstream Corp. | | | 4,767 | | | | 37,516 | |
| HF Sinclair Corp. | | | 1,752 | | | | 86,023 | |
| Matador Resources Co. | | | 1,295 | | | | 78,865 | |
| Murphy Oil Corp. | | | 1,702 | | | | 72,199 | |
| PDC Energy, Inc. | | | 1,143 | | | | 90,457 | |
| Range Resources Corp.* | | | 2,928 | | | | 99,406 | |
| Targa Resources Corp. | | | 2,685 | | | | 193,374 | |
| | | | | | | 985,112 | |
| Paper & Forest Products - 0.2% |
| Louisiana-Pacific Corp. | | | 1,032 | | | | 71,270 | |
| | | | | | | | |
| Personal Products - 0.3% |
| BellRing Brands, Inc.* | | | 1,308 | | | | 34,204 | |
| Coty, Inc., Class A* | | | 4,031 | | | | 28,580 | |
| Nu Skin Enterprises, Inc., Class A | | | 584 | | | | 27,244 | |
| | | | | | | 90,028 | |
| Pharmaceuticals - 0.6% |
| Jazz Pharmaceuticals plc* | | | 720 | | | | 107,770 | |
| Perrigo Co. plc | | | 1,569 | | | | 62,540 | |
| | | | | | | 170,310 | |
| Professional Services - 1.5% |
| ASGN, Inc.* | | | 612 | | | | 58,281 | |
| CACI International, Inc., Class A* | | | 272 | | | | 76,261 | |
| FTI Consulting, Inc.* | | | 402 | | | | 67,536 | |
| Insperity, Inc. | | | 420 | | | | 42,029 | |
| KBR, Inc. | | | 1,647 | | | | 81,955 | |
| ManpowerGroup, Inc. | | | 636 | | | | 56,992 | |
| Science Applications International Corp. | | | 667 | | | | 57,735 | |
| | | | | | | 440,789 | |
| Real Estate Management & Development - 0.4% |
| Jones Lang LaSalle, Inc.* | | | 592 | | | | 116,813 | |
| | | | | | | | |
| Road & Rail - 1.5% |
| Avis Budget Group, Inc.* | | | 469 | | | | 89,241 | |
| Knight-Swift Transportation Holdings, Inc. | | | 1,945 | | | | 94,605 | |
| Landstar System, Inc. | | | 443 | | | | 67,083 | |
| Ryder System, Inc. | | | 630 | | | | 50,413 | |
| Saia, Inc.* | | | 310 | | | | 61,253 | |
| Werner Enterprises, Inc. | | | 704 | | | | 28,561 | |
| XPO Logistics, Inc.* | | | 1,156 | | | | 61,777 | |
| | | | | | | 452,933 | |
| Semiconductors & Semiconductor Equipment - 2.9% |
| Amkor Technology, Inc. | | | 1,175 | | | | 24,017 | |
| Cirrus Logic, Inc.* | | | 671 | | | | 54,713 | |
| CMC Materials, Inc. | | | 335 | | | | 59,275 | |
| First Solar, Inc.* | | | 1,158 | | | | 81,766 | |
| Lattice Semiconductor Corp.* | | | 1,605 | | | | 83,492 | |
| MKS Instruments, Inc. | | | 651 | | | | 80,398 | |
| Power Integrations, Inc. | | | 694 | | | | 58,560 | |
| Semtech Corp.* | | | 757 | | | | 48,516 | |
| Silicon Laboratories, Inc.* | | | 448 | | | | 66,824 | |
| SiTime Corp.* | | | 174 | | | | 37,062 | |
| SunPower Corp.*(b) | | | 973 | | | | 17,193 | |
| Synaptics, Inc.* | | | 465 | | | | 68,876 | |
| Universal Display Corp. | | | 510 | | | | 64,418 | |
| Wolfspeed, Inc.*(b) | | | 1,451 | | | | 109,159 | |
| | | | | | | 854,269 | |
| Software - 2.8% |
| ACI Worldwide, Inc.* | | | 1,379 | | | | 36,737 | |
| Aspen Technology, Inc.* | | | 325 | | | | 62,969 | |
| Blackbaud, Inc.* | | | 523 | | | | 33,289 | |
| CDK Global, Inc. | | | 1,369 | | | | 74,556 | |
| CommVault Systems, Inc.* | | | 522 | | | | 31,847 | |
| Digital Turbine, Inc.* | | | 1,035 | | | | 26,320 | |
| Envestnet, Inc.* | | | 642 | | | | 42,770 | |
| Fair Isaac Corp.* | | | 309 | | | | 126,551 | |
| Manhattan Associates, Inc.* | | | 741 | | | | 89,609 | |
| NCR Corp.*(b) | | | 1,550 | | | | 53,769 | |
| Paylocity Holding Corp.* | | | 467 | | | | 81,660 | |
| Qualys, Inc.* | | | 391 | | | | 51,096 | |
| Sailpoint Technologies Holdings, Inc.* | | | 1,095 | | | | 69,467 | |
| Teradata Corp.* | | | 1,272 | | | | 48,883 | |
| | | | | | | 829,523 | |
| Specialty Retail - 2.6% |
| American Eagle Outfitters, Inc. | | | 1,798 | | | | 21,774 | |
| AutoNation, Inc.* | | | 468 | | | | 55,954 | |
See accompanying notes to the financial statements.
UltraPro MidCap400
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Dick's Sporting Goods, Inc.(b) | | | 738 | | | | 59,948 | |
| Five Below, Inc.* | | | 658 | | | | 85,928 | |
| Foot Locker, Inc. | | | 1,023 | | | | 33,739 | |
| GameStop Corp., Class A*(b) | | | 724 | | | | 90,312 | |
| Gap, Inc. (The) | | | 2,495 | | | | 27,520 | |
| Lithia Motors, Inc. | | | 356 | | | | 108,391 | |
| Murphy USA, Inc. | | | 271 | | | | 67,512 | |
| RH* | | | 204 | | | | 59,176 | |
| Urban Outfitters, Inc.* | | | 767 | | | | 16,145 | |
| Victoria's Secret & Co.* | | | 854 | | | | 35,193 | |
| Williams-Sonoma, Inc. | | | 857 | | | | 109,627 | |
| | | | | | | 771,219 | |
| Technology Hardware, Storage & Peripherals - 0.1% |
| Xerox Holdings Corp. | | | 1,440 | | | | 27,101 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods - 1.3% |
| Capri Holdings Ltd.* | | | 1,732 | | | | 84,418 | |
| Carter's, Inc. | | | 496 | | | | 38,217 | |
| Columbia Sportswear Co. | | | 407 | | | | 31,656 | |
| Crocs, Inc.* | | | 691 | | | | 38,530 | |
| Deckers Outdoor Corp.* | | | 321 | | | | 86,208 | |
| Hanesbrands, Inc. | | | 4,096 | | | | 48,620 | |
| Skechers USA, Inc., Class A* | | | 1,583 | | | | 62,370 | |
| | | | | | | 390,019 | |
| Thrifts & Mortgage Finance - 0.5% |
| Essent Group Ltd. | | | 1,296 | | | | 55,456 | |
| MGIC Investment Corp. | | | 3,757 | | | | 52,335 | |
| New York Community Bancorp, Inc. | | | 5,454 | | | | 54,431 | |
| | | | | | | 162,222 | |
| Trading Companies & Distributors - 0.8% |
| GATX Corp. | | | 418 | | | | 45,123 | |
| MSC Industrial Direct Co., Inc., Class A | | | 554 | | | | 47,051 | |
| Univar Solutions, Inc.* | | | 2,004 | | | | 61,563 | |
| Watsco, Inc. | | | 387 | | | | 98,929 | |
| | | | | | | 252,666 | |
| Water Utilities - 0.4% |
| Essential Utilities, Inc. | | | 2,697 | | | | 124,763 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $28,398,232) | | | | | | | 25,234,912 | |
| | | | | | | | |
| SECURITIES LENDING REINVESTMENTS(c) - 0.0%(d) |
| | | | | | | | |
| INVESTMENT COMPANIES - 0.0%(d) |
| BlackRock Liquidity FedFund, Institutional Class | | | | | | | | |
| 0.72% (Cost $9,835) | | | 9,835 | | | | 9,835 | |
| Investments | | Principal
Amount ($) | | | Value ($) | |
| | | | | | |
| SHORT-TERM INVESTMENTS - 37.1% |
| | | | | | | | |
| REPURCHASE AGREEMENTS(e) - 37.1% |
| Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $11,048,586 | | | | | | | | |
| (Cost $11,048,363) | | | 11,048,363 | | | | 11,048,363 | |
| | | | | | | | |
Total Investments - 121.8%
(Cost $39,456,430) | | | | | | | 36,293,110 | |
| Liabilities in excess of other assets - (21.8%) | | | | | | | (6,494,500 | ) |
| Net Assets - 100.0% | | | | | | | 29,798,610 | |
See accompanying notes to the financial statements.
UltraPro MidCap400
Schedule of Portfolio Investments
May 31, 2022
| * | Non-income producing security. |
| (a) | All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $19,242,486. |
| (b) | The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $70,921, collateralized in the form of cash with a value of $9,835 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $63,405 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 5.50%, and maturity dates ranging from June 15, 2022 – November 15, 2051. The total value of collateral is $73,240. |
| (c) | The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $9,835. |
| (d) | Represents less than 0.05% of net assets. |
| (e) | The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase. |
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 1,140,835 | |
| Aggregate gross unrealized depreciation | | | (19,132,201 | ) |
| Net unrealized depreciation | | $ | (17,991,366 | ) |
| Federal income tax cost | | $ | 40,216,049 | |
See accompanying notes to the financial statements.
UltraPro MidCap400
Schedule of Portfolio Investments
May 31, 2022
Futures Contracts Purchased
UltraPro MidCap400 had the following open long futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration
Date | | Trading
Currency | | Notional Amount | | | Value and
Unrealized
Appreciation | |
| S&P Midcap 400 E-Mini Index | | 8 | | 6/17/2022 | | USD | | $ | 2,010,560 | | | $ | 18,946 | |
Swap Agreementsa
UltraPro MidCap400 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount ($) | | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | | Reference Instrument | | Value and
Unrealized
Depreciationd
($) | | | Financial
Instruments
for the Benefit
of (the Fund)/
the
Counterparty
($) | | | Cash
Collateral for
the Benefit of
(the Fund)/
the
Counterparty
($) | | | Net Amounte
($) | |
| 11,331,689 | | | 5/8/2023 | | Bank of America NA | | | 1.23 | % | | S&P MidCap 400® | | | (2,200,932 | ) | | | — | | | | 2,200,932 | | | | — | |
| 1,948,970 | | | 5/8/2023 | | BNP Paribas SA | | | 1.28 | % | | S&P MidCap 400® | | | (1,415,505 | ) | | | — | | | | 1,415,505 | | | | — | |
| 3,128,411 | | | 4/10/2023 | | Citibank NA | | | 1.23 | % | | S&P MidCap 400® | | | (885,866 | ) | | | — | | | | 885,866 | | | | — | |
| 721,748 | | | 4/10/2023 | | Credit Suisse International | | | 1.33 | % | | S&P MidCap 400® | | | (109,619 | ) | | | — | | | | 45,381 | | | | (64,238 | ) |
| 7,759,456 | | | 3/7/2023 | | Goldman Sachs International | | | 1.33 | % | | S&P MidCap 400® | | | (1,255,413 | ) | | | 823,839 | | | | 431,574 | | | | — | |
| 22,665,892 | | | 11/7/2022 | | Morgan Stanley & Co. International plc | | | 1.38 | % | | S&P MidCap 400® | | | (3,297,193 | ) | | | 2,371,679 | | | | 925,514 | | | | — | |
| 7,390,997 | | | 3/7/2023 | | Societe Generale | | | 1.10 | % | | S&P MidCap 400® | | | (3,744,710 | ) | | | 3,715,506 | | | | 29,204 | | | | — | |
| 7,199,872 | | | 3/7/2023 | | UBS AG | | | 1.18 | % | | S&P MidCap 400® | | | (1,178,135 | ) | | | 790,935 | | | | 387,200 | | | | — | |
| 62,147,035 | | | | | | | | | | | | | | (14,087,373 | ) | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized Depreciation | | | (14,087,373 | ) | | | | | | | | | | | | |
| a | The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815. |
| b | Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity. |
| c | Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation). |
| d | The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities. |
| e | Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default. |
| Abbreviations |
| USD | U.S. Dollar |
See accompanying notes to the financial statements.
UltraPro Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| | | | | | |
| COMMON STOCKS(a) - 82.1% |
| | | | | | | | |
| Aerospace & Defense - 0.6% |
| AAR Corp.* | | | 2,977 | | | | 143,551 | |
| Aerojet Rocketdyne Holdings, Inc.* | | | 6,554 | | | | 267,010 | |
| AeroVironment, Inc.* | | | 1,964 | | | | 180,609 | |
| AerSale Corp.*(b) | | | 1,373 | | | | 19,030 | |
| Astronics Corp.* | | | 2,189 | | | | 22,984 | |
| Byrna Technologies, Inc.* | | | 1,634 | | | | 13,170 | |
| Cadre Holdings, Inc. | | | 564 | | | | 14,207 | |
| Ducommun, Inc.* | | | 944 | | | | 43,094 | |
| Kaman Corp. | | | 2,418 | | | | 87,556 | |
| Kratos Defense & Security Solutions, Inc.* | | | 10,730 | | | | 154,727 | |
| Maxar Technologies, Inc. | | | 6,341 | | | | 189,342 | |
| Moog, Inc., Class A | | | 2,539 | | | | 206,649 | |
| National Presto Industries, Inc. | | | 446 | | | | 30,145 | |
| Park Aerospace Corp. | | | 1,715 | | | | 20,889 | |
| Parsons Corp.* | | | 2,296 | | | | 89,636 | |
| Triumph Group, Inc.* | | | 5,577 | | | | 85,328 | |
| Vectrus, Inc.* | | | 1,019 | | | | 36,501 | |
| | | | | | | 1,604,428 | |
| Air Freight & Logistics - 0.3% |
| Air Transport Services Group, Inc.* | | | 5,154 | | | | 155,754 | |
| Atlas Air Worldwide Holdings, Inc.* | | | 2,521 | | | | 175,739 | |
| Forward Air Corp. | | | 2,349 | | | | 218,903 | |
| Hub Group, Inc., Class A* | | | 2,903 | | | | 211,861 | |
| Radiant Logistics, Inc.* | | | 3,443 | | | | 22,827 | |
| | | | | | | 785,084 | |
| Airlines - 0.3% |
| Allegiant Travel Co.* | | | 1,345 | | | | 201,010 | |
| Frontier Group Holdings, Inc.*(b) | | | 3,045 | | | | 32,734 | |
| Hawaiian Holdings, Inc.* | | | 4,432 | | | | 78,668 | |
| Mesa Air Group, Inc.* | | | 3,028 | | | | 9,296 | |
| SkyWest, Inc.* | | | 4,343 | | | | 117,087 | |
| Spirit Airlines, Inc.* | | | 8,599 | | | | 180,149 | |
| Sun Country Airlines Holdings, Inc.* | | | 2,806 | | | | 66,362 | |
| | | | | | | 685,306 | |
| Auto Components - 1.0% |
| Adient plc* | | | 8,274 | | | | 292,817 | |
| American Axle & Manufacturing Holdings, Inc.* | | | 9,870 | | | | 80,046 | |
| Cooper-Standard Holdings, Inc.* | | | 1,480 | | | | 8,318 | |
| Dana, Inc. | | | 12,720 | | | | 210,643 | |
| Dorman Products, Inc.* | | | 2,303 | | | | 232,718 | |
| Fox Factory Holding Corp.* | | | 3,703 | | | | 303,720 | |
| Gentherm, Inc.* | | | 2,900 | | | | 199,926 | |
| Goodyear Tire & Rubber Co. (The)* | | | 24,183 | | | | 312,444 | |
| LCI Industries | | | 2,175 | | | | 259,956 | |
| Modine Manufacturing Co.* | | | 4,374 | | | | 51,701 | |
| Motorcar Parts of America, Inc.* | | | 1,644 | | | | 24,381 | |
| Patrick Industries, Inc. | | | 1,989 | | | | 119,559 | |
| Standard Motor Products, Inc. | | | 1,838 | | | | 73,428 | |
| Stoneridge, Inc.* | | | 2,270 | | | | 46,944 | |
| Tenneco, Inc., Class A* | | | 5,937 | | | | 102,769 | |
| Visteon Corp.* | | | 2,431 | | | | 272,782 | |
| XL Fleet Corp.* | | | 10,480 | | | | 12,681 | |
| XPEL, Inc.*(c) | | | 1,560 | | | | 80,527 | |
| | | | | | | 2,685,360 | |
| Automobiles - 0.2% |
| Arcimoto, Inc.*(b) | | | 2,503 | | | | 10,012 | |
| Canoo, Inc.*(b) | | | 9,304 | | | | 31,168 | |
| Fisker, Inc.*(b) | | | 14,280 | | | | 148,227 | |
| Lordstown Motors Corp.*(b) | | | 13,568 | | | | 28,086 | |
| Winnebago Industries, Inc. | | | 2,823 | | | | 139,597 | |
| Workhorse Group, Inc.*(b) | | | 13,481 | | | | 41,656 | |
| | | | | | | 398,746 | |
| Banks - 7.6% |
| 1st Source Corp. | | | 1,472 | | | | 69,213 | |
| Allegiance Bancshares, Inc. | | | 1,659 | | | | 66,775 | |
| Amalgamated Financial Corp. | | | 1,197 | | | | 26,011 | |
| Amerant Bancorp, Inc. | | | 2,272 | | | | 66,933 | |
| American National Bankshares, Inc. | | | 917 | | | | 32,654 | |
| Ameris Bancorp | | | 5,816 | | | | 265,151 | |
| Arrow Financial Corp. | | | 1,197 | | | | 39,657 | |
| Associated Banc-Corp. | | | 13,022 | | | | 269,555 | |
| Atlantic Union Bankshares Corp. | | | 6,598 | | | | 232,645 | |
| Banc of California, Inc. | | | 4,784 | | | | 92,044 | |
| BancFirst Corp. | | | 1,497 | | | | 135,823 | |
| Bancorp, Inc. (The)* | | | 4,578 | | | | 95,360 | |
| Bank First Corp.(b) | | | 586 | | | | 42,585 | |
| Bank of Marin Bancorp | | | 1,350 | | | | 44,415 | |
| Bank of NT Butterfield & Son Ltd. (The) | | | 4,384 | | | | 138,447 | |
| BankUnited, Inc. | | | 7,475 | | | | 311,408 | |
| Banner Corp. | | | 2,995 | | | | 174,039 | |
| Bar Harbor Bankshares | | | 1,302 | | | | 35,479 | |
| Berkshire Hills Bancorp, Inc. | | | 4,275 | | | | 111,620 | |
| Blue Ridge Bankshares, Inc. | | | 1,516 | | | | 23,058 | |
| Brookline Bancorp, Inc. | | | 6,719 | | | | 95,208 | |
| Business First Bancshares, Inc. | | | 1,667 | | | | 36,891 | |
| Byline Bancorp, Inc. | | | 2,188 | | | | 54,656 | |
| Cadence Bank | | | 15,809 | | | | 422,575 | |
| Cambridge Bancorp | | | 586 | | | | 48,931 | |
| Camden National Corp. | | | 1,279 | | | | 56,609 | |
| Capital Bancorp, Inc. | | | 691 | | | | 16,197 | |
| Capital City Bank Group, Inc. | | | 1,183 | | | | 32,296 | |
| Capstar Financial Holdings, Inc. | | | 1,795 | | | | 37,390 | |
| Carter Bankshares, Inc.* | | | 2,273 | | | | 33,618 | |
| Cathay General Bancorp | | | 6,363 | | | | 261,583 | |
| CBTX, Inc. | | | 1,609 | | | | 45,728 | |
| Central Pacific Financial Corp. | | | 2,384 | | | | 57,550 | |
| Citizens & Northern Corp. | | | 1,338 | | | | 32,567 | |
| City Holding Co. | | | 1,295 | | | | 106,307 | |
| Civista Bancshares, Inc. | | | 1,286 | | | | 27,456 | |
| CNB Financial Corp. | | | 1,398 | | | | 35,132 | |
| Coastal Financial Corp.* | | | 883 | | | | 34,843 | |
| Columbia Banking System, Inc. | | | 6,841 | | | | 206,256 | |
| Community Bank System, Inc. | | | 4,690 | | | | 309,540 | |
| Community Trust Bancorp, Inc. | | | 1,368 | | | | 57,524 | |
| ConnectOne Bancorp, Inc. | | | 3,276 | | | | 90,287 | |
| CrossFirst Bankshares, Inc.* | | | 4,032 | | | | 54,150 | |
| Customers Bancorp, Inc.* | | | 2,663 | | | | 109,982 | |
| CVB Financial Corp. | | | 11,981 | | | | 296,889 | |
| Dime Community Bancshares, Inc. | | | 2,948 | | | | 92,685 | |
| Eagle Bancorp, Inc. | | | 2,766 | | | | 137,083 | |
| Eastern Bankshares, Inc. | | | 15,027 | | | | 292,576 | |
| Enterprise Bancorp, Inc. | | | 814 | | | | 27,489 | |
| Enterprise Financial Services Corp. | | | 3,035 | | | | 140,551 | |
| Equity Bancshares, Inc., Class A | | | 1,192 | | | | 38,752 | |
| Farmers National Banc Corp. | | | 2,707 | | | | 42,040 | |
| FB Financial Corp. | | | 2,902 | | | | 121,942 | |
See accompanying notes to the financial statements.
UltraPro Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Fidelity D&D Bancorp, Inc.(b) | | | 346 | | | | 13,632 | |
| Financial Institutions, Inc. | | | 1,375 | | | | 38,706 | |
| First Bancorp, Inc. (The) | | | 906 | | | | 27,425 | |
| First Bancorp/NC | | | 3,018 | | | | 113,084 | |
| First Bancorp/PR | | | 17,392 | | | | 259,663 | |
| First Bancshares, Inc. (The) | | | 1,769 | | | | 53,247 | |
| First Bank | | | 1,369 | | | | 19,577 | |
| First Busey Corp. | | | 4,399 | | | | 103,157 | |
| First Commonwealth Financial Corp. | | | 8,240 | | | | 115,442 | |
| First Community Bankshares, Inc. | | | 1,462 | | | | 42,106 | |
| First Financial Bancorp | | | 8,100 | | | | 169,938 | |
| First Financial Bankshares, Inc.(b) | | | 11,356 | | | | 468,321 | |
| First Financial Corp. | | | 984 | | | | 44,260 | |
| First Foundation, Inc. | | | 4,376 | | | | 98,679 | |
| First Internet Bancorp(b) | | | 817 | | | | 31,577 | |
| First Interstate BancSystem, Inc., Class A | | | 7,662 | | | | 291,692 | |
| First Merchants Corp. | | | 4,557 | | | | 187,566 | |
| First Mid Bancshares, Inc. | | | 1,459 | | | | 54,931 | |
| First of Long Island Corp. (The) | | | 1,956 | | | | 37,203 | |
| Five Star Bancorp | | | 1,095 | | | | 28,503 | |
| Flushing Financial Corp. | | | 2,550 | | | | 58,905 | |
| Fulton Financial Corp. | | | 13,895 | | | | 220,236 | |
| German American Bancorp, Inc. | | | 2,164 | | | | 82,297 | |
| Glacier Bancorp, Inc. | | | 9,635 | | | | 466,430 | |
| Great Southern Bancorp, Inc. | | | 882 | | | | 52,347 | |
| Guaranty Bancshares, Inc. | | | 693 | | | | 25,267 | |
| Hancock Whitney Corp. | | | 7,555 | | | | 376,541 | |
| Hanmi Financial Corp. | | | 2,663 | | | | 62,154 | |
| HarborOne Bancorp, Inc. | | | 4,117 | | | | 58,832 | |
| HBT Financial, Inc. | | | 885 | | | | 15,390 | |
| Heartland Financial USA, Inc. | | | 3,537 | | | | 156,441 | |
| Heritage Commerce Corp. | | | 5,115 | | | | 58,669 | |
| Heritage Financial Corp. | | | 3,035 | | | | 79,213 | |
| Hilltop Holdings, Inc. | | | 5,404 | | | | 162,174 | |
| Home BancShares, Inc. | | | 13,343 | | | | 301,418 | |
| HomeStreet, Inc. | | | 1,715 | | | | 69,132 | |
| HomeTrust Bancshares, Inc. | | | 1,295 | | | | 34,758 | |
| Hope Bancorp, Inc. | | | 10,132 | | | | 147,725 | |
| Horizon Bancorp, Inc. | | | 3,742 | | | | 67,244 | |
| Independent Bank Corp. | | | 4,006 | | | | 333,700 | |
| Independent Bank Corp./MI | | | 1,786 | | | | 35,381 | |
| Independent Bank Group, Inc. | | | 3,398 | | | | 248,326 | |
| International Bancshares Corp. | | | 4,696 | | | | 196,903 | |
| Lakeland Bancorp, Inc. | | | 5,345 | | | | 82,954 | |
| Lakeland Financial Corp. | | | 2,131 | | | | 153,773 | |
| Live Oak Bancshares, Inc. | | | 2,794 | | | | 112,207 | |
| Macatawa Bank Corp. | | | 2,291 | | | | 21,238 | |
| Mercantile Bank Corp. | | | 1,362 | | | | 45,014 | |
| Meta Financial Group, Inc. | | | 2,568 | | | | 106,752 | |
| Metrocity Bankshares, Inc. | | | 1,650 | | | | 33,511 | |
| Metropolitan Bank Holding Corp.* | | | 873 | | | | 67,422 | |
| Mid Penn Bancorp, Inc. | | | 1,238 | | | | 34,008 | |
| Midland States Bancorp, Inc. | | | 1,849 | | | | 49,701 | |
| MidWestOne Financial Group, Inc. | | | 1,245 | | | | 37,885 | |
| MVB Financial Corp. | | | 890 | | | | 33,224 | |
| National Bank Holdings Corp., Class A | | | 2,513 | | | | 102,405 | |
| NBT Bancorp, Inc. | | | 3,695 | | | | 136,641 | |
| Nicolet Bankshares, Inc.* | | | 1,060 | | | | 84,652 | |
| Northrim Bancorp, Inc. | | | 507 | | | | 21,071 | |
| Northwest Bancshares, Inc. | | | 10,699 | | | | 137,910 | |
| OceanFirst Financial Corp. | | | 5,098 | | | | 102,827 | |
| OFG Bancorp | | | 4,295 | | | | 121,720 | |
| Old National Bancorp | | | 25,749 | | | | 409,409 | |
| Old Second Bancorp, Inc. | | | 2,431 | | | | 37,121 | |
| Origin Bancorp, Inc. | | | 1,956 | | | | 76,440 | |
| Orrstown Financial Services, Inc. | | | 948 | | | | 23,302 | |
| Pacific Premier Bancorp, Inc. | | | 8,191 | | | | 266,699 | |
| Park National Corp. | | | 1,260 | | | | 155,875 | |
| Peapack-Gladstone Financial Corp. | | | 1,554 | | | | 52,370 | |
| Peoples Bancorp, Inc. | | | 2,210 | | | | 63,162 | |
| Peoples Financial Services Corp. | | | 611 | | | | 32,279 | |
| Preferred Bank | | | 1,196 | | | | 81,938 | |
| Premier Financial Corp. | | | 3,160 | | | | 85,857 | |
| Primis Financial Corp. | | | 2,100 | | | | 28,350 | |
| QCR Holdings, Inc. | | | 1,276 | | | | 70,716 | |
| RBB Bancorp | | | 1,222 | | | | 26,224 | |
| Red River Bancshares, Inc. | | | 400 | | | | 20,540 | |
| Renasant Corp. | | | 4,775 | | | | 147,738 | |
| Republic Bancorp, Inc., Class A | | | 817 | | | | 37,541 | |
| Republic First Bancorp, Inc.*(b) | | | 3,909 | | | | 15,871 | |
| S&T Bancorp, Inc. | | | 3,391 | | | | 99,729 | |
| Sandy Spring Bancorp, Inc. | | | 3,878 | | | | 164,233 | |
| Seacoast Banking Corp. of Florida | | | 4,790 | | | | 164,010 | |
| ServisFirst Bancshares, Inc. | | | 4,364 | | | | 363,783 | |
| Sierra Bancorp | | | 1,218 | | | | 26,370 | |
| Silvergate Capital Corp., Class A* | | | 2,453 | | | | 192,560 | |
| Simmons First National Corp., Class A | | | 10,856 | | | | 279,108 | |
| SmartFinancial, Inc. | | | 1,203 | | | | 31,158 | |
| South Plains Financial, Inc. | | | 922 | | | | 22,792 | |
| Southern First Bancshares, Inc.* | | | 662 | | | | 29,856 | |
| Southside Bancshares, Inc. | | | 2,737 | | | | 110,383 | |
| SouthState Corp. | | | 6,734 | | | | 544,242 | |
| Stock Yards Bancorp, Inc. | | | 2,097 | | | | 123,723 | |
| Summit Financial Group, Inc. | | | 981 | | | | 26,860 | |
| Texas Capital Bancshares, Inc.* | | | 4,428 | | | | 250,315 | |
| Third Coast Bancshares, Inc.* | | | 354 | | | | 8,793 | |
| Tompkins Financial Corp. | | | 1,227 | | | | 93,510 | |
| Towne Bank | | | 5,860 | | | | 172,753 | |
| TriCo Bancshares | | | 2,414 | | | | 109,451 | |
| Triumph Bancorp, Inc.* | | | 2,083 | | | | 151,517 | |
| Trustmark Corp. | | | 5,367 | | | | 156,126 | |
| UMB Financial Corp. | | | 3,833 | | | | 353,978 | |
| United Bankshares, Inc. | | | 11,534 | | | | 433,217 | |
| United Community Banks, Inc. | | | 9,166 | | | | 288,087 | |
| Univest Financial Corp. | | | 2,534 | | | | 67,151 | |
| Valley National Bancorp | | | 35,026 | | | | 445,180 | |
| Veritex Holdings, Inc. | | | 4,148 | | | | 142,940 | |
| Washington Federal, Inc. | | | 5,671 | | | | 184,024 | |
| Washington Trust Bancorp, Inc. | | | 1,491 | | | | 74,848 | |
| WesBanco, Inc. | | | 5,293 | | | | 180,280 | |
| West Bancorp, Inc. | | | 1,398 | | | | 35,579 | |
| Westamerica Bancorp | | | 2,287 | | | | 137,700 | |
| | | | | | | 19,814,950 | |
| Beverages - 0.4% | | | | | | | | |
| Celsius Holdings, Inc.* | | | 4,712 | | | | 316,128 | |
| Coca-Cola Consolidated, Inc. | | | 401 | | | | 226,553 | |
| Duckhorn Portfolio, Inc. (The)* | | | 3,132 | | | | 61,544 | |
| MGP Ingredients, Inc. | | | 1,237 | | | | 119,816 | |
| National Beverage Corp. | | | 2,055 | | | | 101,990 | |
| Primo Water Corp. | | | 13,750 | | | | 196,900 | |
| Zevia PBC, Class A* | | | 897 | | | | 2,197 | |
| | | | | | | 1,025,128 | |
| Biotechnology - 4.8% | | | | | | | | |
| 2seventy bio, Inc.* | | | 2,044 | | | | 25,346 | |
See accompanying notes to the financial statements.
UltraPro Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| 4D Molecular Therapeutics, Inc.* | | | 2,450 | | | | 18,595 | |
| 89bio, Inc.* | | | 853 | | | | 2,568 | |
| ACADIA Pharmaceuticals, Inc.* | | | 10,469 | | | | 169,074 | |
| Acumen Pharmaceuticals, Inc.* | | | 2,468 | | | | 8,737 | |
| Adagio Therapeutics, Inc.*(b) | | | 5,141 | | | | 15,217 | |
| Adicet Bio, Inc.* | | | 2,255 | | | | 26,654 | |
| Adverum Biotechnologies, Inc.* | | | 7,592 | | | | 6,812 | |
| Aeglea BioTherapeutics, Inc.* | | | 3,520 | | | | 5,562 | |
| Aerovate Therapeutics, Inc.* | | | 1,140 | | | | 13,851 | |
| Affimed NV* | | | 10,145 | | | | 31,449 | |
| Agenus, Inc.* | | | 19,173 | | | | 32,019 | |
| Agios Pharmaceuticals, Inc.* | | | 4,755 | | | | 92,580 | |
| Akebia Therapeutics, Inc.*(b) | | | 15,239 | | | | 5,637 | |
| Akero Therapeutics, Inc.* | | | 2,251 | | | | 19,449 | |
| Akouos, Inc.* | | | 2,109 | | | | 6,580 | |
| Alaunos Therapeutics, Inc.* | | | 18,332 | | | | 9,492 | |
| Albireo Pharma, Inc.* | | | 1,463 | | | | 29,158 | |
| Aldeyra Therapeutics, Inc.* | | | 4,256 | | | | 13,151 | |
| Alector, Inc.* | | | 5,114 | | | | 45,310 | |
| Aligos Therapeutics, Inc.* | | | 1,840 | | | | 2,374 | |
| Alkermes plc* | | | 14,027 | | | | 418,706 | |
| Allakos, Inc.* | | | 3,099 | | | | 9,297 | |
| Allogene Therapeutics, Inc.* | | | 5,937 | | | | 47,080 | |
| Allovir, Inc.* | | | 2,578 | | | | 9,977 | |
| Alpine Immune Sciences, Inc.* | | | 1,025 | | | | 9,532 | |
| Altimmune, Inc.* | | | 5,040 | | | | 25,502 | |
| ALX Oncology Holdings, Inc.* | | | 1,554 | | | | 11,919 | |
| Amicus Therapeutics, Inc.* | | | 23,002 | | | | 175,275 | |
| AnaptysBio, Inc.* | | | 1,684 | | | | 31,979 | |
| Anavex Life Sciences Corp.*(b) | | | 5,857 | | | | 53,357 | |
| Anika Therapeutics, Inc.* | | | 1,267 | | | | 27,545 | |
| Annexon, Inc.* | | | 2,736 | | | | 8,591 | |
| Apellis Pharmaceuticals, Inc.* | | | 6,133 | | | | 254,213 | |
| Applied Molecular Transport, Inc.* | | | 2,202 | | | | 7,289 | |
| Applied Therapeutics, Inc.* | | | 1,550 | | | | 2,232 | |
| AquaBounty Technologies, Inc.* | | | 5,724 | | | | 8,529 | |
| Arbutus Biopharma Corp.*(b) | | | 7,970 | | | | 19,367 | |
| Arcellx, Inc.* | | | 793 | | | | 9,603 | |
| Arcturus Therapeutics Holdings, Inc.*(b) | | | 1,840 | | | | 36,579 | |
| Arcus Biosciences, Inc.* | | | 3,917 | | | | 74,227 | |
| Arcutis Biotherapeutics, Inc.* | | | 2,420 | | | | 50,530 | |
| Ardelyx, Inc.* | | | 8,440 | | | | 5,539 | |
| Arrowhead Pharmaceuticals, Inc.* | | | 8,995 | | | | 300,073 | |
| Atara Biotherapeutics, Inc.* | | | 7,605 | | | | 39,546 | |
| Athenex, Inc.*(b) | | | 7,554 | | | | 3,616 | |
| Athersys, Inc.*(b) | | | 18,623 | | | | 4,097 | |
| Atossa Therapeutics, Inc.* | | | 10,240 | | | | 9,956 | |
| Atreca, Inc., Class A* | | | 2,282 | | | | 3,834 | |
| Aura Biosciences, Inc.*(b) | | | 502 | | | | 8,770 | |
| Avalo Therapeutics, Inc.* | | | 5,447 | | | | 1,961 | |
| Avid Bioservices, Inc.*(b) | | | 5,281 | | | | 70,607 | |
| Avidity Biosciences, Inc.*(b) | | | 3,292 | | | | 45,858 | |
| Avita Medical, Inc.* | | | 2,121 | | | | 12,090 | |
| Avrobio, Inc.* | | | 3,311 | | | | 3,218 | |
| Beam Therapeutics, Inc.* | | | 4,474 | | | | 157,395 | |
| Beyondspring, Inc.* | | | 1,959 | | | | 2,684 | |
| BioAtla, Inc.* | | | 1,366 | | | | 3,292 | |
| BioCryst Pharmaceuticals, Inc.* | | | 15,743 | | | | 146,567 | |
| Biohaven Pharmaceutical Holding Co. Ltd.* | | | 4,882 | | | | 701,690 | |
| Biomea Fusion, Inc.* | | | 1,899 | | | | 10,426 | |
| Bioxcel Therapeutics, Inc.*(b) | | | 1,505 | | | | 17,608 | |
| Black Diamond Therapeutics, Inc.* | | | 1,993 | | | | 3,368 | |
| Bluebird Bio, Inc.* | | | 5,908 | | | | 18,906 | |
| Blueprint Medicines Corp.* | | | 5,122 | | | | 281,710 | |
| Bolt Biotherapeutics, Inc.* | | | 2,008 | | | | 3,414 | |
| Bridgebio Pharma, Inc.* | | | 9,273 | | | | 63,335 | |
| Brooklyn ImmunoTherapeutics, Inc.* | | | 2,597 | | | | 1,741 | |
| C4 Therapeutics, Inc.*(b) | | | 3,375 | | | | 24,503 | |
| Cardiff Oncology, Inc.* | | | 3,332 | | | | 4,498 | |
| CareDx, Inc.* | | | 4,434 | | | | 111,515 | |
| Caribou Biosciences, Inc.* | | | 4,443 | | | | 37,010 | |
| Catalyst Pharmaceuticals, Inc.* | | | 8,493 | | | | 61,150 | |
| Celcuity, Inc.* | | | 854 | | | | 5,585 | |
| Celldex Therapeutics, Inc.* | | | 4,022 | | | | 94,597 | |
| CEL-SCI Corp.*(b) | | | 3,144 | | | | 11,476 | |
| Century Therapeutics, Inc.*(b) | | | 1,516 | | | | 13,174 | |
| Cerevel Therapeutics Holdings, Inc.* | | | 3,559 | | | | 92,997 | |
| ChemoCentryx, Inc.* | | | 4,713 | | | | 104,959 | |
| Chimerix, Inc.* | | | 6,398 | | | | 12,028 | |
| Chinook Therapeutics, Inc.* | | | 3,538 | | | | 53,707 | |
| Clene, Inc.* | | | 1,795 | | | | 3,913 | |
| Clovis Oncology, Inc.* | | | 9,872 | | | | 6,864 | |
| Codiak Biosciences, Inc.*(b) | | | 1,381 | | | | 3,853 | |
| Cogent Biosciences, Inc.*(b) | | | 3,257 | | | | 15,015 | |
| Coherus Biosciences, Inc.* | | | 5,673 | | | | 41,640 | |
| Cortexyme, Inc.*(b) | | | 1,737 | | | | 4,499 | |
| Crinetics Pharmaceuticals, Inc.* | | | 4,028 | | | | 67,469 | |
| Cue Biopharma, Inc.* | | | 2,693 | | | | 10,422 | |
| Cullinan Oncology, Inc.* | | | 2,271 | | | | 24,277 | |
| Curis, Inc.* | | | 7,562 | | | | 5,780 | |
| Cyteir Therapeutics, Inc.* | | | 1,636 | | | | 3,108 | |
| Cytokinetics, Inc.*(b) | | | 6,921 | | | | 276,148 | |
| CytomX Therapeutics, Inc.* | | | 5,681 | | | | 9,146 | |
| Day One Biopharmaceuticals, Inc.*(b) | | | 1,993 | | | | 12,396 | |
| Deciphera Pharmaceuticals, Inc.* | | | 3,473 | | | | 37,647 | |
| Denali Therapeutics, Inc.* | | | 7,956 | | | | 193,251 | |
| DermTech, Inc.* | | | 2,120 | | | | 14,077 | |
| Design Therapeutics, Inc.* | | | 2,338 | | | | 29,178 | |
| Dynavax Technologies Corp.* | | | 9,439 | | | | 111,947 | |
| Dyne Therapeutics, Inc.* | | | 2,639 | | | | 12,694 | |
| Eagle Pharmaceuticals, Inc.* | | | 1,008 | | | | 47,074 | |
| Editas Medicine, Inc.*(b) | | | 5,975 | | | | 68,055 | |
| Eiger BioPharmaceuticals, Inc.* | | | 2,812 | | | | 19,515 | |
| Eliem Therapeutics, Inc.* | | | 529 | | | | 2,026 | |
| Emergent BioSolutions, Inc.* | | | 4,284 | | | | 141,201 | |
| Enanta Pharmaceuticals, Inc.* | | | 1,715 | | | | 68,480 | |
| Entrada Therapeutics, Inc.* | | | 934 | | | | 6,314 | |
| Epizyme, Inc.* | | | 12,535 | | | | 5,265 | |
| Erasca, Inc.*(b) | | | 5,582 | | | | 30,254 | |
| Evelo Biosciences, Inc.*(b) | | | 2,647 | | | | 5,559 | |
| Exagen, Inc.* | | | 905 | | | | 4,525 | |
| Fate Therapeutics, Inc.*(b) | | | 7,102 | | | | 164,056 | |
| FibroGen, Inc.* | | | 7,540 | | | | 74,194 | |
| Finch Therapeutics Group, Inc.* | | | 674 | | | | 1,597 | |
| Foghorn Therapeutics, Inc.*(b) | | | 1,716 | | | | 22,136 | |
| Forma Therapeutics Holdings, Inc.* | | | 2,973 | | | | 16,916 | |
| Forte Biosciences, Inc.* | | | 987 | | | | 1,303 | |
| Fortress Biotech, Inc.* | | | 6,410 | | | | 5,522 | |
| Frequency Therapeutics, Inc.* | | | 2,819 | | | | 3,157 | |
| G1 Therapeutics, Inc.*(b) | | | 3,463 | | | | 16,830 | |
| Gemini Therapeutics, Inc.* | | | 1,919 | | | | 2,456 | |
| Generation Bio Co.* | | | 3,839 | | | | 21,575 | |
| Geron Corp.* | | | 26,648 | | | | 36,774 | |
See accompanying notes to the financial statements.
UltraPro Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Global Blood Therapeutics, Inc.* | | | 5,404 | | | | 134,776 | |
| Gossamer Bio, Inc.* | | | 5,431 | | | | 38,289 | |
| Graphite Bio, Inc.* | | | 2,582 | | | | 6,068 | |
| Greenwich Lifesciences, Inc.* | | | 354 | | | | 2,740 | |
| Gritstone bio, Inc.* | | | 3,735 | | | | 7,545 | |
| GT Biopharma, Inc.* | | | 1,558 | | | | 4,300 | |
| Halozyme Therapeutics, Inc.* | | | 12,117 | | | | 557,140 | |
| Harpoon Therapeutics, Inc.* | | | 1,639 | | | | 3,376 | |
| Heron Therapeutics, Inc.*(b) | | | 8,093 | | | | 26,707 | |
| Homology Medicines, Inc.* | | | 3,664 | | | | 5,386 | |
| Hookipa Pharma, Inc.* | | | 1,673 | | | | 2,878 | |
| Humanigen, Inc.* | | | 4,264 | | | | 9,296 | |
| iBio, Inc.*(b) | | | 18,900 | | | | 4,555 | |
| Icosavax, Inc.*(b) | | | 3,080 | | | | 20,913 | |
| Ideaya Biosciences, Inc.* | | | 2,862 | | | | 31,911 | |
| IGM Biosciences, Inc.*(b) | | | 718 | | | | 12,048 | |
| Imago Biosciences, Inc.*(b) | | | 1,747 | | | | 28,232 | |
| Immuneering Corp., Class A* | | | 1,649 | | | | 7,388 | |
| Immunic, Inc.* | | | 1,640 | | | | 10,168 | |
| ImmunityBio, Inc.*(b) | | | 6,070 | | | | 22,823 | |
| ImmunoGen, Inc.* | | | 18,807 | | | | 68,834 | |
| Immunovant, Inc.* | | | 3,544 | | | | 15,027 | |
| Impel Pharmaceuticals, Inc.* | | | 569 | | | | 3,920 | |
| Infinity Pharmaceuticals, Inc.* | | | 7,643 | | | | 5,139 | |
| Inhibrx, Inc.* | | | 2,446 | | | | 31,969 | |
| Inovio Pharmaceuticals, Inc.* | | | 18,087 | | | | 33,823 | |
| Inozyme Pharma, Inc.* | | | 1,260 | | | | 4,649 | |
| Insmed, Inc.* | | | 10,319 | | | | 194,204 | |
| Instil Bio, Inc.*(b) | | | 4,722 | | | | 28,356 | |
| Intellia Therapeutics, Inc.* | | | 6,119 | | | | 282,331 | |
| Intercept Pharmaceuticals, Inc.*(b) | | | 2,191 | | | | 39,657 | |
| Ironwood Pharmaceuticals, Inc.* | | | 12,823 | | | | 144,515 | |
| iTeos Therapeutics, Inc.* | | | 1,759 | | | | 30,782 | |
| IVERIC bio, Inc.* | | | 10,051 | | | | 104,932 | |
| Janux Therapeutics, Inc.* | | | 1,556 | | | | 17,318 | |
| Jounce Therapeutics, Inc.* | | | 2,887 | | | | 11,173 | |
| KalVista Pharmaceuticals, Inc.* | | | 1,957 | | | | 17,398 | |
| Karuna Therapeutics, Inc.* | | | 1,938 | | | | 202,172 | |
| Karyopharm Therapeutics, Inc.* | | | 6,304 | | | | 39,589 | |
| Keros Therapeutics, Inc.* | | | 1,376 | | | | 46,509 | |
| Kezar Life Sciences, Inc.* | | | 3,309 | | | | 16,710 | |
| Kiniksa Pharmaceuticals Ltd., Class A* | | | 2,539 | | | | 19,449 | |
| Kinnate Biopharma, Inc.* | | | 2,253 | | | | 17,889 | |
| Kodiak Sciences, Inc.* | | | 2,921 | | | | 21,148 | |
| Kronos Bio, Inc.* | | | 3,392 | | | | 12,618 | |
| Krystal Biotech, Inc.*(b) | | | 1,749 | | | | 102,981 | |
| Kura Oncology, Inc.* | | | 5,562 | | | | 73,196 | |
| Kymera Therapeutics, Inc.* | | | 2,998 | | | | 42,781 | |
| Lexicon Pharmaceuticals, Inc.* | | | 6,134 | | | | 10,857 | |
| Ligand Pharmaceuticals, Inc.* | | | 1,314 | | | | 116,828 | |
| Lineage Cell Therapeutics, Inc.* | | | 10,961 | | | | 13,701 | |
| Lyell Immunopharma, Inc.*(b) | | | 12,974 | | | | 53,712 | |
| MacroGenics, Inc.* | | | 5,248 | | | | 18,211 | |
| Madrigal Pharmaceuticals, Inc.* | | | 1,020 | | | | 67,718 | |
| Magenta Therapeutics, Inc.* | | | 2,620 | | | | 3,039 | |
| MannKind Corp.*(b) | | | 21,603 | | | | 90,301 | |
| MEI Pharma, Inc.* | | | 11,182 | | | | 5,327 | |
| MeiraGTx Holdings plc* | | | 2,607 | | | | 21,873 | |
| Mersana Therapeutics, Inc.* | | | 6,258 | | | | 20,902 | |
| MiMedx Group, Inc.* | | | 9,709 | | | | 37,962 | |
| MiNK Therapeutics, Inc.* | | | 176 | | | | 273 | |
| Mirum Pharmaceuticals, Inc.* | | | 308 | | | | 7,204 | |
| Molecular Templates, Inc.* | | | 3,235 | | | | 3,196 | |
| Monte Rosa Therapeutics, Inc.*(b) | | | 2,532 | | | | 19,598 | |
| Morphic Holding, Inc.* | | | 1,844 | | | | 43,223 | |
| Mustang Bio, Inc.* | | | 6,506 | | | | 4,197 | |
| Myriad Genetics, Inc.* | | | 6,929 | | | | 133,314 | |
| Neoleukin Therapeutics, Inc.* | | | 3,086 | | | | 3,086 | |
| NexImmune, Inc.* | | | 1,548 | | | | 3,529 | |
| Nkarta, Inc.* | | | 1,226 | | | | 17,691 | |
| Nurix Therapeutics, Inc.* | | | 2,732 | | | | 27,566 | |
| Nuvalent, Inc., Class A*(b) | | | 1,604 | | | | 14,211 | |
| Ocugen, Inc.*(b) | | | 16,170 | | | | 38,323 | |
| Olema Pharmaceuticals, Inc.* | | | 2,248 | | | | 6,429 | |
| Omega Therapeutics, Inc.* | | | 1,950 | | | | 4,426 | |
| Oncocyte Corp.*(b) | | | 5,255 | | | | 5,675 | |
| Oncorus, Inc.* | | | 1,787 | | | | 2,127 | |
| Oncternal Therapeutics, Inc.* | | | 3,872 | | | | 5,731 | |
| Organogenesis Holdings, Inc.* | | | 6,070 | | | | 34,053 | |
| ORIC Pharmaceuticals, Inc.* | | | 2,765 | | | | 9,235 | |
| Outlook Therapeutics, Inc.*(b) | | | 9,969 | | | | 11,464 | |
| Oyster Point Pharma, Inc.* | | | 968 | | | | 3,804 | |
| Passage Bio, Inc.* | | | 3,246 | | | | 5,843 | |
| PMV Pharmaceuticals, Inc.* | | | 2,285 | | | | 26,872 | |
| Portage Biotech, Inc.* | | | 430 | | | | 4,300 | |
| Poseida Therapeutics, Inc.* | | | 2,515 | | | | 5,709 | |
| Praxis Precision Medicines, Inc.* | | | 2,903 | | | | 24,095 | |
| Precigen, Inc.* | | | 8,289 | | | | 11,107 | |
| Precision BioSciences, Inc.* | | | 4,426 | | | | 7,436 | |
| Prelude Therapeutics, Inc.*(b) | | | 941 | | | | 3,952 | |
| Prometheus Biosciences, Inc.*(b) | | | 2,628 | | | | 68,486 | |
| Protagonist Therapeutics, Inc.* | | | 3,912 | | | | 34,269 | |
| Prothena Corp. plc* | | | 3,168 | | | | 86,265 | |
| PTC Therapeutics, Inc.* | | | 6,072 | | | | 178,335 | |
| Puma Biotechnology, Inc.* | | | 2,811 | | | | 5,453 | |
| Pyxis Oncology, Inc.* | | | 940 | | | | 2,322 | |
| Radius Health, Inc.* | | | 4,096 | | | | 25,928 | |
| Rallybio Corp.*(b) | | | 1,575 | | | | 21,420 | |
| RAPT Therapeutics, Inc.*(b) | | | 1,861 | | | | 27,394 | |
| Recursion Pharmaceuticals, Inc., Class A*(b) | | | 10,076 | | | | 61,665 | |
| REGENXBIO, Inc.* | | | 3,444 | | | | 72,462 | |
| Relay Therapeutics, Inc.* | | | 6,132 | | | | 99,829 | |
| Reneo Pharmaceuticals, Inc.* | | | 747 | | | | 1,546 | |
| Replimune Group, Inc.* | | | 2,629 | | | | 38,199 | |
| REVOLUTION Medicines, Inc.* | | | 5,193 | | | | 88,177 | |
| Rhythm Pharmaceuticals, Inc.* | | | 3,853 | | | | 13,254 | |
| Rigel Pharmaceuticals, Inc.* | | | 14,934 | | | | 27,031 | |
| Rocket Pharmaceuticals, Inc.* | | | 3,616 | | | | 42,850 | |
| Rubius Therapeutics, Inc.* | | | 4,018 | | | | 4,420 | |
| Sana Biotechnology, Inc.*(b) | | | 7,562 | | | | 38,793 | |
| Sangamo Therapeutics, Inc.* | | | 10,392 | | | | 37,931 | |
| Scholar Rock Holding Corp.* | | | 2,461 | | | | 12,354 | |
| Selecta Biosciences, Inc.* | | | 8,050 | | | | 7,102 | |
| Sensei Biotherapeutics, Inc.* | | | 1,832 | | | | 3,481 | |
| Sera Prognostics, Inc., Class A* | | | 683 | | | | 949 | |
| Seres Therapeutics, Inc.* | | | 6,094 | | | | 18,891 | |
| Sesen Bio, Inc.* | | | 17,600 | | | | 10,787 | |
| Shattuck Labs, Inc.* | | | 2,330 | | | | 6,664 | |
| Sigilon Therapeutics, Inc.* | | | 1,326 | | | | 1,005 | |
| Silverback Therapeutics, Inc.* | | | 1,797 | | | | 6,272 | |
| Solid Biosciences, Inc.* | | | 5,219 | | | | 2,975 | |
| Sorrento Therapeutics, Inc.*(b) | | | 26,124 | | | | 42,843 | |
| Spectrum Pharmaceuticals, Inc.* | | | 14,262 | | | | 10,659 | |
| Spero Therapeutics, Inc.* | | | 2,102 | | | | 2,480 | |
| SpringWorks Therapeutics, Inc.* | | | 2,541 | | | | 48,127 | |
| Spruce Biosciences, Inc.* | | | 768 | | | | 1,198 | |
See accompanying notes to the financial statements.
UltraPro Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| SQZ Biotechnologies Co.* | | | 1,995 | | | | 7,082 | |
| Stoke Therapeutics, Inc.* | | | 1,666 | | | | 20,175 | |
| Summit Therapeutics, Inc.* | | | 2,301 | | | | 3,060 | |
| Surface Oncology, Inc.* | | | 3,084 | | | | 5,705 | |
| Sutro Biopharma, Inc.* | | | 3,805 | | | | 16,552 | |
| Syndax Pharmaceuticals, Inc.* | | | 4,296 | | | | 70,884 | |
| Syros Pharmaceuticals, Inc.* | | | 5,042 | | | | 4,143 | |
| Talaris Therapeutics, Inc.*(b) | | | 1,861 | | | | 16,023 | |
| Taysha Gene Therapies, Inc.* | | | 1,990 | | | | 5,075 | |
| TCR2 Therapeutics, Inc.* | | | 2,661 | | | | 6,174 | |
| Tenaya Therapeutics, Inc.*(b) | | | 2,502 | | | | 16,763 | |
| TG Therapeutics, Inc.* | | | 11,316 | | | | 50,017 | |
| Tonix Pharmaceuticals Holding Corp.*(b) | | | 1,378 | | | | 3,362 | |
| Travere Therapeutics, Inc.* | | | 5,156 | | | | 120,186 | |
| Trevena, Inc.*(b) | | | 14,297 | | | | 4,458 | |
| Turning Point Therapeutics, Inc.* | | | 4,022 | | | | 142,258 | |
| Twist Bioscience Corp.* | | | 4,846 | | | | 164,958 | |
| Tyra Biosciences, Inc.*(b) | | | 1,022 | | | | 6,980 | |
| UroGen Pharma Ltd.* | | | 1,707 | | | | 9,081 | |
| Vanda Pharmaceuticals, Inc.* | | | 4,783 | | | | 47,017 | |
| Vaxart, Inc.*(b) | | | 10,701 | | | | 38,952 | |
| Vaxcyte, Inc.* | | | 3,725 | | | | 89,363 | |
| VBI Vaccines, Inc.*(b) | | | 16,488 | | | | 15,087 | |
| Vera Therapeutics, Inc.*(b) | | | 1,206 | | | | 17,535 | |
| Veracyte, Inc.*(b) | | | 5,901 | | | | 103,740 | |
| Verastem, Inc.* | | | 15,062 | | | | 19,279 | |
| Vericel Corp.* | | | 4,075 | | | | 110,636 | |
| Verve Therapeutics, Inc.*(b) | | | 3,181 | | | | 48,224 | |
| Vigil Neuroscience, Inc.* | | | 581 | | | | 1,691 | |
| Viking Therapeutics, Inc.* | | | 5,978 | | | | 13,271 | |
| Vincerx Pharma, Inc.* | | | 1,440 | | | | 2,347 | |
| Vir Biotechnology, Inc.* | | | 5,250 | | | | 135,502 | |
| Viracta Therapeutics, Inc.*(b) | | | 3,181 | | | | 6,744 | |
| VistaGen Therapeutics, Inc.*(b) | | | 16,960 | | | | 19,504 | |
| Vor BioPharma, Inc.* | | | 1,649 | | | | 6,942 | |
| Werewolf Therapeutics, Inc.* | | | 2,304 | | | | 8,732 | |
| XBiotech, Inc. | | | 1,335 | | | | 7,342 | |
| Xencor, Inc.* | | | 4,949 | | | | 110,511 | |
| Xilio Therapeutics, Inc.* | | | 681 | | | | 2,043 | |
| XOMA Corp.* | | | 525 | | | | 9,560 | |
| Y-mAbs Therapeutics, Inc.* | | | 3,058 | | | | 38,042 | |
| Zentalis Pharmaceuticals, Inc.* | | | 3,181 | | | | 76,694 | |
| | | | | | | 12,334,770 | |
| Building Products - 1.1% | | | | | | | | |
| AAON, Inc. | | | 3,663 | | | | 196,264 | |
| American Woodmark Corp.* | | | 1,454 | | | | 75,724 | |
| Apogee Enterprises, Inc. | | | 2,131 | | | | 88,650 | |
| Caesarstone Ltd. | | | 1,982 | | | | 18,056 | |
| Cornerstone Building Brands, Inc.* | | | 4,777 | | | | 117,275 | |
| CSW Industrials, Inc. | | | 1,302 | | | | 138,168 | |
| Gibraltar Industries, Inc.* | | | 2,869 | | | | 119,809 | |
| Griffon Corp. | | | 4,526 | | | | 145,149 | |
| Insteel Industries, Inc. | | | 1,631 | | | | 67,540 | |
| JELD-WEN Holding, Inc.* | | | 8,011 | | | | 150,847 | |
| Masonite International Corp.* | | | 2,087 | | | | 191,649 | |
| PGT Innovations, Inc.* | | | 5,047 | | | | 101,445 | |
| Quanex Building Products Corp. | | | 2,926 | | | | 59,515 | |
| Resideo Technologies, Inc.* | | | 12,652 | | | | 298,840 | |
| Simpson Manufacturing Co., Inc. | | | 3,804 | | | | 412,163 | |
| UFP Industries, Inc. | | | 5,261 | | | | 406,149 | |
| View, Inc.*(b) | | | 8,580 | | | | 10,897 | |
| Zurn Water Solutions Corp. | | | 10,608 | | | | 305,723 | |
| | | | | | | 2,903,863 | |
| Capital Markets - 1.3% | | | | | | | | |
| Artisan Partners Asset Management, Inc., Class A | | | 5,124 | | | | 196,813 | |
| AssetMark Financial Holdings, Inc.* | | | 1,588 | | | | 33,173 | |
| Associated Capital Group, Inc., Class A | | | 134 | | | | 5,305 | |
| B Riley Financial, Inc. | | | 1,766 | | | | 95,982 | |
| BGC Partners, Inc., Class A | | | 27,676 | | | | 90,224 | |
| Blucora, Inc.* | | | 4,242 | | | | 75,041 | |
| Brightsphere Investment Group, Inc. | | | 2,816 | | | | 57,418 | |
| Cohen & Steers, Inc. | | | 2,184 | | | | 166,443 | |
| Cowen, Inc., Class A(b) | | | 2,299 | | | | 61,016 | |
| Diamond Hill Investment Group, Inc. | | | 266 | | | | 49,779 | |
| Donnelley Financial Solutions, Inc.* | | | 2,574 | | | | 80,077 | |
| Federated Hermes, Inc. | | | 8,145 | | | | 276,686 | |
| Focus Financial Partners, Inc., Class A* | | | 5,677 | | | | 214,023 | |
| GAMCO Investors, Inc., Class A(b) | | | 441 | | | | 9,067 | |
| GCM Grosvenor, Inc., Class A(b) | | | 3,896 | | | | 31,908 | |
| Greenhill & Co., Inc. | | | 1,211 | | | | 14,895 | |
| Hamilton Lane, Inc., Class A | | | 3,048 | | | | 211,989 | |
| Houlihan Lokey, Inc. | | | 4,464 | | | | 383,636 | |
| Moelis & Co., Class A | | | 5,343 | | | | 250,694 | |
| Open Lending Corp., Class A* | | | 9,115 | | | | 119,953 | |
| Oppenheimer Holdings, Inc., Class A | | | 809 | | | | 28,889 | |
| Piper Sandler Cos. | | | 1,530 | | | | 201,639 | |
| PJT Partners, Inc., Class A | | | 2,076 | | | | 157,444 | |
| Pzena Investment Management, Inc., Class A | | | 1,461 | | | | 10,329 | |
| Sculptor Capital Management, Inc. | | | 1,933 | | | | 23,235 | |
| StepStone Group, Inc., Class A | | | 3,990 | | | | 108,767 | |
| StoneX Group, Inc.* | | | 1,500 | | | | 112,605 | |
| Value Line, Inc.(b) | | | 84 | | | | 5,931 | |
| Virtus Investment Partners, Inc. | | | 640 | | | | 123,303 | |
| WisdomTree Investments, Inc. | | | 11,773 | | | | 70,049 | |
| | | | | | | 3,266,313 | |
| Chemicals - 1.8% | | | | | | | | |
| AdvanSix, Inc. | | | 2,380 | | | | 110,265 | |
| American Vanguard Corp. | | | 2,561 | | | | 63,206 | |
| Amyris, Inc.*(b) | | | 15,465 | | | | 39,436 | |
| Aspen Aerogels, Inc.* | | | 1,919 | | | | 33,621 | |
| Avient Corp. | | | 7,963 | | | | 391,780 | |
| Balchem Corp. | | | 2,810 | | | | 349,648 | |
| Cabot Corp. | | | 4,905 | | | | 370,867 | |
| Chase Corp. | | | 661 | | | | 53,402 | |
| Danimer Scientific, Inc.*(b) | | | 7,908 | | | | 34,716 | |
| Ecovyst, Inc. | | | 5,195 | | | | 53,353 | |
| FutureFuel Corp. | | | 2,266 | | | | 16,293 | |
| GCP Applied Technologies, Inc.* | | | 5,852 | | | | 182,114 | |
| Hawkins, Inc. | | | 1,676 | | | | 60,604 | |
| HB Fuller Co. | | | 4,621 | | | | 328,461 | |
| Ingevity Corp.* | | | 3,471 | | | | 241,859 | |
| Innospec, Inc. | | | 2,146 | | | | 218,956 | |
| Intrepid Potash, Inc.* | | | 864 | | | | 56,912 | |
| Koppers Holdings, Inc. | | | 1,821 | | | | 49,349 | |
| Kronos Worldwide, Inc. | | | 1,947 | | | | 37,090 | |
| Livent Corp.*(b) | | | 14,177 | | | | 450,687 | |
| Marrone Bio Innovations, Inc.* | | | 8,848 | | | | 10,352 | |
| Minerals Technologies, Inc. | | | 2,913 | | | | 193,015 | |
See accompanying notes to the financial statements.
UltraPro Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Orion Engineered Carbons SA | | | 5,307 | | | | 102,478 | |
| PureCycle Technologies, Inc.*(b) | | | 5,012 | | | | 42,802 | |
| Quaker Chemical Corp. | | | 1,186 | | | | 185,490 | |
| Rayonier Advanced Materials, Inc.* | | | 5,416 | | | | 20,852 | |
| Schweitzer-Mauduit International, Inc. | | | 2,732 | | | | 74,092 | |
| Sensient Technologies Corp. | | | 3,706 | | | | 324,053 | |
| Stepan Co. | | | 1,887 | | | | 211,552 | |
| Tredegar Corp. | | | 2,284 | | | | 27,659 | |
| Trinseo plc | | | 3,402 | | | | 160,881 | |
| Tronox Holdings plc, Class A | | | 10,026 | | | | 180,568 | |
| Valhi, Inc. | | | 219 | | | | 10,157 | |
| Zymergen, Inc.* | | | 7,016 | | | | 9,963 | |
| | | | | | | 4,696,533 | |
| Commercial Services & Supplies - 1.5% | | | | | | | | |
| ABM Industries, Inc. | | | 5,887 | | | | 284,636 | |
| ACCO Brands Corp. | | | 8,154 | | | | 61,481 | |
| Aris Water Solution, Inc., Class A | | | 1,702 | | | | 34,772 | |
| Brady Corp., Class A | | | 4,124 | | | | 200,055 | |
| BrightView Holdings, Inc.* | | | 4,163 | | | | 54,119 | |
| Brink's Co. (The) | | | 4,205 | | | | 255,790 | |
| Casella Waste Systems, Inc., Class A* | | | 4,302 | | | | 307,937 | |
| CECO Environmental Corp.* | | | 2,730 | | | | 17,090 | |
| Cimpress plc* | | | 1,545 | | | | 67,331 | |
| CompX International, Inc. | | | 123 | | | | 2,722 | |
| CoreCivic, Inc., REIT* | | | 10,501 | | | | 135,148 | |
| Deluxe Corp. | | | 3,721 | | | | 89,044 | |
| Ennis, Inc. | | | 2,230 | | | | 40,475 | |
| GEO Group, Inc. (The), REIT*(b) | | | 10,307 | | | | 73,283 | |
| Harsco Corp.* | | | 6,840 | | | | 56,772 | |
| Healthcare Services Group, Inc. | | | 6,566 | | | | 112,738 | |
| Heritage-Crystal Clean, Inc.* | | | 1,371 | | | | 37,798 | |
| HNI Corp. | | | 3,797 | | | | 144,780 | |
| Interface, Inc. | | | 5,082 | | | | 73,130 | |
| KAR Auction Services, Inc.* | | | 10,573 | | | | 168,851 | |
| Kimball International, Inc., Class B | | | 3,166 | | | | 27,038 | |
| Matthews International Corp., Class A | | | 2,714 | | | | 87,825 | |
| MillerKnoll, Inc. | | | 6,499 | | | | 196,270 | |
| Montrose Environmental Group, Inc.* | | | 2,283 | | | | 92,484 | |
| NL Industries, Inc. | | | 736 | | | | 6,756 | |
| Pitney Bowes, Inc. | | | 15,382 | | | | 71,988 | |
| SP Plus Corp.* | | | 2,017 | | | | 64,463 | |
| Steelcase, Inc., Class A | | | 7,476 | | | | 91,656 | |
| Team, Inc.* | | | 2,301 | | | | 2,715 | |
| Tetra Tech, Inc. | | | 4,712 | | | | 635,979 | |
| UniFirst Corp. | | | 1,314 | | | | 214,760 | |
| Viad Corp.* | | | 1,776 | | | | 53,493 | |
| VSE Corp. | | | 935 | | | | 36,334 | |
| | | | | | | 3,799,713 | |
| Communications Equipment - 0.6% | | | | | | | | |
| ADTRAN, Inc. | | | 4,275 | | | | 79,216 | |
| Aviat Networks, Inc.* | | | 949 | | | | 27,825 | |
| CalAmp Corp.* | | | 3,104 | | | | 22,535 | |
| Calix, Inc.* | | | 4,826 | | | | 178,272 | |
| Cambium Networks Corp.* | | | 929 | | | | 13,275 | |
| Casa Systems, Inc.* | | | 2,779 | | | | 12,228 | |
| Clearfield, Inc.* | | | 1,000 | | | | 61,800 | |
| Comtech Telecommunications Corp. | | | 2,261 | | | | 28,285 | |
| Digi International, Inc.* | | | 3,037 | | | | 67,118 | |
| DZS, Inc.* | | | 1,500 | | | | 26,235 | |
| EMCORE Corp.* | | | 3,233 | | | | 10,669 | |
| Extreme Networks, Inc.* | | | 11,112 | | | | 110,231 | |
| Harmonic, Inc.* | | | 7,915 | | | | 76,221 | |
| Infinera Corp.*(b) | | | 15,997 | | | | 91,663 | |
| Inseego Corp.* | | | 7,458 | | | | 15,363 | |
| KVH Industries, Inc.* | | | 1,322 | | | | 10,285 | |
| NETGEAR, Inc.* | | | 2,539 | | | | 48,368 | |
| NetScout Systems, Inc.* | | | 6,128 | | | | 210,374 | |
| Plantronics, Inc.* | | | 3,726 | | | | 147,103 | |
| Ribbon Communications, Inc.* | | | 6,144 | | | | 17,388 | |
| Viavi Solutions, Inc.* | | | 20,115 | | | | 291,064 | |
| | | | | | | 1,545,518 | |
| Construction & Engineering - 1.4% | | | | | | | | |
| Ameresco, Inc., Class A* | | | 2,706 | | | | 158,896 | |
| API Group Corp.* | | | 17,661 | | | | 308,184 | |
| Arcosa, Inc. | | | 4,247 | | | | 224,539 | |
| Argan, Inc. | | | 1,294 | | | | 51,747 | |
| Comfort Systems USA, Inc. | | | 3,116 | | | | 279,568 | |
| Concrete Pumping Holdings, Inc.*(b) | | | 2,263 | | | | 12,243 | |
| Construction Partners, Inc., Class A* | | | 3,474 | | | | 79,867 | |
| Dycom Industries, Inc.* | | | 2,573 | | | | 239,572 | |
| EMCOR Group, Inc. | | | 4,667 | | | | 492,975 | |
| Fluor Corp.*(b) | | | 12,418 | | | | 350,560 | |
| Granite Construction, Inc.(b) | | | 3,997 | | | | 130,502 | |
| Great Lakes Dredge & Dock Corp.* | | | 5,671 | | | | 83,364 | |
| IES Holdings, Inc.* | | | 767 | | | | 23,693 | |
| Infrastructure and Energy Alternatives, Inc.* | | | 2,395 | | | | 19,471 | |
| INNOVATE Corp.* | | | 4,148 | | | | 10,080 | |
| Matrix Service Co.* | | | 2,297 | | | | 13,851 | |
| MYR Group, Inc.* | | | 1,448 | | | | 132,651 | |
| Northwest Pipe Co.* | | | 856 | | | | 28,599 | |
| NV5 Global, Inc.* | | | 1,155 | | | | 142,273 | |
| Primoris Services Corp. | | | 4,685 | | | | 113,752 | |
| Sterling Construction Co., Inc.* | | | 2,438 | | | | 59,999 | |
| Tutor Perini Corp.* | | | 3,619 | | | | 36,697 | |
| WillScot Mobile Mini Holdings Corp.* | | | 18,233 | | | | 651,465 | |
| | | | | | | 3,644,548 | |
| Construction Materials - 0.1% | | | | | | | | |
| Summit Materials, Inc., Class A* | | | 10,392 | | | | 283,806 | |
| United States Lime & Minerals, Inc. | | | 185 | | | | 22,000 | |
| | | | | | | 305,806 | |
| Consumer Finance - 0.6% | | | | | | | | |
| Atlanticus Holdings Corp.* | | | 424 | | | | 16,498 | |
| Curo Group Holdings Corp. | | | 1,831 | | | | 15,930 | |
| Encore Capital Group, Inc.*(b) | | | 2,164 | | | | 132,242 | |
| Enova International, Inc.* | | | 3,192 | | | | 100,803 | |
| EZCORP, Inc., Class A* | | | 4,363 | | | | 33,072 | |
| FirstCash Holdings, Inc. | | | 3,469 | | | | 258,961 | |
| Green Dot Corp., Class A* | | | 4,686 | | | | 135,144 | |
| LendingClub Corp.* | | | 8,767 | | | | 137,817 | |
| LendingTree, Inc.* | | | 1,025 | | | | 64,688 | |
| Navient Corp. | | | 13,224 | | | | 211,584 | |
| Nelnet, Inc., Class A | | | 1,474 | | | | 124,833 | |
| Oportun Financial Corp.* | | | 1,844 | | | | 20,763 | |
| PRA Group, Inc.* | | | 3,785 | | | | 140,045 | |
| PROG Holdings, Inc.* | | | 4,949 | | | | 144,461 | |
| Regional Management Corp. | | | 669 | | | | 31,831 | |
See accompanying notes to the financial statements.
UltraPro Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| World Acceptance Corp.* | | | 373 | | | | 55,230 | |
| | | | | | | 1,623,902 | |
| Containers & Packaging - 0.3% | | | | | | | | |
| Greif, Inc., Class A | | | 2,263 | | | | 134,581 | |
| Greif, Inc., Class B | | | 515 | | | | 30,493 | |
| Myers Industries, Inc. | | | 3,166 | | | | 75,351 | |
| O-I Glass, Inc.* | | | 13,607 | | | | 223,835 | |
| Pactiv Evergreen, Inc. | | | 3,763 | | | | 38,721 | |
| Ranpak Holdings Corp.* | | | 3,286 | | | | 40,944 | |
| TriMas Corp. | | | 3,779 | | | | 106,492 | |
| | | | | | | 650,417 | |
| Distributors - 0.0%(d) | | | | | | | | |
| Funko, Inc., Class A* | | | 2,359 | | | | 48,053 | |
| Greenlane Holdings, Inc., Class A* | | | 1,613 | | | | 475 | |
| | | | | | | 48,528 | |
| Diversified Consumer Services - 0.5% | | | | | | | | |
| 2U, Inc.*(b) | | | 6,358 | | | | 59,257 | |
| Adtalem Global Education, Inc.* | | | 4,342 | | | | 141,636 | |
| American Public Education, Inc.* | | | 1,634 | | | | 22,778 | |
| Carriage Services, Inc. | | | 1,345 | | | | 54,298 | |
| Coursera, Inc.* | | | 6,396 | | | | 108,156 | |
| European Wax Center, Inc., Class A(b) | | | 1,155 | | | | 30,607 | |
| Graham Holdings Co., Class B | | | 325 | | | | 199,231 | |
| Laureate Education, Inc., Class A | | | 8,683 | | | | 110,535 | |
| OneSpaWorld Holdings Ltd.*(b) | | | 4,686 | | | | 44,048 | |
| Perdoceo Education Corp.* | | | 6,148 | | | | 67,075 | |
| PowerSchool Holdings, Inc., Class A* | | | 3,742 | | | | 47,860 | |
| Regis Corp.* | | | 3,732 | | | | 2,867 | |
| StoneMor, Inc.* | | | 2,821 | | | | 9,676 | |
| Strategic Education, Inc. | | | 2,127 | | | | 139,999 | |
| Stride, Inc.* | | | 3,621 | | | | 141,617 | |
| Udemy, Inc.* | | | 1,222 | | | | 18,024 | |
| Vivint Smart Home, Inc.* | | | 8,003 | | | | 47,698 | |
| WW International, Inc.* | | | 4,596 | | | | 32,586 | |
| | | | | | | 1,277,948 | |
| Diversified Financial Services - 0.1% | | | | | | | | |
| Alerus Financial Corp. | | | 1,308 | | | | 33,223 | |
| A-Mark Precious Metals, Inc. | | | 784 | | | | 59,607 | |
| Banco Latinoamericano de Comercio Exterior SA, Class E | | | 2,719 | | | | 40,432 | |
| Cannae Holdings, Inc.* | | | 7,410 | | | | 150,201 | |
| | | | | | | 283,463 | |
| Diversified Telecommunication Services - 0.5% | | | | | | | | |
| Anterix, Inc.* | | | 1,025 | | | | 43,860 | |
| ATN International, Inc. | | | 966 | | | | 42,591 | |
| Bandwidth, Inc., Class A*(b) | | | 2,014 | | | | 42,375 | |
| Cogent Communications Holdings, Inc. | | | 3,726 | | | | 225,013 | |
| Consolidated Communications Holdings, Inc.* | | | 6,385 | | | | 42,269 | |
| EchoStar Corp., Class A* | | | 3,255 | | | | 78,218 | |
| Globalstar, Inc.*(b) | | | 53,087 | | | | 74,322 | |
| IDT Corp., Class B* | | | 1,274 | | | | 35,111 | |
| Iridium Communications, Inc.* | | | 10,322 | | | | 383,049 | |
| Liberty Latin America Ltd., Class A* | | | 3,538 | | | | 33,646 | |
| Liberty Latin America Ltd., Class C* | | | 13,518 | | | | 128,556 | |
| Ooma, Inc.* | | | 1,947 | | | | 27,336 | |
| Radius Global Infrastructure, Inc.* | | | 6,303 | | | | 93,915 | |
| Telesat Corp.* | | | 622 | | | | 10,406 | |
| | | | | | | 1,260,667 | |
| Electric Utilities - 0.6% | | | | | | | | |
| ALLETE, Inc. | | | 4,599 | | | | 285,230 | |
| MGE Energy, Inc. | | | 3,181 | | | | 252,476 | |
| Otter Tail Corp. | | | 3,605 | | | | 235,731 | |
| PNM Resources, Inc. | | | 7,481 | | | | 355,572 | |
| Portland General Electric Co. | | | 7,880 | | | | 388,090 | |
| Via Renewables, Inc.(b) | | | 1,039 | | | | 8,800 | |
| | | | | | | 1,525,899 | |
| Electrical Equipment - 0.8% | | | | | | | | |
| Advent Technologies Holdings, Inc.* | | | 2,797 | | | | 3,804 | |
| Allied Motion Technologies, Inc. | | | 1,047 | | | | 25,693 | |
| American Superconductor Corp.* | | | 2,423 | | | | 12,939 | |
| Array Technologies, Inc.* | | | 11,163 | | | | 123,686 | |
| Atkore, Inc.* | | | 3,917 | | | | 426,640 | |
| AZZ, Inc. | | | 2,146 | | | | 96,055 | |
| Babcock & Wilcox Enterprises, Inc.* | | | 4,865 | | | | 31,866 | |
| Beam Global* | | | 758 | | | | 10,832 | |
| Blink Charging Co.*(b) | | | 3,187 | | | | 50,769 | |
| Bloom Energy Corp., Class A* | | | 12,442 | | | | 217,984 | |
| Encore Wire Corp. | | | 1,733 | | | | 216,660 | |
| EnerSys | | | 3,613 | | | | 244,672 | |
| Eos Energy Enterprises, Inc.* | | | 3,882 | | | | 5,357 | |
| FTC Solar, Inc.*(b) | | | 3,574 | | | | 14,475 | |
| FuelCell Energy, Inc.*(b) | | | 32,324 | | | | 132,528 | |
| GrafTech International Ltd. | | | 17,539 | | | | 152,239 | |
| Powell Industries, Inc. | | | 796 | | | | 21,396 | |
| Preformed Line Products Co. | | | 255 | | | | 15,807 | |
| Romeo Power, Inc.* | | | 8,547 | | | | 6,715 | |
| Stem, Inc.* | | | 9,963 | | | | 86,080 | |
| Thermon Group Holdings, Inc.* | | | 2,886 | | | | 45,426 | |
| TPI Composites, Inc.* | | | 3,183 | | | | 43,894 | |
| Vicor Corp.* | | | 1,840 | | | | 123,832 | |
| | | | | | | 2,109,349 | |
| Electronic Equipment, Instruments & Components - 2.0% | | | | | | | | |
| 908 Devices, Inc.*(b) | | | 1,839 | | | | 25,599 | |
| Advanced Energy Industries, Inc. | | | 3,296 | | | | 268,492 | |
| Aeva Technologies, Inc.*(b) | | | 9,247 | | | | 30,053 | |
| Akoustis Technologies, Inc.* | | | 4,501 | | | | 18,004 | |
| Arlo Technologies, Inc.* | | | 7,372 | | | | 52,194 | |
| Badger Meter, Inc. | | | 2,541 | | | | 201,095 | |
| Belden, Inc. | | | 3,875 | | | | 223,122 | |
| Benchmark Electronics, Inc. | | | 3,085 | | | | 78,637 | |
| CTS Corp. | | | 2,795 | | | | 113,673 | |
| Daktronics, Inc.* | | | 3,254 | | | | 10,868 | |
| ePlus, Inc.* | | | 2,331 | | | | 132,261 | |
| Fabrinet* | | | 3,232 | | | | 280,764 | |
| FARO Technologies, Inc.* | | | 1,585 | | | | 51,069 | |
| Identiv, Inc.* | | | 1,881 | | | | 24,058 | |
| II-VI, Inc.*(b) | | | 9,257 | | | | 578,562 | |
| Insight Enterprises, Inc.* | | | 3,013 | | | | 297,745 | |
| Iteris, Inc.* | | | 3,708 | | | | 10,197 | |
| Itron, Inc.* | | | 3,957 | | | | 204,221 | |
| Kimball Electronics, Inc.* | | | 2,093 | | | | 39,788 | |
| Knowles Corp.* | | | 7,711 | | | | 148,205 | |
| Luna Innovations, Inc.* | | | 2,704 | | | | 16,332 | |
| Methode Electronics, Inc. | | | 3,236 | | | | 145,782 | |
| MicroVision, Inc.*(b) | | | 14,370 | | | | 51,732 | |
| Napco Security Technologies, Inc.* | | | 2,545 | | | | 49,907 | |
| nLight, Inc.* | | | 3,812 | | | | 46,773 | |
See accompanying notes to the financial statements.
UltraPro Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Novanta, Inc.* | | | 3,082 | | | | 378,963 | |
| OSI Systems, Inc.* | | | 1,462 | | | | 122,691 | |
| Ouster, Inc.*(b) | | | 11,154 | | | | 24,539 | |
| PAR Technology Corp.*(b) | | | 2,208 | | | | 82,977 | |
| PC Connection, Inc. | | | 966 | | | | 43,190 | |
| Plexus Corp.* | | | 2,455 | | | | 208,184 | |
| Rogers Corp.* | | | 1,638 | | | | 434,692 | |
| Sanmina Corp.* | | | 5,492 | | | | 241,044 | |
| ScanSource, Inc.* | | | 2,191 | | | | 84,879 | |
| TTM Technologies, Inc.* | | | 9,121 | | | | 130,339 | |
| Velodyne Lidar, Inc.* | | | 6,688 | | | | 11,303 | |
| Vishay Intertechnology, Inc. | | | 11,669 | | | | 238,514 | |
| Vishay Precision Group, Inc.* | | | 1,092 | | | | 33,197 | |
| | | | | | | 5,133,645 | |
| Energy Equipment & Services - 1.2% | | | | | | | | |
| Archrock, Inc. | | | 11,791 | | | | 118,264 | |
| Bristow Group, Inc.* | | | 2,076 | | | | 65,996 | |
| Cactus, Inc., Class A | | | 4,857 | | | | 254,604 | |
| ChampionX Corp. | | | 17,752 | | | | 413,089 | |
| DMC Global, Inc.* | | | 1,670 | | | | 46,209 | |
| Dril-Quip, Inc.* | | | 3,077 | | | | 96,741 | |
| Expro Group Holdings NV* | | | 4,075 | | | | 55,705 | |
| Helix Energy Solutions Group, Inc.* | | | 12,519 | | | | 58,088 | |
| Helmerich & Payne, Inc. | | | 8,997 | | | | 452,999 | |
| Liberty Energy, Inc., Class A* | | | 8,088 | | | | 131,592 | |
| Nabors Industries Ltd.* | | | 614 | | | | 102,397 | |
| National Energy Services Reunited Corp.* | | | 3,320 | | | | 24,767 | |
| Newpark Resources, Inc.* | | | 7,899 | | | | 33,966 | |
| NexTier Oilfield Solutions, Inc.* | | | 15,127 | | | | 164,884 | |
| Oceaneering International, Inc.* | | | 8,740 | | | | 111,173 | |
| Oil States International, Inc.* | | | 5,307 | | | | 41,076 | |
| Patterson-UTI Energy, Inc. | | | 16,332 | | | | 311,615 | |
| ProPetro Holding Corp.* | | | 7,556 | | | | 98,606 | |
| RPC, Inc.* | | | 5,912 | | | | 55,336 | |
| Select Energy Services, Inc., Class A* | | | 5,588 | | | | 47,330 | |
| Solaris Oilfield Infrastructure, Inc., Class A | | | 2,725 | | | | 36,733 | |
| TETRA Technologies, Inc.* | | | 10,733 | | | | 53,880 | |
| Tidewater, Inc.* | | | 3,590 | | | | 91,365 | |
| US Silica Holdings, Inc.* | | | 6,419 | | | | 113,488 | |
| | | | | | | 2,979,903 | |
| Entertainment - 0.5% | | | | | | | | |
| AMC Entertainment Holdings, Inc., Class A*(b) | | | 45,080 | | | | 646,447 | |
| Chicken Soup For The Soul Entertainment, Inc.* | | | 930 | | | | 6,175 | |
| Cinemark Holdings, Inc.*(b) | | | 9,446 | | | | 160,393 | |
| CuriosityStream, Inc.* | | | 2,284 | | | | 3,449 | |
| Eros STX Global Corp.* | | | 1,379 | | | | 2,729 | |
| IMAX Corp.* | | | 4,355 | | | | 75,429 | |
| Liberty Media Corp.-Liberty Braves, Class A* | | | 875 | | | | 22,207 | |
| Liberty Media Corp.-Liberty Braves, Class C* | | | 3,187 | | | | 78,241 | |
| Lions Gate Entertainment Corp., Class A* | | | 5,098 | | | | 52,153 | |
| Lions Gate Entertainment Corp., Class B* | | | 10,322 | | | | 96,924 | |
| LiveOne, Inc.* | | | 5,316 | | | | 4,465 | |
| Madison Square Garden Entertainment Corp.*(b) | | | 2,272 | | | | 154,019 | |
| Marcus Corp. (The)* | | | 2,001 | | | | 31,356 | |
| | | | | | | 1,333,987 | |
| Equity Real Estate Investment Trusts (REITs) - 5.8% | | | | | | | | |
| Acadia Realty Trust | | | 7,594 | | | | 149,298 | |
| Agree Realty Corp.(b) | | | 6,146 | | | | 427,577 | |
| Alexander & Baldwin, Inc. | | | 6,332 | | | | 129,173 | |
| Alexander's, Inc. | | | 192 | | | | 46,512 | |
| American Assets Trust, Inc. | | | 4,365 | | | | 148,847 | |
| Apartment Investment and Management Co., Class A* | | | 13,222 | | | | 83,034 | |
| Apple Hospitality REIT, Inc. | | | 18,745 | | | | 313,229 | |
| Armada Hoffler Properties, Inc. | | | 5,838 | | | | 80,448 | |
| Ashford Hospitality Trust, Inc.* | | | 1,482 | | | | 8,358 | |
| Braemar Hotels & Resorts, Inc. | | | 4,995 | | | | 28,971 | |
| Brandywine Realty Trust | | | 14,847 | | | | 165,544 | |
| Broadstone Net Lease, Inc. | | | 13,768 | | | | 291,193 | |
| BRT Apartments Corp. | | | 1,000 | | | | 22,910 | |
| CareTrust REIT, Inc. | | | 8,448 | | | | 156,541 | |
| CatchMark Timber Trust, Inc., Class A | | | 4,274 | | | | 50,390 | |
| Centerspace REIT | | | 1,248 | | | | 103,559 | |
| Chatham Lodging Trust* | | | 4,179 | | | | 53,240 | |
| City Office REIT, Inc. | | | 3,734 | | | | 52,052 | |
| Clipper Realty, Inc. | | | 1,067 | | | | 9,027 | |
| Community Healthcare Trust, Inc. | | | 2,094 | | | | 78,902 | |
| Corporate Office Properties Trust | | | 9,868 | | | | 272,752 | |
| CTO Realty Growth, Inc.(b) | | | 504 | | | | 33,209 | |
| DiamondRock Hospitality Co.* | | | 18,270 | | | | 187,998 | |
| DigitalBridge Group, Inc.* | | | 42,430 | | | | 255,429 | |
| Diversified Healthcare Trust | | | 20,760 | | | | 47,125 | |
| Easterly Government Properties, Inc. | | | 7,563 | | | | 148,462 | |
| EastGroup Properties, Inc. | | | 3,523 | | | | 569,141 | |
| Empire State Realty Trust, Inc., Class A | | | 12,505 | | | | 100,040 | |
| Equity Commonwealth* | | | 9,525 | | | | 259,556 | |
| Essential Properties Realty Trust, Inc. | | | 10,605 | | | | 242,642 | |
| Farmland Partners, Inc. | | | 2,501 | | | | 37,565 | |
| Four Corners Property Trust, Inc. | | | 6,747 | | | | 186,015 | |
| Franklin Street Properties Corp. | | | 8,888 | | | | 40,174 | |
| Getty Realty Corp. | | | 3,559 | | | | 99,438 | |
| Gladstone Commercial Corp. | | | 3,232 | | | | 65,577 | |
| Gladstone Land Corp. | | | 2,725 | | | | 73,139 | |
| Global Medical REIT, Inc. | | | 5,230 | | | | 67,990 | |
| Global Net Lease, Inc. | | | 9,123 | | | | 132,010 | |
| Healthcare Realty Trust, Inc.(b) | | | 12,911 | | | | 375,323 | |
| Hersha Hospitality Trust* | | | 2,814 | | | | 30,898 | |
| Independence Realty Trust, Inc. | | | 19,328 | | | | 454,401 | |
| Indus Realty Trust, Inc. | | | 494 | | | | 30,732 | |
| Industrial Logistics Properties Trust | | | 5,673 | | | | 86,570 | |
| Innovative Industrial Properties, Inc. | | | 2,005 | | | | 266,765 | |
| iStar, Inc. | | | 5,863 | | | | 102,016 | |
| Kite Realty Group Trust | | | 18,992 | | | | 398,072 | |
| LTC Properties, Inc. | | | 3,405 | | | | 131,910 | |
| LXP Industrial Trust(b) | | | 24,459 | | | | 282,746 | |
| Macerich Co. (The) | | | 18,713 | | | | 219,878 | |
| National Health Investors, Inc. | | | 3,829 | | | | 226,485 | |
| National Storage Affiliates Trust | | | 7,110 | | | | 372,919 | |
| Necessity Retail REIT, Inc. (The) | | | 10,870 | | | | 86,743 | |
| NETSTREIT Corp.(b) | | | 3,468 | | | | 72,932 | |
| NexPoint Residential Trust, Inc. | | | 1,954 | | | | 143,580 | |
| Office Properties Income Trust | | | 4,183 | | | | 89,140 | |
See accompanying notes to the financial statements.
UltraPro Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| One Liberty Properties, Inc. | | | 1,400 | | | | 38,402 | |
| Outfront Media, Inc. | | | 12,735 | | | | 262,723 | |
| Paramount Group, Inc. | | | 16,319 | | | | 147,850 | |
| Pebblebrook Hotel Trust | | | 11,373 | | | | 256,006 | |
| Phillips Edison & Co., Inc. | | | 9,972 | | | | 336,455 | |
| Physicians Realty Trust | | | 19,274 | | | | 357,533 | |
| Piedmont Office Realty Trust, Inc., Class A | | | 10,856 | | | | 160,017 | |
| Plymouth Industrial REIT, Inc. | | | 2,725 | | | | 55,345 | |
| Postal Realty Trust, Inc., Class A | | | 1,473 | | | | 23,421 | |
| PotlatchDeltic Corp. | | | 5,767 | | | | 302,537 | |
| Preferred Apartment Communities, Inc., Class A | | | 4,557 | | | | 113,652 | |
| PS Business Parks, Inc. | | | 1,748 | | | | 327,977 | |
| Retail Opportunity Investments Corp. | | | 10,408 | | | | 188,073 | |
| RLJ Lodging Trust | | | 14,466 | | | | 194,278 | |
| RPT Realty | | | 7,323 | | | | 89,121 | |
| Ryman Hospitality Properties, Inc.* | | | 4,696 | | | | 419,306 | |
| Sabra Health Care REIT, Inc. | | | 19,983 | | | | 280,561 | |
| Safehold, Inc. | | | 1,822 | | | | 81,717 | |
| Saul Centers, Inc. | | | 1,027 | | | | 50,385 | |
| Seritage Growth Properties, Class A*(b) | | | 3,257 | | | | 26,154 | |
| Service Properties Trust | | | 14,343 | | | | 90,791 | |
| SITE Centers Corp. | | | 15,142 | | | | 238,032 | |
| STAG Industrial, Inc. | | | 15,674 | | | | 521,944 | |
| Summit Hotel Properties, Inc.* | | | 9,086 | | | | 79,412 | |
| Sunstone Hotel Investors, Inc.* | | | 19,044 | | | | 227,957 | |
| Tanger Factory Outlet Centers, Inc. | | | 8,945 | | | | 156,627 | |
| Terreno Realty Corp. | | | 6,456 | | | | 391,944 | |
| UMH Properties, Inc. | | | 3,839 | | | | 75,590 | |
| Uniti Group, Inc.(b) | | | 17,209 | | | | 195,150 | |
| Universal Health Realty Income Trust | | | 1,111 | | | | 59,627 | |
| Urban Edge Properties | | | 10,132 | | | | 190,988 | |
| Urstadt Biddle Properties, Inc., Class A | | | 2,603 | | | | 45,813 | |
| Veris Residential, Inc.* | | | 7,681 | | | | 123,587 | |
| Washington REIT | | | 7,404 | | | | 179,843 | |
| Whitestone REIT | | | 4,022 | | | | 49,430 | |
| Xenia Hotels & Resorts, Inc.* | | | 9,976 | | | | 183,459 | |
| | | | | | | 15,109,884 | |
| Food & Staples Retailing - 1.0% | | | | | | | | |
| Andersons, Inc. (The) | | | 2,746 | | | | 103,277 | |
| BJ's Wholesale Club Holdings, Inc.* | | | 11,990 | | | | 693,861 | |
| Chefs' Warehouse, Inc. (The)* | | | 2,745 | | | | 98,079 | |
| HF Foods Group, Inc.* | | | 3,269 | | | | 17,358 | |
| Ingles Markets, Inc., Class A | | | 1,218 | | | | 108,475 | |
| MedAvail Holdings, Inc.* | | | 1,042 | | | | 1,782 | |
| Natural Grocers by Vitamin Cottage, Inc. | | | 804 | | | | 14,199 | |
| Performance Food Group Co.* | | | 13,263 | | | | 574,818 | |
| PriceSmart, Inc. | | | 2,146 | | | | 168,740 | |
| Rite Aid Corp.*(b) | | | 4,878 | | | | 27,170 | |
| SpartanNash Co. | | | 3,124 | | | | 107,497 | |
| Sprouts Farmers Market, Inc.* | | | 9,872 | | | | 267,433 | |
| United Natural Foods, Inc.* | | | 5,043 | | | | 213,874 | |
| Village Super Market, Inc., Class A | | | 757 | | | | 17,971 | |
| Weis Markets, Inc. | | | 1,441 | | | | 105,942 | |
| | | | | | | 2,520,476 | |
| Food Products - 0.9% | | | | | | | | |
| AppHarvest, Inc.*(b) | | | 6,110 | | | | 19,308 | |
| B&G Foods, Inc.(b) | | | 5,589 | | | | 126,367 | |
| Calavo Growers, Inc. | | | 1,491 | | | | 50,769 | |
| Cal-Maine Foods, Inc. | | | 3,566 | | | | 170,205 | |
| Fresh Del Monte Produce, Inc. | | | 2,934 | | | | 74,934 | |
| Hostess Brands, Inc.* | | | 12,092 | | | | 256,955 | |
| J & J Snack Foods Corp. | | | 1,295 | | | | 166,045 | |
| John B Sanfilippo & Son, Inc. | | | 771 | | | | 58,889 | |
| Laird Superfood, Inc.* | | | 552 | | | | 1,319 | |
| Lancaster Colony Corp. | | | 1,653 | | | | 201,501 | |
| Landec Corp.* | | | 2,272 | | | | 21,584 | |
| Limoneira Co. | | | 1,378 | | | | 16,440 | |
| Mission Produce, Inc.* | | | 3,249 | | | | 43,439 | |
| Sanderson Farms, Inc. | | | 1,777 | | | | 354,511 | |
| Seneca Foods Corp., Class A* | | | 515 | | | | 29,278 | |
| Simply Good Foods Co. (The)* | | | 7,446 | | | | 297,542 | |
| Sovos Brands, Inc.* | | | 2,252 | | | | 31,798 | |
| Tattooed Chef, Inc.*(b) | | | 4,135 | | | | 29,937 | |
| Tootsie Roll Industries, Inc. | | | 1,381 | | | | 45,682 | |
| TreeHouse Foods, Inc.* | | | 4,543 | | | | 186,808 | |
| Utz Brands, Inc.(b) | | | 5,244 | | | | 73,416 | |
| Vita Coco Co., Inc. (The)*(b) | | | 981 | | | | 12,027 | |
| Vital Farms, Inc.* | | | 2,153 | | | | 21,315 | |
| Whole Earth Brands, Inc.* | | | 3,262 | | | | 22,312 | |
| | | | | | | 2,312,381 | |
| Gas Utilities - 1.1% | | | | | | | | |
| Brookfield Infrastructure Corp., Class A(b) | | | 5,567 | | | | 392,752 | |
| Chesapeake Utilities Corp. | | | 1,505 | | | | 201,023 | |
| New Jersey Resources Corp. | | | 8,439 | | | | 387,519 | |
| Northwest Natural Holding Co. | | | 2,663 | | | | 144,574 | |
| ONE Gas, Inc. | | | 4,605 | | | | 400,727 | |
| South Jersey Industries, Inc. | | | 9,004 | | | | 313,789 | |
| Southwest Gas Holdings, Inc. | | | 5,758 | | | | 536,243 | |
| Spire, Inc. | | | 4,428 | | | | 346,712 | |
| | | | | | | 2,723,339 | |
| Health Care Equipment & Supplies - 2.7% | | | | | | | | |
| Accelerate Diagnostics, Inc.* | | | 2,891 | | | | 1,759 | |
| Accuray, Inc.* | | | 8,041 | | | | 16,725 | |
| Acutus Medical, Inc.* | | | 1,663 | | | | 1,152 | |
| Alphatec Holdings, Inc.* | | | 6,187 | | | | 47,516 | |
| AngioDynamics, Inc.* | | | 3,276 | | | | 64,308 | |
| Apyx Medical Corp.* | | | 2,717 | | | | 16,492 | |
| Artivion, Inc.* | | | 3,326 | | | | 65,057 | |
| Asensus Surgical, Inc.* | | | 20,459 | | | | 8,020 | |
| Aspira Women's Health, Inc.* | | | 6,359 | | | | 3,752 | |
| AtriCure, Inc.* | | | 3,917 | | | | 159,148 | |
| Atrion Corp. | | | 135 | | | | 83,664 | |
| Avanos Medical, Inc.* | | | 4,208 | | | | 120,727 | |
| Axogen, Inc.* | | | 3,380 | | | | 32,685 | |
| Axonics, Inc.* | | | 4,007 | | | | 200,350 | |
| BioLife Solutions, Inc.* | | | 925 | | | | 12,691 | |
| Bioventus, Inc., Class A* | | | 2,458 | | | | 24,285 | |
| Butterfly Network, Inc.*(b) | | | 11,689 | | | | 35,651 | |
| Cardiovascular Systems, Inc.* | | | 3,469 | | | | 56,406 | |
| Cerus Corp.* | | | 14,715 | | | | 72,839 | |
| ClearPoint Neuro, Inc.* | | | 1,659 | | | | 18,183 | |
| CONMED Corp. | | | 2,547 | | | | 296,191 | |
| CryoPort, Inc.*(b) | | | 3,538 | | | | 90,042 | |
| Cue Health, Inc.*(b) | | | 1,285 | | | | 6,798 | |
| Cutera, Inc.* | | | 1,545 | | | | 69,509 | |
| CVRx, Inc.* | | | 965 | | | | 5,993 | |
| CytoSorbents Corp.* | | | 3,611 | | | | 6,969 | |
| DarioHealth Corp.* | | | 1,185 | | | | 7,880 | |
| Eargo, Inc.* | | | 2,651 | | | | 4,109 | |
See accompanying notes to the financial statements.
UltraPro Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Glaukos Corp.* | | | 3,971 | | | | 162,136 | |
| Haemonetics Corp.* | | | 4,418 | | | | 279,483 | |
| Heska Corp.* | | | 847 | | | | 84,522 | |
| Inari Medical, Inc.* | | | 3,002 | | | | 197,532 | |
| Inogen, Inc.* | | | 1,736 | | | | 44,580 | |
| Integer Holdings Corp.* | | | 2,875 | | | | 229,367 | |
| Invacare Corp.* | | | 2,941 | | | | 2,747 | |
| iRadimed Corp. | | | 564 | | | | 18,437 | |
| iRhythm Technologies, Inc.* | | | 2,578 | | | | 363,111 | |
| Lantheus Holdings, Inc.* | | | 5,884 | | | | 403,172 | |
| LeMaitre Vascular, Inc. | | | 1,661 | | | | 75,941 | |
| LivaNova plc* | | | 4,682 | | | | 318,704 | |
| Lucid Diagnostics, Inc.* | | | 438 | | | | 920 | |
| Meridian Bioscience, Inc.* | | | 3,725 | | | | 102,437 | |
| Merit Medical Systems, Inc.* | | | 4,494 | | | | 275,887 | |
| Mesa Laboratories, Inc. | | | 429 | | | | 89,768 | |
| Natus Medical, Inc.* | | | 2,950 | | | | 96,730 | |
| Neogen Corp.* | | | 9,393 | | | | 248,539 | |
| Neuronetics, Inc.* | | | 2,228 | | | | 5,971 | |
| NeuroPace, Inc.* | | | 619 | | | | 3,856 | |
| Nevro Corp.* | | | 3,027 | | | | 131,917 | |
| NuVasive, Inc.* | | | 4,524 | | | | 259,723 | |
| Omnicell, Inc.* | | | 3,832 | | | | 425,965 | |
| OraSure Technologies, Inc.* | | | 6,260 | | | | 25,979 | |
| Orthofix Medical, Inc.* | | | 1,644 | | | | 45,194 | |
| OrthoPediatrics Corp.* | | | 1,199 | | | | 55,358 | |
| Outset Medical, Inc.* | | | 4,095 | | | | 89,271 | |
| Paragon 28, Inc.*(b) | | | 787 | | | | 14,103 | |
| PAVmed, Inc.* | | | 6,357 | | | | 6,421 | |
| PROCEPT BioRobotics Corp.* | | | 634 | | | | 24,802 | |
| Pulmonx Corp.* | | | 2,271 | | | | 41,468 | |
| Pulse Biosciences, Inc.* | | | 1,210 | | | | 2,698 | |
| Quotient Ltd.* | | | 6,955 | | | | 2,678 | |
| Retractable Technologies, Inc.* | | | 1,515 | | | | 7,014 | |
| RxSight, Inc.*(b) | | | 1,540 | | | | 21,036 | |
| SeaSpine Holdings Corp.* | | | 2,776 | | | | 22,957 | |
| Senseonics Holdings, Inc.*(b) | | | 37,793 | | | | 43,840 | |
| Shockwave Medical, Inc.* | | | 2,951 | | | | 484,584 | |
| SI-BONE, Inc.* | | | 2,844 | | | | 42,518 | |
| Sientra, Inc.* | | | 5,070 | | | | 4,918 | |
| Sight Sciences, Inc.* | | | 1,950 | | | | 16,750 | |
| Silk Road Medical, Inc.* | | | 2,998 | | | | 99,594 | |
| STAAR Surgical Co.* | | | 4,166 | | | | 274,706 | |
| Stereotaxis, Inc.* | | | 4,332 | | | | 8,707 | |
| Surmodics, Inc.* | | | 1,192 | | | | 46,762 | |
| Tactile Systems Technology, Inc.* | | | 1,673 | | | | 16,998 | |
| Talis Biomedical Corp.* | | | 1,304 | | | | 1,369 | |
| TransMedics Group, Inc.* | | | 2,275 | | | | 66,362 | |
| Treace Medical Concepts, Inc.* | | | 2,639 | | | | 44,045 | |
| UFP Technologies, Inc.* | | | 597 | | | | 45,641 | |
| Utah Medical Products, Inc. | | | 309 | | | | 26,617 | |
| Vapotherm, Inc.*(b) | | | 1,993 | | | | 6,437 | |
| Varex Imaging Corp.* | | | 3,366 | | | | 77,553 | |
| ViewRay, Inc.* | | | 13,174 | | | | 38,073 | |
| Zynex, Inc. | | | 1,954 | | | | 14,245 | |
| | | | | | | 7,069,044 | |
| Health Care Providers & Services - 2.4% | | | | | | | | |
| 1Life Healthcare, Inc.* | | | 10,055 | | | | 85,166 | |
| Accolade, Inc.* | | | 4,464 | | | | 28,659 | |
| AdaptHealth Corp.* | | | 6,274 | | | | 112,869 | |
| Addus HomeCare Corp.* | | | 1,347 | | | | 112,474 | |
| Agiliti, Inc.* | | | 2,055 | | | | 39,703 | |
| AirSculpt Technologies, Inc.* | | | 586 | | | | 5,168 | |
| Alignment Healthcare, Inc.* | | | 6,929 | | | | 74,002 | |
| AMN Healthcare Services, Inc.* | | | 4,122 | | | | 399,422 | |
| Apollo Medical Holdings, Inc.* | | | 3,295 | | | | 123,694 | |
| Aveanna Healthcare Holdings, Inc.* | | | 3,440 | | | | 10,595 | |
| Biodesix, Inc.* | | | 1,221 | | | | 1,807 | |
| Brookdale Senior Living, Inc.* | | | 16,183 | | | | 92,243 | |
| Castle Biosciences, Inc.* | | | 1,860 | | | | 41,422 | |
| Community Health Systems, Inc.* | | | 10,861 | | | | 56,912 | |
| CorVel Corp.* | | | 748 | | | | 111,572 | |
| Covetrus, Inc.* | | | 9,057 | | | | 188,567 | |
| Cross Country Healthcare, Inc.* | | | 3,138 | | | | 55,386 | |
| Ensign Group, Inc. (The) | | | 4,600 | | | | 373,382 | |
| Fulgent Genetics, Inc.* | | | 1,833 | | | | 99,917 | |
| Hanger, Inc.* | | | 3,276 | | | | 51,728 | |
| HealthEquity, Inc.* | | | 7,165 | | | | 448,386 | |
| InfuSystem Holdings, Inc.* | | | 1,580 | | | | 15,279 | |
| Innovage Holding Corp.*(b) | | | 1,607 | | | | 7,794 | |
| Invitae Corp.* | | | 17,526 | | | | 64,320 | |
| Joint Corp. (The)* | | | 1,198 | | | | 19,983 | |
| LHC Group, Inc.* | | | 2,663 | | | | 443,815 | |
| LifeStance Health Group, Inc.*(b) | | | 6,295 | | | | 46,898 | |
| MEDNAX, Inc.* | | | 6,663 | | | | 128,729 | |
| ModivCare, Inc.* | | | 1,092 | | | | 104,209 | |
| National HealthCare Corp. | | | 1,108 | | | | 77,881 | |
| National Research Corp. | | | 1,216 | | | | 43,642 | |
| Ontrak, Inc.* | | | 1,031 | | | | 1,959 | |
| OPKO Health, Inc.* | | | 34,936 | | | | 104,808 | |
| Option Care Health, Inc.* | | | 13,912 | | | | 422,368 | |
| Owens & Minor, Inc. | | | 6,344 | | | | 221,279 | |
| Patterson Cos., Inc. | | | 7,490 | | | | 236,609 | |
| Pennant Group, Inc. (The)* | | | 2,247 | | | | 42,985 | |
| PetIQ, Inc.* | | | 2,361 | | | | 40,515 | |
| Privia Health Group, Inc.* | | | 3,662 | | | | 87,741 | |
| Progyny, Inc.* | | | 5,644 | | | | 178,407 | |
| R1 RCM, Inc.* | | | 10,395 | | | | 223,181 | |
| RadNet, Inc.* | | | 3,986 | | | | 81,833 | |
| Select Medical Holdings Corp. | | | 9,665 | | | | 235,343 | |
| Sharps Compliance Corp.* | | | 1,628 | | | | 7,033 | |
| Surgery Partners, Inc.*(b) | | | 2,998 | | | | 117,522 | |
| Tenet Healthcare Corp.* | | | 9,286 | | | | 600,897 | |
| Tivity Health, Inc.* | | | 3,847 | | | | 124,643 | |
| US Physical Therapy, Inc. | | | 1,107 | | | | 124,637 | |
| Viemed Healthcare, Inc.* | | | 3,091 | | | | 17,742 | |
| | | | | | | 6,335,126 | |
| Health Care Technology - 0.6% | | | | | | | | |
| Allscripts Healthcare Solutions, Inc.* | | | 10,625 | | | | 181,581 | |
| American Well Corp., Class A*(b) | | | 16,013 | | | | 60,529 | |
| Computer Programs and Systems, Inc.* | | | 1,226 | | | | 39,097 | |
| Convey Health Solutions Holdings, Inc.* | | | 1,185 | | | | 7,347 | |
| Evolent Health, Inc., Class A* | | | 6,974 | | | | 196,179 | |
| Forian, Inc.*(b) | | | 1,657 | | | | 5,103 | |
| Health Catalyst, Inc.*(b) | | | 4,568 | | | | 66,921 | |
| HealthStream, Inc.* | | | 2,207 | | | | 44,957 | |
| iCAD, Inc.* | | | 1,922 | | | | 7,342 | |
| Inspire Medical Systems, Inc.* | | | 2,359 | | | | 417,142 | |
| Multiplan Corp.*(b) | | | 28,521 | | | | 142,605 | |
| NantHealth, Inc.* | | | 2,359 | | | | 1,227 | |
| NextGen Healthcare, Inc.* | | | 4,894 | | | | 88,630 | |
| OptimizeRx Corp.* | | | 1,497 | | | | 38,293 | |
| Phreesia, Inc.* | | | 4,335 | | | | 78,637 | |
| Schrodinger, Inc.*(b) | | | 3,965 | | | | 102,456 | |
See accompanying notes to the financial statements.
UltraPro Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Simulations Plus, Inc. | | | 1,339 | | | | 63,576 | |
| Tabula Rasa HealthCare, Inc.* | | | 1,964 | | | | 7,149 | |
| | | | | | | 1,548,771 | |
| Hotels, Restaurants & Leisure - 1.8% | | | | | | | | |
| Accel Entertainment, Inc.* | | | 4,931 | | | | 53,403 | |
| Bally's Corp.* | | | 2,855 | | | | 74,630 | |
| Biglari Holdings, Inc., Class B* | | | 62 | | | | 8,290 | |
| BJ's Restaurants, Inc.* | | | 1,973 | | | | 51,831 | |
| Bloomin' Brands, Inc. | | | 7,740 | | | | 163,391 | |
| Bluegreen Vacations Holding Corp. | | | 1,251 | | | | 34,853 | |
| Brinker International, Inc.* | | | 3,881 | | | | 117,788 | |
| Carrols Restaurant Group, Inc. | | | 2,915 | | | | 5,364 | |
| Century Casinos, Inc.* | | | 2,374 | | | | 20,749 | |
| Cheesecake Factory, Inc. (The) | | | 4,027 | | | | 131,522 | |
| Chuy's Holdings, Inc.* | | | 1,750 | | | | 39,532 | |
| Cracker Barrel Old Country Store, Inc. | | | 2,077 | | | | 211,875 | |
| Dave & Buster's Entertainment, Inc.* | | | 3,835 | | | | 145,308 | |
| Denny's Corp.* | | | 5,404 | | | | 55,985 | |
| Dine Brands Global, Inc. | | | 1,425 | | | | 104,723 | |
| Drive Shack, Inc.* | | | 7,219 | | | | 11,550 | |
| EBET, Inc.*(b) | | | 1,174 | | | | 3,604 | |
| El Pollo Loco Holdings, Inc.* | | | 1,660 | | | | 17,198 | |
| Everi Holdings, Inc.* | | | 7,462 | | | | 133,570 | |
| F45 Training Holdings, Inc.*(b) | | | 2,778 | | | | 17,668 | |
| Fiesta Restaurant Group, Inc.* | | | 1,533 | | | | 11,421 | |
| First Watch Restaurant Group, Inc.* | | | 955 | | | | 15,184 | |
| Full House Resorts, Inc.* | | | 2,865 | | | | 20,170 | |
| GAN Ltd.* | | | 3,520 | | | | 11,862 | |
| Golden Entertainment, Inc.* | | | 1,495 | | | | 70,684 | |
| Hall of Fame Resort & Entertainment Co.* | | | 4,882 | | | | 3,264 | |
| Hilton Grand Vacations, Inc.* | | | 7,475 | | | | 341,981 | |
| International Game Technology plc(b) | | | 8,740 | | | | 187,211 | |
| Jack in the Box, Inc. | | | 1,845 | | | | 126,013 | |
| Krispy Kreme, Inc.(b) | | | 7,446 | | | | 110,350 | |
| Kura Sushi USA, Inc., Class A* | | | 411 | | | | 15,491 | |
| Life Time Group Holdings, Inc.* | | | 3,402 | | | | 49,839 | |
| Light & Wonder, Inc.* | | | 8,415 | | | | 444,312 | |
| Lindblad Expeditions Holdings, Inc.* | | | 2,684 | | | | 38,542 | |
| Monarch Casino & Resort, Inc.* | | | 1,146 | | | | 77,756 | |
| Nathan's Famous, Inc. | | | 243 | | | | 12,405 | |
| NEOGAMES SA* | | | 906 | | | | 11,896 | |
| Noodles & Co.* | | | 3,555 | | | | 23,463 | |
| ONE Group Hospitality, Inc. (The)* | | | 1,818 | | | | 16,344 | |
| Papa John's International, Inc. | | | 2,898 | | | | 255,053 | |
| PlayAGS, Inc.* | | | 2,399 | | | | 13,914 | |
| Portillo's, Inc., Class A*(b) | | | 2,003 | | | | 37,196 | |
| RCI Hospitality Holdings, Inc. | | | 761 | | | | 43,932 | |
| Red Robin Gourmet Burgers, Inc.* | | | 1,369 | | | | 13,471 | |
| Red Rock Resorts, Inc., Class A | | | 4,685 | | | | 181,450 | |
| Rush Street Interactive, Inc.* | | | 4,605 | | | | 27,446 | |
| Ruth's Hospitality Group, Inc. | | | 2,890 | | | | 53,263 | |
| SeaWorld Entertainment, Inc.* | | | 4,408 | | | | 238,825 | |
| Shake Shack, Inc., Class A* | | | 3,268 | | | | 158,988 | |
| Sweetgreen, Inc., Class A*(b) | | | 1,077 | | | | 19,688 | |
| Target Hospitality Corp.* | | | 2,187 | | | | 13,887 | |
| Texas Roadhouse, Inc. | | | 6,139 | | | | 478,658 | |
| Wingstop, Inc. | | | 2,616 | | | | 208,391 | |
| Xponential Fitness, Inc., Class A* | | | 1,075 | | | | 20,296 | |
| | | | | | | 4,755,480 | |
| Household Durables - 1.4% | | | | | | | | |
| Aterian, Inc.*(b) | | | 2,278 | | | | 7,358 | |
| Bassett Furniture Industries, Inc. | | | 804 | | | | 13,089 | |
| Beazer Homes USA, Inc.* | | | 2,554 | | | | 41,400 | |
| Cavco Industries, Inc.* | | | 809 | | | | 179,727 | |
| Century Communities, Inc. | | | 2,638 | | | | 143,428 | |
| Ethan Allen Interiors, Inc. | | | 1,975 | | | | 45,938 | |
| Flexsteel Industries, Inc. | | | 556 | | | | 10,831 | |
| GoPro, Inc., Class A* | | | 11,251 | | | | 77,744 | |
| Green Brick Partners, Inc.* | | | 2,686 | | | | 65,324 | |
| Hamilton Beach Brands Holding Co., Class A | | | 659 | | | | 6,801 | |
| Helen of Troy Ltd.* | | | 2,100 | | | | 388,899 | |
| Hooker Furnishings Corp. | | | 1,035 | | | | 17,895 | |
| Hovnanian Enterprises, Inc., Class A* | | | 461 | | | | 23,599 | |
| Installed Building Products, Inc. | | | 2,077 | | | | 198,437 | |
| iRobot Corp.* | | | 2,355 | | | | 112,074 | |
| KB Home | | | 6,942 | | | | 239,430 | |
| Landsea Homes Corp.* | | | 927 | | | | 6,656 | |
| La-Z-Boy, Inc. | | | 3,848 | | | | 98,239 | |
| Legacy Housing Corp.* | | | 701 | | | | 10,978 | |
| LGI Homes, Inc.* | | | 1,894 | | | | 185,593 | |
| Lifetime Brands, Inc. | | | 1,120 | | | | 12,779 | |
| Lovesac Co. (The)* | | | 1,128 | | | | 39,288 | |
| M/I Homes, Inc.* | | | 2,498 | | | | 116,782 | |
| MDC Holdings, Inc. | | | 4,999 | | | | 190,862 | |
| Meritage Homes Corp.* | | | 3,232 | | | | 275,722 | |
| Purple Innovation, Inc.*(b) | | | 5,046 | | | | 26,138 | |
| Skyline Champion Corp.* | | | 4,600 | | | | 244,398 | |
| Snap One Holdings Corp.*(b) | | | 1,563 | | | | 19,303 | |
| Sonos, Inc.* | | | 11,228 | | | | 248,476 | |
| Taylor Morrison Home Corp.* | | | 10,454 | | | | 302,852 | |
| Traeger, Inc.* | | | 2,758 | | | | 13,101 | |
| Tri Pointe Homes, Inc.* | | | 9,647 | | | | 203,262 | |
| Tupperware Brands Corp.* | | | 4,268 | | | | 28,297 | |
| Universal Electronics, Inc.* | | | 1,120 | | | | 30,016 | |
| VOXX International Corp.* | | | 1,368 | | | | 11,464 | |
| Vuzix Corp.*(b) | | | 5,132 | | | | 33,358 | |
| Weber, Inc., Class A(b) | | | 1,849 | | | | 14,293 | |
| | | | | | | 3,683,831 | |
| Household Products - 0.2% | | | | | | | | |
| Central Garden & Pet Co.* | | | 853 | | | | 38,539 | |
| Central Garden & Pet Co., Class A* | | | 3,495 | | | | 147,943 | |
| Energizer Holdings, Inc. | | | 5,847 | | | | 175,352 | |
| Oil-Dri Corp. of America | | | 461 | | | | 10,958 | |
| WD-40 Co. | | | 1,204 | | | | 227,303 | |
| | | | | | | 600,095 | |
| Independent Power and Renewable Electricity Producers - 0.3% | | | | | | | | |
| Clearway Energy, Inc., Class A | | | 4,435 | | | | 144,404 | |
| Clearway Energy, Inc., Class C, Class C(b) | | | 7,187 | | | | 251,904 | |
| Ormat Technologies, Inc. | | | 3,971 | | | | 333,405 | |
| Sunnova Energy International, Inc.*(b) | | | 7,544 | | | | 150,880 | |
| | | | | | | 880,593 | |
| Insurance - 1.6% | | | | | | | | |
| Ambac Financial Group, Inc.* | | | 3,968 | | | | 42,497 | |
| American Equity Investment Life Holding Co. | | | 7,234 | | | | 291,241 | |
| AMERISAFE, Inc. | | | 1,671 | | | | 84,218 | |
See accompanying notes to the financial statements.
UltraPro Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Argo Group International Holdings Ltd. | | | 2,776 | | | | 117,591 | |
| Bright Health Group, Inc.*(b) | | | 22,628 | | | | 38,468 | |
| BRP Group, Inc., Class A* | | | 4,152 | | | | 104,713 | |
| Citizens, Inc.*(b) | | | 4,359 | | | | 14,472 | |
| CNO Financial Group, Inc. | | | 10,495 | | | | 215,882 | |
| Crawford & Co., Class A | | | 1,424 | | | | 11,677 | |
| Donegal Group, Inc., Class A | | | 1,303 | | | | 21,083 | |
| eHealth, Inc.* | | | 2,164 | | | | 22,722 | |
| Employers Holdings, Inc. | | | 2,455 | | | | 101,662 | |
| Enstar Group Ltd.* | | | 1,090 | | | | 252,804 | |
| Genworth Financial, Inc., Class A* | | | 44,341 | | | | 179,581 | |
| Goosehead Insurance, Inc., Class A | | | 1,577 | | | | 81,657 | |
| Greenlight Capital Re Ltd., Class A* | | | 2,291 | | | | 17,916 | |
| HCI Group, Inc.(b) | | | 721 | | | | 49,006 | |
| Heritage Insurance Holdings, Inc. | | | 2,266 | | | | 8,294 | |
| Horace Mann Educators Corp. | | | 3,651 | | | | 147,720 | |
| Investors Title Co. | | | 126 | | | | 20,907 | |
| James River Group Holdings Ltd. | | | 3,207 | | | | 81,939 | |
| Kinsale Capital Group, Inc. | | | 1,883 | | | | 414,034 | |
| Maiden Holdings Ltd.* | | | 6,076 | | | | 14,825 | |
| MBIA, Inc.* | | | 4,191 | | | | 58,716 | |
| MetroMile, Inc.* | | | 9,963 | | | | 10,461 | |
| National Western Life Group, Inc., Class A | | | 214 | | | | 44,745 | |
| NI Holdings, Inc.* | | | 759 | | | | 12,675 | |
| Palomar Holdings, Inc.* | | | 2,154 | | | | 133,871 | |
| ProAssurance Corp. | | | 4,694 | | | | 104,254 | |
| RLI Corp. | | | 3,502 | | | | 424,162 | |
| Safety Insurance Group, Inc. | | | 1,270 | | | | 117,932 | |
| Selective Insurance Group, Inc. | | | 5,200 | | | | 412,360 | |
| Selectquote, Inc.* | | | 11,721 | | | | 34,225 | |
| SiriusPoint Ltd.* | | | 7,733 | | | | 43,305 | |
| Stewart Information Services Corp. | | | 2,340 | | | | 129,847 | |
| Tiptree, Inc. | | | 2,055 | | | | 22,256 | |
| Trean Insurance Group, Inc.* | | | 1,548 | | | | 11,068 | |
| Trupanion, Inc.* | | | 3,350 | | | | 224,048 | |
| United Fire Group, Inc. | | | 1,829 | | | | 59,278 | |
| United Insurance Holdings Corp. | | | 1,778 | | | | 3,040 | |
| Universal Insurance Holdings, Inc. | | | 2,360 | | | | 30,444 | |
| | | | | | | 4,211,596 | |
| Interactive Media & Services - 0.4% | | | | | | | | |
| Cargurus, Inc.* | | | 8,357 | | | | 211,599 | |
| Cars.com, Inc.* | | | 5,982 | | | | 61,914 | |
| Eventbrite, Inc., Class A* | | | 6,683 | | | | 78,392 | |
| EverQuote, Inc., Class A* | | | 1,714 | | | | 15,340 | |
| fuboTV, Inc.*(b) | | | 11,842 | | | | 38,960 | |
| Liberty TripAdvisor Holdings, Inc., Class A* | | | 6,378 | | | | 6,633 | |
| MediaAlpha, Inc., Class A* | | | 1,849 | | | | 18,675 | |
| Outbrain, Inc.* | | | 2,122 | | | | 13,029 | |
| QuinStreet, Inc.* | | | 4,393 | | | | 48,323 | |
| Society Pass, Inc.* | | | 320 | | | | 656 | |
| TrueCar, Inc.* | | | 8,340 | | | | 27,772 | |
| Yelp, Inc.* | | | 6,258 | | | | 184,048 | |
| Ziff Davis, Inc.* | | | 3,788 | | | | 289,176 | |
| | | | | | | 994,517 | |
| Internet & Direct Marketing Retail - 0.3% | | | | | | | | |
| 1-800-Flowers.com, Inc., Class A* | | | 2,332 | | | | 22,760 | |
| 1stdibs.com, Inc.* | | | 1,771 | | | | 10,112 | |
| aka Brands Holding Corp.*(b) | | | 847 | | | | 3,337 | |
| CarParts.com, Inc.* | | | 4,268 | | | | 32,309 | |
| Duluth Holdings, Inc., Class B* | | | 1,059 | | | | 13,206 | |
| Groupon, Inc.*(b) | | | 2,066 | | | | 31,920 | |
| Lands' End, Inc.* | | | 1,254 | | | | 14,546 | |
| Liquidity Services, Inc.* | | | 2,016 | | | | 27,337 | |
| Lulu's Fashion Lounge Holdings, Inc.* | | | 495 | | | | 9,291 | |
| Overstock.com, Inc.* | | | 3,759 | | | | 116,491 | |
| PetMed Express, Inc.(b) | | | 1,785 | | | | 39,324 | |
| Porch Group, Inc.*(b) | | | 6,663 | | | | 27,452 | |
| Quotient Technology, Inc.* | | | 7,872 | | | | 32,905 | |
| RealReal, Inc. (The)* | | | 7,011 | | | | 22,996 | |
| Rent the Runway, Inc., Class A*(b) | | | 1,493 | | | | 6,465 | |
| Revolve Group, Inc.* | | | 3,140 | | | | 92,253 | |
| Shutterstock, Inc. | | | 2,044 | | | | 123,049 | |
| Stitch Fix, Inc., Class A* | | | 7,113 | | | | 60,247 | |
| Xometry, Inc., Class A*(b) | | | 2,166 | | | | 73,666 | |
| | | | | | | 759,666 | |
| IT Services - 1.2% | | | | | | | | |
| BigCommerce Holdings, Inc., Series 1*(b) | | | 4,238 | | | | 78,530 | |
| Brightcove, Inc.* | | | 3,554 | | | | 25,020 | |
| Cantaloupe, Inc.* | | | 5,099 | | | | 26,719 | |
| Cass Information Systems, Inc. | | | 1,203 | | | | 41,046 | |
| Conduent, Inc.* | | | 14,652 | | | | 77,656 | |
| CSG Systems International, Inc. | | | 2,823 | | | | 175,562 | |
| DigitalOcean Holdings, Inc.*(b) | | | 4,434 | | | | 216,601 | |
| EVERTEC, Inc. | | | 5,302 | | | | 201,158 | |
| Evo Payments, Inc., Class A* | | | 4,149 | | | | 95,634 | |
| ExlService Holdings, Inc.* | | | 2,873 | | | | 408,512 | |
| Flywire Corp.* | | | 4,913 | | | | 94,870 | |
| GreenBox POS* | | | 1,603 | | | | 4,216 | |
| Grid Dynamics Holdings, Inc.* | | | 3,986 | | | | 71,788 | |
| Hackett Group, Inc. (The) | | | 2,153 | | | | 44,115 | |
| I3 Verticals, Inc., Class A* | | | 1,867 | | | | 43,538 | |
| IBEX Holdings Ltd.* | | | 486 | | | | 8,699 | |
| International Money Express, Inc.* | | | 2,821 | | | | 58,169 | |
| Limelight Networks, Inc.* | | | 10,935 | | | | 39,585 | |
| LiveRamp Holdings, Inc.* | | | 5,770 | | | | 147,712 | |
| Maximus, Inc. | | | 5,366 | | | | 348,200 | |
| MoneyGram International, Inc.* | | | 7,815 | | | | 78,775 | |
| Paya Holdings, Inc.* | | | 7,488 | | | | 44,104 | |
| Perficient, Inc.* | | | 2,844 | | | | 278,456 | |
| Priority Technology Holdings, Inc.*(b) | | | 989 | | | | 5,064 | |
| Rackspace Technology, Inc.*(b) | | | 4,779 | | | | 44,110 | |
| Remitly Global, Inc.* | | | 1,098 | | | | 12,023 | |
| Repay Holdings Corp.* | | | 7,563 | | | | 94,159 | |
| StarTek, Inc.* | | | 1,478 | | | | 5,321 | |
| TTEC Holdings, Inc. | | | 1,623 | | | | 109,455 | |
| Tucows, Inc., Class A* | | | 854 | | | | 41,351 | |
| Unisys Corp.* | | | 5,746 | | | | 68,550 | |
| Verra Mobility Corp.* | | | 13,310 | | | | 212,295 | |
| | | | | | | 3,200,993 | |
| Leisure Products - 0.4% | | | | | | | | |
| Acushnet Holdings Corp. | | | 2,989 | | | | 121,652 | |
| American Outdoor Brands, Inc.* | | | 1,246 | | | | 14,416 | |
| AMMO, Inc.*(b) | | | 7,742 | | | | 34,220 | |
| Callaway Golf Co.* | | | 10,128 | | | | 219,879 | |
| Clarus Corp. | | | 2,310 | | | | 50,612 | |
| Escalade, Inc. | | | 861 | | | | 11,529 | |
| Genius Brands International, Inc.*(b) | | | 24,680 | | | | 18,757 | |
| Johnson Outdoors, Inc., Class A | | | 463 | | | | 30,174 | |
| Latham Group, Inc.* | | | 3,731 | | | | 35,482 | |
| Malibu Boats, Inc., Class A* | | | 1,817 | | | | 106,476 | |
See accompanying notes to the financial statements.
UltraPro Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Marine Products Corp. | | | 707 | | | | 7,508 | |
| MasterCraft Boat Holdings, Inc.* | | | 1,608 | | | | 37,627 | |
| Nautilus, Inc.* | | | 2,661 | | | | 5,588 | |
| Smith & Wesson Brands, Inc. | | | 4,191 | | | | 64,877 | |
| Solo Brands, Inc., Class A*(b) | | | 1,300 | | | | 6,539 | |
| Sturm Ruger & Co., Inc. | | | 1,497 | | | | 101,631 | |
| Vista Outdoor, Inc.* | | | 4,936 | | | | 190,234 | |
| | | | | | | 1,057,201 | |
| Life Sciences Tools & Services - 0.4% | | | | | | | | |
| Absci Corp.*(b) | | | 4,877 | | | | 17,801 | |
| Akoya Biosciences, Inc.* | | | 1,176 | | | | 13,700 | |
| Alpha Teknova, Inc.* | | | 603 | | | | 4,613 | |
| Berkeley Lights, Inc.* | | | 4,257 | | | | 20,348 | |
| Bionano Genomics, Inc.*(b) | | | 25,520 | | | | 44,150 | |
| ChromaDex Corp.* | | | 4,095 | | | | 7,780 | |
| Codex DNA, Inc.* | | | 797 | | | | 3,172 | |
| Codexis, Inc.* | | | 5,261 | | | | 56,187 | |
| Cytek Biosciences, Inc.*(b) | | | 8,556 | | | | 83,079 | |
| Harvard Bioscience, Inc.* | | | 3,448 | | | | 12,620 | |
| Inotiv, Inc.* | | | 1,528 | | | | 23,378 | |
| IsoPlexis Corp.* | | | 740 | | | | 1,569 | |
| MaxCyte, Inc.*(b) | | | 8,741 | | | | 40,296 | |
| Medpace Holdings, Inc.* | | | 2,545 | | | | 364,546 | |
| NanoString Technologies, Inc.* | | | 3,975 | | | | 62,169 | |
| NeoGenomics, Inc.* | | | 9,911 | | | | 83,451 | |
| Pacific Biosciences of California, Inc.* | | | 17,008 | | | | 95,755 | |
| Personalis, Inc.* | | | 3,152 | | | | 12,482 | |
| Quanterix Corp.* | | | 2,701 | | | | 45,539 | |
| Rapid Micro Biosystems, Inc., Class A* | | | 1,378 | | | | 6,904 | |
| Seer, Inc.* | | | 3,635 | | | | 32,279 | |
| Singular Genomics Systems, Inc.*(b) | | | 4,120 | | | | 13,390 | |
| Standard BioTools, Inc.* | | | 6,650 | | | | 12,568 | |
| | | | | | | 1,057,776 | |
| Machinery - 3.0% | | | | | | | | |
| AgEagle Aerial Systems, Inc.* | | | 6,105 | | | | 4,763 | |
| Alamo Group, Inc. | | | 864 | | | | 101,632 | |
| Albany International Corp., Class A | | | 2,693 | | | | 227,289 | |
| Altra Industrial Motion Corp. | | | 5,675 | | | | 222,517 | |
| Astec Industries, Inc. | | | 1,984 | | | | 92,792 | |
| Barnes Group, Inc. | | | 4,145 | | | | 149,344 | |
| Blue Bird Corp.* | | | 1,517 | | | | 18,523 | |
| Chart Industries, Inc.* | | | 3,189 | | | | 560,881 | |
| CIRCOR International, Inc.* | | | 1,610 | | | | 31,298 | |
| Columbus McKinnon Corp. | | | 2,438 | | | | 82,283 | |
| Commercial Vehicle Group, Inc.* | | | 2,814 | | | | 18,995 | |
| Desktop Metal, Inc., Class A*(b) | | | 16,385 | | | | 33,589 | |
| Douglas Dynamics, Inc. | | | 1,981 | | | | 62,243 | |
| Energy Recovery, Inc.* | | | 3,631 | | | | 73,383 | |
| Enerpac Tool Group Corp. | | | 5,286 | | | | 103,183 | |
| EnPro Industries, Inc. | | | 1,810 | | | | 173,326 | |
| ESCO Technologies, Inc. | | | 2,239 | | | | 147,349 | |
| Evoqua Water Technologies Corp.* | | | 10,127 | | | | 360,420 | |
| Federal Signal Corp. | | | 5,267 | | | | 184,872 | |
| Franklin Electric Co., Inc. | | | 4,063 | | | | 299,524 | |
| Gorman-Rupp Co. (The) | | | 1,989 | | | | 59,252 | |
| Greenbrier Cos., Inc. (The)(b) | | | 2,789 | | | | 116,050 | |
| Helios Technologies, Inc. | | | 2,821 | | | | 193,013 | |
| Hillenbrand, Inc. | | | 6,392 | | | | 267,441 | |
| Hydrofarm Holdings Group, Inc.* | | | 3,443 | | | | 23,722 | |
| Hyliion Holdings Corp.*(b) | | | 10,247 | | | | 37,197 | |
| Hyster-Yale Materials Handling, Inc. | | | 873 | | | | 32,257 | |
| Ideanomics, Inc.*(b) | | | 42,539 | | | | 25,523 | |
| John Bean Technologies Corp. | | | 2,737 | | | | 333,230 | |
| Kadant, Inc. | | | 1,019 | | | | 188,617 | |
| Kennametal, Inc. | | | 7,307 | | | | 202,696 | |
| Lindsay Corp. | | | 948 | | | | 119,448 | |
| Luxfer Holdings plc | | | 2,410 | | | | 40,247 | |
| Manitowoc Co., Inc. (The)* | | | 3,000 | | | | 39,060 | |
| Mayville Engineering Co., Inc.* | | | 782 | | | | 7,093 | |
| Meritor, Inc.* | | | 5,945 | | | | 215,031 | |
| Miller Industries, Inc. | | | 966 | | | | 23,841 | |
| Mueller Industries, Inc. | | | 4,911 | | | | 264,457 | |
| Mueller Water Products, Inc., Class A | | | 13,639 | | | | 162,713 | |
| Nikola Corp.*(b) | | | 19,993 | | | | 141,151 | |
| NN, Inc.* | | | 3,735 | | | | 10,458 | |
| Omega Flex, Inc. | | | 273 | | | | 30,177 | |
| Park-Ohio Holdings Corp. | | | 756 | | | | 11,779 | |
| Proto Labs, Inc.* | | | 2,432 | | | | 117,198 | |
| RBC Bearings, Inc.*(b) | | | 2,453 | | | | 457,215 | |
| REV Group, Inc. | | | 3,082 | | | | 37,816 | |
| Shyft Group, Inc. (The) | | | 3,028 | | | | 67,191 | |
| SPX Corp.* | | | 3,836 | | | | 193,066 | |
| Standex International Corp. | | | 1,039 | | | | 96,731 | |
| Tennant Co. | | | 1,618 | | | | 100,704 | |
| Terex Corp. | | | 5,982 | | | | 211,703 | |
| Titan International, Inc.* | | | 4,464 | | | | 81,289 | |
| Trinity Industries, Inc. | | | 6,747 | | | | 167,730 | |
| Wabash National Corp. | | | 4,268 | | | | 65,514 | |
| Watts Water Technologies, Inc., Class A | | | 2,406 | | | | 314,777 | |
| Welbilt, Inc.* | | | 11,432 | | | | 270,595 | |
| | | | | | | 7,674,188 | |
| Marine - 0.2% | | | | | | | | |
| Costamare, Inc. | | | 4,613 | | | | 65,597 | |
| Eagle Bulk Shipping, Inc. | | | 776 | | | | 56,850 | |
| Genco Shipping & Trading Ltd. | | | 2,825 | | | | 71,331 | |
| Matson, Inc. | | | 3,633 | | | | 326,534 | |
| Safe Bulkers, Inc. | | | 5,540 | | | | 26,370 | |
| | | | | | | 546,682 | |
| Media - 0.8% | | | | | | | | |
| Advantage Solutions, Inc.* | | | 6,676 | | | | 28,707 | |
| AMC Networks, Inc., Class A* | | | 2,550 | | | | 100,113 | |
| Audacy, Inc.* | | | 10,324 | | | | 17,964 | |
| Boston Omaha Corp., Class A* | | | 1,797 | | | | 39,264 | |
| Cardlytics, Inc.*(b) | | | 2,823 | | | | 73,144 | |
| Clear Channel Outdoor Holdings, Inc.* | | | 31,765 | | | | 50,189 | |
| comScore, Inc.* | | | 6,129 | | | | 11,829 | |
| Daily Journal Corp.* | | | 117 | | | | 32,271 | |
| Digital Media Solutions, Inc.* | | | 287 | | | | 476 | |
| Emerald Holding, Inc.* | | | 2,060 | | | | 6,901 | |
| Entravision Communications Corp., Class A | | | 5,261 | | | | 27,515 | |
| EW Scripps Co. (The), Class A* | | | 5,012 | | | | 79,540 | |
| Fluent, Inc.* | | | 3,796 | | | | 4,897 | |
| Gannett Co., Inc.* | | | 12,296 | | | | 48,323 | |
| Gray Television, Inc. | | | 7,466 | | | | 147,230 | |
| Hemisphere Media Group, Inc.* | | | 1,410 | | | | 9,673 | |
| iHeartMedia, Inc., Class A* | | | 9,785 | | | | 115,463 | |
| Integral Ad Science Holding Corp.* | | | 2,808 | | | | 34,201 | |
| John Wiley & Sons, Inc., Class A | | | 3,778 | | | | 200,083 | |
| Magnite, Inc.* | | | 11,354 | | | | 124,781 | |
See accompanying notes to the financial statements.
UltraPro Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| National CineMedia, Inc. | | | 5,253 | | | | 6,461 | |
| Scholastic Corp. | | | 2,418 | | | | 90,748 | |
| Sinclair Broadcast Group, Inc., Class A | | | 4,019 | | | | 97,380 | |
| Stagwell, Inc.*(b) | | | 5,399 | | | | 42,706 | |
| TechTarget, Inc.* | | | 2,272 | | | | 161,517 | |
| TEGNA, Inc. | | | 19,349 | | | | 423,743 | |
| Thryv Holdings, Inc.* | | | 680 | | | | 17,809 | |
| WideOpenWest, Inc.* | | | 4,590 | | | | 100,888 | |
| | | | | | | 2,093,816 | |
| Metals & Mining - 1.2% | | | | | | | | |
| Allegheny Technologies, Inc.* | | | 11,138 | | | | 306,295 | |
| Arconic Corp.* | | | 9,333 | | | | 262,537 | |
| Carpenter Technology Corp. | | | 4,157 | | | | 146,451 | |
| Century Aluminum Co.* | | | 4,494 | | | | 53,029 | |
| Coeur Mining, Inc.* | | | 22,386 | | | | 87,082 | |
| Commercial Metals Co. | | | 10,511 | | | | 417,602 | |
| Compass Minerals International, Inc. | | | 3,002 | | | | 134,880 | |
| Constellium SE* | | | 10,856 | | | | 183,358 | |
| Gatos Silver, Inc.*(b) | | | 4,064 | | | | 12,517 | |
| Haynes International, Inc. | | | 1,071 | | | | 40,966 | |
| Hecla Mining Co. | | | 46,491 | | | | 219,438 | |
| Kaiser Aluminum Corp. | | | 1,390 | | | | 142,016 | |
| Materion Corp. | | | 1,780 | | | | 145,924 | |
| MP Materials Corp.*(b) | | | 6,637 | | | | 261,697 | |
| Novagold Resources, Inc.* | | | 20,748 | | | | 115,981 | |
| Olympic Steel, Inc. | | | 825 | | | | 28,190 | |
| Perpetua Resources Corp.* | | | 2,838 | | | | 9,876 | |
| PolyMet Mining Corp.*(b) | | | 2,531 | | | | 7,011 | |
| Ryerson Holding Corp. | | | 1,437 | | | | 43,311 | |
| Schnitzer Steel Industries, Inc., Class A | | | 2,291 | | | | 93,060 | |
| SunCoke Energy, Inc. | | | 7,276 | | | | 58,863 | |
| TimkenSteel Corp.* | | | 4,019 | | | | 92,839 | |
| Warrior Met Coal, Inc. | | | 4,506 | | | | 151,492 | |
| Worthington Industries, Inc. | | | 2,895 | | | | 135,023 | |
| | | | | | | 3,149,438 | |
| Mortgage Real Estate Investment Trusts (REITs) - 1.1% | | | | | | | | |
| AFC Gamma, Inc. | | | 1,295 | | | | 23,206 | |
| Angel Oak Mortgage, Inc.(b) | | | 845 | | | | 12,929 | |
| Apollo Commercial Real Estate Finance, Inc. | | | 12,278 | | | | 156,299 | |
| Arbor Realty Trust, Inc. | | | 12,583 | | | | 206,613 | |
| Ares Commercial Real Estate Corp. | | | 3,829 | | | | 56,286 | |
| ARMOUR Residential REIT, Inc.(b) | | | 7,789 | | | | 58,885 | |
| Blackstone Mortgage Trust, Inc., Class A | | | 13,752 | | | | 427,825 | |
| BrightSpire Capital, Inc. | | | 7,372 | | | | 65,537 | |
| Broadmark Realty Capital, Inc. | | | 11,227 | | | | 82,968 | |
| Chicago Atlantic Real Estate Finance, Inc. | | | 520 | | | | 8,856 | |
| Chimera Investment Corp. | | | 20,617 | | | | 202,047 | |
| Dynex Capital, Inc. | | | 3,166 | | | | 51,606 | |
| Ellington Financial, Inc. | | | 4,705 | | | | 72,881 | |
| Franklin BSP Realty Trust, Inc. | | | 3,153 | | | | 48,808 | |
| Granite Point Mortgage Trust, Inc. | | | 4,679 | | | | 51,469 | |
| Great Ajax Corp. | | | 1,900 | | | | 20,045 | |
| Hannon Armstrong Sustainable Infrastructure Capital, Inc.(b) | | | 6,705 | | | | 255,259 | |
| Invesco Mortgage Capital, Inc.(b) | | | 27,458 | | | | 48,875 | |
| KKR Real Estate Finance Trust, Inc. | | | 3,085 | | | | 62,996 | |
| Ladder Capital Corp. | | | 9,943 | | | | 114,941 | |
| MFA Financial, Inc. | | | 9,683 | | | | 130,914 | |
| New York Mortgage Trust, Inc. | | | 33,213 | | | | 100,635 | |
| Orchid Island Capital, Inc.(b) | | | 11,883 | | | | 37,075 | |
| PennyMac Mortgage Investment Trust | | | 8,569 | | | | 138,646 | |
| Ready Capital Corp. | | | 5,878 | | | | 86,289 | |
| Redwood Trust, Inc. | | | 10,037 | | | | 102,377 | |
| TPG RE Finance Trust, Inc. | | | 5,245 | | | | 55,020 | |
| Two Harbors Investment Corp. | | | 30,082 | | | | 160,638 | |
| | | | | | | 2,839,925 | |
| Multiline Retail - 0.4% | | | | | | | | |
| Big Lots, Inc.(b) | | | 2,630 | | | | 64,409 | |
| Dillard's, Inc., Class A(b) | | | 484 | | | | 145,916 | |
| Franchise Group, Inc. | | | 2,476 | | | | 98,223 | |
| Macy's, Inc. | | | 26,379 | | | | 623,863 | |
| | | | | | | 932,411 | |
| Multi-Utilities - 0.4% | | | | | | | | |
| Avista Corp. | | | 6,197 | | | | 269,198 | |
| Black Hills Corp. | | | 5,584 | | | | 428,069 | |
| NorthWestern Corp. | | | 4,749 | | | | 290,971 | |
| Unitil Corp. | | | 1,376 | | | | 79,547 | |
| | | | | | | 1,067,785 | |
| Oil, Gas & Consumable Fuels - 5.6% | | | | | | | | |
| Aemetis, Inc.*(b) | | | 2,375 | | | | 19,261 | |
| Alto Ingredients, Inc.* | | | 6,256 | | | | 27,839 | |
| Antero Resources Corp.* | | | 25,026 | | | | 1,073,115 | |
| Arch Resources, Inc.(b) | | | 1,315 | | | | 200,985 | |
| Berry Corp. | | | 5,897 | | | | 65,634 | |
| Brigham Minerals, Inc., Class A | | | 3,812 | | | | 115,542 | |
| California Resources Corp. | | | 7,100 | | | | 310,057 | |
| Callon Petroleum Co.* | | | 4,212 | | | | 246,233 | |
| Centennial Resource Development, Inc., Class A*(b) | | | 16,116 | | | | 127,961 | |
| Centrus Energy Corp., Class A* | | | 859 | | | | 21,982 | |
| Chesapeake Energy Corp. | | | 9,175 | | | | 893,461 | |
| Civitas Resources, Inc. | | | 3,789 | | | | 289,290 | |
| Clean Energy Fuels Corp.* | | | 13,561 | | | | 74,992 | |
| CNX Resources Corp.* | | | 17,582 | | | | 381,881 | |
| Comstock Resources, Inc.* | | | 7,993 | | | | 154,265 | |
| CONSOL Energy, Inc.* | | | 2,987 | | | | 154,010 | |
| Crescent Energy Co., Class A(b) | | | 2,566 | | | | 46,368 | |
| CVR Energy, Inc. | | | 2,589 | | | | 89,139 | |
| Delek US Holdings, Inc.* | | | 5,747 | | | | 167,580 | |
| Denbury, Inc.* | | | 4,418 | | | | 323,132 | |
| DHT Holdings, Inc.(b) | | | 12,270 | | | | 73,129 | |
| Dorian LPG Ltd. | | | 2,735 | | | | 46,495 | |
| Earthstone Energy, Inc., Class A*(b) | | | 2,700 | | | | 48,654 | |
| Energy Fuels, Inc.* | | | 13,525 | | | | 86,695 | |
| Equitrans Midstream Corp. | | | 35,765 | | | | 281,471 | |
| Falcon Minerals Corp. | | | 3,455 | | | | 25,602 | |
| Frontline Ltd.*(b) | | | 10,773 | | | | 104,283 | |
| Gevo, Inc.*(b) | | | 17,379 | | | | 72,992 | |
| Golar LNG Ltd.* | | | 8,847 | | | | 224,094 | |
| Green Plains, Inc.* | | | 4,170 | | | | 135,859 | |
| HighPeak Energy, Inc. | | | 462 | | | | 14,724 | |
| International Seaways, Inc.(b) | | | 4,022 | | | | 97,051 | |
| Kinetik Holdings, Inc. | | | 291 | | | | 24,456 | |
| Kosmos Energy Ltd.* | | | 39,241 | | | | 303,725 | |
| Laredo Petroleum, Inc.* | | | 1,108 | | | | 93,260 | |
| Magnolia Oil & Gas Corp., Class A(b) | | | 12,615 | | | | 348,300 | |
See accompanying notes to the financial statements.
UltraPro Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Matador Resources Co. | | | 9,693 | | | | 590,304 | |
| Murphy Oil Corp. | | | 12,823 | | | | 543,952 | |
| Nordic American Tankers Ltd.(b) | | | 14,713 | | | | 30,162 | |
| Northern Oil and Gas, Inc. | | | 5,337 | | | | 174,466 | |
| Oasis Petroleum, Inc. | | | 1,738 | | | | 275,873 | |
| Ovintiv, Inc. | | | 22,935 | | | | 1,284,131 | |
| Par Pacific Holdings, Inc.* | | | 3,914 | | | | 64,190 | |
| PBF Energy, Inc., Class A* | | | 8,426 | | | | 279,743 | |
| PDC Energy, Inc. | | | 8,535 | | | | 675,460 | |
| Peabody Energy Corp.*(b) | | | 7,789 | | | | 183,898 | |
| Range Resources Corp.* | | | 20,927 | | | | 710,472 | |
| Ranger Oil Corp.* | | | 1,849 | | | | 79,156 | |
| Renewable Energy Group, Inc.* | | | 3,917 | | | | 240,151 | |
| REX American Resources Corp.* | | | 462 | | | | 40,143 | |
| Riley Exploration Permian, Inc.(b) | | | 935 | | | | 25,684 | |
| Scorpio Tankers, Inc. | | | 4,258 | | | | 140,727 | |
| SFL Corp. Ltd. | | | 10,853 | | | | 122,096 | |
| SM Energy Co. | | | 10,504 | | | | 507,028 | |
| Southwestern Energy Co.* | | | 88,880 | | | | 810,586 | |
| Talos Energy, Inc.* | | | 3,222 | | | | 69,595 | |
| Teekay Corp.* | | | 6,069 | | | | 20,513 | |
| Teekay Tankers Ltd., Class A* | | | 2,093 | | | | 43,220 | |
| Tellurian, Inc.* | | | 32,401 | | | | 154,553 | |
| Uranium Energy Corp.* | | | 23,116 | | | | 88,303 | |
| Ur-Energy, Inc.* | | | 16,218 | | | | 19,786 | |
| W&T Offshore, Inc.* | | | 8,200 | | | | 55,186 | |
| Whiting Petroleum Corp. | | | 3,435 | | | | 303,860 | |
| World Fuel Services Corp. | | | 5,458 | | | | 135,304 | |
| | | | | | | 14,432,059 | |
| Paper & Forest Products - 0.1% | | | | | | | | |
| Clearwater Paper Corp.* | | | 1,444 | | | | 49,601 | |
| Glatfelter Corp. | | | 3,829 | | | | 33,006 | |
| Neenah, Inc. | | | 1,483 | | | | 56,221 | |
| | | | | | | 138,828 | |
| Personal Products - 0.5% | | | | | | | | |
| Beauty Health Co. (The)* | | | 7,636 | | | | 108,966 | |
| BellRing Brands, Inc.* | | | 9,855 | | | | 257,708 | |
| Edgewell Personal Care Co. | | | 4,754 | | | | 173,046 | |
| elf Beauty, Inc.* | | | 4,215 | | | | 112,203 | |
| Honest Co., Inc. (The)* | | | 7,445 | | | | 25,611 | |
| Inter Parfums, Inc. | | | 1,576 | | | | 116,309 | |
| Medifast, Inc. | | | 1,011 | | | | 168,584 | |
| Nature's Sunshine Products, Inc.* | | | 1,028 | | | | 12,428 | |
| NewAge, Inc.* | | | 11,751 | | | | 4,230 | |
| Nu Skin Enterprises, Inc., Class A | | | 4,338 | | | | 202,368 | |
| Revlon, Inc., Class A*(b) | | | 619 | | | | 2,594 | |
| Thorne HealthTech, Inc.* | | | 579 | | | | 3,410 | |
| USANA Health Sciences, Inc.* | | | 1,039 | | | | 73,073 | |
| Veru, Inc.*(b) | | | 5,633 | | | | 72,891 | |
| | | | | | | 1,333,421 | |
| Pharmaceuticals - 1.1% | | | | | | | | |
| 9 Meters Biopharma, Inc.* | | | 19,803 | | | | 8,953 | |
| Aclaris Therapeutics, Inc.* | | | 4,461 | | | | 57,056 | |
| Aerie Pharmaceuticals, Inc.* | | | 3,709 | | | | 19,213 | |
| Amneal Pharmaceuticals, Inc.* | | | 8,710 | | | | 31,617 | |
| Amphastar Pharmaceuticals, Inc.* | | | 3,236 | | | | 120,185 | |
| Ampio Pharmaceuticals, Inc.* | | | 17,031 | | | | 3,113 | |
| Amylyx Pharmaceuticals, Inc.*(b) | | | 844 | | | | 7,503 | |
| Angion Biomedica Corp.* | | | 1,906 | | | | 3,355 | |
| ANI Pharmaceuticals, Inc.* | | | 949 | | | | 28,707 | |
| Arvinas, Inc.* | | | 4,117 | | | | 171,638 | |
| Atea Pharmaceuticals, Inc.* | | | 5,653 | | | | 44,546 | |
| Athira Pharma, Inc.* | | | 2,810 | | | | 25,515 | |
| Axsome Therapeutics, Inc.* | | | 2,431 | | | | 60,775 | |
| Cara Therapeutics, Inc.* | | | 3,894 | | | | 32,398 | |
| Cassava Sciences, Inc.*(b) | | | 3,354 | | | | 102,632 | |
| CinCor Pharma, Inc.*(b) | | | 1,021 | | | | 15,887 | |
| Citius Pharmaceuticals, Inc.* | | | 10,836 | | | | 10,183 | |
| Collegium Pharmaceutical, Inc.* | | | 3,017 | | | | 47,125 | |
| Corcept Therapeutics, Inc.* | | | 7,652 | | | | 159,468 | |
| CorMedix, Inc.* | | | 3,311 | | | | 10,728 | |
| Cymabay Therapeutics, Inc.* | | | 7,452 | | | | 14,606 | |
| DICE Therapeutics, Inc.* | | | 1,214 | | | | 16,692 | |
| Durect Corp.* | | | 19,781 | | | | 10,879 | |
| Edgewise Therapeutics, Inc.*(b) | | | 3,382 | | | | 21,137 | |
| Endo International plc* | | | 20,044 | | | | 10,577 | |
| Esperion Therapeutics, Inc.* | | | 5,064 | | | | 28,865 | |
| Evolus, Inc.* | | | 2,916 | | | | 37,616 | |
| EyePoint Pharmaceuticals, Inc.* | | | 2,185 | | | | 21,085 | |
| Fulcrum Therapeutics, Inc.*(b) | | | 2,402 | | | | 17,102 | |
| Harmony Biosciences Holdings, Inc.* | | | 2,022 | | | | 88,159 | |
| Ikena Oncology, Inc.* | | | 2,426 | | | | 9,461 | |
| Innoviva, Inc.* | | | 3,804 | | | | 57,707 | |
| Intra-Cellular Therapies, Inc.* | | | 7,015 | | | | 402,661 | |
| Kala Pharmaceuticals, Inc.* | | | 4,279 | | | | 1,490 | |
| KemPharm, Inc.* | | | 2,594 | | | | 12,010 | |
| Landos Biopharma, Inc.* | | | 401 | | | | 291 | |
| Marinus Pharmaceuticals, Inc.* | | | 3,231 | | | | 15,670 | |
| Mind Medicine MindMed, Inc.* | | | 28,157 | | | | 25,474 | |
| NGM Biopharmaceuticals, Inc.* | | | 2,749 | | | | 38,046 | |
| Nuvation Bio, Inc.*(b) | | | 13,913 | | | | 49,113 | |
| Ocular Therapeutix, Inc.* | | | 6,709 | | | | 20,999 | |
| Omeros Corp.* | | | 5,270 | | | | 13,070 | |
| Oramed Pharmaceuticals, Inc.* | | | 3,279 | | | | 15,182 | |
| Pacira BioSciences, Inc.* | | | 3,863 | | | | 244,335 | |
| Paratek Pharmaceuticals, Inc.* | | | 4,280 | | | | 8,089 | |
| Phathom Pharmaceuticals, Inc.* | | | 1,768 | | | | 12,676 | |
| Phibro Animal Health Corp., Class A | | | 1,790 | | | | 34,386 | |
| Pliant Therapeutics, Inc.* | | | 2,092 | | | | 11,778 | |
| Prestige Consumer Healthcare, Inc.* | | | 4,384 | | | | 244,715 | |
| Provention Bio, Inc.*(b) | | | 4,859 | | | | 20,019 | |
| Rain Therapeutics, Inc.* | | | 1,383 | | | | 3,209 | |
| Reata Pharmaceuticals, Inc., Class A* | | | 2,399 | | | | 67,844 | |
| Relmada Therapeutics, Inc.* | | | 2,179 | | | | 40,943 | |
| Revance Therapeutics, Inc.* | | | 6,128 | | | | 83,831 | |
| Seelos Therapeutics, Inc.* | | | 8,587 | | | | 5,569 | |
| SIGA Technologies, Inc. | | | 4,224 | | | | 46,211 | |
| Supernus Pharmaceuticals, Inc.* | | | 4,295 | | | | 119,702 | |
| Tarsus Pharmaceuticals, Inc.* | | | 746 | | | | 10,257 | |
| Terns Pharmaceuticals, Inc.* | | | 1,209 | | | | 2,092 | |
| TherapeuticsMD, Inc.*(b) | | | 678 | | | | 6,733 | |
| Theravance Biopharma, Inc.* | | | 5,240 | | | | 46,007 | |
| Theseus Pharmaceuticals, Inc.*(b) | | | 1,017 | | | | 6,865 | |
| Ventyx Biosciences, Inc.*(b) | | | 917 | | | | 16,057 | |
| Verrica Pharmaceuticals, Inc.* | | | 1,146 | | | | 2,212 | |
| WaVe Life Sciences Ltd.* | | | 3,874 | | | | 5,424 | |
| | | | | | | 2,927,443 | |
| Professional Services - 1.5% | | | | | | | | |
| Acacia Research Corp.* | | | 4,286 | | | | 20,487 | |
| ASGN, Inc.* | | | 4,445 | | | | 423,297 | |
| Atlas Technical Consultants, Inc.* | | | 1,303 | | | | 10,659 | |
| Barrett Business Services, Inc. | | | 664 | | | | 49,707 | |
| CBIZ, Inc.* | | | 4,286 | | | | 175,555 | |
See accompanying notes to the financial statements.
UltraPro Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| CRA International, Inc. | | | 633 | | | | 54,267 | |
| Exponent, Inc. | | | 4,537 | | | | 410,099 | |
| First Advantage Corp.* | | | 4,808 | | | | 70,197 | |
| Forrester Research, Inc.* | | | 989 | | | | 51,754 | |
| Franklin Covey Co.* | | | 1,106 | | | | 42,371 | |
| Heidrick & Struggles International, Inc. | | | 1,691 | | | | 58,441 | |
| HireQuest, Inc.(b) | | | 441 | | | | 6,809 | |
| HireRight Holdings Corp.* | | | 1,961 | | | | 28,925 | |
| Huron Consulting Group, Inc.* | | | 1,893 | | | | 113,429 | |
| ICF International, Inc.(b) | | | 1,624 | | | | 165,989 | |
| Insperity, Inc. | | | 3,169 | | | | 317,122 | |
| KBR, Inc. | | | 12,376 | | | | 615,830 | |
| Kelly Services, Inc., Class A | | | 3,085 | | | | 61,577 | |
| Kforce, Inc. | | | 1,764 | | | | 115,859 | |
| Korn Ferry | | | 4,706 | | | | 289,231 | |
| ManTech International Corp., Class A | | | 2,395 | | | | 229,082 | |
| Mistras Group, Inc.* | | | 1,735 | | | | 10,046 | |
| Resources Connection, Inc. | | | 2,718 | | | | 50,201 | |
| Sterling Check Corp.* | | | 1,457 | | | | 27,071 | |
| TriNet Group, Inc.* | | | 3,537 | | | | 277,796 | |
| TrueBlue, Inc.* | | | 3,061 | | | | 67,403 | |
| Upwork, Inc.* | | | 10,329 | | | | 188,504 | |
| Willdan Group, Inc.* | | | 968 | | | | 25,787 | |
| | | | | | | 3,957,495 | |
| Real Estate Management & Development - 0.5% | | | | | | | | |
| Cushman & Wakefield plc* | | | 12,130 | | | | 226,467 | |
| Douglas Elliman, Inc. | | | 6,291 | | | | 36,173 | |
| eXp World Holdings, Inc.(b) | | | 5,501 | | | | 76,849 | |
| Fathom Holdings, Inc.* | | | 586 | | | | 5,626 | |
| Forestar Group, Inc.* | | | 1,506 | | | | 24,969 | |
| FRP Holdings, Inc.* | | | 574 | | | | 34,451 | |
| Kennedy-Wilson Holdings, Inc. | | | 10,398 | | | | 218,982 | |
| Marcus & Millichap, Inc. | | | 2,079 | | | | 87,068 | |
| Newmark Group, Inc., Class A | | | 14,715 | | | | 162,895 | |
| Rafael Holdings, Inc., Class B* | | | 1,089 | | | | 2,123 | |
| RE/MAX Holdings, Inc., Class A | | | 1,619 | | | | 39,342 | |
| Realogy Holdings Corp.* | | | 10,065 | | | | 124,605 | |
| Redfin Corp.*(b) | | | 9,022 | | | | 88,416 | |
| RMR Group, Inc. (The), Class A | | | 1,337 | | | | 40,137 | |
| St Joe Co. (The) | | | 2,902 | | | | 146,522 | |
| Tejon Ranch Co.* | | | 1,832 | | | | 31,126 | |
| | | | | | | 1,345,751 | |
| Road & Rail - 0.7% | | | | | | | | |
| ArcBest Corp. | | | 2,216 | | | | 167,596 | |
| Avis Budget Group, Inc.* | | | 3,629 | | | | 690,526 | |
| Covenant Logistics Group, Inc. | | | 1,058 | | | | 23,985 | |
| Daseke, Inc.* | | | 3,519 | | | | 26,603 | |
| Heartland Express, Inc. | | | 4,117 | | | | 58,791 | |
| HyreCar, Inc.* | | | 1,550 | | | | 1,767 | |
| Marten Transport Ltd. | | | 5,212 | | | | 91,523 | |
| PAM Transportation Services, Inc.* | | | 615 | | | | 17,128 | |
| Saia, Inc.* | | | 2,317 | | | | 457,816 | |
| Universal Logistics Holdings, Inc. | | | 680 | | | | 18,965 | |
| US Xpress Enterprises, Inc., Class A* | | | 2,357 | | | | 6,977 | |
| Werner Enterprises, Inc. | | | 5,320 | | | | 215,832 | |
| Yellow Corp.* | | | 4,408 | | | | 16,662 | |
| | | | | | | 1,794,171 | |
| Semiconductors & Semiconductor Equipment - 2.7% | | | | | | | | |
| Alpha & Omega Semiconductor Ltd.* | | | 1,897 | | | | 83,335 | |
| Ambarella, Inc.* | | | 3,084 | | | | 262,819 | |
| Amkor Technology, Inc. | | | 8,924 | | | | 182,407 | |
| Atomera, Inc.* | | | 1,774 | | | | 21,554 | |
| Axcelis Technologies, Inc.* | | | 2,886 | | | | 179,105 | |
| AXT, Inc.* | | | 3,533 | | | | 20,668 | |
| CEVA, Inc.* | | | 1,973 | | | | 71,166 | |
| CMC Materials, Inc. | | | 2,477 | | | | 438,280 | |
| Cohu, Inc.* | | | 4,191 | | | | 127,532 | |
| Credo Technology Group Holding Ltd.*(b) | | | 1,918 | | | | 19,621 | |
| Diodes, Inc.* | | | 3,807 | | | | 293,177 | |
| FormFactor, Inc.* | | | 6,803 | | | | 279,331 | |
| Ichor Holdings Ltd.* | | | 2,459 | | | | 74,360 | |
| Impinj, Inc.* | | | 1,644 | | | | 76,956 | |
| Kopin Corp.* | | | 6,789 | | | | 7,536 | |
| Kulicke & Soffa Industries, Inc.(b) | | | 5,351 | | | | 289,864 | |
| Lattice Semiconductor Corp.* | | | 11,861 | | | | 617,009 | |
| MACOM Technology Solutions Holdings, Inc.* | | | 4,324 | | | | 235,701 | |
| MaxLinear, Inc.* | | | 6,215 | | | | 246,052 | |
| Meta Materials, Inc.* | | | 17,715 | | | | 34,013 | |
| NeoPhotonics Corp.* | | | 4,566 | | | | 70,362 | |
| NVE Corp. | | | 407 | | | | 20,130 | |
| Onto Innovation, Inc.* | | | 4,254 | | | | 341,937 | |
| PDF Solutions, Inc.* | | | 2,635 | | | | 62,977 | |
| Photronics, Inc.* | | | 5,199 | | | | 113,026 | |
| Power Integrations, Inc. | | | 5,142 | | | | 433,882 | |
| Rambus, Inc.* | | | 9,483 | | | | 238,023 | |
| Semtech Corp.* | | | 5,664 | | | | 363,006 | |
| Silicon Laboratories, Inc.* | | | 3,312 | | | | 494,018 | |
| SiTime Corp.* | | | 1,409 | | | | 300,117 | |
| SkyWater Technology, Inc.* | | | 702 | | | | 4,682 | |
| SMART Global Holdings, Inc.* | | | 4,262 | | | | 105,058 | |
| SunPower Corp.*(b) | | | 7,003 | | | | 123,743 | |
| Synaptics, Inc.* | | | 3,465 | | | | 513,236 | |
| Ultra Clean Holdings, Inc.* | | | 3,893 | | | | 130,649 | |
| Veeco Instruments, Inc.* | | | 4,349 | | | | 93,199 | |
| | | | | | | 6,968,531 | |
| Software - 3.9% | | | | | | | | |
| 8x8, Inc.* | | | 9,876 | | | | 71,601 | |
| A10 Networks, Inc. | | | 5,249 | | | | 80,887 | |
| ACI Worldwide, Inc.* | | | 10,329 | | | | 275,165 | |
| Agilysys, Inc.* | | | 1,855 | | | | 75,814 | |
| Alarm.com Holdings, Inc.* | | | 4,138 | | | | 261,646 | |
| Alkami Technology, Inc.* | | | 2,484 | | | | 34,900 | |
| Altair Engineering, Inc., Class A* | | | 4,048 | | | | 222,478 | |
| American Software, Inc., Class A | | | 2,746 | | | | 46,957 | |
| Appfolio, Inc., Class A* | | | 1,661 | | | | 166,399 | |
| Appian Corp.* | | | 3,451 | | | | 164,854 | |
| Arteris, Inc.*(b) | | | 462 | | | | 4,287 | |
| Asana, Inc., Class A*(b) | | | 6,385 | | | | 138,810 | |
| Avaya Holdings Corp.* | | | 7,302 | | | | 26,944 | |
| AvidXchange Holdings, Inc.* | | | 2,209 | | | | 19,395 | |
| Benefitfocus, Inc.* | | | 2,191 | | | | 19,938 | |
| Blackbaud, Inc.* | | | 4,184 | | | | 266,312 | |
| Blackline, Inc.* | | | 4,743 | | | | 347,282 | |
| Box, Inc., Class A* | | | 11,933 | | | | 311,571 | |
| BTRS Holdings, Inc., Class A* | | | 8,318 | | | | 41,340 | |
| Cerence, Inc.* | | | 3,448 | | | | 109,508 | |
| ChannelAdvisor Corp.* | | | 2,578 | | | | 35,190 | |
| Cleanspark, Inc.*(b) | | | 3,492 | | | | 20,568 | |
| CommVault Systems, Inc.* | | | 3,886 | | | | 237,085 | |
| Consensus Cloud Solutions, Inc.* | | | 1,398 | | | | 67,146 | |
| CoreCard Corp.*(b) | | | 638 | | | | 14,967 | |
See accompanying notes to the financial statements.
UltraPro Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Couchbase, Inc.*(b) | | | 2,055 | | | | 29,140 | |
| CS Disco, Inc.*(b) | | | 1,371 | | | | 34,152 | |
| Digimarc Corp.*(b) | | | 1,125 | | | | 19,418 | |
| Digital Turbine, Inc.* | | | 7,936 | | | | 201,812 | |
| Domo, Inc., Class B* | | | 2,490 | | | | 79,381 | |
| E2open Parent Holdings, Inc.*(b) | | | 17,401 | | | | 140,600 | |
| Ebix, Inc. | | | 2,317 | | | | 67,541 | |
| eGain Corp.* | | | 1,808 | | | | 16,507 | |
| Enfusion, Inc., Class A*(b) | | | 1,907 | | | | 20,882 | |
| EngageSmart, Inc.* | | | 1,396 | | | | 29,316 | |
| Envestnet, Inc.* | | | 4,755 | | | | 316,778 | |
| EverCommerce, Inc.* | | | 2,631 | | | | 25,021 | |
| GTY Technology Holdings, Inc.* | | | 2,822 | | | | 16,706 | |
| Instructure Holdings, Inc.* | | | 1,060 | | | | 18,921 | |
| Intapp, Inc.* | | | 1,199 | | | | 23,836 | |
| InterDigital, Inc.(b) | | | 2,713 | | | | 177,132 | |
| JFrog Ltd.* | | | 4,693 | | | | 87,524 | |
| Kaltura, Inc.* | | | 4,795 | | | | 8,679 | |
| LivePerson, Inc.* | | | 5,757 | | | | 96,602 | |
| Marathon Digital Holdings, Inc.*(b) | | | 8,356 | | | | 85,482 | |
| MeridianLink, Inc.*(b) | | | 1,984 | | | | 35,375 | |
| MicroStrategy, Inc., Class A*(b) | | | 826 | | | | 218,634 | |
| Mitek Systems, Inc.*(b) | | | 3,751 | | | | 33,834 | |
| Model N, Inc.* | | | 3,168 | | | | 79,707 | |
| Momentive Global, Inc.* | | | 11,582 | | | | 141,069 | |
| ON24, Inc.* | | | 2,422 | | | | 29,403 | |
| OneSpan, Inc.* | | | 3,093 | | | | 40,920 | |
| PagerDuty, Inc.* | | | 7,270 | | | | 179,205 | |
| Ping Identity Holding Corp.* | | | 5,330 | | | | 100,737 | |
| Progress Software Corp. | | | 3,842 | | | | 185,607 | |
| PROS Holdings, Inc.* | | | 3,495 | | | | 95,379 | |
| Q2 Holdings, Inc.* | | | 4,790 | | | | 252,577 | |
| Qualys, Inc.* | | | 2,989 | | | | 390,603 | |
| Rapid7, Inc.*(b) | | | 4,924 | | | | 348,964 | |
| Rekor Systems, Inc.* | | | 2,954 | | | | 7,887 | |
| Rimini Street, Inc.* | | | 3,903 | | | | 24,121 | |
| Riot Blockchain, Inc.*(b) | | | 9,405 | | | | 67,622 | |
| Sailpoint Technologies Holdings, Inc.* | | | 7,982 | | | | 506,378 | |
| Sapiens International Corp. NV | | | 2,712 | | | | 68,695 | |
| SecureWorks Corp., Class A* | | | 809 | | | | 9,676 | |
| ShotSpotter, Inc.* | | | 748 | | | | 22,560 | |
| Smith Micro Software, Inc.* | | | 4,109 | | | | 10,807 | |
| Sprout Social, Inc., Class A* | | | 3,955 | | | | 201,428 | |
| SPS Commerce, Inc.* | | | 3,160 | | | | 338,246 | |
| Stronghold Digital Mining, Inc., Class A* | | | 650 | | | | 2,099 | |
| Sumo Logic, Inc.* | | | 7,783 | | | | 63,120 | |
| Telos Corp.* | | | 3,491 | | | | 33,618 | |
| Tenable Holdings, Inc.* | | | 8,082 | | | | 406,525 | |
| Upland Software, Inc.* | | | 2,532 | | | | 33,372 | |
| UserTesting, Inc.* | | | 797 | | | | 4,073 | |
| Varonis Systems, Inc.* | | | 9,361 | | | | 309,568 | |
| Verint Systems, Inc.* | | | 5,637 | | | | 287,712 | |
| Veritone, Inc.*(b) | | | 2,476 | | | | 19,263 | |
| Viant Technology, Inc., Class A* | | | 1,019 | | | | 6,114 | |
| VirnetX Holding Corp.* | | | 5,549 | | | | 6,714 | |
| Vonage Holdings Corp.* | | | 22,197 | | | | 429,956 | |
| Weave Communications, Inc.* | | | 409 | | | | 2,041 | |
| Workiva, Inc.* | | | 3,743 | | | | 273,276 | |
| Xperi Holding Corp. | | | 9,170 | | | | 150,938 | |
| Yext, Inc.* | | | 9,985 | | | | 50,724 | |
| Zuora, Inc., Class A* | | | 9,909 | | | | 100,477 | |
| | | | | | | 10,125,498 | |
| Specialty Retail - 1.8% | | | | | | | | |
| Aaron's Co., Inc. (The) | | | 2,717 | | | | 53,145 | |
| Abercrombie & Fitch Co., Class A* | | | 4,888 | | | | 99,911 | |
| Academy Sports & Outdoors, Inc. | | | 6,867 | | | | 230,113 | |
| American Eagle Outfitters, Inc. | | | 13,310 | | | | 161,184 | |
| America's Car-Mart, Inc.* | | | 520 | | | | 56,368 | |
| Arko Corp. | | | 7,274 | | | | 65,684 | |
| Asbury Automotive Group, Inc.* | | | 2,016 | | | | 365,198 | |
| Barnes & Noble Education, Inc.*(b) | | | 3,952 | | | | 9,920 | |
| Bed Bath & Beyond, Inc.* | | | 8,470 | | | | 73,265 | |
| Big 5 Sporting Goods Corp.(b) | | | 1,823 | | | | 23,243 | |
| Boot Barn Holdings, Inc.* | | | 2,554 | | | | 206,108 | |
| Buckle, Inc. (The) | | | 2,601 | | | | 85,469 | |
| Caleres, Inc. | | | 3,220 | | | | 91,641 | |
| Camping World Holdings, Inc., Class A(b) | | | 3,653 | | | | 99,106 | |
| CarLotz, Inc.* | | | 6,259 | | | | 3,493 | |
| Cato Corp. (The), Class A | | | 1,677 | | | | 21,885 | |
| Chico's FAS, Inc.* | | | 10,512 | | | | 52,034 | |
| Children's Place, Inc. (The)* | | | 1,215 | | | | 57,688 | |
| Citi Trends, Inc.* | | | 701 | | | | 20,946 | |
| Conn's, Inc.* | | | 1,571 | | | | 20,737 | |
| Container Store Group, Inc. (The)* | | | 2,781 | | | | 21,414 | |
| Designer Brands, Inc., Class A | | | 5,313 | | | | 82,511 | |
| Genesco, Inc.* | | | 1,251 | | | | 70,444 | |
| Group 1 Automotive, Inc. | | | 1,459 | | | | 262,022 | |
| GrowGeneration Corp.*(b) | | | 4,849 | | | | 24,972 | |
| Guess?, Inc. | | | 3,532 | | | | 73,678 | |
| Haverty Furniture Cos., Inc. | | | 1,425 | | | | 40,270 | |
| Hibbett, Inc. | | | 1,213 | | | | 61,560 | |
| JOANN, Inc.(b) | | | 978 | | | | 7,912 | |
| Kirkland's, Inc.* | | | 1,113 | | | | 6,444 | |
| Lazydays Holdings, Inc.* | | | 681 | | | | 10,576 | |
| LL Flooring Holdings, Inc.* | | | 2,506 | | | | 30,097 | |
| MarineMax, Inc.* | | | 1,840 | | | | 76,194 | |
| Monro, Inc. | | | 2,913 | | | | 138,134 | |
| Murphy USA, Inc. | | | 2,043 | | | | 508,952 | |
| National Vision Holdings, Inc.* | | | 7,269 | | | | 204,550 | |
| ODP Corp. (The)* | | | 4,031 | | | | 153,944 | |
| OneWater Marine, Inc., Class A | | | 951 | | | | 32,524 | |
| Party City Holdco, Inc.* | | | 9,667 | | | | 13,920 | |
| Rent-A-Center, Inc. | | | 5,777 | | | | 159,099 | |
| Sally Beauty Holdings, Inc.* | | | 9,606 | | | | 145,627 | |
| Shift Technologies, Inc.* | | | 5,260 | | | | 5,470 | |
| Shoe Carnival, Inc. | | | 1,549 | | | | 42,226 | |
| Signet Jewelers Ltd. | | | 4,618 | | | | 275,233 | |
| Sleep Number Corp.* | | | 1,930 | | | | 88,645 | |
| Sonic Automotive, Inc., Class A | | | 1,898 | | | | 86,568 | |
| Sportsman's Warehouse Holdings, Inc.* | | | 3,797 | | | | 35,920 | |
| Tilly's, Inc., Class A | | | 1,982 | | | | 16,411 | |
| Torrid Holdings, Inc.*(b) | | | 1,616 | | | | 9,421 | |
| TravelCenters of America, Inc.* | | | 1,097 | | | | 42,838 | |
| Urban Outfitters, Inc.* | | | 6,007 | | | | 126,447 | |
| Winmark Corp. | | | 312 | | | | 61,714 | |
| Zumiez, Inc.* | | | 1,706 | | | | 55,974 | |
| | | | | | | 4,768,849 | |
| Technology Hardware, Storage & Peripherals - 0.2% | | | | | | | | |
| 3D Systems Corp.* | | | 10,872 | | | | 117,526 | |
| Avid Technology, Inc.* | | | 3,168 | | | | 92,791 | |
| Corsair Gaming, Inc.* | | | 2,390 | | | | 38,359 | |
| Diebold Nixdorf, Inc.* | | | 6,306 | | | | 19,612 | |
See accompanying notes to the financial statements.
UltraPro Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| Eastman Kodak Co.*(b) | | | 3,922 | | | | 18,120 | |
| Quantum Corp.* | | | 5,182 | | | | 9,898 | |
| Super Micro Computer, Inc.* | | | 3,891 | | | | 194,783 | |
| Turtle Beach Corp.*(b) | | | 1,328 | | | | 23,213 | |
| | | | | | | 514,302 | |
| Textiles, Apparel & Luxury Goods - 0.5% | | | | | | | | |
| Crocs, Inc.* | | | 5,099 | | | | 284,320 | |
| Fossil Group, Inc.* | | | 4,170 | | | | 30,608 | |
| G-III Apparel Group Ltd.* | | | 3,860 | | | | 96,731 | |
| Kontoor Brands, Inc. | | | 4,531 | | | | 181,557 | |
| Movado Group, Inc. | | | 1,371 | | | | 46,518 | |
| Oxford Industries, Inc. | | | 1,398 | | | | 127,442 | |
| PLBY Group, Inc.*(b) | | | 2,578 | | | | 22,841 | |
| Rocky Brands, Inc. | | | 591 | | | | 22,133 | |
| Steven Madden Ltd. | | | 7,065 | | | | 262,677 | |
| Superior Group of Cos., Inc. | | | 1,036 | | | | 18,648 | |
| Unifi, Inc.* | | | 1,213 | | | | 19,177 | |
| Vera Bradley, Inc.* | | | 2,284 | | | | 15,554 | |
| Wolverine World Wide, Inc. | | | 7,099 | | | | 151,493 | |
| | | | | | | 1,279,699 | |
| Thrifts & Mortgage Finance - 1.2% | | | | | | | | |
| Axos Financial, Inc.* | | | 4,985 | | | | 192,670 | |
| Blue Foundry Bancorp* | | | 2,458 | | | | 29,422 | |
| Bridgewater Bancshares, Inc.* | | | 1,831 | | | | 29,717 | |
| Capitol Federal Financial, Inc. | | | 11,371 | | | | 115,416 | |
| Columbia Financial, Inc.* | | | 3,450 | | | | 71,725 | |
| Enact Holdings, Inc. | | | 1,302 | | | | 31,665 | |
| Essent Group Ltd. | | | 9,480 | | | | 405,649 | |
| Federal Agricultural Mortgage Corp., Class C | | | 796 | | | | 83,588 | |
| Finance of America Cos., Inc., Class A*(b) | | | 1,587 | | | | 3,841 | |
| Flagstar Bancorp, Inc. | | | 4,557 | | | | 175,581 | |
| FS Bancorp, Inc. | | | 622 | | | | 18,816 | |
| Hingham Institution For Savings (The) | | | 138 | | | | 44,546 | |
| Home Bancorp, Inc. | | | 664 | | | | 22,835 | |
| Home Point Capital, Inc.(b) | | | 643 | | | | 2,540 | |
| Kearny Financial Corp. | | | 5,758 | | | | 71,457 | |
| Luther Burbank Corp. | | | 1,351 | | | | 18,428 | |
| Merchants Bancorp | | | 1,302 | | | | 33,188 | |
| Mr Cooper Group, Inc.* | | | 5,399 | | | | 234,101 | |
| NMI Holdings, Inc., Class A* | | | 7,350 | | | | 136,783 | |
| Northfield Bancorp, Inc. | | | 3,847 | | | | 51,127 | |
| Ocwen Financial Corp.* | | | 717 | | | | 20,062 | |
| PCSB Financial Corp. | | | 1,100 | | | | 21,549 | |
| PennyMac Financial Services, Inc. | | | 2,641 | | | | 129,462 | |
| Pioneer Bancorp, Inc.* | | | 1,025 | | | | 10,342 | |
| Provident Bancorp, Inc. | | | 1,319 | | | | 19,811 | |
| Provident Financial Services, Inc. | | | 6,571 | | | | 151,067 | |
| Radian Group, Inc. | | | 15,767 | | | | 339,148 | |
| Security National Financial Corp., Class A* | | | 1 | | | | 9 | |
| Southern Missouri Bancorp, Inc. | | | 676 | | | | 31,556 | |
| TrustCo Bank Corp. | | | 1,661 | | | | 53,501 | |
| Velocity Financial, Inc.* | | | 1,091 | | | | 11,946 | |
| Walker & Dunlop, Inc. | | | 2,552 | | | | 271,303 | |
| Waterstone Financial, Inc. | | | 1,867 | | | | 32,280 | |
| WSFS Financial Corp. | | | 5,678 | | | | 242,905 | |
| | | | | | | 3,108,036 | |
| Tobacco - 0.1% | | | | | | | | |
| 22nd Century Group, Inc.*(b) | | | 14,088 | | | | 25,640 | |
| Turning Point Brands, Inc. | | | 1,283 | | | | 37,515 | |
| Universal Corp. | | | 2,108 | | | | 134,237 | |
| Vector Group Ltd. | | | 12,571 | | | | 154,749 | |
| | | | | | | 352,141 | |
| Trading Companies & Distributors - 1.5% | | | | | | | | |
| Alta Equipment Group, Inc.* | | | 1,661 | | | | 17,889 | |
| Applied Industrial Technologies, Inc. | | | 3,352 | | | | 346,630 | |
| Beacon Roofing Supply, Inc.* | | | 4,869 | | | | 299,005 | |
| BlueLinx Holdings, Inc.* | | | 804 | | | | 66,459 | |
| Boise Cascade Co. | | | 3,437 | | | | 265,749 | |
| Custom Truck One Source, Inc.*(b) | | | 5,132 | | | | 30,587 | |
| Distribution Solutions Group, Inc.* | | | 424 | | | | 16,277 | |
| DXP Enterprises, Inc.* | | | 1,513 | | | | 46,419 | |
| EVI Industries, Inc.* | | | 400 | | | | 4,336 | |
| GATX Corp. | | | 3,082 | | | | 332,702 | |
| Global Industrial Co. | | | 1,125 | | | | 38,554 | |
| GMS, Inc.* | | | 3,738 | | | | 186,190 | |
| H&E Equipment Services, Inc. | | | 2,823 | | | | 100,640 | |
| Herc Holdings, Inc. | | | 2,190 | | | | 256,712 | |
| Karat Packaging, Inc.* | | | 413 | | | | 8,107 | |
| McGrath RentCorp | | | 2,104 | | | | 172,970 | |
| MRC Global, Inc.* | | | 7,033 | | | | 78,699 | |
| NOW, Inc.* | | | 9,636 | | | | 106,381 | |
| Rush Enterprises, Inc., Class A | | | 3,703 | | | | 188,779 | |
| Rush Enterprises, Inc., Class B | | | 578 | | | | 28,617 | |
| Textainer Group Holdings Ltd. | | | 4,117 | | | | 133,555 | |
| Titan Machinery, Inc.* | | | 1,694 | | | | 44,739 | |
| Transcat, Inc.* | | | 622 | | | | 39,429 | |
| Triton International Ltd. | | | 5,847 | | | | 372,863 | |
| Veritiv Corp.* | | | 1,254 | | | | 182,269 | |
| WESCO International, Inc.* | | | 3,886 | | | | 488,004 | |
| Willis Lease Finance Corp.* | | | 249 | | | | 9,342 | |
| | | | | | | 3,861,903 | |
| Water Utilities - 0.3% | | | | | | | | |
| American States Water Co. | | | 3,225 | | | | 255,581 | |
| Artesian Resources Corp., Class A | | | 707 | | | | 34,700 | |
| Cadiz, Inc.* | | | 1,984 | | | | 4,008 | |
| California Water Service Group | | | 4,610 | | | | 247,419 | |
| Global Water Resources, Inc. | | | 1,114 | | | | 15,975 | |
| Middlesex Water Co. | | | 1,509 | | | | 128,310 | |
| Pure Cycle Corp.* | | | 1,679 | | | | 18,973 | |
| SJW Group | | | 2,423 | | | | 149,862 | |
| York Water Co. (The) | | | 1,134 | | | | 46,471 | |
| | | | | | | 901,299 | |
| Wireless Telecommunication Services - 0.2% | | | | | | | | |
| Gogo, Inc.* | | | 5,163 | | | | 104,602 | |
| Shenandoah Telecommunications Co. | | | 4,233 | | | | 97,190 | |
| Telephone and Data Systems, Inc. | | | 8,833 | | | | 156,609 | |
| United States Cellular Corp.* | | | 1,344 | | | | 41,274 | |
| | | | | | | 399,675 | |
TOTAL COMMON STOCKS
(Cost $269,613,647) | | | | | | | 213,057,889 | |
| Investments | | Number of Rights | | | Value ($) | |
| RIGHTS - 0.0%(d) | | | | | | | | |
| | | | | | | | |
| Biotechnology - 0.0% | | | | | | | | |
| Contra Aduro Biotech I, CVR*(e)(f) | | | 899 | | | | — | |
See accompanying notes to the financial statements.
UltraPro Russell2000
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Number of Rights | | | Value ($) | |
| Oncternal Therapeutics, Inc., CVR*(e)(f) | | | 23 | | | | — | |
| Tobira Therapeutics, Inc., CVR*(e)(f) | | | 218 | | | | — | |
| | | | | | | — | |
| Food Products - 0.0%(d) | | | | | | | | |
| Contraf-Nicotex-Tobacco GmbH*(e)(f) | | | 1,074 | | | | 537 | |
| | | | | | | | |
| Pharmaceuticals - 0.0%(d) | | | | | | | | |
| Zogenix, Inc., CVR*(e)(f) | | | 6,278 | | | | 4,269 | |
TOTAL RIGHTS
(Cost $2,659) | | | | | | | 4,806 | |
| Investments | | Shares | | | Value ($) | |
| SECURITIES LENDING REINVESTMENTS(g) - 1.9% | | | | | | | | |
| | | | | | | | |
| INVESTMENT COMPANIES - 1.9% | | | | | | | | |
| BlackRock Liquidity FedFund, Institutional Class | | | | | | | | |
| 0.72% (Cost $4,869,345) | | | 4,869,345 | | | | 4,869,345 | |
| Investments | | Principal Amount ($) | | | Value ($) | |
| SHORT-TERM INVESTMENTS - 19.4% | | | | | | | | |
| | | | | | | | |
| REPURCHASE AGREEMENTS(h) - 19.4% | | | | | | | | |
| Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $50,205,251 | | | | | | | | |
| (Cost $50,204,239) | | | 50,204,239 | | | | 50,204,239 | |
| | | | | | | | |
Total Investments - 103.4%
(Cost $324,689,890) | | | | | | | 268,136,279 | |
| Liabilities in excess of other assets - (3.4%) | | | | | | | (8,697,036 | ) |
| Net Assets - 100.0% | | | | | | | 259,439,243 | |
| * | Non-income producing security. |
| (a) | All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $68,015,286. |
| (b) | The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $7,750,898, collateralized in the form of cash with a value of $4,869,345 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $3,402,474 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.00% – 4.63%, and maturity dates ranging from June 15, 2022 – May 15, 2052. The total value of collateral is $8,271,819. |
| (c) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
| (d) | Represents less than 0.05% of net assets. |
| (e) | Security fair valued as of May 31, 2022 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at May 31, 2022 amounted to $4,806, which represents approximately 0.00% of net assets of the Fund. |
| (f) | Illiquid security. |
| (g) | The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $4,869,345. |
| (h) | The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase. |
| Abbreviations |
| CVR | Contingent Value Rights - No defined expiration |
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 10,080,030 | |
| Aggregate gross unrealized depreciation | | | (240,280,520 | ) |
| Net unrealized depreciation | | $ | (230,200,490 | ) |
| Federal income tax cost | | $ | 347,738,138 | |
See accompanying notes to the financial statements.
UltraPro Russell2000
Schedule of Portfolio Investments
May 31, 2022
Futures Contracts Purchased
UltraPro Russell2000 had the following open long futures contracts as of May 31, 2022:
| | | Number of
Contracts | | Expiration
Date | | Trading
Currency | | Notional Amount | | | Value and
Unrealized
Appreciation | |
| Russell 2000 E-Mini Index | | 266 | | 6/17/2022 | | USD | | $ | 24,763,270 | | | $ | 808,915 | |
Swap Agreementsa
UltraPro Russell2000 had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount ($) | | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | | Reference Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | | Financial
Instruments
for the
Benefit of (the
Fund)/ the
Counterparty
($) | | | Cash
Collateral for
the Benefit of
(the Fund)/
the
Counterparty
($) | | | Net Amounte
($) | |
| 110,356,760 | | | 5/8/2023 | | Bank of America NA | | | 1.13 | % | | Russell 2000® Index | | | (30,879,445 | ) | | | 14,214,477 | | | | 16,664,968 | | | | — | |
| 6,466,355 | | | 11/6/2023 | | Barclays Capital | | | 1.33 | % | | Russell 2000® Index | | | (47,190 | ) | | | — | | | | — | | | | (47,190 | ) |
| 30,998,985 | | | 5/8/2023 | | BNP Paribas SA | | | 0.98 | % | | Russell 2000® Index | | | (27,807,480 | ) | | | — | | | | 27,807,480 | | | | — | |
| 109,916,847 | | | 4/10/2023 | | Citibank NA | | | 1.12 | % | | Russell 2000® Index | | | (47,210,497 | ) | | | — | | | | 47,210,497 | | | | — | |
| 32,861,161 | | | 11/7/2022 | | Credit Suisse International | | | 1.28 | % | | Russell 2000® Index | | | (7,856,375 | ) | | | 1,233,792 | | | | 6,622,583 | | | | — | |
| 83,678,620 | | | 4/10/2023 | | Goldman Sachs International | | | 1.23 | % | | Russell 2000® Index | | | 4,258,976 | | | | (4,258,976 | ) | | | — | | | | — | |
| 58,830,967 | | | 11/6/2023 | | Morgan Stanley & Co. International plc | | | 1.28 | % | | Russell 2000® Index | | | (12,259,503 | ) | | | — | | | | 12,259,503 | | | | — | |
| 38,882,010 | | | 3/7/2023 | | Societe Generale | | | 1.18 | % | | Russell 2000® Index | | | (18,409,551 | ) | | | 581,732 | | | | 17,827,819 | | | | — | |
| 68,475,509 | | | 3/7/2023 | | UBS AG | | | 0.83 | % | | Russell 2000® Index | | | (11,196,481 | ) | | | — | | | | 11,196,481 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 540,467,214 | | | | | | | | | | | | | | (151,407,546 | ) | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized Appreciation | | | 4,258,976 | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized Depreciation | | | (155,666,522 | ) | | | | | | | | | | | | |
| a | The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815. |
| b | Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity. |
| c | Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation). |
| d | The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities. |
| e | Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default. |
| Abbreviations |
| USD | U.S. Dollar |
See accompanying notes to the financial statements.
UltraPro S&P500®
Schedule of Portfolio Investments
May 31, 2022
| Investments | | Shares | | | Value ($) | |
| COMMON STOCKS(a) - 82.5% | | | | | | | | |
| | | | | | | | |
| Aerospace & Defense - 1.3% | | | | | | | | |
| Boeing Co. (The)* | | | 33,277 | | | | 4,372,598 | |
| General Dynamics Corp. | | | 13,990 | | | | 3,146,491 | |
| Howmet Aerospace, Inc. | | | 23,049 | | | | 824,463 | |
| Huntington Ingalls Industries, Inc. | | | 2,434 | | | | 512,259 | |
| L3Harris Technologies, Inc. | | | 11,911 | | | | 2,869,360 | |
| Lockheed Martin Corp. | | | 14,717 | | | | 6,477,099 | |
| Northrop Grumman Corp. | | | 8,909 | | | | 4,169,145 | |
| Raytheon Technologies Corp. | | | 90,612 | | | | 8,619,013 | |
| Textron, Inc. | | | 13,390 | | | | 874,233 | |
| TransDigm Group, Inc.* | | | 3,200 | | | | 1,937,184 | |
| | | | | | | 33,801,845 | |
| Air Freight & Logistics - 0.5% | | | | | | | | |
| CH Robinson Worldwide, Inc. | | | 7,895 | | | | 856,686 | |
| Expeditors International of Washington, Inc. | | | 10,282 | | | | 1,119,093 | |
| FedEx Corp. | | | 14,800 | | | | 3,323,784 | |
| United Parcel Service, Inc., Class B | | | 44,276 | | | | 8,069,301 | |
| | | | | | | 13,368,864 | |
| Airlines - 0.2% | | | | | | | | |
| Alaska Air Group, Inc.* | | | 7,649 | | | | 369,141 | |
| American Airlines Group, Inc.*(b) | | | 39,341 | | | | 703,024 | |
| Delta Air Lines, Inc.* | | | 38,865 | | | | 1,620,282 | |
| Southwest Airlines Co.* | | | 35,975 | | | | 1,649,813 | |
| United Airlines Holdings, Inc.* | | | 19,668 | | | | 936,787 | |
| | | | | | | 5,279,047 | |
| Auto Components - 0.1% | | | | | | | | |
| Aptiv plc* | | | 16,427 | | | | 1,745,205 | |
| BorgWarner, Inc. | | | 14,566 | | | | 587,301 | |
| | | | | | | 2,332,506 | |
| Automobiles - 1.8% | | | | | | | | |
| Ford Motor Co. | | | 238,842 | | | | 3,267,358 | |
| General Motors Co.* | | | 88,240 | | | | 3,413,123 | |
| Tesla, Inc.* | | | 50,833 | | | | 38,544,631 | |
| | | | | | | 45,225,112 | |
| Banks - 3.3% | | | | | | | | |
| Bank of America Corp. | | | 431,639 | | | | 16,056,971 | |
| Citigroup, Inc. | | | 120,493 | | | | 6,435,531 | |
| Citizens Financial Group, Inc. | | | 30,051 | | | | 1,243,510 | |
| Comerica, Inc. | | | 7,937 | | | | 660,438 | |
| Fifth Third Bancorp | | | 41,523 | | | | 1,637,252 | |
| First Republic Bank | | | 10,883 | | | | 1,687,191 | |
| Huntington Bancshares, Inc. | | | 87,315 | | | | 1,211,932 | |
| JPMorgan Chase & Co. | | | 179,446 | | | | 23,728,145 | |
| KeyCorp | | | 56,404 | | | | 1,125,824 | |
| M&T Bank Corp. | | | 10,879 | | | | 1,957,894 | |
| PNC Financial Services Group, Inc. (The) | | | 25,502 | | | | 4,473,306 | |
| Regions Financial Corp. | | | 57,203 | | | | 1,263,614 | |
| Signature Bank | | | 3,808 | | | | 823,556 | |
| SVB Financial Group* | | | 3,572 | | | | 1,745,172 | |
| Truist Financial Corp. | | | 81,061 | | | | 4,031,974 | |
| US Bancorp | | | 82,003 | | | | 4,351,899 | |
| Wells Fargo & Co. | | | 235,950 | | | | 10,799,432 | |
| Zions Bancorp NA | | | 9,207 | | | | 525,167 | |
| | | | | | | 83,758,808 | |
| Beverages - 1.4% | | | | | | | | |
| Brown-Forman Corp., Class B | | | 11,094 | | | | 733,535 | |
| Coca-Cola Co. (The) | | | 236,055 | | | | 14,961,166 | |
| Constellation Brands, Inc., Class A | | | 9,977 | | | | 2,449,054 | |
| Molson Coors Beverage Co., Class B | | | 11,447 | | | | 639,201 | |
| Monster Beverage Corp.* | | | 22,810 | | | | 2,032,827 | |
| PepsiCo, Inc. | | | 84,005 | | | | 14,091,839 | |
| | | | | | | 34,907,622 | |
| Biotechnology - 1.7% | | | | | | | | |
| AbbVie, Inc. | | | 107,351 | | | | 15,820,317 | |
| Amgen, Inc. | | | 34,207 | | | | 8,782,305 | |
| Biogen, Inc.* | | | 8,920 | | | | 1,784,000 | |
| Gilead Sciences, Inc. | | | 76,166 | | | | 4,939,365 | |
| Incyte Corp.* | | | 11,429 | | | | 867,347 | |
| Moderna, Inc.* | | | 21,423 | | | | 3,113,405 | |
| Regeneron Pharmaceuticals, Inc.* | | | 6,484 | | | | 4,310,174 | |
| Vertex Pharmaceuticals, Inc.* | | | 15,459 | | | | 4,153,060 | |
| | | | | | | 43,769,973 | |
| Building Products - 0.3% | | | | | | | | |
| A O Smith Corp. | | | 7,981 | | | | 479,818 | |
| Allegion plc | | | 5,452 | | | | 608,716 | |
| Carrier Global Corp. | | | 51,957 | | | | 2,042,430 | |
| Fortune Brands Home & Security, Inc. | | | 8,242 | | | | 571,583 | |
| Johnson Controls International plc | | | 42,662 | | | | 2,325,505 | |
| Masco Corp. | | | 14,573 | | | | 826,143 | |
| Trane Technologies plc | | | 14,180 | | | | 1,957,691 | |
| | | | | | | 8,811,886 | |
| Capital Markets - 2.4% | | | | | | | | |
| Ameriprise Financial, Inc. | | | 6,729 | | | | 1,859,021 | |
| Bank of New York Mellon Corp. (The) | | | 44,932 | | | | 2,094,281 | |
| BlackRock, Inc. | | | 8,660 | | | | 5,794,233 | |
| Cboe Global Markets, Inc. | | | 6,480 | | | | 727,769 | |
| Charles Schwab Corp. (The) | | | 91,294 | | | | 6,399,709 | |
| CME Group, Inc. | | | 21,823 | | | | 4,339,067 | |
| FactSet Research Systems, Inc. | | | 2,298 | | | | 877,330 | |
| Franklin Resources, Inc. | | | 17,079 | | | | 462,499 | |
| Goldman Sachs Group, Inc. (The) | | | 20,615 | | | | 6,738,013 | |
| Intercontinental Exchange, Inc. | | | 34,122 | | | | 3,493,752 | |
| Invesco Ltd. | | | 20,730 | | | | 400,918 | |
| MarketAxess Holdings, Inc. | | | 2,310 | | | | 650,681 | |
| Moody's Corp. | | | 9,820 | | | | 2,961,417 | |
| Morgan Stanley | | | 86,076 | | | | 7,414,587 | |
| MSCI, Inc. | | | 4,930 | | | | 2,180,786 | |
| Nasdaq, Inc. | | | 7,108 | | | | 1,103,588 | |
| Northern Trust Corp. | | | 12,620 | | | | 1,410,285 | |
| Raymond James Financial, Inc. | | | 11,351 | | | | 1,117,960 | |
| S&P Global, Inc. | | | 21,509 | | | | 7,516,965 | |
| State Street Corp. | | | 22,227 | | | | 1,611,235 | |
| T. Rowe Price Group, Inc. | | | 13,913 | | | | 1,768,203 | |
| | | | | | | 60,922,299 | |
| Chemicals - 1.6% | | | | | | | | |
| Air Products and Chemicals, Inc. | | | 13,469 | | | | 3,315,529 | |
| Albemarle Corp. | | | 7,104 | | | | 1,850,024 | |
| Celanese Corp. | | | 6,564 | | | | 1,027,397 | |
| CF Industries Holdings, Inc. | | | 13,019 | | | | 1,285,887 | |
| Corteva, Inc. | | | 44,148 | | | | 2,764,548 | |
| Dow, Inc. | | | 44,672 | | | | 3,036,802 | |
| DuPont de Nemours, Inc. | | | 31,146 | | | | 2,113,256 | |
| Eastman Chemical Co. | | | 7,833 | | | | 862,883 | |
| Ecolab, Inc. | | | 15,137 | | | | 2,481,106 | |
| FMC Corp. | | | 7,697 | | | | 943,498 | |
| International Flavors & Fragrances, Inc. | | | 15,457 | | | | 2,042,952 | |
| Linde plc | | | 31,125 | | | | 10,105,665 | |
See accompanying notes to the financial statements.
UltraPro S&P500®
Schedule of Portfolio Investments
May 31, 2022
| Investments | | | Shares | | | | Value ($) | |
| LyondellBasell Industries NV, Class A | | | 15,962 | | | | 1,823,658 | |
| Mosaic Co. (The) | | | 22,495 | | | | 1,409,312 | |
| PPG Industries, Inc. | | | 14,419 | | | | 1,823,859 | |
| Sherwin-Williams Co. (The) | | | 14,647 | | | | 3,925,982 | |
| | | | | | | 40,812,358 | |
| Commercial Services & Supplies - 0.4% | | | | | | | | |
| Cintas Corp. | | | 5,352 | | | | 2,131,862 | |
| Copart, Inc.* | | | 12,957 | | | | 1,483,965 | |
| Republic Services, Inc. | | | 12,683 | | | | 1,697,493 | |
| Rollins, Inc. | | | 13,748 | | | | 487,504 | |
| Waste Management, Inc. | | | 23,370 | | | | 3,704,379 | |
| | | | | | | 9,505,203 | |
| Communications Equipment - 0.6% | | | | | | | | |
| Arista Networks, Inc.* | | | 13,623 | | | | 1,393,360 | |
| Cisco Systems, Inc. | | | 256,103 | | | | 11,537,440 | |
| F5, Inc.* | | | 3,688 | | | | 601,292 | |
| Juniper Networks, Inc. | | | 19,751 | | | | 605,961 | |
| Motorola Solutions, Inc. | | | 10,250 | | | | 2,252,335 | |
| | | | | | | 16,390,388 | |
| Construction & Engineering - 0.0%(c) | | | | | | | | |
| Quanta Services, Inc. | | | 8,656 | | | | 1,030,064 | |
| | | | | | | | |
| Construction Materials - 0.1% | | | | | | | | |
| Martin Marietta Materials, Inc. | | | 3,787 | | | | 1,285,232 | |
| Vulcan Materials Co. | | | 8,058 | | | | 1,328,523 | |
| | | | | | | 2,613,755 | |
| Consumer Finance - 0.5% | | | | | | | | |
| American Express Co. | | | 37,343 | | | | 6,304,245 | |
| Capital One Financial Corp. | | | 25,134 | | | | 3,213,633 | |
| Discover Financial Services | | | 17,487 | | | | 1,984,600 | |
| Synchrony Financial | | | 31,657 | | | | 1,172,575 | |
| | | | | | | 12,675,053 | |
| Containers & Packaging - 0.3% | | | | | | | | |
| Amcor plc | | | 91,923 | | | | 1,204,191 | |
| Avery Dennison Corp. | | | 5,030 | | | | 867,977 | |
| Ball Corp. | | | 19,672 | | | | 1,394,548 | |
| International Paper Co. | | | 23,520 | | | | 1,139,544 | |
| Packaging Corp. of America | | | 5,765 | | | | 906,719 | |
| Sealed Air Corp. | | | 8,997 | | | | 559,433 | |
| WestRock Co. | | | 15,983 | | | | 775,016 | |
| | | | | | | 6,847,428 | |
| Distributors - 0.1% | | | | | | | | |
| Genuine Parts Co. | | | 8,651 | | | | 1,182,851 | |
| LKQ Corp. | | | 16,290 | | | | 837,143 | |
| Pool Corp. | | | 2,435 | | | | 970,640 | |
| | | | | | | 2,990,634 | |
| Diversified Financial Services - 1.4% | | | | | | | | |
| Berkshire Hathaway, Inc., Class B* | | | 111,203 | | | | 35,137,924 | |
| | | | | | | | |
| Diversified Telecommunication Services - 0.9% | | | | | | | | |
| AT&T, Inc. | | | 433,620 | | | | 9,231,770 | |
| Lumen Technologies, Inc.(b) | | | 55,962 | | | | 684,975 | |
| Verizon Communications, Inc. | | | 254,909 | | | | 13,074,282 | |
| | | | | | | 22,991,027 | |
| Electric Utilities - 1.6% | | | | | | | | |
| Alliant Energy Corp. | | | 15,202 | | | | 970,192 | |
| American Electric Power Co., Inc. | | | 30,584 | | | | 3,120,485 | |
| Constellation Energy Corp. | | | 19,826 | | | | 1,230,798 | |
| Duke Energy Corp. | | | 46,706 | | | | 5,255,359 | |
| Edison International | | | 23,068 | | | | 1,612,684 | |
| Entergy Corp. | | | 12,205 | | | | 1,468,506 | |
| Evergy, Inc. | | | 13,920 | | | | 973,565 | |
| Eversource Energy | | | 20,876 | | | | 1,927,272 | |
| Exelon Corp. | | | 59,477 | | | | 2,923,295 | |
| FirstEnergy Corp. | | | 34,623 | | | | 1,487,404 | |
| NextEra Energy, Inc. | | | 119,141 | | | | 9,017,782 | |
| NRG Energy, Inc. | | | 14,865 | | | | 684,385 | |
| Pinnacle West Capital Corp. | | | 6,851 | | | | 531,980 | |
| PPL Corp. | | | 45,585 | | | | 1,375,755 | |
| Southern Co. (The) | | | 64,350 | | | | 4,868,721 | |
| Xcel Energy, Inc. | | | 32,709 | | | | 2,464,296 | |
| | | | | | | 39,912,479 | |
| Electrical Equipment - 0.4% | | | | | | | | |
| AMETEK, Inc. | | | 14,047 | | | | 1,706,289 | |
| Eaton Corp. plc | | | 24,207 | | | | 3,355,090 | |
| Emerson Electric Co. | | | 36,071 | | | | 3,198,055 | |
| Generac Holdings, Inc.* | | | 3,829 | | | | 946,069 | |
| Rockwell Automation, Inc. | | | 7,054 | | | | 1,503,913 | |
| | | | | | | 10,709,416 | |
| Electronic Equipment, Instruments & Components - 0.5% | | | | | | | | |
| Amphenol Corp., Class A | | | 36,370 | | | | 2,577,178 | |
| CDW Corp. | | | 8,238 | | | | 1,399,307 | |
| Corning, Inc. | | | 45,365 | | | | 1,624,974 | |
| IPG Photonics Corp.* | | | 2,165 | | | | 228,386 | |
| Keysight Technologies, Inc.* | | | 11,111 | | | | 1,617,761 | |
| TE Connectivity Ltd. | | | 19,769 | | | | 2,557,911 | |
| Teledyne Technologies, Inc.* | | | 2,834 | | | | 1,148,195 | |
| Trimble, Inc.* | | | 15,239 | | | | 1,037,014 | |
| Zebra Technologies Corp., Class A* | | | 3,225 | | | | 1,090,663 | |
| | | | | | | 13,281,389 | |
| Energy Equipment & Services - 0.3% | | | | | | | | |
| Baker Hughes Co. | | | 55,001 | | | | 1,978,936 | |
| Halliburton Co. | | | 54,565 | | | | 2,209,883 | |
| Schlumberger NV | | | 85,216 | | | | 3,916,527 | |
| | | | | | | 8,105,346 | |
| Entertainment - 1.1% | | | | | | | | |
| Activision Blizzard, Inc. | | | 47,303 | | | | 3,683,958 | |
| Electronic Arts, Inc. | | | 17,074 | | | | 2,367,310 | |
| Live Nation Entertainment, Inc.*(b) | | | 8,200 | | | | 779,410 | |
| Netflix, Inc.* | | | 26,958 | | | | 5,322,588 | |
| Take-Two Interactive Software, Inc.* | | | 9,602 | | | | 1,195,737 | |
| Walt Disney Co. (The)* | | | 110,550 | | | | 12,209,142 | |
| Warner Bros Discovery, Inc.* | | | 134,285 | | | | 2,477,558 | |
| | | | | | | 28,035,703 | |
| Equity Real Estate Investment Trusts (REITs) - 2.2% | | | | | | | | |
| Alexandria Real Estate Equities, Inc. | | | 8,838 | | | | 1,466,666 | |
| American Tower Corp. | | | 27,655 | | | | 7,083,275 | |
| AvalonBay Communities, Inc. | | | 8,488 | | | | 1,765,164 | |
| Boston Properties, Inc. | | | 8,634 | | | | 959,928 | |
| Camden Property Trust | | | 6,203 | | | | 890,068 | |
| Crown Castle International Corp. | | | 26,245 | | | | 4,977,364 | |
| Digital Realty Trust, Inc. | | | 17,228 | | | | 2,404,857 | |
| Duke Realty Corp. | | | 23,126 | | | | 1,221,747 | |
| Equinix, Inc. | | | 5,470 | | | | 3,758,382 | |
| Equity Residential | | | 20,750 | | | | 1,594,223 | |
| Essex Property Trust, Inc. | | | 3,958 | | | | 1,123,478 | |
| Extra Space Storage, Inc. | | | 8,126 | | | | 1,448,053 | |
| Federal Realty Investment Trust | | | 4,295 | | | | 493,796 | |
| Healthpeak Properties, Inc. | | | 32,753 | | | | 972,437 | |
| Host Hotels & Resorts, Inc. | | | 43,364 | | | | 866,846 | |
| Iron Mountain, Inc. | | | 17,584 | | | | 947,778 | |
| Kimco Realty Corp. | | | 37,447 | | | | 885,622 | |
See accompanying notes to the financial statements.
UltraPro S&P500®
Schedule of Portfolio Investments
May 31, 2022
| Investments | | | Shares | | | | Value ($) | |
| Mid-America Apartment Communities, Inc. | | | 7,003 | | | | 1,267,543 | |
| Prologis, Inc. | | | 44,937 | | | | 5,728,569 | |
| Public Storage | | | 9,261 | | | | 3,062,057 | |
| Realty Income Corp. | | | 34,353 | | | | 2,343,562 | |
| Regency Centers Corp. | | | 9,355 | | | | 638,105 | |
| SBA Communications Corp. | | | 6,605 | | | | 2,223,309 | |
| Simon Property Group, Inc. | | | 19,951 | | | | 2,287,382 | |
| UDR, Inc. | | | 18,159 | | | | 868,000 | |
| Ventas, Inc. | | | 24,242 | | | | 1,375,491 | |
| Vornado Realty Trust | | | 9,663 | | | | 337,818 | |
| Welltower, Inc. | | | 26,430 | | | | 2,354,649 | |
| Weyerhaeuser Co. | | | 45,383 | | | | 1,793,536 | |
| | | | | | | 57,139,705 | |
| Food & Staples Retailing - 1.2% | | | | | | | | |
| Costco Wholesale Corp. | | | 26,924 | | | | 12,552,507 | |
| Kroger Co. (The) | | | 40,628 | | | | 2,152,065 | |
| Sysco Corp. | | | 30,811 | | | | 2,593,670 | |
| Walgreens Boots Alliance, Inc. | | | 43,509 | | | | 1,907,000 | |
| Walmart, Inc. | | | 85,901 | | | | 11,049,446 | |
| | | | | | | 30,254,688 | |
| Food Products - 0.9% | | | | | | | | |
| Archer-Daniels-Midland Co. | | | 33,976 | | | | 3,085,700 | |
| Campbell Soup Co. | | | 12,278 | | | | 588,239 | |
| Conagra Brands, Inc. | | | 29,132 | | | | 958,151 | |
| General Mills, Inc. | | | 36,629 | | | | 2,558,536 | |
| Hershey Co. (The) | | | 8,829 | | | | 1,869,188 | |
| Hormel Foods Corp. | | | 17,131 | | | | 833,766 | |
| J M Smucker Co. (The) | | | 6,581 | | | | 825,060 | |
| Kellogg Co. | | | 15,536 | | | | 1,083,481 | |
| Kraft Heinz Co. (The) | | | 43,116 | | | | 1,631,078 | |
| Lamb Weston Holdings, Inc. | | | 8,819 | | | | 595,988 | |
| McCormick & Co., Inc. (Non-Voting) | | | 15,165 | | | | 1,406,099 | |
| Mondelez International, Inc., Class A | | | 84,301 | | | | 5,358,171 | |
| Tyson Foods, Inc., Class A | | | 17,761 | | | | 1,591,563 | |
| | | | | | | 22,385,020 | |
| Gas Utilities - 0.0%(c) | | | | | | | | |
| Atmos Energy Corp. | | | 8,221 | | | | 956,185 | |
| | | | | | | | |
| Health Care Equipment & Supplies - 2.3% | | | | | | | | |
| Abbott Laboratories | | | 107,375 | | | | 12,612,268 | |
| ABIOMED, Inc.* | | | 2,761 | | | | 728,076 | |
| Align Technology, Inc.* | | | 4,460 | | | | 1,238,274 | |
| Baxter International, Inc. | | | 30,405 | | | | 2,312,300 | |
| Becton Dickinson and Co. | | | 17,294 | | | | 4,423,805 | |
| Boston Scientific Corp.* | | | 86,531 | | | | 3,548,636 | |
| Cooper Cos., Inc. (The) | | | 2,992 | | | | 1,049,414 | |
| DENTSPLY SIRONA, Inc. | | | 13,277 | | | | 525,238 | |
| Dexcom, Inc.* | | | 5,887 | | | | 1,753,973 | |
| Edwards Lifesciences Corp.* | | | 37,908 | | | | 3,823,022 | |
| Hologic, Inc.* | | | 15,178 | | | | 1,142,448 | |
| IDEXX Laboratories, Inc.* | | | 5,150 | | | | 2,016,843 | |
| Intuitive Surgical, Inc.* | | | 21,722 | | | | 4,944,796 | |
| Medtronic plc | | | 81,642 | | | | 8,176,446 | |
| ResMed, Inc. | | | 8,877 | | | | 1,806,114 | |
| STERIS plc | | | 6,078 | | | | 1,387,000 | |
| Stryker Corp. | | | 20,391 | | | | 4,781,690 | |
| Teleflex, Inc. | | | 2,843 | | | | 818,045 | |
| Zimmer Biomet Holdings, Inc. | | | 12,687 | | | | 1,525,104 | |
| | | | | | | 58,613,492 | |
| Health Care Providers & Services - 2.7% | | | | | | | | |
| AmerisourceBergen Corp. | | | 9,142 | | | | 1,415,090 | |
| Anthem, Inc. | | | 14,740 | | | | 7,511,651 | |
| Cardinal Health, Inc. | | | 16,828 | | | | 947,753 | |
| Centene Corp.* | | | 35,429 | | | | 2,885,338 | |
| Cigna Corp. | | | 19,613 | | | | 5,261,972 | |
| CVS Health Corp. | | | 79,698 | | | | 7,710,782 | |
| DaVita, Inc.* | | | 3,741 | | | | 364,710 | |
| HCA Healthcare, Inc. | | | 14,544 | | | | 3,060,058 | |
| Henry Schein, Inc.* | | | 8,424 | | | | 721,431 | |
| Humana, Inc. | | | 7,803 | | | | 3,544,357 | |
| Laboratory Corp. of America Holdings | | | 5,650 | | | | 1,393,968 | |
| McKesson Corp. | | | 9,093 | | | | 2,988,778 | |
| Molina Healthcare, Inc.* | | | 3,548 | | | | 1,029,701 | |
| Quest Diagnostics, Inc. | | | 7,225 | | | | 1,018,869 | |
| UnitedHealth Group, Inc. | | | 57,188 | | | | 28,409,855 | |
| Universal Health Services, Inc., Class B | | | 4,445 | | | | 553,891 | |
| | | | | | | 68,818,204 | |
| Health Care Technology - 0.1% | | | | | | | | |
| Cerner Corp. | | | 17,867 | | | | 1,694,685 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure - 1.6% | | | | | | | | |
| Booking Holdings, Inc.* | | | 2,497 | | | | 5,602,169 | |
| Caesars Entertainment, Inc.* | | | 12,979 | | | | 651,157 | |
| Carnival Corp.* | | | 49,116 | | | | 681,730 | |
| Chipotle Mexican Grill, Inc.* | | | 1,708 | | | | 2,395,555 | |
| Darden Restaurants, Inc. | | | 7,757 | | | | 969,625 | |
| Domino's Pizza, Inc. | | | 2,207 | | | | 801,516 | |
| Expedia Group, Inc.* | | | 9,121 | | | | 1,179,619 | |
| Hilton Worldwide Holdings, Inc. | | | 16,923 | | | | 2,383,774 | |
| Las Vegas Sands Corp.* | | | 20,880 | | | | 740,405 | |
| Marriott International, Inc., Class A | | | 16,613 | | | | 2,850,459 | |
| McDonald's Corp. | | | 45,374 | | | | 11,443,777 | |
| MGM Resorts International | | | 22,873 | | | | 799,869 | |
| Norwegian Cruise Line Holdings Ltd.*(b) | | | 25,323 | | | | 405,421 | |
| Penn National Gaming, Inc.* | | | 10,090 | | | | 322,476 | |
| Royal Caribbean Cruises Ltd.* | | | 13,620 | | | | 790,913 | |
| Starbucks Corp. | | | 69,850 | | | | 5,483,225 | |
| Wynn Resorts Ltd.* | | | 6,389 | | | | 422,313 | |
| Yum! Brands, Inc. | | | 17,549 | | | | 2,131,677 | |
| | | | | | | 40,055,680 | |
| Household Durables - 0.3% | | | | | | | | |
| DR Horton, Inc. | | | 19,586 | | | | 1,471,888 | |
| Garmin Ltd. | | | 9,226 | | | | 974,450 | |
| Lennar Corp., Class A | | | 15,870 | | | | 1,273,568 | |
| Mohawk Industries, Inc.* | | | 3,331 | | | | 471,203 | |
| Newell Brands, Inc. | | | 22,989 | | | | 492,884 | |
| NVR, Inc.* | | | 197 | | | | 876,772 | |
| PulteGroup, Inc. | | | 15,100 | | | | 683,426 | |
| Whirlpool Corp. | | | 3,582 | | | | 659,948 | |
| | | | | | | 6,904,139 | |
| Household Products - 1.2% | | | | | | | | |
| Church & Dwight Co., Inc. | | | 14,695 | | | | 1,323,432 | |
| Clorox Co. (The) | | | 7,475 | | | | 1,086,566 | |
| Colgate-Palmolive Co. | | | 51,181 | | | | 4,033,575 | |
| Kimberly-Clark Corp. | | | 20,453 | | | | 2,720,658 | |
| Procter & Gamble Co. (The) | | | 145,555 | | | | 21,524,673 | |
| | | | | | | 30,688,904 | |
See accompanying notes to the financial statements.
UltraPro S&P500®
Schedule of Portfolio Investments
May 31, 2022
| Investments | | | Shares | | | | Value ($) | |
| Independent Power and Renewable Electricity Producers - 0.0%(c) | | | | | | | | |
| AES Corp. (The) | | | 40,490 | | | | 892,400 | |
| | | | | | | | |
| Industrial Conglomerates - 0.7% | | | | | | | | |
| 3M Co. | | | 34,674 | | | | 5,176,481 | |
| General Electric Co. | | | 66,756 | | | | 5,226,327 | |
| Honeywell International, Inc. | | | 41,640 | | | | 8,062,337 | |
| | | | | | | 18,465,145 | |
| Insurance - 1.8% | | | | | | | | |
| Aflac, Inc. | | | 36,429 | | | | 2,206,505 | |
| Allstate Corp. (The) | | | 17,038 | | | | 2,328,924 | |
| American International Group, Inc. | | | 50,418 | | | | 2,958,528 | |
| Aon plc, Class A | | | 13,038 | | | | 3,594,186 | |
| Arthur J Gallagher & Co. | | | 12,660 | | | | 2,050,160 | |
| Assurant, Inc. | | | 3,466 | | | | 612,408 | |
| Brown & Brown, Inc. | | | 14,240 | | | | 845,429 | |
| Chubb Ltd. | | | 26,156 | | | | 5,526,501 | |
| Cincinnati Financial Corp. | | | 9,099 | | | | 1,163,398 | |
| Everest Re Group Ltd. | | | 2,390 | | | | 675,175 | |
| Globe Life, Inc. | | | 5,640 | | | | 550,295 | |
| Hartford Financial Services Group, Inc. (The) | | | 20,340 | | | | 1,474,853 | |
| Lincoln National Corp. | | | 10,113 | | | | 585,846 | |
| Loews Corp. | | | 11,905 | | | | 779,659 | |
| Marsh & McLennan Cos., Inc. | | | 30,658 | | | | 4,903,747 | |
| MetLife, Inc. | | | 42,606 | | | | 2,871,218 | |
| Principal Financial Group, Inc. | | | 14,751 | | | | 1,075,790 | |
| Progressive Corp. (The) | | | 35,485 | | | | 4,236,199 | |
| Prudential Financial, Inc. | | | 22,949 | | | | 2,438,331 | |
| Travelers Cos., Inc. (The) | | | 14,646 | | | | 2,622,220 | |
| W R Berkley Corp. | | | 12,722 | | | | 904,916 | |
| Willis Towers Watson plc | | | 7,414 | | | | 1,564,873 | |
| | | | | | | 45,969,161 | |
| Interactive Media & Services - 4.3% | | | | | | | | |
| Alphabet, Inc., Class A* | | | 18,265 | | | | 41,557,259 | |
| Alphabet, Inc., Class C* | | | 16,864 | | | | 38,463,074 | |
| Match Group, Inc.* | | | 17,188 | | | | 1,354,071 | |
| Meta Platforms, Inc., Class A* | | | 140,207 | | | | 27,149,683 | |
| Twitter, Inc.* | | | 48,554 | | | | 1,922,738 | |
| | | | | | | 110,446,825 | |
| Internet & Direct Marketing Retail - 2.6% | | | | | | | | |
| Amazon.com, Inc.* | | | 26,570 | | | | 63,879,328 | |
| eBay, Inc. | | | 38,018 | | | | 1,850,336 | |
| Etsy, Inc.* | | | 7,701 | | | | 624,705 | |
| | | | | | | 66,354,369 | |
| IT Services - 3.6% | | | | | | | | |
| Accenture plc, Class A | | | 38,371 | | | | 11,452,209 | |
| Akamai Technologies, Inc.*(b) | | | 9,864 | | | | 996,659 | |
| Automatic Data Processing, Inc. | | | 25,504 | | | | 5,685,862 | |
| Broadridge Financial Solutions, Inc. | | | 7,091 | | | | 1,036,846 | |
| Cognizant Technology Solutions Corp., Class A | | | 31,892 | | | | 2,382,332 | |
| DXC Technology Co.* | | | 14,845 | | | | 522,841 | |
| EPAM Systems, Inc.* | | | 3,443 | | | | 1,165,524 | |
| Fidelity National Information Services, Inc. | | | 36,978 | | | | 3,864,201 | |
| Fiserv, Inc.* | | | 36,084 | | | | 3,614,895 | |
| FleetCor Technologies, Inc.* | | | 4,925 | | | | 1,225,389 | |
| Gartner, Inc.* | | | 4,995 | | | | 1,310,688 | |
| Global Payments, Inc. | | | 17,293 | | | | 2,266,075 | |
| International Business Machines Corp. | | | 54,454 | | | | 7,560,393 | |
| Jack Henry & Associates, Inc. | | | 4,423 | | | | 832,055 | |
| Mastercard, Inc., Class A | | | 52,407 | | | | 18,754,893 | |
| Paychex, Inc. | | | 19,500 | | | | 2,414,685 | |
| PayPal Holdings, Inc.* | | | 70,741 | | | | 6,027,841 | |
| VeriSign, Inc.* | | | 5,864 | | | | 1,023,561 | |
| Visa, Inc., Class A | | | 100,696 | | | | 21,364,670 | |
| | | | | | | 93,501,619 | |
| Leisure Products - 0.0%(c) | | | | | | | | |
| Hasbro, Inc. | | | 7,874 | | | | 706,691 | |
| | | | | | | | |
| Life Sciences Tools & Services - 1.5% | | | | | | | | |
| Agilent Technologies, Inc. | | | 18,238 | | | | 2,326,439 | |
| Bio-Rad Laboratories, Inc., Class A* | | | 1,309 | | | | 703,967 | |
| Bio-Techne Corp. | | | 2,385 | | | | 881,806 | |
| Charles River Laboratories International, Inc.* | | | 3,061 | | | | 716,519 | |
| Danaher Corp. | | | 38,639 | | | | 10,193,741 | |
| Illumina, Inc.* | | | 9,496 | | | | 2,274,102 | |
| IQVIA Holdings, Inc.* | | | 11,605 | | | | 2,497,976 | |
| Mettler-Toledo International, Inc.* | | | 1,397 | | | | 1,796,710 | |
| PerkinElmer, Inc. | | | 7,658 | | | | 1,146,173 | |
| Thermo Fisher Scientific, Inc. | | | 23,925 | | | | 13,579,112 | |
| Waters Corp.* | | | 3,704 | | | | 1,214,727 | |
| West Pharmaceutical Services, Inc. | | | 4,502 | | | | 1,397,331 | |
| | | | | | | 38,728,603 | |
| Machinery - 1.3% | | | | | | | | |
| Caterpillar, Inc. | | | 32,842 | | | | 7,088,946 | |
| Cummins, Inc. | | | 8,651 | | | | 1,809,097 | |
| Deere & Co. | | | 17,026 | | | | 6,091,562 | |
| Dover Corp. | | | 8,744 | | | | 1,170,909 | |
| Fortive Corp. | | | 21,774 | | | | 1,344,980 | |
| IDEX Corp. | | | 4,616 | | | | 884,195 | |
| Illinois Tool Works, Inc. | | | 17,346 | | | | 3,609,182 | |
| Ingersoll Rand, Inc. | | | 24,749 | | | | 1,166,915 | |
| Nordson Corp. | | | 3,287 | | | | 716,172 | |
| Otis Worldwide Corp. | | | 25,808 | | | | 1,920,115 | |
| PACCAR, Inc. | | | 21,085 | | | | 1,831,022 | |
| Parker-Hannifin Corp. | | | 7,800 | | | | 2,122,926 | |
| Pentair plc | | | 10,046 | | | | 504,008 | |
| Snap-on, Inc. | | | 3,249 | | | | 720,888 | |
| Stanley Black & Decker, Inc. | | | 9,897 | | | | 1,174,675 | |
| Westinghouse Air Brake Technologies Corp. | | | 11,350 | | | | 1,072,121 | |
| Xylem, Inc. | | | 10,948 | | | | 922,369 | |
| | | | | | | 34,150,082 | |
| Media - 0.8% | | | | | | | | |
| Charter Communications, Inc., Class A* | | | 7,236 | | | | 3,668,146 | |
| Comcast Corp., Class A | | | 274,692 | | | | 12,163,362 | |
| DISH Network Corp., Class A*(b) | | | 15,168 | | | | 346,285 | |
| Fox Corp., Class A | | | 19,176 | | | | 680,940 | |
| Fox Corp., Class B | | | 8,857 | | | | 289,712 | |
| Interpublic Group of Cos., Inc. (The) | | | 23,904 | | | | 770,426 | |
| News Corp., Class A | | | 23,739 | | | | 413,059 | |
| News Corp., Class B | | | 7,357 | | | | 129,336 | |
| Omnicom Group, Inc. | | | 12,692 | | | | 946,950 | |
| Paramount Global, Class B | | | 36,846 | | | | 1,264,923 | |
| | | | | | | 20,673,139 | |
| Metals & Mining - 0.3% | | | | | | | | |
| Freeport-McMoRan, Inc. | | | 89,147 | | | | 3,483,865 | |
| Newmont Corp. | | | 48,424 | | | | 3,285,568 | |
See accompanying notes to the financial statements.
UltraPro S&P500®
Schedule of Portfolio Investments
May 31, 2022
| Investments | | | Shares | | | | Value ($) | |
| Nucor Corp. | | | 16,518 | | | | 2,187,974 | |
| | | | | | | 8,957,407 | |
| Multiline Retail - 0.4% | | | | | | | | |
| Dollar General Corp. | | | 14,070 | | | | 3,100,184 | |
| Dollar Tree, Inc.* | | | 13,659 | | | | 2,189,948 | |
| Target Corp. | | | 29,097 | | | | 4,710,222 | |
| | | | | | | 10,000,354 | |
| Multi-Utilities - 0.8% | | | | | | | | |
| Ameren Corp. | | | 15,643 | | | | 1,489,057 | |
| CenterPoint Energy, Inc. | | | 38,191 | | | | 1,224,022 | |
| CMS Energy Corp. | | | 17,594 | | | | 1,249,878 | |
| Consolidated Edison, Inc. | | | 21,483 | | | | 2,132,403 | |
| Dominion Energy, Inc. | | | 49,183 | | | | 4,142,192 | |
| DTE Energy Co. | | | 11,763 | | | | 1,561,068 | |
| NiSource, Inc. | | | 23,848 | | | | 750,020 | |
| Public Service Enterprise Group, Inc. | | | 30,706 | | | | 2,104,589 | |
| Sempra Energy | | | 19,390 | | | | 3,177,245 | |
| WEC Energy Group, Inc. | | | 19,148 | | | | 2,011,880 | |
| | | | | | | 19,842,354 | |
| Oil, Gas & Consumable Fuels - 3.6% | | | | | | | | |
| APA Corp. | | | 22,055 | | | | 1,036,805 | |
| Chevron Corp. | | | 117,052 | | | | 20,444,302 | |
| ConocoPhillips | | | 79,078 | | | | 8,885,204 | |
| Coterra Energy, Inc. | | | 49,409 | | | | 1,696,211 | |
| Devon Energy Corp. | | | 38,233 | | | | 2,863,652 | |
| Diamondback Energy, Inc. | | | 10,336 | | | | 1,571,279 | |
| EOG Resources, Inc. | | | 35,525 | | | | 4,865,504 | |
| Exxon Mobil Corp. | | | 257,069 | | | | 24,678,624 | |
| Hess Corp. | | | 16,740 | | | | 2,060,192 | |
| Kinder Morgan, Inc. | | | 118,413 | | | | 2,331,552 | |
| Marathon Oil Corp. | | | 47,277 | | | | 1,485,916 | |
| Marathon Petroleum Corp. | | | 35,163 | | | | 3,579,242 | |
| Occidental Petroleum Corp. | | | 53,881 | | | | 3,734,492 | |
| ONEOK, Inc. | | | 27,073 | | | | 1,782,757 | |
| Phillips 66 | | | 28,407 | | | | 2,863,710 | |
| Pioneer Natural Resources Co. | | | 13,786 | | | | 3,831,681 | |
| Valero Energy Corp. | | | 24,820 | | | | 3,216,672 | |
| Williams Cos., Inc. (The) | | | 73,787 | | | | 2,734,546 | |
| | | | | | | 93,662,341 | |
| Personal Products - 0.1% | | | | | | | | |
| Estee Lauder Cos., Inc. (The), Class A | | | 14,112 | | | | 3,593,621 | |
| | | | | | | | |
| Pharmaceuticals - 3.6% | | | | | | | | |
| Bristol-Myers Squibb Co. | | | 132,356 | | | | 9,986,260 | |
| Catalent, Inc.* | | | 10,874 | | | | 1,120,674 | |
| Eli Lilly & Co. | | | 48,208 | | | | 15,110,316 | |
| Johnson & Johnson | | | 159,856 | | | | 28,698,948 | |
| Merck & Co., Inc. | | | 153,383 | | | | 14,115,837 | |
| Organon & Co. | | | 15,404 | | | | 584,736 | |
| Pfizer, Inc. | | | 340,820 | | | | 18,077,093 | |
| Viatris, Inc. | | | 73,443 | | | | 901,146 | |
| Zoetis, Inc. | | | 28,729 | | | | 4,910,648 | |
| | | | | | | 93,505,658 | |
| Professional Services - 0.2% | | | | | | | | |
| Equifax, Inc. | | | 7,411 | | | | 1,501,320 | |
| Jacobs Engineering Group, Inc. | | | 7,845 | | | | 1,099,006 | |
| Leidos Holdings, Inc. | | | 8,522 | | | | 890,549 | |
| Nielsen Holdings plc | | | 21,791 | | | | 556,978 | |
| Robert Half International, Inc. | | | 6,645 | | | | 599,047 | |
| Verisk Analytics, Inc. | | | 9,786 | | | | 1,711,767 | |
| | | | | | | 6,358,667 | |
| Real Estate Management & Development - 0.1% | | | | | | | | |
| CBRE Group, Inc., Class A* | | | 20,321 | | | | 1,683,392 | |
| | | | | | | | |
| Road & Rail - 0.7% | | | | | | | | |
| CSX Corp. | | | 134,687 | | | | 4,281,700 | |
| JB Hunt Transport Services, Inc. | | | 5,100 | | | | 880,158 | |
| Norfolk Southern Corp. | | | 14,563 | | | | 3,490,168 | |
| Old Dominion Freight Line, Inc. | | | 5,653 | | | | 1,459,831 | |
| Union Pacific Corp. | | | 38,676 | | | | 8,500,211 | |
| | | | | | | 18,612,068 | |
| Semiconductors & Semiconductor Equipment - 4.7% | | | | | | | | |
| Advanced Micro Devices, Inc.* | | | 99,272 | | | | 10,111,896 | |
| Analog Devices, Inc. | | | 31,895 | | | | 5,371,118 | |
| Applied Materials, Inc. | | | 53,923 | | | | 6,324,629 | |
| Broadcom, Inc. | | | 25,067 | | | | 14,542,119 | |
| Enphase Energy, Inc.* | | | 8,130 | | | | 1,513,725 | |
| Intel Corp. | | | 247,262 | | | | 10,983,378 | |
| KLA Corp. | | | 9,150 | | | | 3,338,377 | |
| Lam Research Corp. | | | 8,474 | | | | 4,406,734 | |
| Microchip Technology, Inc. | | | 33,759 | | | | 2,452,591 | |
| Micron Technology, Inc. | | | 67,992 | | | | 5,020,529 | |
| Monolithic Power Systems, Inc. | | | 2,631 | | | | 1,184,976 | |
| NVIDIA Corp. | | | 151,801 | | | | 28,344,283 | |
| NXP Semiconductors NV | | | 16,146 | | | | 3,063,865 | |
| Qorvo, Inc.* | | | 6,585 | | | | 735,874 | |
| QUALCOMM, Inc. | | | 68,432 | | | | 9,800,831 | |
| Skyworks Solutions, Inc. | | | 9,958 | | | | 1,084,127 | |
| SolarEdge Technologies, Inc.* | | | 3,191 | | | | 870,473 | |
| Teradyne, Inc. | | | 9,895 | | | | 1,081,128 | |
| Texas Instruments, Inc. | | | 56,077 | | | | 9,912,171 | |
| | | | | | | 120,142,824 | |
| Software - 7.2% | | | | | | | | |
| Adobe, Inc.* | | | 28,644 | | | | 11,929,653 | |
| ANSYS, Inc.* | | | 5,299 | | | | 1,379,648 | |
| Autodesk, Inc.* | | | 13,363 | | | | 2,776,163 | |
| Cadence Design Systems, Inc.* | | | 16,830 | | | | 2,587,276 | |
| Ceridian HCM Holding, Inc.* | | | 8,306 | | | | 467,628 | |
| Citrix Systems, Inc. | | | 7,572 | | | | 762,425 | |
| Fortinet, Inc.* | | | 8,236 | | | | 2,422,537 | |
| Intuit, Inc. | | | 17,193 | | | | 7,125,811 | |
| Microsoft Corp. | | | 455,218 | | | | 123,760,118 | |
| NortonLifeLock, Inc. | | | 35,337 | | | | 860,102 | |
| Oracle Corp. | | | 95,669 | | | | 6,880,514 | |
| Paycom Software, Inc.* | | | 2,919 | | | | 829,988 | |
| PTC, Inc.* | | | 6,390 | | | | 744,627 | |
| Roper Technologies, Inc. | | | 6,409 | | | | 2,835,598 | |
| Salesforce, Inc.* | | | 59,809 | | | | 9,583,794 | |
| ServiceNow, Inc.* | | | 12,140 | | | | 5,675,086 | |
| Synopsys, Inc.* | | | 9,315 | | | | 2,973,348 | |
| Tyler Technologies, Inc.* | | | 2,493 | | | | 887,059 | |
| | | | | | | 184,481,375 | |
| Specialty Retail - 1.7% | | | | | | | | |
| Advance Auto Parts, Inc. | | | 3,785 | | | | 718,620 | |
| AutoZone, Inc.* | | | 1,251 | | | | 2,576,623 | |
| Bath & Body Works, Inc. | | | 15,653 | | | | 642,086 | |
| Best Buy Co., Inc. | | | 13,147 | | | | 1,078,843 | |
| CarMax, Inc.* | | | 9,817 | | | | 974,534 | |
| Home Depot, Inc. (The) | | | 63,402 | | | | 19,194,955 | |
| Lowe's Cos., Inc. | | | 40,912 | | | | 7,990,114 | |
| O'Reilly Automotive, Inc.* | | | 4,092 | | | | 2,607,300 | |
| Ross Stores, Inc. | | | 21,460 | | | | 1,824,529 | |
| TJX Cos., Inc. (The) | | | 72,436 | | | | 4,604,756 | |
| Tractor Supply Co. | | | 6,913 | | | | 1,295,220 | |
See accompanying notes to the financial statements.
UltraPro S&P500®
Schedule of Portfolio Investments
May 31, 2022
| Investments | | | Shares | | | | Value ($) | |
| Ulta Beauty, Inc.* | | | 3,287 | | | | 1,390,730 | |
| | | | | | | 44,898,310 | |
| Technology Hardware, Storage & Peripherals - 5.7% | | | | | | | | |
| Apple, Inc. | | | 941,389 | | | | 140,116,339 | |
| Hewlett Packard Enterprise Co. | | | 78,544 | | | | 1,225,286 | |
| HP, Inc. | | | 65,753 | | | | 2,553,847 | |
| NetApp, Inc. | | | 13,501 | | | | 971,397 | |
| Seagate Technology Holdings plc | | | 12,231 | | | | 1,035,599 | |
| Western Digital Corp.* | | | 18,999 | | | | 1,153,049 | |
| | | | | | | 147,055,517 | |
| Textiles, Apparel & Luxury Goods - 0.4% | | | | | | | | |
| NIKE, Inc., Class B | | | 77,498 | | | | 9,210,637 | |
| PVH Corp. | | | 4,250 | | | | 301,197 | |
| Ralph Lauren Corp. | | | 2,810 | | | | 284,063 | |
| Tapestry, Inc. | | | 16,034 | | | | 553,173 | |
| Under Armour, Inc., Class A* | | | 11,465 | | | | 121,300 | |
| Under Armour, Inc., Class C* | | | 13,065 | | | | 126,731 | |
| VF Corp. | | | 19,605 | | | | 989,268 | |
| | | | | | | 11,586,369 | |
| Tobacco - 0.6% | | | | | | | | |
| Altria Group, Inc. | | | 110,709 | | | | 5,988,250 | |
| Philip Morris International, Inc. | | | 94,110 | | | | 9,999,187 | |
| | | | | | | 15,987,437 | |
| Trading Companies & Distributors - 0.2% | | | | | | | | |
| Fastenal Co. | | | 34,950 | | | | 1,871,922 | |
| United Rentals, Inc.*(b) | | | 4,396 | | | | 1,310,799 | |
| WW Grainger, Inc. | | | 2,628 | | | | 1,280,020 | |
| | | | | | | 4,462,741 | |
| Water Utilities - 0.1% | | | | | | | | |
| American Water Works Co., Inc. | | | 11,022 | | | | 1,667,077 | |
| | | | | | | | |
| Wireless Telecommunication Services - 0.2% | | | | | | | | |
| T-Mobile US, Inc.* | | | 35,650 | | | | 4,751,788 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $2,389,695,638) | | | | | | | 2,121,864,165 | |
| | | | | | | | |
| SECURITIES LENDING REINVESTMENTS(d) - 0.0%(c) | | | | | | | | |
| | | | | | | | |
| INVESTMENT COMPANIES - 0.0%(c) | | | | | | | | |
BlackRock Liquidity FedFund, Institutional Class
0.72% (Cost $278,159) | | | 278,159 | | | | 278,159 | |
| | | | | | | | |
| Investments | | | Principal Amount ($) | | | | Value ($) | |
| SHORT-TERM INVESTMENTS - 31.6% | | | | | | | | |
| | | | | | | | |
| REPURCHASE AGREEMENTS(e) - 3.1% | | | | | | | | |
Repurchase Agreements with various counterparties, rates 0.50% - 0.77%, dated 5/31/2022, due 6/1/2022, total to be received $80,241,101 (Cost $80,239,486) | | | 80,239,486 | | | | 80,239,486 | |
| | | | | | | | |
| U.S. TREASURY OBLIGATIONS - 28.5% | | | | | | | | |
| U.S. Treasury Bills | | | | | | | | |
| 0.33%, 6/2/2022(f) | | | 40,000,000 | | | | 39,999,428 | |
| 0.37%, 6/7/2022(f) | | | 45,000,000 | | | | 44,996,325 | |
| 0.51%, 6/21/2022(f) | | | 50,000,000 | | | | 49,983,611 | |
| 0.71%, 7/5/2022(f) | | | 250,000,000 | | | | 249,840,625 | |
| 0.07%, 7/14/2022(f) | | | 300,000,000 | | | | 299,703,420 | |
| 1.00%, 8/18/2022(f) | | | 50,000,000 | | | | 49,886,927 | |
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $734,683,029) | | | | | | | 734,410,336 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(Cost $814,922,515) | | | | | | | 814,649,822 | |
Total Investments - 114.1%
(Cost $3,204,896,312) | | | | | | | 2,936,792,146 | |
| Liabilities in excess of other assets - (14.1%) | | | | | | | (363,719,012 | ) |
| Net Assets - 100.0% | | | | | | | 2,573,073,134 | |
See accompanying notes to the financial statements.
UltraPro S&P500®
Schedule of Portfolio Investments
May 31, 2022
| * | Non-income producing security. |
| (a) | All or a portion of these securities are segregated in connection with obligations for swaps with a total value of $1,453,695,930. |
| (b) | The security or a portion of this security is on loan at May 31, 2022. The total value of securities on loan at May 31, 2022 was $449,507, collateralized in the form of cash with a value of $278,159 that was reinvested in the securities shown in the Securities Lending Reinvestment section of the Schedule of Portfolio Investments and $187,005 of collateral in the form of U.S. Government Treasury Securities, interest rates ranging from 0.13% – 4.63%, and maturity dates ranging from June 15, 2022 – February 15, 2051. The total value of collateral is $465,164. |
| (c) | Represents less than 0.05% of net assets. |
| (d) | The security was purchased with cash collateral held from securities on loan at May 31, 2022. The total value of securities purchased was $278,159. |
| (e) | The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subject to repurchase. |
| (f) | The rate shown was the current yield as of May 31, 2022. |
As of May 31, 2022, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investment securities and derivative instruments, if applicable, for federal income tax purposes was as follows:
| Aggregate gross unrealized appreciation | | $ | 72,249,715 | |
| Aggregate gross unrealized depreciation | | | (1,226,399,995 | ) |
| Net unrealized depreciation | | $ | (1,154,150,280 | ) |
| Federal income tax cost | | $ | 3,321,783,328 | |
See accompanying notes to the financial statements.
UltraPro S&P500®
Schedule of Portfolio Investments
May 31, 2022
Futures Contracts Purchased
UltraPro S&P500® had the following open long futures contracts as of May 31, 2022:
| | | Number of
Contracts | | | Expiration
Date | | Trading
Currency | | Notional Amount | | | Value and
Unrealized
Appreciation | |
| S&P 500 E-Mini Index | | | 879 | | | 6/17/2022 | | USD | | $ | 181,568,438 | | | $ | 75,471 | |
Swap Agreementsa
UltraPro S&P500® had the following open non-exchange traded total return swap agreements as of May 31, 2022:
Notional
Amount ($) | | | Termination
Dateb | | Counterparty | | Rate Paid
(Received)c | | | Reference Instrument | | Value and
Unrealized
Appreciation/
(Depreciation)d
($) | | | Financial
Instruments
for the
Benefit of (the
Fund)/ the
Counterparty
($) | | | Cash
Collateral for
the Benefit of
(the Fund)/
the
Counterparty
($) | | | Net
Amounte ($) | |
| 520,721,147 | | | 5/8/2023 | | Bank of America NA | | | 1.38 | % | | S&P 500® | | | (132,057,460 | ) | | | 100,862,429 | | | | 31,195,031 | | | | — | |
| 537,125,782 | | | 5/8/2023 | | BNP Paribas SA | | | 1.43 | % | | S&P 500® | | | (113,937,121 | ) | | | 83,369,344 | | | | 30,567,777 | | | | — | |
| 240,726,662 | | | 4/10/2023 | | Citibank NA | | | 1.49 | % | | S&P 500® | | | (57,664,886 | ) | | | 27,381,209 | | | | 30,283,677 | | | | — | |
| 531,270,525 | | | 11/6/2023 | | Credit Suisse International | | | 1.43 | % | | S&P 500® | | | (13,081,617 | ) | | | — | | | | 13,081,617 | | | | — | |
| 884,048,700 | | | 4/8/2024 | | Goldman Sachs International | | | 1.43 | % | | S&P 500® | | | 16,062,194 | | | | (16,062,194 | ) | | | — | | | | — | |
| 740,192,029 | | | 5/8/2023 | | J.P. Morgan Securities | | | 1.23 | % | | S&P 500® | | | (141,894,819 | ) | | | 89,797,787 | | | | 52,097,032 | | | | — | |
| 585,934,738 | | | 4/10/2023 | | Morgan Stanley & Co. International plc | | | 1.38 | % | | S&P 500® | | | (78,836,056 | ) | | | 47,917,910 | | | | 30,918,146 | | | | — | |
| 689,569,060 | | | 3/7/2023 | | Societe Generale | | | 1.33 | % | | S&P 500® | | | (153,079,760 | ) | | | 67,867,254 | | | | 85,212,506 | | | | — | |
| 686,432,758 | | | 3/7/2023 | | UBS AG | | | 1.33 | % | | S&P 500® | | | (94,745,044 | ) | | | 34,901,931 | | | | 59,843,113 | | | | — | |
| 5,416,021,401 | | | | | | | | | | | | | | (769,234,569 | ) | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized Appreciation | | | 16,062,194 | | | | | | | | | | | | | |
| | | | | | | | | | | | Total Unrealized Depreciation | | | (785,296,763 | ) | | | | | | | | | | | | |
| a | The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815. |
| b | Agreements may be terminated at will by either party without penalty. Payment is due at termination/maturity. |
| c | Reflects the floating financing rate, as of May 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. This amount is included as part of the unrealized appreciation/(depreciation). |
| d | The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statement of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statement of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statement of Assets and Liabilities. |
| e | Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default. |
Abbreviations
USD U.S Dollar
See accompanying notes to the financial statements.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of ProShares Trust and Shareholders of each of the one hundred nineteen funds listed below
Opinions on the Financial Statements
With respect to each of the funds designated with a number “(1)”, we have audited the accompanying statements of assets and liabilities, including the summary schedules of portfolio investments, as of May 31, 2022, the related statements of operations and of changes in net assets for each of the periods listed below, including the related notes, and the financial highlights for each of the periods indicated therein (included in Item 1 of this Form N-CSR) and the schedules of portfolio investments (included in Item 6 of this Form N-CSR) as of May 31, 2022 (collectively referred to as the “financial statements”), and with respect to each of the funds designated with a number “(2)”, we have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, as of May 31, 2022, the related statements of operations, of changes in net assets and, for Bitcoin Strategy ETF, of cash flows for each of the periods listed below, including the related notes, and the financial highlights for each of the periods indicated therein (included in Item 1 of this Form N-CSR) (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the funds listed below (constituting ProShares Trust, hereafter collectively referred to as the “Funds”) as of May 31, 2022, the results of each of their operations, the changes in each of their net assets, for Bitcoin Strategy ETF, its cash flows for each of the periods listed below, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.
| Big Data Refiners ETF | (2)(B) | Short Dow30SM | (2)(A) | Ultra Telecommunications | (2)(A) |
| Bitcoin Strategy ETF | (2)(C) | Short Financials | (2)(A) | Ultra Utilities | (2)(A) |
| Decline of the Retail Store ETF | (2)(A) | Short FTSE China 50 | (2)(A) | UltraPro Dow30SM | (2)(A) |
| DJ Brookfield Global Infrastructure ETF | (2)(A) | Short High Yield | (2)(A) | UltraPro MidCap400 | (1)(A) |
| Equities for Rising Rates ETF | (2)(A) | Short MidCap400 | (2)(A) | UltraPro QQQ | (2)(A) |
| Global Listed Private Equity ETF | (2)(A) | Short MSCI EAFE | (2)(A) | UltraPro Russell2000 | (1)(A) |
| Hedge Replication ETF | (1)(A) | Short MSCI Emerging Markets | (2)(A) | UltraPro S&P500® | (1)(A) |
| High Yield-Interest Rate Hedged | (2)(A) | Short QQQ | (2)(A) | UltraPro Short 20+ Year Treasury | (2)(A) |
| Inflation Expectations ETF | (2)(A) | Short Real Estate | (2)(A) | UltraPro Short Dow30SM | (2)(A) |
| Investment Grade-Interest Rate Hedged | (2)(A) | Short Russell2000 | (2)(A) | UltraPro Short MidCap400 | (2)(A) |
| K-1 Free Crude Oil Strategy ETF | (2)(A) | Short S&P500® | (2)(A) | UltraPro Short QQQ | (2)(A) |
| Large Cap Core Plus | (1)(A) | Short SmallCap600 | (2)(A) | UltraPro Short Russell2000 | (2)(A) |
| Long Online/Short Stores ETF | (2)(A) | Ultra 7-10 Year Treasury | (2)(A) | UltraPro Short S&P500® | (2)(A) |
| Merger ETF | (2)(A) | Ultra 20+ Year Treasury | (2)(A) | UltraShort 7-10 Year Treasury | (2)(A) |
| Metaverse ETF | (2)(D) | Ultra Basic Materials | (2)(A) | UltraShort 20+ Year Treasury | (2)(A) |
| MSCI EAFE Dividend Growers ETF | (2)(A) | Ultra Consumer Goods | (2)(A) | UltraShort Basic Materials | (2)(A) |
| MSCI Emerging Markets Dividend Growers ETF | (2)(A) | Ultra Consumer Services | (2)(A) | UltraShort Consumer Goods | (2)(A) |
| MSCI Europe Dividend Growers ETF | (2)(A) | Ultra Dow30SM | (2)(A) | UltraShort Consumer Services | (2)(A) |
| MSCI Transformational Changes ETF | (2)(E) | Ultra Financials | (1)(A) | UltraShort Dow30SM | (2)(A) |
| Nanotechnology ETF | (2)(F) | Ultra FTSE China 50 | (2)(A) | UltraShort Financials | (2)(A) |
| Nasdaq-100 Dorsey Wright Momentum ETF | (2)(G) | Ultra FTSE Europe | (2)(A) | UltraShort FTSE China 50 | (2)(A) |
| On-Demand ETF | (2)(F) | Ultra Health Care | (2)(A) | UltraShort FTSE Europe | (2)(A) |
| Online Retail ETF | (2)(A) | Ultra High Yield | (2)(A) | UltraShort Health Care | (2)(A) |
| Pet Care ETF | (2)(A) | Ultra Industrials | (1)(A) | UltraShort lndustrials | (2)(A) |
| Russell 2000 Dividend Growers ETF | (2)(A) | Ultra MidCap400 | (1)(A) | UltraShort MidCap400 | (2)(A) |
| Russell U.S. Dividend Growers ETF | (2)(A) | Ultra MSCI Brazil Capped | (2)(A) | UltraShort MSCI Brazil Capped | (2)(A) |
| S&P 500® Bond ETF | (2)(A) | Ultra MSCI EAFE | (2)(A) | UltraShort MSCI EAFE | (2)(A) |
| S&P 500® Dividend Aristocrats ETF | (2)(A) | Ultra MSCI Emerging Markets | (2)(A) | UltraShort MSCI Emerging Markets | (2)(A) |
| S&P 500® Ex-Energy ETF | (1)(A) | Ultra MSCI Japan | (2)(A) | Ultrashort MSCI Japan | (2)(A) |
| S&P 500® Ex-Financials ETF | (1)(A) | Ultra Nasdaq Biotechnology | (1)(A) | UltraShort Nasdaq Biotechnology | (2)(A) |
| S&P 500® Ex-Health Care ETF | (1)(A) | Ultra Nasdaq Cloud Computing | (2)(I) | UltraShort Oil & Gas | (2)(A) |
| S&P 500® Ex-Technology ETF | (1)(A) | Ultra Nasdaq Cybersecurity | (2)(I) | UltraShort QQQ | (2)(A) |
| S&P Kensho Cleantech ETF | (2)(B) | Ultra Oil & Gas | (2)(A) | UltraShort Real Estate | (2)(A) |
| S&P Kensho Smart Factories ETF | (2)(B) | Ultra QQQ | (2)(A) | UltraShort Russell2000 | (2)(A) |
| S&P MidCap 400® Dividend Aristocrats ETF | (2)(A) | Ultra Real Estate | (2)(A) | UltraShort S&P500® | (2)(A) |
| S&P Technology Dividend Aristocrats ETF | (2)(A) | Ultra Russell2000 | (1)(A) | UltraShort Semiconductors | (2)(A) |
| Smart Materials ETF | (2)(F) | Ultra S&P500® | (1)(A) | UltraShort SmallCap600 | (2)(A) |
| Supply Chain Logistics ETF | (2)(H) | Ultra Semiconductors | (2)(A) | UltraShort Technology | (2)(A) |
| Short 7-10 Year Treasury | (2)(A) | Ultra SmallCap600 | (1)(A) | UltraShort Utilities | (2)(A) |
| Short 20+ Year Treasury | (2)(A) | Ultra Technology | (2)(A) | | |
| (A) | Statement of operations for the year ended May 31, 2022, and statement of changes in net assets for each of the two years in the period ended May 31, 2022. |
| (B) | Statement of operations and statement of changes in net assets for the period September 29, 2021 (commencement of investment operations) through May 31, 2022. |
| (C) | Statement of operations, statement of changes in net assets and statement of cash flows for the period October 18, 2021 (commencement of investment operations) through May 31, 2022. |
| (D) | Statement of operations and statement of changes in net assets for the period March 15, 2022 (commencement of investment operations) through May 31, 2022. |
| (E) | Statement of operations for the year ended May 31, 2022 and statement of changes in net assets for the year ended May 31, 2022 and for the period October 14, 2020 (commencement of investment operations) through May 31, 2021. |
| (F) | Statement of operations and statement of changes in net assets for the period October 26, 2021 (commencement of investment operations) through May 31, 2022. |
| (G) | Statement of operations for the year ended May 31, 2022 and statement of changes in net assets for the year ended May 31, 2022 and for the period May 18, 2021 (commencement of investment operations) through May 31, 2021. |
| (H) | Statement of operations and statement of changes in net assets for the period April 6, 2022 (commencement of investment operations) through May 31, 2022. |
| (I) | Statement of operations for the year ended May 31, 2022 and statement of changes in net assets for the year ended May 31, 2022 and for the period January 19, 2021 (commencement of investment operations) through May 31, 2021. |
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Baltimore, Maryland
July 27, 2022
We have served as the auditor of one or more investment companies in ProFunds and ProShares Trust group since 1997.
| (b) | Securities Divested of in accordance with Section 13(c) of the Investment Company Act of 1940. |
Not applicable.
Item 7. Disclosure Of Proxy Voting Policies And Procedures For Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchase of Equity Securities By Closed-End Management Investment Company And Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
The Registrant did not have in place procedures by which shareholders may recommend nominees to the Registrant’s board of trustees.
Item 11. Controls and Procedures.
| (a) | The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
| (b) | There were no changes in the Registrant’s internal control over financial reporting that occurred during the period 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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| ProShares Trust | |
| |
| By: | /s/ Todd B. Johnson | |
| Todd B. Johnson | |
| President | |
| August 5, 2022 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, 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/ Todd B. Johnson | |
| Todd B. Johnson | |
| President | |
| August 5, 2022 | |
| | |
| By: | /s/ Maria Clem Sell | |
| Maria Clem Sell | |
| Treasurer | |
| August 5, 2022 | |
