Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended |
Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period from |
(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) |
Title of each class |
Trading Symbol(s) |
Name of each exchange on which registered | ||
Mid-Term Futures ETF |
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☒ | Accelerated Filer | ☐ | ||||
Non-Accelerated Filer | ☐ | Smaller Reporting Company | ||||
Emerging Growth Company |
Page |
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1 | ||||
126 | ||||
173 | ||||
187 | ||||
189 | ||||
189 | ||||
190 | ||||
192 | ||||
192 | ||||
192 | ||||
192 |
Item 1. |
Financial Statements. |
Documents |
Page |
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Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows: |
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2 | ||||
7 | ||||
12 | ||||
17 | ||||
22 | ||||
27 | ||||
32 | ||||
37 | ||||
42 | ||||
47 | ||||
52 | ||||
57 | ||||
62 | ||||
67 | ||||
72 | ||||
77 | ||||
82 | ||||
86 |
June 30, 2024 (unaudited) |
December 31, 2023 |
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Assets |
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Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
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Segregated cash balances with brokers for futures contracts |
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Receivable on open futures contracts |
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Interest receivable |
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Total assets |
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Liabilities and shareholders’ equity |
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Liabilities |
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Payable for capital shares redeemed |
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Payable on open futures contracts |
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Brokerage commissions and futures account fees payable |
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Total liabilities |
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Commitments and Contingencies (Note 2) |
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Shareholders’ equity |
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Shareholders’ equity |
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Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding (Note 1) |
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Net asset value per share (Note 1) |
$ | $ | ||||||
Market value per share (Note 1) (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
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Short-term U.S. government and agency obligations |
||||||||
( |
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U.S. Treasury Bills ^^ : |
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$ | $ | |||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Futures Contracts Sold |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires July 2024 |
$ | $ | ||||||||||
VIX Futures - Cboe, expires August 2024 |
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$ | ||||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended June 30, |
Six Months Ended June 30, |
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2024 |
2023 |
2024 |
2023 |
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Investment Income |
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Interest |
$ | $ | $ | $ | ||||||||||||
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Expenses |
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Management fee |
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Brokerage commissions |
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Total expenses |
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Net investment income (loss) |
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Realized and unrealized gain (loss) on investment activity |
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Net realized gain (loss) on |
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Futures contracts |
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Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
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Net realized gain (loss) |
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Change in net unrealized appreciation (depreciation) on |
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Futures contracts |
( |
) | ( |
) | ||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
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Change in net unrealized appreciation (depreciation) |
( |
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) | ||||||||||||
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Net realized and unrealized gain (loss) |
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Net income (loss) |
$ | $ | $ | $ | ||||||||||||
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Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net investment income (loss) |
||||||||||||||||
Net realized gain (loss) |
||||||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||||||
Net income (loss) |
||||||||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Six Months Ended June 30, |
||||||||
2024 |
2023 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | $ | ||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
( |
) | ||||||
Change in unrealized (appreciation) depreciation on investments |
||||||||
Decrease (Increase) in receivable on open futures contracts |
||||||||
Decrease (Increase) in interest receivable |
( |
) | ||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
( |
) | ( |
) | ||||
Increase (Decrease) in payable on open futures contracts |
||||||||
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|||||
Net cash provided by (used in) operating activities |
||||||||
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|
|||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
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|
|
|||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ||||
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|
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|
|||||
Net increase (decrease) in cash |
( |
) | ||||||
Cash, beginning of period |
||||||||
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|
|||||
Cash, end of period |
$ | $ | ||||||
|
|
|
|
June 30, 2024 (unaudited) |
December 31, 2023 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
||||||||
Unrealized appreciation on swap agreements |
||||||||
Receivable from capital shares sold |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
||||||||
Brokerage commissions and futures account fees payable |
||||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | $ | ||||||
† |
||||||||
† |
||||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Futures Contracts Purchased |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI Crude Oil - NYMEX, expires September 2024 |
$ | $ | ||||||||||
WTI Crude Oil - NYMEX, expires December 2024 |
||||||||||||
WTI Crude Oil - NYMEX, expires June 2025 |
||||||||||||
$ | ||||||||||||
Total Return Swap Agreements ^ |
||||||||||||||||
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index |
% | $ | $ | |||||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index |
||||||||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index |
||||||||||||||||
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index |
||||||||||||||||
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index |
||||||||||||||||
Total Unrealized Appreciation |
$ | |||||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of June 30, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ |
* | Reflects the floating financing rate, as of June 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
||||||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
||||||||||||||||
Swap agreements |
( |
) | ( |
) | ( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Net realized gain (loss) |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ||||||||||
Swap agreements |
( |
) | ||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||||||
Net income (loss) |
$ | $ | ( |
) | $ | $ | ( |
) | ||||||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net investment income (loss) |
||||||||||||||||
Net realized gain (loss) |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||||||
Net income (loss) |
( |
) | ( |
) | ||||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Six Months Ended June 30, |
||||||||
2024 |
2023 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | $ | ( |
) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
( |
) | ||||||
Change in unrealized (appreciation) depreciation on investments |
( |
) | ||||||
Decrease (Increase) in receivable on open futures contracts |
( |
) | ||||||
Decrease (Increase) in interest receivable |
||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
( |
) | ||||||
Increase (Decrease) in payable on open futures contracts |
( |
) | ||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Net increase (decrease) in cash |
( |
) | ( |
) | ||||
Cash, beginning of period |
||||||||
|
|
|
|
|||||
Cash, end of period |
$ | $ | ||||||
|
|
|
|
June 30, 2024 (unaudited) |
December 31, 2023 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable from capital shares sold |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
||||||||
Payable on open futures contracts |
||||||||
Brokerage commissions and futures account fees payable |
||||||||
|
||||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding |
||||||||
|
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|
|
|||||
Net asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Futures Contracts Purchased |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Natural Gas - NYMEX, expires September 2024 |
$ | $ | ( |
) |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
|
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|
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|
|
|
|||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Futures account fees |
||||||||||||||||
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|||||||||
Total expenses |
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|||||||||
Net investment income (loss) |
||||||||||||||||
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|
|||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ||||||||||
Swap agreements |
( |
) | ( |
) | ||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
|
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|
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|
|
|||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||||||
Swap agreements |
||||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||||||
|
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|
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|
|
|
|||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||||||
|
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|
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|
|
|
|||||||||
Net income (loss) |
$ | $ | $ | ( |
) | $ | ( |
) | ||||||||
|
|
|
|
|
|
|
|
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
|
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|
|
|
|
|
|
|||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
|
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|
|||||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ||||||||||||
|
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|
|
|
|
|
|
|||||||||
Net investment income (loss) |
||||||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss) |
( |
) | ( |
) | ||||||||||||
|
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|
|||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
|
|
|
|
|
|
|
|
Six Months Ended June 30, |
||||||||
2024 |
2023 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
||||||||
Change in unrealized (appreciation) depreciation on investments |
( |
) | ||||||
Decrease (Increase) in receivable on open futures contracts |
||||||||
Decrease (Increase) in interest receivable |
( |
) | ||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
( |
) | ||||||
Increase (Decrease) in payable on open futures contracts |
( |
) | ||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities |
( |
) | ||||||
|
|
|
|
|||||
Net increase (decrease) in cash |
( |
) | ||||||
Cash, beginning of period |
||||||||
|
|
|
|
|||||
Cash, end of period |
$ | $ | ||||||
|
|
|
|
June 30, 2024 (unaudited) |
December 31, 2023 |
|||||||
Assets |
||||||||
Cash |
$ | $ | ||||||
Segregated cash balances with brokers for foreign currency forward contracts |
||||||||
Unrealized appreciation on foreign currency forward contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Unrealized depreciation on foreign currency forward contracts |
||||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Euro with Goldman Sachs International |
$ | $ | ( |
) | ||||||||||||
Euro with UBS AG |
( |
) | ||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
Contracts to Sell |
||||||||||||||||
Euro with UBS AG |
( |
) | $ | ( |
) | $ | ( |
) | ||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
^ | The positions and counterparties herein are as of June 30, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
||||||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Foreign currency forward contracts |
( |
) | ( |
) | ||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Foreign currency forward contracts |
( |
) | ( |
) | ( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Net income (loss) |
$ | ( |
) | $ | $ | ( |
) | $ | ||||||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net investment income (loss) |
||||||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||||||
Net income (loss) |
( |
) | ( |
) | ||||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Six Months Ended June 30, |
||||||||
2024 |
2023 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | ( |
) | $ | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Change in unrealized (appreciation) depreciation on investments |
||||||||
Decrease (Increase) in interest receivable |
||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | ||||
Net cash provided by (used in) operating activities |
||||||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ||||
Net increase (decrease) in cash |
( |
) | ( |
) | ||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
June 30, 2024 (unaudited) |
December 31, 2023 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
||||||||
Unrealized appreciation on swap agreements |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
||||||||
Unrealized depreciation on swap agreements |
||||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | $ | ||||||
† |
||||||||
† |
||||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Gold Futures - COMEX, expires August 2024 |
$ | $ | ( |
) |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex |
% | $ | $ | ( |
) | |||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex |
( |
) | ||||||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex |
( |
) | ||||||||||||||
Total Unrealized Depreciation |
$ | ( |
) | |||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of June 30, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ |
* | Reflects the floating financing rate, as of June 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
||||||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
||||||||||||||||
Swap agreements |
||||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Net realized gain (loss) |
||||||||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Swap agreements |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized and unrealized gain (loss) |
( |
) | ||||||||||||||
Net income (loss) |
$ | $ | ( |
) | $ | $ | ||||||||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net investment income (loss) |
||||||||||||||||
Net realized gain (loss) |
||||||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net income (loss) |
( |
) | ||||||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Six Months Ended June 30, |
||||||||
2024 |
2023 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | $ | ||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
( |
) | ||||||
Change in unrealized (appreciation) depreciation on investments |
||||||||
Decrease (Increase) in receivable on open futures contracts |
( |
) | ( |
) | ||||
Decrease (Increase) in interest receivable |
||||||||
Increase (Decrease) in payable to Sponsor |
||||||||
Increase (Decrease) in payable on open futures contracts |
( |
) | ||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ||||
Net increase (decrease) in cash |
( |
) | ||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
June 30, 2024 (unaudited) |
December 31, 2023 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
||||||||
Receivable from capital shares sold |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
||||||||
Unrealized depreciation on swap agreements |
||||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | $ | ||||||
† |
||||||||
† |
||||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Futures Contracts Purchased |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Silver Futures - COMEX, expires September 2024 |
$ | $ | ( |
) |
Total Return Swap Agreements ^ |
||||||||||||||||
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex |
% | $ | $ | ( |
) | |||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex |
( |
) | ||||||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex |
( |
) | ||||||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex |
( |
) | ||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of June 30, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ |
* | Reflects the floating financing rate, as of June 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
||||||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
||||||||||||||||
Swap agreements |
||||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Net realized gain (loss) |
||||||||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Swap agreements |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||||||
Net income (loss) |
$ | $ | ( |
) | $ | $ | ( |
) | ||||||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of |
( |
) | ( |
) | ||||||||||||
Net investment income (loss) |
||||||||||||||||
Net realized gain (loss) |
||||||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net income (loss) |
( |
) | ( |
) | ||||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Six Months Ended June 30, |
||||||||
2024 |
2023 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | $ | ( |
) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
( |
) | ||||||
Change in unrealized (appreciation) depreciation on investments |
||||||||
Decrease (Increase) in receivable on open futures contracts |
( |
) | ( |
) | ||||
Decrease (Increase) in interest receivable |
( |
) | ||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||
Increase (Decrease) in payable on open futures contracts |
( |
) | ( |
) | ||||
Net cash provided by (used in) operating activities |
( |
) | ||||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
( |
) | ||||||
Net increase (decrease) in cash |
( |
) | ( |
) | ||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
June 30, 2024 (unaudited) |
December 31, 2023 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Brokerage commissions and futures account fees payable |
||||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding (Note 1) |
||||||||
Net asset value per share (Note 1) |
$ | $ | ||||||
Market value per share (Note 1) (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
$ | $ | |||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Futures Contracts Purchased |
||||||||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires July 2024 |
$ | $ | ( |
) | ||||||||
VIX Futures - Cboe, expires August 2024 |
( |
) | ||||||||||
$ | ( |
) | ||||||||||
^^ |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Futures account fees |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
||||||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ( |
) | ||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of |
( |
) | ||||||||||||||
Net investment income (loss) |
||||||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||||||
Net income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Six Months Ended June 30, |
||||||||
2024 |
2023 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
( |
) | ||||||
Change in unrealized (appreciation) depreciation on investments |
( |
) | ||||||
Decrease (Increase) in receivable on open futures contracts |
||||||||
Decrease (Increase) in interest receivable |
||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
( |
) | ( |
) | ||||
Increase (Decrease) in payable on open futures contracts |
||||||||
Net cash provided by (used in) operating activities |
( |
) | ( |
) | ||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
||||||||
Net increase (decrease) in cash |
( |
) | ( |
) | ||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
June 30, 2024 (unaudited) |
December 31, 2023 |
|||||||
Assets |
||||||||
Cash |
$ | $ | ||||||
Segregated cash balances with brokers for foreign currency forward contracts |
||||||||
Unrealized appreciation on foreign currency forward contracts |
||||||||
Receivable from capital shares sold |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
||||||||
Unrealized depreciation on foreign currency forward contracts |
||||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Yen with Goldman Sachs International |
$ | $ | ( |
) | ||||||||||||
Yen with UBS AG |
( |
) | ||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
Contracts to Sell |
||||||||||||||||
Yen with UBS AG |
( |
) | $ | ( |
) | $ | ||||||||||
Total Unrealized Appreciation |
|
$ | ||||||||||||||
^ | The positions and counterparties herein are as of June 30, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
||||||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Foreign currency forward contracts |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Foreign currency forward contracts |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ( |
) | ||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||||||
Net addition (redemption) of |
||||||||||||||||
Net investment income (loss) |
||||||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Six Months Ended June 30, |
||||||||
2024 |
2023 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Change in unrealized (appreciation) depreciation on investments |
||||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | ||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||
Net cash provided by (used in) operating activities |
( |
) | ( |
) | ||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
||||||||
Net increase (decrease) in cash |
||||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
June 30, 2024 (unaudited) |
December 31, 2023 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
||||||||
Payable on open futures contracts |
||||||||
Brokerage commissions and futures account fees payable |
||||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
$ | $ | |||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI Crude Oil - NYMEX, expires September 2024 |
$ | $ | ( |
) | ||||||||
WTI Crude Oil - NYMEX, expires December 2024 |
( |
) | ||||||||||
WTI Crude Oil - NYMEX, expires June 2025 |
( |
) | ||||||||||
$ | ( |
) | ||||||||||
^^ |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
||||||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||||||
Net income (loss) |
$ | $ | $ | ( |
) | $ | ||||||||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ||||||||||
Net investment income (loss) |
||||||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||||||
Net income (loss) |
( |
) | ||||||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Six Months Ended June 30, |
||||||||
2024 |
2023 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | ( |
) | $ | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
( |
) | ||||||
Change in unrealized (appreciation) depreciation on investments |
||||||||
Decrease (Increase) in receivable on open futures contracts |
( |
) | ||||||
Decrease (Increase) in interest receivable |
||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
( |
) | ( |
) | ||||
Increase (Decrease) in payable on open futures contracts |
( |
) | ||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
( |
) | ||||||
Net increase (decrease) in cash |
( |
) | ( |
) | ||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
June 30, 2024 (unaudited) |
December 31, 2023 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable from capital shares sold |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
||||||||
Payable on open futures contracts |
||||||||
Brokerage commissions and futures account fees payable |
||||||||
|
||||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding (Note 1) |
||||||||
|
|
|
|
|||||
Net asset value per share (Note 1) |
$ | $ | ||||||
|
|
|
|
|||||
Market value per share (Note 1) (Note 2) |
$ | $ | ||||||
|
|
|
|
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
|
$ | $ | ||||||
|
||||||||
|
|
|||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
|
|
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Natural Gas - NYMEX, expires September 2024 |
$ | $ |
^^ | |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Futures account fees |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
||||||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Net realized gain (loss) |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | $ | ||||||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of |
( |
) | ( |
) | ||||||||||||
Net investment income (loss) |
||||||||||||||||
Net realized gain (loss) |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||||||
Net income (loss) |
( |
) | ( |
) | ||||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Six Months Ended June 30, |
||||||||
2024 |
2023 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | $ | ||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
||||||||
Change in unrealized (appreciation) depreciation on investments |
||||||||
Decrease (Increase) in receivable on open futures contracts |
( |
) | ||||||
Decrease (Increase) in interest receivable |
||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
( |
) | ||||||
Increase (Decrease) in payable on open futures contracts |
||||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities |
( |
) | ||||||
|
|
|
|
|||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Net increase (decrease) in cash |
( |
) | ||||||
Cash, beginning of period |
||||||||
|
|
|
|
|||||
Cash, end of period |
$ | $ | ||||||
|
|
|
|
June 30, 2024 (unaudited) |
December 31, 2023 |
|||||||
Assets |
||||||||
Cash |
$ | $ | ||||||
Segregated cash balances with brokers for foreign currency forward contracts |
||||||||
Unrealized appreciation on foreign currency forward contracts |
||||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
|
||||||||
Unrealized depreciation on foreign currency forward contracts |
||||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding |
||||||||
|
|
|
|
|||||
Net asset value per share |
$ | $ | ||||||
|
|
|
|
|||||
Market value per share (Note 2) |
$ | $ | ||||||
|
|
|
|
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Euro with Goldman Sachs International |
$ | $ | ( |
) | ||||||||||||
Euro with UBS AG |
( |
) | ||||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
Contracts to Sell |
||||||||||||||||
Euro with Goldman Sachs International |
( |
) | $ | ( |
) | $ | ||||||||||
Euro with UBS AG |
( |
) | ( |
) | ||||||||||||
Total Unrealized Appreciation |
|
$ | ||||||||||||||
^ | The positions and counterparties herein are as of June 30, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
||||||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Foreign currency forward contracts |
( |
) | ( |
) | ( |
) | ||||||||||
Short-term U.S. government and agency obligations |
||||||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Foreign currency forward contracts |
( |
) | ||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||||||
Net income (loss) |
$ | $ | ( |
) | $ | $ | ( |
) | ||||||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net investment income (loss) |
||||||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||||||
Net income (loss) |
( |
) | ( |
) | ||||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Six Months Ended June 30, |
||||||||
2024 |
2023 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | $ | ( |
) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ||||||
Net realized (gain) loss on investments |
( |
) | ||||||
Change in unrealized (appreciation) depreciation on investments |
( |
) | ( |
) | ||||
Decrease (Increase) in interest receivable |
( |
) | ||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | ||||
Net cash provided by (used in) operating activities |
||||||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ||||
Net increase (decrease) in cash |
( |
) | ||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
June 30, 2024 (unaudited) |
December 31, 2023 |
|||||||
Assets |
||||||||
Cash |
$ | $ | ||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
||||||||
Unrealized appreciation on swap agreements |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
||||||||
Unrealized depreciation on swap agreements |
||||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Gold Futures - COMEX, expires August 2024 |
$ | $ |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex |
% | $ | ( |
) | $ | |||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex |
( |
) | ||||||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex |
( |
) | ||||||||||||||
Total Unrealized Appreciation |
|
$ | ||||||||||||||
^ | The positions and counterparties herein are as of June 30, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
* | Reflects the floating financing rate, as of June 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
||||||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Swap agreements |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
||||||||||||||||
Swap agreements |
||||||||||||||||
Change in net unrealized appreciation (depreciation) |
||||||||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Net income (loss) |
$ | ( |
) | $ | $ | ( |
) | $ | ( |
) | ||||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of |
( |
) | ||||||||||||||
Net investment income (loss) |
||||||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
||||||||||||||||
Net income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Six Months Ended June 30, |
||||||||
2024 |
2023 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Change in unrealized (appreciation) depreciation on investments |
( |
) | ( |
) | ||||
Decrease (Increase) in receivable on open futures contracts |
( |
) | ||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | ||||
Increase (Decrease) in payable to Sponsor |
||||||||
Increase (Decrease) in payable on open futures contracts |
||||||||
Net cash provided by (used in) operating activities |
( |
) | ( |
) | ||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
||||||||
Net increase (decrease) in cash |
||||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
June 30, 2024 (unaudited) |
December 31, 2023 |
|||||||
Assets |
||||||||
Cash |
$ | $ | ||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
||||||||
Unrealized appreciation on swap agreements |
||||||||
Receivable from capital shares sold |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
||||||||
Unrealized depreciation on swap agreements |
||||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Silver Futures - COMEX, expires September 2024 |
$ | $ |
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex |
% | $ | ( |
) | $ | |||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex |
( |
) | ||||||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex |
( |
) | ||||||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex |
( |
) | ||||||||||||||
|
|
|||||||||||||||
Total Unrealized Appreciation |
|
$ | ||||||||||||||
|
|
^ | The positions and counterparties herein are as of June 30, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
* | Reflects the floating financing rate, as of June 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss) |
||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||||||
Swap agreements |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ||||||||||||||
Swap agreements |
||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) |
||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss) |
$ | ( |
) | $ | $ | ( |
) | $ | ||||||||
|
|
|
|
|
|
|
|
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of |
( |
) | ( |
) | ||||||||||||
Net investment income (loss) |
||||||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
||||||||||||||||
Net income (loss) |
( |
) | ( |
) | ||||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Six Months Ended June 30, |
||||||||
2024 |
2023 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | ( |
) | $ | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
— | ( |
) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
— | |||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
— | ( |
) | |||||
Net realized (gain) loss on investments |
— | |||||||
Change in unrealized (appreciation) depreciation on investments |
( |
) | ( |
) | ||||
Decrease (Increase) in receivable on open futures contracts |
( |
) | ||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | ||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||
Increase (Decrease) in payable on open futures contracts |
||||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
( |
) | ||||||
Net increase (decrease) in cash |
( |
) | ||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
June 30, 2024 (unaudited) |
December 31, 2023 |
|||||||
Assets |
||||||||
Cash |
$ | $ | ||||||
Segregated cash balances with brokers for foreign currency forward contracts |
||||||||
Unrealized appreciation on foreign currency forward contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Unrealized depreciation on foreign currency forward contracts |
||||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Foreign Currency Forward Contracts ^ |
||||||||||||||||
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Yen with UBS AG |
$ | $ | ( |
) | ||||||||||||
Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
Contracts to Sell |
||||||||||||||||
Yen with Goldman Sachs International |
( |
) | $ | ( |
) | $ | ||||||||||
Yen with UBS AG |
( |
) | ( |
) | ||||||||||||
Total Unrealized Appreciation |
|
$ | ||||||||||||||
^ | The positions and counterparties herein are as of June 30, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
||||||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||
Short-term U.S. government and agency obligations |
||||||||||||||||
Net realized gain (loss) |
||||||||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) |
||||||||||||||||
Net realized and unrealized gain (loss) |
||||||||||||||||
Net income (loss) |
$ | $ | $ | $ | ||||||||||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of |
( |
) | ( |
) | ||||||||||||
Net investment income (loss) |
||||||||||||||||
Net realized gain (loss) |
||||||||||||||||
Change in net unrealized appreciation (depreciation) |
||||||||||||||||
Net income (loss) |
||||||||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Six Months Ended June 30, |
||||||||
2024 |
2023 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | $ | ||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ||||||
Net realized (gain) loss on investments |
( |
) | ||||||
Change in unrealized (appreciation) depreciation on investments |
( |
) | ( |
) | ||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | ||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||
Net cash provided by (used in) operating activities |
||||||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
( |
) | ||||||
Net increase (decrease) in cash |
||||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
June 30, 2024 (unaudited) |
December 31, 2023 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
||||||||
Brokerage commissions and futures account fees payable |
||||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
$ | $ | |||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires October 2024 |
$ | $ | ( |
) | ||||||||
VIX Futures - Cboe, expires November 2024 |
||||||||||||
VIX Futures - Cboe, expires December 2024 |
||||||||||||
VIX Futures - Cboe, expires January 2025 |
||||||||||||
$ | ||||||||||||
^^ |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Futures account fees |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
||||||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
||||||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ( |
) | ||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ||||||||||
Net investment income (loss) |
||||||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||||||
Net income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Six Months Ended June 30, |
||||||||
2024 |
2023 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
( |
) | ||||||
Change in unrealized (appreciation) depreciation on investments |
( |
) | ||||||
Decrease (Increase) in receivable on open futures contracts |
( |
) | ||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | ||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
||||||||
Increase (Decrease) in payable on open futures contracts |
||||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
( |
) | ||||||
Net increase (decrease) in cash |
||||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
June 30, 2024 (unaudited) |
December 31, 2023 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
||||||||
Brokerage commissions and futures account fees payable |
||||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
$ | $ | |||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires July 2024 |
$ | $ | ( |
) | ||||||||
VIX Futures - Cboe, expires August 2024 |
( |
) | ||||||||||
$ | ( |
) | ||||||||||
^^ |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Futures account fees |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
||||||||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ( |
) | ||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of |
||||||||||||||||
Net investment income (loss) |
||||||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||||||
Net income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Six Months Ended June 30, |
||||||||
2024 |
2023 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
( |
) | ||||||
Change in unrealized (appreciation) depreciation on investments |
( |
) | ||||||
Decrease (Increase) in receivable on open futures contracts |
||||||||
Decrease (Increase) in interest receivable |
||||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
( |
) | ( |
) | ||||
Increase (Decrease) in payable on open futures contracts |
( |
) | ||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities |
||||||||
|
|
|
|
|||||
Net increase (decrease) in cash |
( |
) | ||||||
Cash, beginning of period |
||||||||
|
|
|
|
|||||
Cash, end of period |
$ | $ | ||||||
|
|
|
|
June 30, 2024 (unaudited) |
December 31, 2023 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for foreign currency forward contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
||||||||
Unrealized appreciation on swap agreements |
||||||||
Unrealized appreciation on foreign currency forward contracts |
||||||||
Receivable from capital shares sold |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
|
|
|
|
|||||
Total assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
||||||||
Payable on open futures contracts |
||||||||
Brokerage commissions and futures account fees payable |
||||||||
|
||||||||
Unrealized depreciation on swap agreements |
||||||||
Unrealized depreciation on foreign currency forward contracts |
||||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Shares outstanding (Note 1) |
||||||||
|
|
|
|
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Futures account fees |
||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss) |
||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ||||||||||
Swap agreements |
( |
) | ( |
) | ||||||||||||
Foreign currency forward contracts |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||||||
Swap agreements |
( |
) | ( |
) | ( |
) | ||||||||||
Foreign currency forward contracts |
||||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss) |
$ | $ | ( |
) | $ | $ | ( |
) | ||||||||
|
|
|
|
|
|
|
|
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2024 |
2023 |
2024 |
2023 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss) |
||||||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net income (loss) |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
|
|
|
|
|
|
|
|
Six Months Ended June 30, |
||||||||
2024 |
2023 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | $ | ( |
) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
( |
) | ||||||
Change in unrealized (appreciation) depreciation on investments |
||||||||
Decrease (Increase) in receivable on futures contracts |
||||||||
Decrease (Increase) in interest receivable |
( |
) | ||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ( |
) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
( |
) | ||||||
Increase (Decrease) in payable on futures contracts |
||||||||
|
|
|
|
|||||
Net cash provided by (used in) operating activities |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Net cash provided by (used in) financing activities |
( |
) | ||||||
|
|
|
|
|||||
Net increase (decrease) in cash |
( |
) | ||||||
Cash, beginning of period |
||||||||
|
|
|
|
|||||
Cash, end of period |
$ | $ | ||||||
|
|
|
|
Fund |
Execution Date (Prior to Opening of Trading) |
Type of Split |
Date Trading Resumed at Post-Split Price | |||
ProShares VIX Short-Term Futures | ||||||
ProShares Ultra VIX Short-Term Futures | ||||||
ProShares Ultra Bloomberg Natural Gas | ||||||
ProShares Short VIX Short-Term Futures | ||||||
ProShares UltraShort Bloomberg Natural Gas | ||||||
ProShares Ultra VIX Short-Term Futures |
Fund |
Create/Redeem Cut-off* |
NAV Calculation Time |
NAV Calculation Date | |||
Ultra Silver and UltraShort Silver | ||||||
Ultra Gold and UltraShort Gold | ||||||
Ultra Bloomberg Crude Oil, | ||||||
Ultra Bloomberg Natural Gas, | ||||||
UltraShort Bloomberg Crude Oil and | ||||||
UltraShort Bloomberg Natural Gas | ||||||
Ultra Euro, | ||||||
Ultra Yen, | ||||||
UltraShort Euro and | ||||||
UltraShort Yen | ||||||
Short VIX Short-Term Futures ETF, | ||||||
Ultra VIX Short-Term Futures ETF, | ||||||
VIX Mid-Term Futures ETF and |
||||||
VIX Short-Term Futures ETF |
* | Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the six months ended June 30, 2024. |
Level I - Quoted Prices |
Level II - Other Significant Observable Inputs |
|||||||||||||||||||
Fund |
Short-Term U.S. Government and Agencies |
Futures Contracts * |
Foreign Currency Forward Contracts |
Swap Agreements |
Total |
|||||||||||||||
ProShares Short VIX Short-Term Futures ETF |
$ | $ | $ | — | $ | — | $ | |||||||||||||
ProShares Ultra Bloomberg Crude Oil |
— | |||||||||||||||||||
ProShares Ultra Bloomberg Natural Gas |
— | ( |
) | — | — | ( |
) | |||||||||||||
ProShares Ultra Euro |
— | — | ( |
) | — | ( |
) | |||||||||||||
ProShares Ultra Gold |
( |
) | — | ( |
) | |||||||||||||||
ProShares Ultra Silver |
( |
) | — | ( |
) | |||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
( |
) | — | — | ||||||||||||||||
ProShares Ultra Yen |
— | — | ( |
) | — | ( |
) | |||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
( |
) | — | — | ||||||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
— | — | ||||||||||||||||||
ProShares UltraShort Euro |
— | — | — | |||||||||||||||||
ProShares UltraShort Gold |
— | — | ||||||||||||||||||
ProShares UltraShort Silver |
— | — | ||||||||||||||||||
ProShares UltraShort Yen |
— | — | — | |||||||||||||||||
ProShares VIX Mid-Term Futures ETF |
— | — | ||||||||||||||||||
ProShares VIX Short-Term Futures ETF |
( |
) | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Combined Trust: |
$ |
$ |
( |
) |
$ |
$ |
$ |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Level I - Quoted Prices |
Level II - Other Significant Observable Inputs |
|||||||||||||||||||
Fund |
Short-Term U.S. Government and Agencies |
Futures Contracts * |
Foreign Currency Forward Contracts |
Swap Agreements |
Total |
|||||||||||||||
ProShares Short VIX Short-Term Futures ETF |
$ | $ | $ | — | $ | — | $ | |||||||||||||
ProShares Ultra Bloomberg Crude Oil |
( |
) | — | |||||||||||||||||
ProShares Ultra Bloomberg Natural Gas |
— | — | ||||||||||||||||||
ProShares Ultra Euro |
— | — | — | |||||||||||||||||
ProShares Ultra Gold |
— | |||||||||||||||||||
ProShares Ultra Silver |
— | ( |
) | |||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
— | ( |
) | — | — | ( |
) | |||||||||||||
ProShares Ultra Yen |
— | — | — | |||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
— | — | ||||||||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
— | ( |
) | — | — | ( |
) | |||||||||||||
ProShares UltraShort Euro |
— | — | ( |
) | — | ( |
) | |||||||||||||
ProShares UltraShort Gold |
— | ( |
) | — | ( |
) | ( |
) | ||||||||||||
ProShares UltraShort Silver |
— | — | ( |
) | ||||||||||||||||
ProShares UltraShort Yen |
— | — | ( |
) | — | ( |
) | |||||||||||||
ProShares VIX Mid-Term Futures ETF |
— | ( |
) | — | — | ( |
) | |||||||||||||
ProShares VIX Short-Term Futures ETF |
( |
) | — | — | ||||||||||||||||
Combined Trust: |
$ |
$ |
$ |
( |
) |
$ |
$ |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Fair Value of Derivative Instruments as of June 30, 2024 |
||||||||||||||||||||
Asset Derivatives |
Liability Derivatives |
|||||||||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Fund |
Statements of Financial Condition Location |
Unrealized Appreciation |
Statements of Financial Condition Location |
Unrealized Depreciation |
|||||||||||||||
VIX Futures Contracts |
|
Receivable on open futures contracts |
|
|
Payable on open futures contracts |
|
||||||||||||||
ProShares Short VIX Short-Term Futures ETF |
|
$ | * |
$ | — | |||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
|
— | * | |||||||||||||||||
ProShares VIX Mid-Term Futures ETF |
|
* |
* | |||||||||||||||||
ProShares VIX Short- Term Futures ETF |
— | * | ||||||||||||||||||
Commodities Contracts |
|
Receivables on open futures contracts and/or unrealized appreciation on swap agreements |
|
|
Payable on open futures contracts and/or unrealized depreciation on swap agreements |
|
||||||||||||||
ProShares Ultra Bloomberg Crude Oil |
|
* |
— | |||||||||||||||||
ProShares Ultra Bloomberg Natural Gas |
|
— | * | |||||||||||||||||
ProShares Ultra Gold | — | * | ||||||||||||||||||
ProShares Ultra Silver | — | * | ||||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
|
— | * | |||||||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
|
* |
— | |||||||||||||||||
ProShares UltraShort Gold |
|
* |
— | |||||||||||||||||
ProShares UltraShort Silver |
|
* |
— | |||||||||||||||||
Foreign Exchange Contracts |
|
Unrealized appreciation on foreign currency forward contracts |
|
|
Unrealized depreciation on foreign currency forward contracts |
|
||||||||||||||
ProShares Ultra Euro | — | |||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||
ProShares UltraShort Euro |
|
|||||||||||||||||||
ProShares UltraShort Yen |
|
|||||||||||||||||||
|
|
|
|
|||||||||||||||||
Combined Trust: |
$ |
* |
$ |
* |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Fair Value of Derivative Instruments as of December 31, 2023 |
||||||||||||||||||||
Asset Derivatives |
Liability Derivatives |
|||||||||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Fund |
Statements of Financial Condition Location |
Unrealized Appreciation |
Statements of Financial Condition Location |
Unrealized Depreciation |
|||||||||||||||
VIX Futures Contracts |
|
Receivable on open futures contracts |
|
|
Payable on open futures contracts |
|
||||||||||||||
ProShares Short VIX Short-Term Futures ETF |
|
$ | * |
$ | — | |||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
|
— | * | |||||||||||||||||
ProShares VIX Mid-Term Futures ETF |
|
— | * | |||||||||||||||||
ProShares VIX Short- Term Futures ETF |
— | * | ||||||||||||||||||
Commodities Contracts |
|
Receivables on open futures contracts and/or unrealized appreciation on swap agreements |
|
|
Payable on open futures contracts and/or unrealized depreciation on swap agreements |
|
||||||||||||||
ProShares Ultra Bloomberg Crude Oil |
|
* |
* | |||||||||||||||||
ProShares Ultra Bloomberg Natural Gas |
|
* |
— | |||||||||||||||||
ProShares Ultra Gold | * |
— | ||||||||||||||||||
ProShares Ultra Silver | * |
* | ||||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
|
* |
— | |||||||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
|
— | * | |||||||||||||||||
ProShares UltraShort Gold |
|
— | * | |||||||||||||||||
ProShares UltraShort Silver |
|
* |
* | |||||||||||||||||
Foreign Exchange Contracts |
|
Unrealized appreciation on foreign currency forward contracts |
|
|
Unrealized depreciation on foreign currency forward contracts |
|
||||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||
ProShares UltraShort Euro |
|
|||||||||||||||||||
ProShares UltraShort Yen |
|
|||||||||||||||||||
|
|
|
|
|||||||||||||||||
Combined Trust: |
$ |
* |
$ |
* |
* |
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
The Effect of Derivative Instruments on the Statement of Operations For the three months ended June 30, 2024 |
||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Location of Gain (Loss) on Derivatives Recognized in Income |
Fund |
Realized Gain (Loss) on Derivatives Recognized in Income |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||
VIX Futures Contracts |
Net realized gain (loss) on futures contracts changes in unrealized appreciation (depreciation) on futures contracts |
|||||||||||
ProShares Short VIX Short-Term Futures ETF |
$ | $ | ( |
) | ||||||||
ProShares Ultra VIX Short-Term Futures ETF |
( |
) | ||||||||||
ProShares VIX Mid-Term Futures ETF |
( |
) | ||||||||||
ProShares VIX Short-Term Futures ETF |
( |
) | ||||||||||
Commodities Contracts |
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements |
|||||||||||
ProShares Ultra Bloomberg Crude Oil |
( |
) | ||||||||||
ProShares Ultra Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares Ultra Gold |
( |
) | ||||||||||
ProShares Ultra Silver |
( |
) | ||||||||||
ProShares UltraShort Bloomberg Crude Oil |
( |
) | ( |
) | ||||||||
ProShares UltraShort Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares UltraShort Gold |
( |
) | ||||||||||
ProShares UltraShort Silver |
( |
) | ||||||||||
Foreign Exchange Contracts |
Net realized gain (loss) on foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on foreign currency forward contracts |
|||||||||||
ProShares Ultra Euro |
( |
) | ||||||||||
ProShares Ultra Yen |
( |
) | ( |
) | ||||||||
ProShares UltraShort Euro |
( |
) | ||||||||||
ProShares UltraShort Yen |
||||||||||||
Combined Trust |
$ |
$ |
( |
) |
The Effect of Derivative Instruments on the Statement of Operations For the six months ended June 30, 2024 |
||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Location of Gain (Loss) on Derivatives Recognized in Income |
Fund |
Realized Gain (Loss) on Derivatives Recognized in Income |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||
VIX Futures Contracts |
Net realized gain (loss) on futures contracts changes in unrealized appreciation (depreciation) on futures contracts |
|||||||||||
ProShares Short VIX Short-Term Futures ETF |
$ | $ | ( |
) | ||||||||
ProShares Ultra VIX Short-Term Futures ETF |
( |
) | ||||||||||
ProShares VIX Mid-Term Futures ETF |
( |
) | ||||||||||
ProShares VIX Short-Term Futures ETF |
( |
) | ||||||||||
Commodities Contracts |
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements |
|||||||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||||||
ProShares Ultra Bloomberg Natural Gas |
( |
) | ( |
) | ||||||||
ProShares Ultra Gold |
( |
) | ||||||||||
ProShares Ultra Silver |
( |
) | ||||||||||
ProShares UltraShort Bloomberg Crude Oil |
( |
) | ( |
) | ||||||||
ProShares UltraShort Bloomberg Natural Gas |
||||||||||||
ProShares UltraShort Gold |
( |
) | ||||||||||
ProShares UltraShort Silver |
( |
) | ||||||||||
Foreign Exchange Contracts |
Net realized gain (loss) on foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on foreign currency forward contracts |
|||||||||||
ProShares Ultra Euro |
( |
) | ( |
) | ||||||||
ProShares Ultra Yen |
( |
) | ( |
) | ||||||||
ProShares UltraShort Euro |
( |
) | ||||||||||
ProShares UltraShort Yen |
||||||||||||
Combined Trust: |
$ |
$ |
( |
) |
The Effect of Derivative Instruments on the Statement of Operations For the three months ended June 30, 2023 |
||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Location of Gain (Loss) on Derivatives Recognized in Income |
Fund |
Realized Gain (Loss) on Derivatives Recognized in Income |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||
VIX Futures Contracts |
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements |
|||||||||||
ProShares Short VIX Short-Term Futures ETF |
$ | $ | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
( |
) | ( |
) | ||||||||
ProShares VIX Mid-Term Futures ETF |
( |
) | ( |
) | ||||||||
ProShares VIX Short-Term Futures ETF |
( |
) | ( |
) | ||||||||
Commodities Contracts |
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements |
|||||||||||
ProShares Ultra Bloomberg Crude Oil |
( |
) | ||||||||||
ProShares Ultra Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares Ultra Gold |
( |
) | ||||||||||
ProShares Ultra Silver |
( |
) | ||||||||||
ProShares UltraShort Bloomberg Crude Oil |
( |
) | ||||||||||
ProShares UltraShort Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares UltraShort Gold |
( |
) | ||||||||||
ProShares UltraShort Silver |
||||||||||||
Foreign Exchange Contracts |
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts |
|||||||||||
ProShares Ultra Euro |
( |
) | ||||||||||
ProShares Ultra Yen |
( |
) | ( |
) | ||||||||
ProShares UltraShort Euro |
( |
) | ||||||||||
ProShares UltraShort Yen |
||||||||||||
Combined Trust |
$ |
( |
) |
$ |
The Effect of Derivative Instruments on the Statement of Operations For the six months ended June 30, 2023 |
||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Location of Gain (Loss) on Derivatives Recognized in Income |
Fund |
Realized Gain (Loss) on Derivatives Recognized in Income |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||||||
VIX Futures Contracts |
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements |
|||||||||||
ProShares Short VIX Short-Term Futures ETF |
$ | $ | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
( |
) | ( |
) | ||||||||
ProShares VIX Mid-Term Futures ETF |
( |
) | ( |
) | ||||||||
ProShares VIX Short-Term Futures ETF |
( |
) | ( |
) | ||||||||
Commodities Contracts |
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements |
|||||||||||
ProShares Ultra Bloomberg Crude Oil |
( |
) | ||||||||||
ProShares Ultra Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares Ultra Gold |
( |
) | ||||||||||
ProShares Ultra Silver |
( |
) | ||||||||||
ProShares UltraShort Bloomberg Crude Oil |
||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
( |
) | ||||||||||
ProShares UltraShort Gold |
( |
) | ||||||||||
ProShares UltraShort Silver |
||||||||||||
Foreign Exchange Contracts |
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts |
|||||||||||
ProShares Ultra Euro |
( |
) | ||||||||||
ProShares Ultra Yen |
( |
) | ( |
) | ||||||||
ProShares UltraShort Euro |
( |
) | ||||||||||
ProShares UltraShort Yen |
||||||||||||
Combined Trust: |
$ |
( |
) |
$ |
Fair Values of Derivative Instruments as of June 30, 2024 |
||||||||||||||||||||||||
Assets |
Liabilities |
|||||||||||||||||||||||
Fund |
Gross Amounts of Recognized Assets presented in the Statements of Financial Condition |
Gross Amounts Offset in the Statements of Financial Condition |
Net Amounts of Assets presented in the Statements of Financial Condition |
Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition |
Gross Amounts Offset in the Statements of Financial Condition |
Net Amounts of Liabilities presented in the Statements of Financial Condition |
||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||||||||||||||||||
Swap agreements |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
ProShares Ultra Euro |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares Ultra Gold |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares Ultra Silver |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares Ultra Yen |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares UltraShort Euro |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares UltraShort Gold |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares UltraShort Silver |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares UltraShort Yen |
||||||||||||||||||||||||
Foreign currency forward contracts |
Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2024 |
||||||||||||||||
Fund |
Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition |
Financial Instruments for the Benefit of (the Funds) / the Counterparties |
Cash Collateral for the Benefit of (the Funds) / the Counterparties |
Net Amount |
||||||||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||||||||||
Citibank, N.A. |
$ | $ | ( |
) | $ | $ | ||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
Morgan Stanley & Co. International PLC |
( |
) | ||||||||||||||
Societe Generale |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares Ultra Euro |
||||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares Ultra Gold |
||||||||||||||||
Citibank, N.A. |
( |
) | ||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares Ultra Silver |
||||||||||||||||
Citibank, N.A. |
( |
) | ||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
Morgan Stanley & Co. International PLC |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares Ultra Yen |
||||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares UltraShort Euro |
||||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares UltraShort Gold |
||||||||||||||||
Citibank, N.A. |
||||||||||||||||
Goldman Sachs International |
||||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares UltraShort Silver |
||||||||||||||||
Citibank, N.A. |
( |
) | ||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
Morgan Stanley & Co. International PLC |
||||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares UltraShort Yen |
||||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) |
Fair Values of Derivative Instruments as of December 31, 2023 |
||||||||||||||||||||||||
Assets |
Liabilities |
|||||||||||||||||||||||
Fund |
Gross Amounts of Recognized Assets presented in the Statements of Financial Condition |
Gross Amounts Offset in the Statements of Financial Condition |
Net Amounts of Assets presented in the Statements of Financial Condition |
Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition |
Gross Amounts Offset in the Statements of Financial Condition |
Net Amounts of Liabilities presented in the Statements of Financial Condition |
||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||||||||||||||||||
Swap agreements |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
ProShares Ultra Euro |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares Ultra Gold |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares Ultra Silver |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares Ultra Yen |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares UltraShort Euro |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares UltraShort Gold |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares UltraShort Silver |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares UltraShort Yen |
||||||||||||||||||||||||
Foreign currency forward contracts |
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2023 |
||||||||||||||||
Fund |
Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition |
Financial Instruments for the Benefit of (the Funds) / the Counterparties |
Cash Collateral for the Benefit of (the Funds) / the Counterparties |
Net Amount |
||||||||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||||||||||
Citibank, N.A. |
$ | $ | ( |
) | $ | $ | ||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
Morgan Stanley & Co. International PLC |
( |
) | ||||||||||||||
Societe Generale |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares Ultra Euro |
||||||||||||||||
Goldman Sachs International |
||||||||||||||||
UBS AG |
||||||||||||||||
ProShares Ultra Gold |
||||||||||||||||
Citibank, N.A. |
( |
) | ||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares Ultra Silver |
||||||||||||||||
Citibank, N.A. |
( |
) | ||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
Morgan Stanley & Co. International PLC |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares Ultra Yen |
||||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares UltraShort Euro |
||||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares UltraShort Gold |
||||||||||||||||
Citibank, N.A. |
( |
) | ||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares UltraShort Silver |
||||||||||||||||
Citibank, N.A. |
||||||||||||||||
Goldman Sachs International |
||||||||||||||||
Morgan Stanley & Co. International PLC |
||||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares UltraShort Yen |
||||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) |
Three Months Ended |
Six Months Ended |
|||||||
Fund |
June 30, 2024 |
June 30, 2024 |
||||||
ProShares Short VIX Short-Term Futures ETF |
$ | $ | ||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||
ProShares Ultra Bloomberg Natural Gas |
||||||||
ProShares Ultra Euro |
||||||||
ProShares Ultra Gold |
||||||||
ProShares Ultra Silver |
||||||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||
ProShares Ultra Yen |
||||||||
ProShares UltraShort Bloomberg Crude Oil |
||||||||
ProShares UltraShort Bloomberg Natural Gas |
||||||||
ProShares UltraShort Euro |
||||||||
ProShares UltraShort Gold |
||||||||
ProShares UltraShort Silver |
||||||||
ProShares UltraShort Yen |
||||||||
ProShares VIX Mid-Term Futures ETF |
||||||||
ProShares VIX Short-Term Futures ETF |
||||||||
|
|
|
|
|||||
Combined Trust: |
$ | $ |
Per Share Operating Performance |
Short VIX Short-Term Futures ETF * |
Ultra Bloomberg Crude Oil |
Ultra Bloomberg Natural Gas |
Ultra Euro |
Ultra Gold |
Ultra Silver |
||||||||||||||||||
Net asset value, at March 31, 2024 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
||||||||||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ||||||||||||||||||||||
Change in net asset value from operations |
( |
) | ||||||||||||||||||||||
Net asset value, at June 30, 2024 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at March 31, 2024 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at June 30, 2024 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
% | % | % | ( |
)% | % | % | |||||||||||||||||
Total Return, at market value^ |
% | % | % | ( |
)% | % | % | |||||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
% | % | % | % | % | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended June 30, 2024. |
^^ | The expense ratio would be non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance |
Ultra VIX Short-Term Futures ETF * |
Ultra Yen |
UltraShort Bloomberg Crude Oil |
UltraShort Bloomberg Natural Gas * |
UltraShort Euro |
UltraShort Gold |
||||||||||||||||||
Net asset value, at March 31, 2024 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
||||||||||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||
Net asset value, at June 30, 2024 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at March 31, 2024 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at June 30, 2024 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
( |
)% | ( |
)% | ( |
)% | ( |
)% | % | ( |
)% | |||||||||||||
Total Return, at market value^ |
( |
)% | ( |
)% | ( |
)% | ( |
)% | % | ( |
)% | |||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
% | % | % | % | % | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended June 30, 2024. |
^^ | The expense ratio would be |
Per Share Operating Performance |
UltraShort Silver |
UltraShort Yen |
VIX Mid-Term Futures ETF |
VIX Short- Term Futures ETF |
||||||||||||
Net asset value, at March 31, 2024 |
$ | $ | $ | $ | ||||||||||||
Net investment income (loss) |
||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ||||||||||
Net asset value, at June 30, 2024 |
$ | $ | $ | $ | ||||||||||||
Market value per share, at March 31, 2024 † |
$ | $ | $ | $ | ||||||||||||
Market value per share, at June 30, 2024 † |
$ | $ | $ | $ | ||||||||||||
Total Return, at net asset value^ |
( |
)% | % | ( |
)% | ( |
)% | |||||||||
Total Return, at market value^ |
( |
)% | % | ( |
)% | ( |
)% | |||||||||
Ratios to Average Net Assets** |
||||||||||||||||
Expense ratio^^ |
% | % | % | % | ||||||||||||
Net investment income gain (loss) |
% | % | % | % |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended June 30, 2024. |
^^ | The expense ratio would be non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance |
Short VIX Short-Term Futures ETF * |
Ultra Bloomberg Crude Oil |
Ultra Bloomberg Natural Gas * |
Ultra Euro |
Ultra Gold |
Ultra Silver |
||||||||||||||||||
Net asset value, at March 31, 2023 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
||||||||||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net asset value, at June 30, 2023 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at March 31, 2023 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at June 30, 2023 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
% | ( |
)% | ( |
)% | % | ( |
)% | ( |
)% | ||||||||||||||
Total Return, at market value^ |
% | ( |
)% | ( |
)% | % | ( |
)% | ( |
)% | ||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
% | % | % | % | % | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended June 30, 2023. |
^^ | The expense ratio would be |
Per Share Operating Performance |
Ultra VIX Short-Term Futures ETF * |
Ultra Yen |
UltraShort Bloomberg Crude Oil |
UltraShort Bloomberg Natural Gas * |
UltraShort Euro |
UltraShort Gold |
||||||||||||||||||
Net asset value, at March 31, 2023 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
||||||||||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ||||||||||||||||||
Net asset value, at June 30, 2023 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at March 31, 2023 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at June 30, 2023 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
( |
)% | ( |
)% | % | ( |
)% | % | % | |||||||||||||||
Total Return, at market value^ |
( |
)% | ( |
)% | % | ( |
)% | % | % | |||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
% | % | % | % | % | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended June 30, 2023. |
^^ | The expense ratio would be |
Per Share Operating Performance |
UltraShort Silver |
UltraShort Yen |
VIX Mid-Term Futures ETF |
VIX Short- Term Futures ETF * |
||||||||||||
Net asset value, at March 31, 2023 |
$ | $ | $ | $ | ||||||||||||
Net investment income (loss) |
||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ||||||||||||
Net asset value, at June 30, 2023 |
$ | $ | $ | $ | ||||||||||||
Market value per share, at March 31, 2023 † |
$ | $ | $ | $ | ||||||||||||
Market value per share, at June 30, 2023 † |
$ | $ | $ | $ | ||||||||||||
Total Return, at net asset value^ |
% | % | ( |
)% | ( |
)% | ||||||||||
Total Return, at market value^ |
% | % | ( |
)% | ( |
)% | ||||||||||
Ratios to Average Net Assets** |
||||||||||||||||
Expense ratio^^ |
% | % | % | % | ||||||||||||
Net investment income gain (loss) |
% | % | % | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended June 30, 2023. |
^^ | The expense ratio would be |
Per Share Operating Performance |
Short VIX Short-Term Futures ETF * |
Ultra Bloomberg Crude Oil |
Ultra Bloomberg Natural Gas |
Ultra Euro |
Ultra Gold |
Ultra Silver |
||||||||||||||||||
Net asset value, at December 31, 2023 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
||||||||||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ||||||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ||||||||||||||||||||
Net asset value, at June 30, 2024 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2023 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at June 30, 2024 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
% | % | ( |
)% | ( |
)% | % | % | ||||||||||||||||
Total Return, at market value^ |
% | % | ( |
)% | ( |
)% | % | % | ||||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
% | % | % | % | % | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended June 30, 2024. |
^^ | The expense ratio would be non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance |
Ultra VIX Short-Term Futures ETF * |
Ultra Yen |
UltraShort Bloomberg Crude Oil |
UltraShort Bloomberg Natural Gas * |
UltraShort Euro |
UltraShort Gold |
||||||||||||||||||
Net asset value, at December 31, 2023 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
||||||||||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net asset value, at June 30, 2024 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2023 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at June 30, 2024 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
( |
)% | ( |
)% | ( |
)% | % | % | ( |
)% | ||||||||||||||
Total Return, at market value^ |
( |
)% | ( |
)% | ( |
)% | % | % | ( |
)% | ||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
% | % | % | % | % | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended June 30, 2024. |
^^ | The expense ratio would be |
Per Share Operating Performance |
UltraShort Silver |
UltraShort Yen |
VIX Mid-Term Futures ETF |
VIX Short- Term Futures ETF |
||||||||||||
Net asset value, at December 31, 2023 |
$ | $ | $ | $ | ||||||||||||
Net investment income (loss) |
||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ||||||||||
Net asset value, at June 30, 2024 |
$ | $ | $ | $ | ||||||||||||
Market value per share, at December 31, 2023 † |
$ | $ | $ | $ | ||||||||||||
Market value per share, at June 30, 2024 † |
$ | $ | $ | $ | ||||||||||||
Total Return, at net asset value^ |
( |
)% | % | ( |
)% | ( |
)% | |||||||||
Total Return, at market value^ |
( |
)% | % | ( |
)% | ( |
)% | |||||||||
Ratios to Average Net Assets** |
||||||||||||||||
Expense ratio^^ |
% | % | % | % | ||||||||||||
Net investment income gain (loss) |
% | % | % | % |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended June 30, 2024. |
^^ | The expense ratio would be non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance |
Short VIX Short-Term Futures ETF * |
Ultra Bloomberg Crude Oil |
Ultra Bloomberg Natural Gas * |
Ultra Euro |
Ultra Gold |
Ultra Silver |
||||||||||||||||||
Net asset value, at December 31, 2022 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
||||||||||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ||||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ||||||||||||||||||
Net asset value, at June 30, 2023 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2022 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at June 30, 2023 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
% | ( |
)% | ( |
)% | % | % | ( |
)% | |||||||||||||||
Total Return, at market value^ |
% | ( |
)% | ( |
)% | % | % | ( |
)% | |||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
% | % | % | % | % | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended June 30, 2023. |
^^ | The expense ratio would be non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance |
Ultra VIX Short-Term Futures ETF * |
Ultra Yen |
UltraShort Bloomberg Crude Oil |
UltraShort Bloomberg Natural Gas * |
UltraShort Euro |
UltraShort Gold |
||||||||||||||||||
Net asset value, at December 31, 2022 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
||||||||||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net asset value, at June 30, 2023 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2022 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at June 30, 2023 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
( |
)% | ( |
)% | % | % | ( |
)% | ( |
)% | ||||||||||||||
Total Return, at market value^ |
( |
)% | ( |
)% | % | % | ( |
)% | ( |
)% | ||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
% | % | % | % | % | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended June 30, 2023. |
^^ | The expense ratio would be non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance |
UltraShort Silver |
UltraShort Yen |
VIX Mid-Term Futures ETF |
VIX Short- Term Futures ETF * |
||||||||||||
Net asset value, at December 31, 2022 |
$ | $ | $ | $ | ||||||||||||
Net investment income (loss) |
||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ||||||||||||
Net asset value, at June 30, 2023 |
$ | $ | $ | $ | ||||||||||||
Market value per share, at December 31, 2022 † |
$ | $ | $ | $ | ||||||||||||
Market value per share, at June 30, 2023 † |
$ | $ | $ | $ | ||||||||||||
Total Return, at net asset value^ |
% | % | ( |
)% | ( |
)% | ||||||||||
Total Return, at market value^ |
% | % | ( |
)% | ( |
)% | ||||||||||
Ratios to Average Net Assets** |
||||||||||||||||
Expense ratio^^ |
% | % | % | % | ||||||||||||
Net investment income gain (loss) |
% | % | % | % |
* | See Note 1 of these Notes to Financial Statements. |
** | Percentages are annualized. |
# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
† | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
^ | Percentages are not annualized for the period ended June 30, 2023. |
^^ | The expense ratio would be non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
• | Your return may be higher or lower than the Daily Target, and this difference may be significant. |
• | Factors that contribute to returns that are worse than the Daily Target include smaller Benchmark gains or losses and higher Benchmark volatility, as well as longer holding periods when these factors apply. |
• | Factors that contribute to returns that are better than the Daily Target include larger Benchmark gains or losses and lower Benchmark volatility, as well as longer holding periods when these factors apply. |
• | The more extreme these factors are, and the more they occur together, the more your return will tend to deviate from the Daily Target. |
Fund |
Interest Income Three Months Ended June 30, 2024 |
Interest Income Three Months Ended June 30, 2023 |
Interest Income Six Months Ended June 30, 2024 |
Interest Income Six Months Ended June 30, 2023 |
||||||||||||
ProShares Short VIX Short-Term Futures ETF |
$ | 3,457,223 | $ | 2,437,210 | $ | 6,766,508 | $ | 4,546,332 | ||||||||
ProShares Ultra Bloomberg Crude Oil |
6,506,199 | 5,878,092 | 11,516,649 | 11,886,000 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas |
6,418,687 | 8,866,705 | 12,870,827 | 17,825,228 | ||||||||||||
ProShares Ultra Euro |
70,817 | 88,182 | 149,303 | 185,419 | ||||||||||||
ProShares Ultra Gold |
2,819,359 | 1,983,196 | 4,833,274 | 3,632,210 | ||||||||||||
ProShares Ultra Silver |
6,245,723 | 3,701,182 | 9,880,580 | 7,075,578 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
2,335,823 | 4,750,595 | 5,094,065 | 9,167,250 | ||||||||||||
ProShares Ultra Yen |
483,557 | 114,980 | 853,811 | 235,098 | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
2,290,280 | 1,560,028 | 4,533,047 | 3,563,237 | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
1,577,496 | 1,344,889 | 2,924,574 | 2,531,641 | ||||||||||||
ProShares UltraShort Euro |
429,872 | 593,746 | 888,189 | 1,240,866 | ||||||||||||
ProShares UltraShort Gold |
176,727 | 184,052 | 319,930 | 316,614 | ||||||||||||
ProShares UltraShort Silver |
597,421 | 323,734 | 978,854 | 523,812 | ||||||||||||
ProShares UltraShort Yen |
456,243 | 255,354 | 771,660 | 459,554 | ||||||||||||
ProShares VIX Mid-Term Futures ETF |
1,106,849 | 650,585 | 1,622,013 | 1,298,505 | ||||||||||||
ProShares VIX Short-Term Futures ETF |
1,619,921 | 2,440,291 | 3,378,183 | 4,560,852 |
• | executing and clearing trades with creditworthy counterparties, as determined by the Sponsor; |
• | limiting the outstanding amounts due from counterparties to the Funds; |
• | not posting margin directly with a counterparty; |
• | requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds; |
• | limiting the amount of margin or premium posted at a FCM; and |
• | ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for. |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 313,978,799 | $ | 295,340,393 | ||||
NAV end of period |
$ | 298,712,515 | $ | 282,353,267 | ||||
Percentage change in NAV |
(4.9 | )% | (4.4 | )% | ||||
Shares outstanding beginning of period |
5,568,614 | 9,268,614 | ||||||
Shares outstanding end of period |
4,868,614 | 6,668,614 | ||||||
Percentage change in shares outstanding |
(12.6 | )% | (28.1 | )% | ||||
Shares created |
350,000 | 1,100,000 | ||||||
Shares redeemed |
1,050,000 | 3,700,000 | ||||||
Per share NAV beginning of period |
$ | 56.38 | $ | 31.86 | ||||
Per share NAV end of period |
$ | 61.35 | $ | 42.34 | ||||
Percentage change in per share NAV |
8.8 | % | 32.9 | % | ||||
Percentage change in benchmark |
(15.8 | )% | (44.4 | )% | ||||
Benchmark annualized volatility |
41.2 | % | 45.8 | % |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 2,584,261 | $ | 1,696,752 | ||||
Management fee |
702,645 | 617,036 | ||||||
Brokerage commission |
170,317 | 123,422 | ||||||
Net realized gain (loss) |
26,761,918 | 65,202,331 | ||||||
Change in net unrealized appreciation (depreciation) |
(4,167,221 | ) | 9,673,101 | |||||
Net Income (loss) |
$ | 25,178,958 | $ | 76,572,184 |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares Short VIX Short-Term Futures. |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 597,176,895 | $ | 811,668,456 | ||||
NAV end of period |
$ | 527,486,095 | $ | 738,194,368 | ||||
Percentage change in NAV |
(11.7 | )% | (9.1 | )% | ||||
Shares outstanding beginning of period |
17,993,096 | 30,593,096 | ||||||
Shares outstanding end of period |
15,743,096 | 31,093,096 | ||||||
Percentage change in shares outstanding |
(12.5 | )% | 1.6 | % | ||||
Shares created |
5,050,000 | 15,550,000 | ||||||
Shares redeemed |
7,300,000 | 15,050,000 | ||||||
Per share NAV beginning of period |
$ | 33.19 | $ | 26.53 | ||||
Per share NAV end of period |
$ | 33.51 | $ | 23.74 | ||||
Percentage change in per share NAV |
1.0 | % | (10.5 | )% | ||||
Percentage change in benchmark |
0.5 | % | (4.4 | )% | ||||
Benchmark annualized volatility |
17.4 | % | 32.8 | % |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 5,118,436 | $ | 4,038,791 | ||||
Management fee |
1,344,787 | 1,744,998 | ||||||
Brokerage commission |
42,976 | 94,303 | ||||||
Net realized gain (loss) |
6,957,617 | (76,414,795 | ) | |||||
Change in net unrealized appreciation (depreciation) |
(738,826 | ) | 45,539,157 | |||||
Net Income (loss) |
$ | 11,337,227 | $ | (26,836,847 | ) |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 580,741,377 | $ | 1,139,983,773 | ||||
NAV end of period |
$ | 540,643,821 | $ | 1,141,021,278 | ||||
Percentage change in NAV |
(6.9 | )% | 0.1 | % | ||||
Shares outstanding beginning of period |
44,218,544 | 15,454,376 | ||||||
Shares outstanding end of period |
34,668,544 | 16,421,876 | ||||||
Percentage change in shares outstanding |
(21.6 | )% | 6.3 | % | ||||
Shares created |
24,350,000 | 13,792,500 | ||||||
Shares redeemed |
33,900,000 | 12,825,000 | ||||||
Per share NAV beginning of period |
$ | 13.13 | $ | 73.76 | ||||
Per share NAV end of period |
$ | 15.59 | $ | 69.48 | ||||
Percentage change in per share NAV |
18.7 | % | (5.8 | )% | ||||
Percentage change in benchmark |
13.9 | % | 2.2 | % | ||||
Benchmark annualized volatility |
53.0 | % | 57.7 | % |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 4,256,254 | $ | 4,920,978 | ||||
Management fee |
1,323,880 | 2,588,571 | ||||||
Brokerage commission |
785,377 | 1,145,371 | ||||||
Futures account fees |
53,176 | 211,785 | ||||||
Net realized gain (loss) |
211,772,181 | (616,886,915 | ) | |||||
Change in net unrealized appreciation (depreciation) |
(60,263,391 | ) | 658,057,024 | |||||
Net Income (loss) |
$ | 155,765,044 | $ | 46,091,087 |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas. |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 6,804,048 | $ | 8,616,433 | ||||
NAV end of period |
$ | 5,595,533 | $ | 7,535,435 | ||||
Percentage change in NAV |
(17.8 | )% | (12.5 | )% | ||||
Shares outstanding beginning of period |
600,000 | 750,000 | ||||||
Shares outstanding end of period |
500,000 | 650,000 | ||||||
Percentage change in shares outstanding |
(16.7 | )% | (13.3 | )% | ||||
Shares created |
— | — | ||||||
Shares redeemed |
100,000 | 100,000 | ||||||
Per share NAV beginning of period |
$ | 11.34 | $ | 11.49 | ||||
Per share NAV end of period |
$ | 11.19 | $ | 11.59 | ||||
Percentage change in per share NAV |
(1.3 | )% | 0.9 | % | ||||
Percentage change in benchmark |
(0.7 | )% | 0.6 | % | ||||
Benchmark annualized volatility |
5.5 | % | 6.8 | % |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 56,873 | $ | 68,331 | ||||
Management fee |
13,944 | 19,851 | ||||||
Net realized gain (loss) |
(219,350 | ) | 78,291 | |||||
Change in net unrealized appreciation (depreciation) |
62,167 | (79,023 | ) | |||||
Net Income (loss) |
$ | (100,310 | ) | $ | 67,599 |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 215,970,841 | $ | 201,161,529 | ||||
NAV end of period |
$ | 216,456,025 | $ | 180,916,531 | ||||
Percentage change in NAV |
0.2 | % | (10.1 | )% | ||||
Shares outstanding beginning of period |
3,000,000 | 3,200,000 | ||||||
Shares outstanding end of period |
2,800,000 | 3,100,000 | ||||||
Percentage change in shares outstanding |
(6.7 | )% | (3.1 | )% | ||||
Shares created |
350,000 | 50,000 | ||||||
Shares redeemed |
550,000 | 150,000 | ||||||
Per share NAV beginning of period |
$ | 71.99 | $ | 62.86 | ||||
Per share NAV end of period |
$ | 77.31 | $ | 58.36 | ||||
Percentage change in per share NAV |
7.4 | % | (7.2 | )% | ||||
Percentage change in benchmark |
4.9 | % | (2.5 | )% | ||||
Benchmark annualized volatility |
16.8 | % | 12.7 | % |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 2,264,848 | $ | 1,502,010 | ||||
Management fee |
546,388 | 474,261 | ||||||
Brokerage commission |
8,123 | 6,925 | ||||||
Net realized gain (loss) |
31,567,821 | 17,168,107 | ||||||
Change in net unrealized appreciation (depreciation) |
(17,226,689 | ) | (32,854,842 | ) | ||||
Net Income (loss) |
$ | 16,605,980 | $ | (14,184,725 | ) |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 403,584,744 | $ | 429,115,334 | ||||
NAV end of period |
$ | 570,829,521 | $ | 356,791,659 | ||||
Percentage change in NAV |
41.4 | % | (16.9 | )% | ||||
Shares outstanding beginning of period |
14,146,526 | 13,796,526 | ||||||
Shares outstanding end of period |
15,246,526 | 13,196,526 | ||||||
Percentage change in shares outstanding |
7.8 | % | (4.3 | )% | ||||
Shares created |
5,150,000 | 700,000 | ||||||
Shares redeemed |
4,050,000 | 1,300,000 | ||||||
Per share NAV beginning of period |
$ | 28.53 | $ | 31.10 | ||||
Per share NAV end of period |
$ | 37.44 | $ | 27.04 | ||||
Percentage change in per share NAV |
31.2 | % | (13.1 | )% | ||||
Percentage change in benchmark |
17.8 | % | (5.1 | )% | ||||
Benchmark annualized volatility |
38.5 | % | 24.1 | % |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 4,944,726 | $ | 2,677,602 | ||||
Management fee |
1,244,817 | 976,505 | ||||||
Brokerage commission |
56,180 | 47,075 | ||||||
Net realized gain (loss) |
220,680,441 | 64,615,443 | ||||||
Change in net unrealized appreciation (depreciation) |
(87,279,257 | ) | (119,017,342 | ) | ||||
Net Income (loss) |
$ | 138,345,910 | $ | (51,724,297 | ) |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 278,240,649 | $ | 535,980,236 | ||||
NAV end of period |
$ | 232,135,198 | $ | 387,764,059 | ||||
Percentage change in NAV |
(16.6 | )% | (27.7 | )% | ||||
Shares outstanding beginning of period |
8,844,891 | 2,317,568 | ||||||
Shares outstanding end of period |
9,843,643 | 4,195,568 | ||||||
Percentage change in shares outstanding |
11.3 | % | 81.0 | % | ||||
Shares created |
7,030,000 | 2,588,000 | ||||||
Shares redeemed |
6,031,248 | 710,000 | ||||||
Per share NAV beginning of period |
$ | 31.46 | $ | 231.27 | ||||
Per share NAV end of period |
$ | 23.58 | $ | 92.42 | ||||
Percentage change in per share NAV |
(25.0 | )% | (60.0 | )% | ||||
Percentage change in benchmark |
(15.8 | )% | (44.4 | )% | ||||
Benchmark annualized volatility |
41.2 | % | 45.8 | % |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 1,263,439 | $ | 2,581,004 | ||||
Management fee |
553,814 | 1,330,081 | ||||||
Brokerage commission |
454,606 | 712,511 | ||||||
Futures account fees |
63,964 | 126,999 | ||||||
Net realized gain (loss) |
(57,412,686 | ) | (426,300,356 | ) | ||||
Change in net unrealized appreciation (depreciation) |
11,698,440 | (45,315,177 | ) | |||||
Net Income (loss) |
$ | (44,450,807 | ) | $ | (469,034,529 | ) |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra VIX Short Term Futures ETF. |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 41,994,545 | $ | 9,915,083 | ||||
NAV end of period |
$ | 44,510,138 | $ | 12,330,974 | ||||
Percentage change in NAV |
6.0 | % | 24.4 | % | ||||
Shares outstanding beginning of period |
1,799,970 | 299,970 | ||||||
Shares outstanding end of period |
2,199,970 | 449,970 | ||||||
Percentage change in shares outstanding |
22.2 | % | 50.0 | % | ||||
Shares created |
500,000 | 150,000 | ||||||
Shares redeemed |
100,000 | — | ||||||
Per share NAV beginning of period |
$ | 23.33 | $ | 33.05 | ||||
Per share NAV end of period |
$ | 20.23 | $ | 27.40 | ||||
Percentage change in per share NAV |
(13.3 | )% | (17.1 | )% | ||||
Percentage change in benchmark |
(5.9 | )% | (8.0 | )% | ||||
Benchmark annualized volatility |
9.0 | % | 8.9 | % |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 384,185 | $ | 89,650 | ||||
Management fee |
99,372 | 25,330 | ||||||
Net realized gain (loss) |
(5,365,623 | ) | (770,142 | ) | ||||
Change in net unrealized appreciation (depreciation) |
(842,412 | ) | (1,348,109 | ) | ||||
Net Income (loss) |
$ | (5,823,850 | ) | $ | (2,028,601 | ) |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 197,512,295 | $ | 144,762,563 | ||||
NAV end of period |
$ | 177,620,038 | $ | 112,854,952 | ||||
Percentage change in NAV |
(10.1 | )% | (22.0 | )% | ||||
Shares outstanding beginning of period |
12,405,220 | 5,755,220 | ||||||
Shares outstanding end of period |
11,405,220 | 4,405,220 | ||||||
Percentage change in shares outstanding |
(8.1 | )% | (23.5 | )% | ||||
Shares created |
4,200,000 | 6,250,000 | ||||||
Shares redeemed |
5,200,000 | 7,600,000 | ||||||
Per share NAV beginning of period |
$ | 15.92 | $ | 25.15 | ||||
Per share NAV end of period |
$ | 15.57 | $ | 25.62 | ||||
Percentage change in per share NAV |
(2.2 | )% | 1.9 | % | ||||
Percentage change in benchmark |
0.5 | % | (4.4 | )% | ||||
Benchmark annualized volatility |
17.4 | % | 32.8 | % |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 1,805,686 | $ | 1,140,772 | ||||
Management fee |
440,755 | 359,177 | ||||||
Brokerage commission |
43,839 | 60,079 | ||||||
Net realized gain (loss) |
(143,424 | ) | 28,034,524 | |||||
Change in net unrealized appreciation (depreciation) |
(1,552,095 | ) | (8,216,608 | ) | ||||
Net Income (loss) |
$ | 110,167 | $ | 20,958,688 |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 94,345,355 | $ | 146,981,760 | ||||
NAV end of period |
$ | 147,292,427 | $ | 141,324,963 | ||||
Percentage change in NAV |
56.1 | % | (3.8 | )% | ||||
Shares outstanding beginning of period |
1,233,712 | 4,133,712 | ||||||
Shares outstanding end of period |
2,983,712 | 5,133,712 | ||||||
Percentage change in shares outstanding |
141.8 | % | 24.2 | % | ||||
Shares created |
7,400,000 | 13,200,000 | ||||||
Shares redeemed |
5,650,000 | 12,200,000 | ||||||
Per share NAV beginning of period |
$ | 76.47 | $ | 35.56 | ||||
Per share NAV end of period |
$ | 49.37 | $ | 27.53 | ||||
Percentage change in per share NAV |
(35.4 | )% | (22.6 | )% | ||||
Percentage change in benchmark |
13.9 | % | 2.2 | % | ||||
Benchmark annualized volatility |
53.0 | % | 57.7 | % |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 951,460 | $ | 782,210 | ||||
Management fee |
310,060 | 302,274 | ||||||
Brokerage commission |
304,998 | 233,647 | ||||||
Futures account fees |
10,978 | 26,758 | ||||||
Net realized gain (loss) |
(44,563,292 | ) | 48,737,843 | |||||
Change in net unrealized appreciation (depreciation) |
20,550,559 | (61,250,100 | ) | |||||
Net Income (loss) |
$ | (23,061,273 | ) | $ | (11,730,047 | ) |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares UltraShort Bloomberg Natural Gas. |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 38,712,882 | $ | 59,537,260 | ||||
NAV end of period |
$ | 38,226,983 | $ | 50,931,301 | ||||
Percentage change in NAV |
(1.3 | )% | (14.5 | )% | ||||
Shares outstanding beginning of period |
1,250,000 | 2,050,000 | ||||||
Shares outstanding end of period |
1,200,000 | 1,750,000 | ||||||
Percentage change in shares outstanding |
(4.0 | )% | (14.6 | )% | ||||
Shares created |
50,000 | — | ||||||
Shares redeemed |
100,000 | 300,000 | ||||||
Per share NAV beginning of period |
$ | 30.97 | $ | 29.04 | ||||
Per share NAV end of period |
$ | 31.86 | $ | 29.10 | ||||
Percentage change in per share NAV |
2.9 | % | 0.2 | % | ||||
Percentage change in benchmark |
(0.7 | )% | 0.6 | % | ||||
Benchmark annualized volatility |
5.5 | % | 6.8 | % |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 338,894 | $ | 462,645 | ||||
Management fee |
90,978 | 131,101 | ||||||
Net realized gain (loss) |
900,760 | (1,045,942 | ) | |||||
Change in net unrealized appreciation (depreciation) |
(199,005 | ) | 556,469 | |||||
Net Income (loss) |
$ | 1,040,649 | $ | (26,828 | ) |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 15,170,884 | $ | 16,049,273 | ||||
NAV end of period |
$ | 16,131,791 | $ | 15,809,378 | ||||
Percentage change in NAV |
6.3 | % | (1.5 | )% | ||||
Shares outstanding beginning of period |
646,977 | 596,977 | ||||||
Shares outstanding end of period |
746,977 | 546,977 | ||||||
Percentage change in shares outstanding |
15.5 | % | (8.4 | )% | ||||
Shares created |
450,000 | 300,000 | ||||||
Shares redeemed |
350,000 | 350,000 | ||||||
Per share NAV beginning of period |
$ | 23.45 | $ | 26.88 | ||||
Per share NAV end of period |
$ | 21.60 | $ | 28.90 | ||||
Percentage change in per share NAV |
(7.9 | )% | 7.5 | % | ||||
Percentage change in benchmark |
4.9 | % | (2.5 | )% | ||||
Benchmark annualized volatility |
16.8 | % | 12.7 | % |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 136,135 | $ | 139,578 | ||||
Management fee |
39,309 | 42,869 | ||||||
Brokerage commission |
1,283 | 1,605 | ||||||
Net realized gain (loss) |
(2,516,474 | ) | (1,553,151 | ) | ||||
Change in net unrealized appreciation (depreciation) |
1,264,436 | 2,758,921 | ||||||
Net Income (loss) |
$ | (1,115,903 | ) | $ | 1,345,348 |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 24,245,029 | $ | 20,335,691 | ||||
NAV end of period |
$ | 76,198,743 | $ | 19,290,473 | ||||
Percentage change in NAV |
214.3 | % | (5.1 | )% | ||||
Shares outstanding beginning of period |
1,441,329 | 1,091,329 | ||||||
Shares outstanding end of period |
6,791,329 | 941,329 | ||||||
Percentage change in shares outstanding |
371.2 | % | (13.7 | )% | ||||
Shares created |
7,600,000 | 2,450,000 | ||||||
Shares redeemed |
2,250,000 | 2,600,000 | ||||||
Per share NAV beginning of period |
$ | 16.82 | $ | 18.63 | ||||
Per share NAV end of period |
$ | 11.22 | $ | 20.49 | ||||
Percentage change in per share NAV |
(33.3 | )% | 10.0 | % | ||||
Percentage change in benchmark |
17.8 | % | (5.1 | )% | ||||
Benchmark annualized volatility |
38.5 | % | 24.1 | % |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 444,517 | $ | 232,359 | ||||
Management fee |
139,041 | 82,417 | ||||||
Brokerage commission |
13,863 | 8,958 | ||||||
Net realized gain (loss) |
(16,070,138 | ) | 1,112,690 | |||||
Change in net unrealized appreciation (depreciation) |
4,902,824 | 5,650,294 | ||||||
Net Income (loss) |
$ | (10,722,797 | ) | $ | 6,995,343 |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 32,662,223 | $ | 25,111,818 | ||||
NAV end of period |
$ | 47,495,032 | $ | 27,077,656 | ||||
Percentage change in NAV |
45.4 | % | 7.8 | % | ||||
Shares outstanding beginning of period |
398,580 | 448,580 | ||||||
Shares outstanding end of period |
498,580 | 398,580 | ||||||
Percentage change in shares outstanding |
25.1 | % | (11.1 | )% | ||||
Shares created |
200,000 | 250,000 | ||||||
Shares redeemed |
100,000 | 300,000 | ||||||
Per share NAV beginning of period |
$ | 81.95 | $ | 55.98 | ||||
Per share NAV end of period |
$ | 95.26 | $ | 67.94 | ||||
Percentage change in per share NAV |
16.3 | % | 21.4 | % | ||||
Percentage change in benchmark |
(5.9 | )% | (8.0 | )% | ||||
Benchmark annualized volatility |
9.0 | % | 8.9 | % |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 359,294 | $ | 197,175 | ||||
Management fee |
96,949 | 58,179 | ||||||
Net realized gain (loss) |
4,417,569 | 1,370,771 | ||||||
Change in net unrealized appreciation (depreciation) |
1,529,867 | 3,145,023 | ||||||
Net Income (loss) |
$ | 6,306,730 | $ | 4,712,969 |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 84,603,064 | $ | 67,306,087 | ||||
NAV end of period |
$ | 33,401,452 | $ | 49,421,413 | ||||
Percentage change in NAV |
(60.5 | )% | (26.6 | )% | ||||
Shares outstanding beginning of period |
5,337,403 | 2,512,403 | ||||||
Shares outstanding end of period |
2,337,403 | 2,412,403 | ||||||
Percentage change in shares outstanding |
(56.2 | )% | (4.0 | )% | ||||
Shares created |
5,250,000 | 575,000 | ||||||
Shares redeemed |
8,250,000 | 675,000 | ||||||
Per share NAV beginning of period |
$ | 15.85 | $ | 26.79 | ||||
Per share NAV end of period |
$ | 14.29 | $ | 20.49 | ||||
Percentage change in per share NAV |
(9.9 | )% | (23.5 | )% | ||||
Percentage change in benchmark |
(9.5 | )% | (23.1 | )% | ||||
Benchmark annualized volatility |
19.6 | % | 22.6 | % |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 838,943 | $ | 492,463 | ||||
Management fee |
191,320 | 134,066 | ||||||
Brokerage commission |
66,049 | 12,200 | ||||||
Futures account fees |
10,537 | 11,856 | ||||||
Net realized gain (loss) |
(8,949,418 | ) | (6,943,333 | ) | ||||
Change in net unrealized appreciation (depreciation) |
1,095,379 | (9,675,102 | ) | |||||
Net Income (loss) |
$ | (7,015,096 | ) | $ | (16,125,972 | ) |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 162,936,051 | $ | 226,765,204 | ||||
NAV end of period |
$ | 148,420,028 | $ | 230,227,830 | ||||
Percentage change in NAV |
(8.9 | )% | 1.5 | % | ||||
Shares outstanding beginning of period |
12,600,947 | 5,021,565 | ||||||
Shares outstanding end of period |
13,700,947 | 9,226,565 | ||||||
Percentage change in shares outstanding |
8.7 | % | 83.7 | % | ||||
Shares created |
3,700,000 | 4,460,000 | ||||||
Shares redeemed |
2,600,000 | 255,000 | ||||||
Per share NAV beginning of period |
$ | 12.93 | $ | 45.16 | ||||
Per share NAV end of period |
$ | 10.83 | $ | 24.95 | ||||
Percentage change in per share NAV |
(16.2 | )% | (44.8 | )% | ||||
Percentage change in benchmark |
(15.8 | )% | (44.4 | )% | ||||
Benchmark annualized volatility |
41.2 | % | 45.8 | % |
Three Months Ended June 30, 2024 |
Three Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 1,239,189 | $ | 1,765,342 | ||||
Management fee |
310,061 | 530,826 | ||||||
Brokerage commission |
39,404 | 95,391 | ||||||
Futures account fees |
31,267 | 48,732 | ||||||
Net realized gain (loss) |
(27,512,354 | ) | (127,239,912 | ) | ||||
Change in net unrealized appreciation (depreciation) |
4,022,209 | (21,303,253 | ) | |||||
Net Income (loss) |
$ | (22,250,956 | ) | $ | (146,777,823 | ) |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares VIX Short-Term Futures ETF. |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 267,184,359 | $ | 339,591,638 | ||||
NAV end of period |
$ | 298,712,515 | $ | 282,353,267 | ||||
Percentage change in NAV |
11.8 | % | (16.9 | )% | ||||
Shares outstanding beginning of period |
5,168,614 | 11,568,614 | ||||||
Shares outstanding end of period |
4,868,614 | 6,668,614 | ||||||
Percentage change in shares outstanding |
(5.8 | )% | (42.4 | )% | ||||
Shares created |
2,750,000 | 6,000,000 | ||||||
Shares redeemed |
3,050,000 | 10,900,000 | ||||||
Per share NAV beginning of period |
$ | 51.69 | $ | 29.35 | ||||
Per share NAV end of period |
$ | 61.35 | $ | 42.34 | ||||
Percentage change in per share NAV |
18.7 | % | 44.2 | % | ||||
Percentage change in benchmark |
(29.4 | )% | (55.7 | )% | ||||
Benchmark annualized volatility |
40.3 | % | 58.0 | % |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 4,981,551 | $ | 3,113,594 | ||||
Management fee |
1,443,041 | 1,182,813 | ||||||
Brokerage commission |
341,916 | 249,925 | ||||||
Net realized gain (loss) |
55,276,535 | 94,806,479 | ||||||
Change in net unrealized appreciation (depreciation) |
(8,822,042 | ) | 12,828,278 | |||||
Net Income (loss) |
$ | 51,436,044 | $ | 110,748,351 |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares Short VIX Short-Term Futures. |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 652,793,437 | $ | 859,094,274 | ||||
NAV end of period |
$ | 527,486,095 | $ | 738,194,368 | ||||
Percentage change in NAV |
(19.2 | )% | (14.1 | )% | ||||
Shares outstanding beginning of period |
24,843,096 | 28,393,096 | ||||||
Shares outstanding end of period |
15,743,096 | 31,093,096 | ||||||
Percentage change in shares outstanding |
(36.6 | )% | 9.5 | % | ||||
Shares created |
9,100,000 | 34,650,000 | ||||||
Shares redeemed |
18,200,000 | 31,950,000 | ||||||
Per share NAV beginning of period |
$ | 26.28 | $ | 30.26 | ||||
Per share NAV end of period |
$ | 33.51 | $ | 23.74 | ||||
Percentage change in per share NAV |
27.5 | % | (21.5 | )% | ||||
Percentage change in benchmark |
13.3 | % | (9.5 | )% | ||||
Benchmark annualized volatility |
19.5 | % | 31.7 | % |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 8,590,065 | $ | 8,077,737 | ||||
Management fee |
2,821,804 | 3,619,616 | ||||||
Brokerage commission |
104,780 | 188,647 | ||||||
Net realized gain (loss) |
100,088,722 | 9,365,632 | ||||||
Change in net unrealized appreciation (depreciation) |
54,345,016 | (92,671,285 | ) | |||||
Net Income (loss) |
$ | 163,023,803 | $ | (75,227,916 | ) |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 729,892,808 | $ | 586,151,113 | ||||
NAV end of period |
$ | 540,643,821 | $ | 1,141,021,278 | ||||
Percentage change in NAV |
(25.9 | )% | 94.7 | % | ||||
Shares outstanding beginning of period |
25,568,544 | 1,614,376 | ||||||
Shares outstanding end of period |
34,668,544 | 16,421,876 | ||||||
Percentage change in shares outstanding |
35.6 | % | 917.2 | % | ||||
Shares created |
64,450,000 | 32,765,000 | ||||||
Shares redeemed |
55,350,000 | 17,957,500 | ||||||
Per share NAV beginning of period |
$ | 28.55 | $ | 363.08 | ||||
Per share NAV end of period |
$ | 15.59 | $ | 69.48 | ||||
Percentage change in per share NAV |
(45.4 | )% | (80.9 | )% | ||||
Percentage change in benchmark |
(18.8 | )% | (49.3 | )% | ||||
Benchmark annualized volatility |
55.3 | % | 69.2 | % |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 8,466,890 | $ | 10,410,619 | ||||
Management fee |
2,773,307 | 4,916,981 | ||||||
Brokerage commission |
1,488,469 | 2,098,150 | ||||||
Futures account fees |
142,161 | 399,478 | ||||||
Net realized gain (loss) |
(30,408,733 | ) | (1,678,521,779 | ) | ||||
Change in net unrealized appreciation (depreciation) |
(196,656,346 | ) | 605,047,334 | |||||
Net Income (loss) |
$ | (218,598,189 | ) | $ | (1,063,063,826 | ) |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas. |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 7,114,015 | $ | 10,704,662 | ||||
NAV end of period |
$ | 5,595,533 | $ | 7,535,435 | ||||
Percentage change in NAV |
(21.3 | )% | (29.6 | )% | ||||
Shares outstanding beginning of period |
600,000 | 950,000 | ||||||
Shares outstanding end of period |
500,000 | 650,000 | ||||||
Percentage change in shares outstanding |
(16.7 | )% | (31.6 | )% | ||||
Shares created |
100,000 | 200,000 | ||||||
Shares redeemed |
200,000 | 500,000 | ||||||
Per share NAV beginning of period |
$ | 11.86 | $ | 11.27 | ||||
Per share NAV end of period |
$ | 11.19 | $ | 11.59 | ||||
Percentage change in per share NAV |
(5.6 | )% | 2.9 | % | ||||
Percentage change in benchmark |
(3.0 | )% | 1.9 | % | ||||
Benchmark annualized volatility |
5.2 | % | 8.0 | % |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 119,424 | $ | 141,322 | ||||
Management fee |
29,879 | 44,097 | ||||||
Net realized gain (loss) |
(74,776 | ) | 358,570 | |||||
Change in net unrealized appreciation (depreciation) |
(447,347 | ) | (175,968 | ) | ||||
Net Income (loss) |
$ | (402,699 | ) | $ | 323,924 |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 191,502,023 | $ | 173,524,136 | ||||
NAV end of period |
$ | 216,456,025 | $ | 180,916,531 | ||||
Percentage change in NAV |
13.0 | % | 4.3 | % | ||||
Shares outstanding beginning of period |
3,000,000 | 3,150,000 | ||||||
Shares outstanding end of period |
2,800,000 | 3,100,000 | ||||||
Percentage change in shares outstanding |
(6.7 | )% | (1.6 | )% | ||||
Shares created |
800,000 | 450,000 | ||||||
Shares redeemed |
1,000,000 | 500,000 | ||||||
Per share NAV beginning of period |
$ | 63.83 | $ | 55.09 | ||||
Per share NAV end of period |
$ | 77.31 | $ | 58.36 | ||||
Percentage change in per share NAV |
21.1 | % | 5.9 | % | ||||
Percentage change in benchmark |
12.7 | % | 5.4 | % | ||||
Benchmark annualized volatility |
14.3 | % | 14.3 | % |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 3,832,287 | $ | 2,715,295 | ||||
Management fee |
982,991 | 901,375 | ||||||
Brokerage commission |
17,996 | 15,540 | ||||||
Net realized gain (loss) |
50,042,103 | 27,968,003 | ||||||
Change in net unrealized appreciation (depreciation) |
(14,505,497 | ) | (22,166,463 | ) | ||||
Net Income (loss) |
$ | 39,368,893 | $ | 8,516,835 |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 390,146,373 | $ | 414,285,878 | ||||
NAV end of period |
$ | 570,829,521 | $ | 356,791,659 | ||||
Percentage change in NAV |
46.3 | % | (13.9 | )% | ||||
Shares outstanding beginning of period |
14,296,526 | 13,046,526 | ||||||
Shares outstanding end of period |
15,246,526 | 13,196,526 | ||||||
Percentage change in shares outstanding |
6.6 | % | 1.1 | % | ||||
Shares created |
7,450,000 | 2,600,000 | ||||||
Shares redeemed |
6,500,000 | 2,450,000 | ||||||
Per share NAV beginning of period |
$ | 27.29 | $ | 31.75 | ||||
Per share NAV end of period |
$ | 37.44 | $ | 27.04 | ||||
Percentage change in per share NAV |
37.2 | % | (14.8 | )% | ||||
Percentage change in benchmark |
22.3 | % | (4.4 | )% | ||||
Benchmark annualized volatility |
31.2 | % | 25.8 | % |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 7,677,640 | $ | 5,153,877 | ||||
Management fee |
2,118,718 | 1,848,064 | ||||||
Brokerage commission |
84,222 | 73,637 | ||||||
Net realized gain (loss) |
216,214,526 | 35,871,579 | ||||||
Change in net unrealized appreciation (depreciation) |
(65,670,658 | ) | (96,665,222 | ) | ||||
Net Income (loss) |
$ | 158,221,508 | $ | (55,639,766 | ) |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 348,555,743 | $ | 639,318,362 | ||||
NAV end of period |
$ | 232,135,198 | $ | 387,764,059 | ||||
Percentage change in NAV |
(33.4 | )% | (39.3 | )% | ||||
Shares outstanding beginning of period |
8,264,891 | 1,861,568 | ||||||
Shares outstanding end of period |
9,843,643 | 4,195,568 | ||||||
Percentage change in shares outstanding |
19.1 | % | 125.4 | % | ||||
Shares created |
9,850,000 | 4,262,000 | ||||||
Shares redeemed |
8,271,248 | 1,928,000 | ||||||
Per share NAV beginning of period |
$ | 42.17 | $ | 343.43 | ||||
Per share NAV end of period |
$ | 23.58 | $ | 92.42 | ||||
Percentage change in per share NAV |
(44.1 | )% | (73.1 | )% | ||||
Percentage change in benchmark |
(29.4 | )% | (55.7 | )% | ||||
Benchmark annualized volatility |
40.3 | % | 58.0 | % |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 2,781,434 | $ | 4,722,827 | ||||
Management fee |
1,221,345 | 2,703,851 | ||||||
Brokerage commission |
941,152 | 1,490,212 | ||||||
Futures account fees |
150,134 | 250,360 | ||||||
Net realized gain (loss) |
(148,405,278 | ) | (608,541,564 | ) | ||||
Change in net unrealized appreciation (depreciation) |
24,979,009 | (43,277,650 | ) | |||||
Net Income (loss) |
$ | (120,644,835 | ) | $ | (647,096,387 | ) |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra VIX Short Term Futures ETF. |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 30,205,770 | $ | 13,814,796 | ||||
NAV end of period |
$ | 44,510,138 | $ | 12,330,974 | ||||
Percentage change in NAV |
47.4 | % | (10.7 | )% | ||||
Shares outstanding beginning of period |
1,099,970 | 399,970 | ||||||
Shares outstanding end of period |
2,199,970 | 449,970 | ||||||
Percentage change in shares outstanding |
100.0 | % | 12.5 | % | ||||
Shares created |
1,300,000 | 200,000 | ||||||
Shares redeemed |
200,000 | 150,000 | ||||||
Per share NAV beginning of period |
$ | 27.46 | $ | 34.54 | ||||
Per share NAV end of period |
$ | 20.23 | $ | 27.40 | ||||
Percentage change in per share NAV |
(26.3 | )% | (20.7 | )% | ||||
Percentage change in benchmark |
(12.4 | )% | (9.0 | )% | ||||
Benchmark annualized volatility |
8.4 | % | 10.8 | % |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 677,203 | $ | 179,208 | ||||
Management fee |
176,608 | 55,890 | ||||||
Net realized gain (loss) |
(7,397,198 | ) | (1,068,950 | ) | ||||
Change in net unrealized appreciation (depreciation) |
(4,421,343 | ) | (1,842,176 | ) | ||||
Net Income (loss) |
$ | (11,141,338 | ) | $ | (2,731,918 | ) |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 188,963,592 | $ | 222,697,337 | ||||
NAV end of period |
$ | 177,620,038 | $ | 112,854,952 | ||||
Percentage change in NAV |
(6.0 | )% | (49.3 | )% | ||||
Shares outstanding beginning of period |
9,105,220 | 9,305,220 | ||||||
Shares outstanding end of period |
11,405,220 | 4,405,220 | ||||||
Percentage change in shares outstanding |
25.3 | % | (52.7 | )% | ||||
Shares created |
12,650,000 | 11,550,000 | ||||||
Shares redeemed |
10,350,000 | 16,450,000 | ||||||
Per share NAV beginning of period |
$ | 20.75 | $ | 23.93 | ||||
Per share NAV end of period |
$ | 15.57 | $ | 25.62 | ||||
Percentage change in per share NAV |
(25.0 | )% | 7.1 | % | ||||
Percentage change in benchmark |
13.3 | % | (9.5 | )% | ||||
Benchmark annualized volatility |
19.5 | % | 31.7 | % |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 3,542,907 | $ | 2,593,344 | ||||
Management fee |
892,340 | 844,057 | ||||||
Brokerage commission |
97,800 | 125,836 | ||||||
Net realized gain (loss) |
(12,652,246 | ) | 55,649,291 | |||||
Change in net unrealized appreciation (depreciation) |
(36,001,228 | ) | 2,739,622 | |||||
Net Income (loss) |
$ | (45,110,567 | ) | $ | 60,982,257 |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 140,963,092 | $ | 134,109,520 | ||||
NAV end of period |
$ | 147,292,427 | $ | 141,324,963 | ||||
Percentage change in NAV |
4.5 | % | 5.4 | % | ||||
Shares outstanding beginning of period |
2,933,712 | 9,933,712 | ||||||
Shares outstanding end of period |
2,983,712 | 5,133,712 | ||||||
Percentage change in shares outstanding |
1.7 | % | (48.3 | )% | ||||
Shares created |
14,000,000 | 27,700,000 | ||||||
Shares redeemed |
13,950,000 | 32,500,000 | ||||||
Per share NAV beginning of period |
$ | 48.05 | $ | 13.50 | ||||
Per share NAV end of period |
$ | 49.37 | $ | 27.53 | ||||
Percentage change in per share NAV |
2.8 | % | 103.9 | % | ||||
Percentage change in benchmark |
(18.8 | )% | (49.3 | )% | ||||
Benchmark annualized volatility |
55.3 | % | 69.2 | % |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 1,758,807 | $ | 1,432,850 | ||||
Management fee |
572,504 | 599,136 | ||||||
Brokerage commission |
566,252 | 443,288 | ||||||
Futures account fees |
27,011 | 56,367 | ||||||
Net realized gain (loss) |
89,322 | 232,143,809 | ||||||
Change in net unrealized appreciation (depreciation) |
44,377,047 | (106,209,898 | ) | |||||
Net Income (loss) |
$ | 46,225,176 | $ | 127,366,761 |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares UltraShort Bloomberg Natural Gas. |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 39,367,550 | $ | 75,113,179 | ||||
NAV end of period |
$ | 38,226,983 | $ | 50,931,301 | ||||
Percentage change in NAV |
(2.9 | )% | (32.2 | )% | ||||
Shares outstanding beginning of period |
1,350,000 | 2,550,000 | ||||||
Shares outstanding end of period |
1,200,000 | 1,750,000 | ||||||
Percentage change in shares outstanding |
(11.1 | )% | (31.4 | )% | ||||
Shares created |
50,000 | 100,000 | ||||||
Shares redeemed |
200,000 | 900,000 | ||||||
Per share NAV beginning of period |
$ | 29.16 | $ | 29.46 | ||||
Per share NAV end of period |
$ | 31.86 | $ | 29.10 | ||||
Percentage change in per share NAV |
9.2 | % | (1.2 | )% | ||||
Percentage change in benchmark |
(3.0 | )% | 1.9 | % | ||||
Benchmark annualized volatility |
5.2 | % | 8.0 | % |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 701,961 | $ | 948,197 | ||||
Management fee |
186,228 | 292,669 | ||||||
Net realized gain (loss) |
(38,460 | ) | (2,453,253 | ) | ||||
Change in net unrealized appreciation (depreciation) |
2,768,728 | 697,680 | ||||||
Net Income (loss) |
$ | 3,432,229 | $ | (807,376 | ) |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 11,795,779 | $ | 15,456,037 | ||||
NAV end of period |
$ | 16,131,791 | $ | 15,809,378 | ||||
Percentage change in NAV |
36.8 | % | 2.3 | % | ||||
Shares outstanding beginning of period |
446,977 | 496,977 | ||||||
Shares outstanding end of period |
746,977 | 546,977 | ||||||
Percentage change in shares outstanding |
67.1 | % | 10.1 | % | ||||
Shares created |
650,000 | 600,000 | ||||||
Shares redeemed |
350,000 | 550,000 | ||||||
Per share NAV beginning of period |
$ | 26.39 | $ | 31.10 | ||||
Per share NAV end of period |
$ | 21.60 | $ | 28.90 | ||||
Percentage change in per share NAV |
(18.2 | )% | (7.1 | )% | ||||
Percentage change in benchmark |
12.7 | % | 5.4 | % | ||||
Benchmark annualized volatility |
14.3 | % | 14.3 | % |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 246,002 | $ | 234,406 | ||||
Management fee |
71,710 | 79,242 | ||||||
Brokerage commission |
2,218 | 2,966 | ||||||
Net realized gain (loss) |
(3,914,287 | ) | (2,584,032 | ) | ||||
Change in net unrealized appreciation (depreciation) |
919,857 | 2,103,219 | ||||||
Net Income (loss) |
$ | (2,748,428 | ) | $ | (246,407 | ) |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 65,149,686 | $ | 31,932,799 | ||||
NAV end of period |
$ | 76,198,743 | $ | 19,290,473 | ||||
Percentage change in NAV |
17.0 | % | (39.6 | )% | ||||
Shares outstanding beginning of period |
3,591,329 | 1,641,329 | ||||||
Shares outstanding end of period |
6,791,329 | 941,329 | ||||||
Percentage change in shares outstanding |
89.1 | % | (42.6 | )% | ||||
Shares created |
9,000,000 | 3,100,000 | ||||||
Shares redeemed |
5,800,000 | 3,800,000 | ||||||
Per share NAV beginning of period |
$ | 18.14 | $ | 19.46 | ||||
Per share NAV end of period |
$ | 11.22 | $ | 20.49 | ||||
Percentage change in per share NAV |
(38.2 | )% | 5.3 | % | ||||
Percentage change in benchmark |
22.3 | % | (4.4 | )% | ||||
Benchmark annualized volatility |
31.2 | % | 25.8 | % |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 728,788 | $ | 366,566 | ||||
Management fee |
230,179 | 142,585 | ||||||
Brokerage commission |
19,887 | 14,661 | ||||||
Net realized gain (loss) |
(10,290,118 | ) | 3,826,313 | |||||
Change in net unrealized appreciation (depreciation) |
3,484,222 | 4,467,058 | ||||||
Net Income (loss) |
$ | (6,077,108 | ) | $ | 8,659,937 |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 24,010,010 | $ | 21,397,736 | ||||
NAV end of period |
$ | 47,495,032 | $ | 27,077,656 | ||||
Percentage change in NAV |
97.8 | % | 26.5 | % | ||||
Shares outstanding beginning of period |
348,580 | 398,580 | ||||||
Shares outstanding end of period |
498,580 | 398,580 | ||||||
Percentage change in shares outstanding |
43.0 | % | – | % | ||||
Shares created |
300,000 | 450,000 | ||||||
Shares redeemed |
150,000 | 450,000 | ||||||
Per share NAV beginning of period |
$ | 68.88 | $ | 53.68 | ||||
Per share NAV end of period |
$ | 95.26 | $ | 67.94 | ||||
Percentage change in per share NAV |
38.3 | % | 26.6 | % | ||||
Percentage change in benchmark |
(12.4 | )% | (9.0 | )% | ||||
Benchmark annualized volatility |
8.4 | % | 10.8 | % |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 608,578 | $ | 350,563 | ||||
Management fee |
163,082 | 108,991 | ||||||
Net realized gain (loss) |
6,126,381 | 342,795 | ||||||
Change in net unrealized appreciation (depreciation) |
4,468,019 | 5,004,524 | ||||||
Net Income (loss) |
$ | 11,202,978 | $ | 5,697,882 |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 37,866,143 | $ | 84,014,959 | ||||
NAV end of period |
$ | 33,401,452 | $ | 49,421,413 | ||||
Percentage change in NAV |
(11.8 | )% | (41.2 | )% | ||||
Shares outstanding beginning of period |
2,262,403 | 2,762,403 | ||||||
Shares outstanding end of period |
2,337,403 | 2,412,403 | ||||||
Percentage change in shares outstanding |
3.3 | % | (12.7 | )% | ||||
Shares created |
8,625,000 | 850,000 | ||||||
Shares redeemed |
8,550,000 | 1,200,000 | ||||||
Per share NAV beginning of period |
$ | 16.74 | $ | 30.41 | ||||
Per share NAV end of period |
$ | 14.29 | $ | 20.49 | ||||
Percentage change in per share NAV |
(14.6 | )% | (32.6 | )% | ||||
Percentage change in benchmark |
(13.8 | )% | (31.9 | )% | ||||
Benchmark annualized volatility |
19.3 | % | 30.2 | % |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 1,231,053 | $ | 969,651 | ||||
Management fee |
288,207 | 284,189 | ||||||
Brokerage commission |
86,212 | 21,369 | ||||||
Futures account fees |
16,541 | 23,296 | ||||||
Net realized gain (loss) |
(15,054,609 | ) | (22,764,053 | ) | ||||
Change in net unrealized appreciation (depreciation) |
3,885,170 | (5,092,642 | ) | |||||
Net Income (loss) |
$ | (9,938,386 | ) | $ | (26,887,044 | ) |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
NAV beginning of period |
$ | 157,321,746 | $ | 266,580,320 | ||||
NAV end of period |
$ | 148,420,028 | $ | 230,227,830 | ||||
Percentage change in NAV |
(5.7 | )% | (13.6 | )% | ||||
Shares outstanding beginning of period |
10,150,947 | 4,676,565 | ||||||
Shares outstanding end of period |
13,700,947 | 9,226,565 | ||||||
Percentage change in shares outstanding |
35.0 | % | 97.3 | % | ||||
Shares created |
7,500,000 | 6,760,000 | ||||||
Shares redeemed |
3,950,000 | 2,210,000 | ||||||
Per share NAV beginning of period |
$ | 15.50 | $ | 57.00 | ||||
Per share NAV end of period |
$ | 10.83 | $ | 24.95 | ||||
Percentage change in per share NAV |
(30.1 | )% | (56.2 | )% | ||||
Percentage change in benchmark |
(29.4 | )% | (55.7 | )% | ||||
Benchmark annualized volatility |
40.3 | % | 58.0 | % |
Six Months Ended June 30, 2024 |
Six Months Ended June 30, 2023 |
|||||||
Net investment income (loss) |
$ | 2,587,545 | $ | 3,221,259 | ||||
Management fee |
646,437 | 1,048,314 | ||||||
Brokerage commission |
79,663 | 191,888 | ||||||
Futures account fees |
64,538 | 99,391 | ||||||
Net realized gain (loss) |
(59,266,488 | ) | (173,336,606 | ) | ||||
Change in net unrealized appreciation (depreciation) |
6,991,389 | (20,173,227 | ) | |||||
Net Income (loss) |
$ | (49,687,554 | ) | $ | (190,288,574 | ) |
* | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares VIX Short-Term Futures ETF. |
Futures Positions as of June 30, 2024 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX Futures (Cboe) |
Short | July 2024 | 5,997 | $ | 14.02 | 1,000 | $ | (84,094,732 | ) | |||||||||||
VIX Futures (Cboe) |
Short | August 2024 | 4,360 | 14.94 | 1,000 | (65,139,272 | ) |
Futures Positions as of June 30, 2023 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX Futures (Cboe) |
Short | July 2023 | 5,241 | $ | 15.01 | 1,000 | $ | (78,672,651 | ) | |||||||||||
VIX Futures (Cboe) |
Short | August 2023 | 3,810 | 16.40 | 1,000 | (62,485,143 | ) |
Futures Positions as of June 30, 2024 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
WTI Crude Oil (NYMEX) |
Long | September 2024 | 713 | $ | 80.64 | 1,000 | $ | 57,496,320 | ||||||||||||
WTI Crude Oil (NYMEX) |
Long | December 2024 | 757 | 78.34 | 1,000 | 59,303,380 | ||||||||||||||
WTI Crude Oil (NYMEX) |
Long | June 2025 | 783 | 75.26 | 1,000 | 58,928,580 |
Swap Agreements as of June 30, 2024 |
||||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index |
Citibank, N.A. | Long | $ | 92.4892 | $ | 188,892,450 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index |
Goldman Sachs International | Long | 92.4892 | 259,202,833 | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index |
Morgan Stanley & Co. International PLC | Long | 92.4892 | 78,742,345 | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index |
Societe Generale | Long | 92.4892 | 196,752,460 | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index |
UBS AG | Long | 92.4892 | 155,618,166 |
Futures Positions as of June 30, 2023 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
WTI Crude Oil (NYMEX) |
Long | September 2023 | 2,315 | $ | 70.78 | 1,000 | $ | 163,855,700 | ||||||||||||
WTI Crude Oil (NYMEX) |
Long | December 2023 | 2,393 | 70.40 | 1,000 | 168,467,200 | ||||||||||||||
WTI Crude Oil (NYMEX) |
Long | June 2024 | 2,478 | 69.02 | 1,000 | 171,031,560 |
Swap Agreements as of June 30, 2023 |
||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index |
Citibank, N.A. | Long | $ | 76.6109 | $ | 172,685,565 | ||||||
Bloomberg Commodity Balanced WTI Crude Oil Index |
Goldman Sachs International | Long | 76.6109 | 214,703,580 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index |
Morgan Stanley & Co. International PLC |
Long | 76.6109 | 179,707,950 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index |
Societe Generale | Long | 76.6109 | 162,974,521 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index |
UBS AG | Long | 76.6109 | 242,623,120 |
Futures Positions as of June 30, 2024 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Natural Gas (NYMEX) |
Long | September 2024 | 41,612 | $ | 2.60 | 10,000 | $ | 1,081,079,760 |
Futures Positions as of June 30, 2023 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Natural Gas (NYMEX) |
Long | September 2023 | 71,349 | $ | 2.77 | 10,000 | $ | 1,979,221,260 |
Foreign Currency Forward Contracts as of June 30, 2024 |
||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||
Euro |
Goldman Sachs International | Long | 07/12/24 | 4,686,921 | 1.0846 | $ | 5,083,455 | |||||||||||||
Euro |
UBS AG | Long | 07/12/24 | 5,951,502 | 1.0849 | 6,456,765 | ||||||||||||||
Euro |
UBS AG | Short | 07/12/24 | (193,000 | ) | 1.0713 | (206,764 | ) |
Foreign Currency Forward Contracts as of June 30, 2023 |
||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||
Euro |
Goldman Sachs International | Long | 07/14/23 | 7,784,921 | 1.0754 | $ | 8,372,037 | |||||||||||||
Euro |
UBS AG | Long | 07/14/23 | 7,204,502 | 1.0765 | 7,755,419 | ||||||||||||||
Euro |
Goldman Sachs International | Short | 07/14/23 | (93,000 | ) | 1.0899 | (101,361 | ) | ||||||||||||
Euro |
UBS AG | Short | 07/14/23 | (1,152,000 | ) | 1.0907 | (1,256,509 | ) |
Futures Positions as of June 30, 2024 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Gold Futures (COMEX) |
Long | August 2024 | 582 | $ | 2,339.60 | 100 | $ | 136,164,720 |
Swap Agreements as of June 30, 2024 |
||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg Gold Subindex |
Citibank, N.A. | Long | $ | 230.1139 | $ | 127,422,794 | ||||||
Bloomberg Gold Subindex |
Goldman Sachs International | Long | 230.1139 | 60,521,797 | ||||||||
Bloomberg Gold Subindex |
UBS AG | Long | 230.1139 | 108,811,563 |
Futures Positions as of June 30, 2023 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Gold Futures (COMEX) |
Long | August 2023 | 530 | $ | 1,929.40 | 100 | $ | 102,258,200 |
Swap Agreements as of June 30, 2023 |
||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg Gold Subindex |
Citibank, N.A. | Long | $ | 201.2774 | $ | 111,454,930 | ||||||
Bloomberg Gold Subindex |
Goldman Sachs International | Long | 201.2774 | 52,937,566 | ||||||||
Bloomberg Gold Subindex |
UBS AG | Long | 201.2774 | 95,175,948 |
Futures Positions as of June 30, 2024 |
||||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
Silver Futures (COMEX) |
Long | September 2024 | 3,130 | $ | 29.56 | 5,000 | $ | 462,614,000 |
Swap Agreements as of June 30, 2024 |
||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg Silver Subindex |
Citibank, N.A. | Long | $ | 240.0401 | $ | 302,102,674 | ||||||
Bloomberg Silver Subindex |
Goldman Sachs International | Long | 240.0401 | 26,589,962 | ||||||||
Bloomberg Silver Subindex |
Morgan Stanley & Co. International PLC |
Long | 240.0401 | 180,402,617 | ||||||||
Bloomberg Silver Subindex |
UBS AG | Long | 240.0401 | 169,794,092 |
Futures Positions as of June 30, 2023 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Silver Futures (COMEX) |
Long | September 2023 | 2,047 | $ | 23.02 | 5,000 | $ | 235,609,700 |
Swap Agreements as of June 30, 2023 |
||||||||||||
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg Silver Subindex |
Citibank, N.A. | Long | $ | 198.4659 | $ | 166,412,438 | ||||||
Bloomberg Silver Subindex |
Goldman Sachs International | Long | 198.4659 | 21,984,663 | ||||||||
Bloomberg Silver Subindex |
Morgan Stanley & Co. International PLC |
Long | 198.4659 | 149,157,444 | ||||||||
Bloomberg Silver Subindex |
UBS AG | Long | 198.4659 | 140,386,283 |
Futures Positions as of June 30, 2024 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX Futures (Cboe) |
Long | July 2024 | 13,989 | $ | 14.02 | 1,000 | $ | 196,164,949 | ||||||||||||
VIX Futures (Cboe) |
Long | August 2024 | 10,175 | 14.94 | 1,000 | 152,016,535 |
Futures Positions as of June 30, 2023 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX Futures (Cboe) |
Long | July 2023 | 21,591 | $ | 15.01 | 1,000 | $ | 324,102,501 | ||||||||||||
VIX Futures (Cboe) |
Long | August 2023 | 15,704 | 16.40 | 1,000 | 257,550,311 |
Foreign Currency Forward Contracts as of June 30, 2024 |
||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||
Yen |
Goldman Sachs International | Long | 07/12/24 | 6,727,184,056 | 0.006440 | $ | 43,324,400 | |||||||||||||
Yen |
UBS AG | Long | 07/12/24 | 7,961,290,856 | 0.006415 | 51,074,385 | ||||||||||||||
Yen |
UBS AG | Short | 07/12/24 | (384,862,000 | ) | 0.006303 | (2,425,712 | ) |
Foreign Currency Forward Contracts as of June 30, 2023 |
||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||
Yen |
Goldman Sachs International | Long | 07/14/23 | 1,507,359,517 | 0.007217 | $ | 10,877,886 | |||||||||||||
Yen |
UBS AG | Long | 07/14/23 | 2,188,352,856 | 0.007161 | 15,670,467 | ||||||||||||||
Yen |
Goldman Sachs International | Short | 07/14/23 | (1,461 | ) | 0.006844 | (10 | ) | ||||||||||||
Yen |
UBS AG | Short | 07/14/23 | (158,537,000 | ) | 0.007066 | (1,120,148 | ) |
Futures Positions as of June 30, 2024 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
WTI Crude Oil (NYMEX) |
Short | September 2024 | 1,443 | $ | 80.64 | 1,000 | $ | (116,363,520 | ) | |||||||||||
WTI Crude Oil (NYMEX) |
Short | December 2024 | 1,526 | 78.34 | 1,000 | (119,546,840 | ) | |||||||||||||
WTI Crude Oil (NYMEX) |
Short | June 2025 | 1,585 | 75.26 | 1,000 | (119,287,100 | ) |
Futures Positions as of June 30, 2023 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
WTI Crude Oil (NYMEX) |
Short | September 2023 | 1,038 | $ | 70.78 | 1,000 | $ | (73,469,640 | ) | |||||||||||
WTI Crude Oil (NYMEX) |
Short | December 2023 | 1,073 | 70.40 | 1,000 | (75,539,200 | ) | |||||||||||||
WTI Crude Oil (NYMEX) |
Short | June 2024 | 1,111 | 69.02 | 1,000 | (76,681,220 | ) |
Futures Positions as of June 30, 2024 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Natural Gas (NYMEX) |
Short | September 2024 | 11,339 | $ | 2.60 | 10,000 | $ | (294,587,220 | ) |
Futures Positions as of June 30, 2023 |
||||||||||||||||||||
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Natural Gas (NYMEX) |
Short | September 2023 | 10,189 | $ | 2.77 | 10,000 | $ | (282,642,860 | ) |
Foreign Currency Forward Contracts as of June 30, 2024 |
||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||
Euro |
Goldman Sachs International | Long | 07/12/24 | 828,000 | 1.0744 | $ | 889,628 | |||||||||||||
Euro |
UBS AG | Long | 07/12/24 | 2,335,000 | 1.0782 | 2,517,632 | ||||||||||||||
Euro |
Goldman Sachs International | Short | 07/12/24 | (38,212,263 | ) | 1.0847 | (41,448,956 | ) | ||||||||||||
Euro |
UBS AG | Short | 07/12/24 | (36,370,199 | ) | 1.0836 | (39,409,584 | ) |
Foreign Currency Forward Contracts as of June 30, 2023 |
||||||||||||||||||||
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||
Euro |
Goldman Sachs International | Long | 07/14/23 | 4,446,000 | 1.1002 | $ | 4,891,387 | |||||||||||||
Euro |
UBS AG | Long | 07/14/23 | 12,460,000 | 1.0897 | 13,577,549 | ||||||||||||||
Euro |
Goldman Sachs International | Short | 07/14/23 | (51,941,263 | ) | 1.0759 | (55,884,697 | ) | ||||||||||||
Euro |
UBS AG | Short | 07/14/23 | (58,308,199 | ) | 1.0763 | (62,758,994 | ) |
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Gold Futures (COMEX) |
Short | August 2024 | 58 | $ | 2,339.60 | 100 | $ | (13,569,680 | ) |
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg Gold Subindex |
Citibank, N.A. | Short | $ | 230.1139 | $ | (4,325,519 | ) | |||||
Bloomberg Gold Subindex |
Goldman Sachs International | Short | 230.1139 | (5,669,086 | ) | |||||||
Bloomberg Gold Subindex |
UBS AG | Short | 230.1139 | (8,768,527 | ) |
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Gold Futures (COMEX) |
Short | August 2023 | 79 | $ | 1,929.40 | 100 | $ | (15,242,260 | ) |
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg Gold Subindex |
Citibank, N.A. | Short | $ | 201.2774 | $ | (3,783,471 | ) | |||||
Bloomberg Gold Subindex |
Goldman Sachs International | Short | 201.2774 | (4,958,670 | ) | |||||||
Bloomberg Gold Subindex |
UBS AG | Short | 201.2774 | (7,669,707 | ) |
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Silver Futures (COMEX) |
Short | September 2024 | 706 | $ | 29.56 | 5,000 | $ | (104,346,800 | ) |
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg Silver Subindex |
Citibank, N.A. | Short | $ | 240.0401 | $ | (21,477,041 | ) | |||||
Bloomberg Silver Subindex |
Goldman Sachs International | Short | 240.0401 | (11,791,490 | ) | |||||||
Bloomberg Silver Subindex |
Morgan Stanley & Co. International PLC |
Short | 240.0401 | (1,626,512 | ) | |||||||
Bloomberg Silver Subindex |
UBS AG | Short | 240.0401 | (13,101,894 | ) |
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
Silver Futures (COMEX) |
Short | September 2023 | 139 | $ | 23.02 | 5,000 | $ | (15,998,900 | ) |
Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
Bloomberg Silver Subindex |
Citibank, N.A. | Short | $ | 198.4659 | $ | (2,676,258 | ) | |||||
Bloomberg Silver Subindex |
Goldman Sachs International | Short | 198.4659 | (9,749,240 | ) | |||||||
Bloomberg Silver Subindex |
Morgan Stanley & Co. International PLC |
Short | 198.4659 | (7,708,614 | ) | |||||||
Bloomberg Silver Subindex |
UBS AG | Short | 198.4659 | (2,464,968 | ) |
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||
Yen |
UBS AG | Long | 07/12/24 | 1,368,727,000 | 0.006384 | $ | 8,738,292 | |||||||||||||
Yen |
Goldman Sachs International | Short | 07/12/24 | (8,022,884,165 | ) | 0.006440 | (51,668,966 | ) | ||||||||||||
Yen |
UBS AG | Short | 07/12/24 | (8,533,259,574 | ) | 0.006422 | (54,800,030 | ) |
Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||
Yen |
UBS AG | Long | 07/14/23 | 1,228,677,000 | 0.007157 | $ | 8,793,482 | |||||||||||||
Yen |
Goldman Sachs International | Short | 07/14/23 | (3,428,392,165 | ) | 0.007206 | (24,704,991 | ) | ||||||||||||
Yen |
UBS AG | Short | 07/14/23 | (5,596,567,574 | ) | 0.007187 | (40,224,318 | ) |
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
VIX Futures (Cboe) |
Long | October 2024 | 367 | $ | 18.18 | 1,000 | $ | 6,671,142 | ||||||||||||||
VIX Futures (Cboe) |
Long | November 2024 | 633 | 17.33 | 1,000 | 10,966,725 | ||||||||||||||||
VIX Futures (Cboe) |
Long | December 2024 | 633 | 17.30 | 1,000 | 10,951,280 | ||||||||||||||||
VIX Futures (Cboe) |
Long | January 2025 | 267 | 17.95 | 1,000 | 4,792,650 |
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||||
VIX Futures (Cboe) |
Long | October 2023 | 501 | $ | 18.35 | 1,000 | $ | 9,192,799 | ||||||||||||||
VIX Futures (Cboe) |
Long | November 2023 | 865 | 18.85 | 1,000 | 16,305,250 | ||||||||||||||||
VIX Futures (Cboe) |
Long | December 2023 | 865 | 19.15 | 1,000 | 16,564,750 | ||||||||||||||||
VIX Futures (Cboe) |
Long | January 2024 | 364 | 20.20 | 1,000 | 7,352,800 |
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX Futures (Cboe) |
Long | July 2024 | 5,961 | $ | 14.02 | 1,000 | $ | 83,589,911 | ||||||||||||
VIX Futures (Cboe) |
Long | August 2024 | 4,335 | 14.94 | 1,000 | 64,765,767 |
Contract |
Long or Short |
Expiration |
Contracts |
Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
VIX Futures (Cboe) |
Long | July 2023 | 8,545 | $ | 15.01 | 1,000 | $ | 128,268,995 | ||||||||||||
VIX Futures (Cboe) |
Long | August 2023 | 6,216 | 16.40 | 1,000 | 101,944,265 |
a) | None. |
b) | Not applicable. |
c) | The Trust does not purchase shares directly from its shareholders. The following table summarizes the redemptions by Authorized Participants during the six months ended June 30, 2024: |
Title of Securities Registered * |
Total Number of Shares Redeemed |
Average Price Per Share |
||||||||||
ProShares Short VIX Short-Term Futures ETF** |
||||||||||||
Common Units of Beneficial Interest |
||||||||||||
04/01/24 to 04/30/24 |
550,000 |
$ |
54.77 |
|||||||||
05/01/24 to 05/31/24 |
450,000 |
$ |
57.87 |
|||||||||
06/01/24 to 06/30/24 |
50,000 |
$ |
60.70 |
|||||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||||||
Common Units of Beneficial Interest |
||||||||||||
04/01/24 to 04/30/24 |
2,100,000 |
$ |
34.10 |
|||||||||
05/01/24 to 05/31/24 |
1,250,000 |
$ |
31.99 |
|||||||||
06/01/24 to 06/30/24 |
3,950,000 |
$ |
31.98 |
|||||||||
ProShares Ultra Bloomberg Natural Gas |
||||||||||||
Common Units of Beneficial Interest |
||||||||||||
04/01/24 to 04/30/24 |
11,250,000 |
$ |
14.28 |
|||||||||
05/01/24 to 05/31/24 |
14,550,000 |
$ |
18.54 |
|||||||||
06/01/24 to 06/30/24 |
8,100,000 |
$ |
20.15 |
|||||||||
ProShares Ultra Euro |
||||||||||||
Common Units of Beneficial Interest |
||||||||||||
04/01/24 to 04/30/24 |
100,000 |
$ |
11.08 |
|||||||||
05/01/24 to 05/31/24 |
— |
$ |
— |
|||||||||
06/01/24 to 06/30/24 |
— |
$ |
— |
ProShares Ultra Gold |
||||||||||||
Common Units of Beneficial Interest |
||||||||||||
04/01/24 to 04/30/24 |
150,000 |
$ |
78.96 |
|||||||||
05/01/24 to 05/31/24 |
150,000 |
$ |
80.15 |
|||||||||
06/01/24 to 06/30/24 |
250,000 |
$ |
77.88 |
|||||||||
ProShares Ultra Silver |
||||||||||||
Common Units of Beneficial Interest |
||||||||||||
04/01/24 to 04/30/24 |
2,000,000 |
$ |
35.69 |
|||||||||
05/01/24 to 05/31/24 |
1,300,000 |
$ |
43.37 |
|||||||||
06/01/24 to 06/30/24 |
750,000 |
$ |
38.17 |
|||||||||
ProShares Ultra VIX Short-Term Futures ETF** |
||||||||||||
Common Units of Beneficial Interest |
||||||||||||
04/01/24 to 04/30/24 |
3,931,248 |
$ |
36.38 |
|||||||||
05/01/24 to 05/31/24 |
650,000 |
$ |
26.36 |
|||||||||
06/01/24 to 06/30/24 |
1,450,000 |
$ |
24.40 |
|||||||||
ProShares Ultra Yen |
||||||||||||
Common Units of Beneficial Interest |
||||||||||||
04/01/24 to 04/30/24 |
— |
$ |
— |
|||||||||
05/01/24 to 05/31/24 |
100,000 |
$ |
22.70 |
|||||||||
06/01/24 to 06/30/24 |
— |
$ |
— |
|||||||||
ProShares UltraShort Bloomberg Crude Oil |
||||||||||||
Common Units of Beneficial Interest |
||||||||||||
04/01/24 to 04/30/24 |
2,350,000 |
$ |
15.53 |
|||||||||
05/01/24 to 05/31/24 |
1,600,000 |
$ |
16.71 |
|||||||||
06/01/24 to 06/30/24 |
1,250,000 |
$ |
17.74 |
|||||||||
ProShares UltraShort Bloomberg Natural Gas** |
||||||||||||
Common Units of Beneficial Interest |
||||||||||||
04/01/24 to 04/30/24 |
750,000 |
$ |
72.68 |
|||||||||
05/01/24 to 05/31/24 |
2,900,000 |
$ |
53.29 |
|||||||||
06/01/24 to 06/30/24 |
2,000,000 |
$ |
42.56 |
|||||||||
ProShares UltraShort Euro |
||||||||||||
Common Units of Beneficial Interest |
||||||||||||
04/01/24 to 04/30/24 |
50,000 |
$ |
31.58 |
|||||||||
05/01/24 to 05/31/24 |
50,000 |
$ |
30.78 |
|||||||||
06/01/24 to 06/30/24 |
— |
$ |
— |
|||||||||
ProShares UltraShort Gold |
||||||||||||
Common Units of Beneficial Interest |
||||||||||||
04/01/24 to 04/30/24 |
200,000 |
$ |
20.99 |
|||||||||
05/01/24 to 05/31/24 |
50,000 |
$ |
21.65 |
|||||||||
06/01/24 to 06/30/24 |
100,000 |
$ |
21.68 |
|||||||||
ProShares UltraShort Silver |
||||||||||||
Common Units of Beneficial Interest |
||||||||||||
04/01/24 to 04/30/24 |
850,000 |
$ |
13.97 |
|||||||||
05/01/24 to 05/31/24 |
400,000 |
$ |
12.20 |
|||||||||
06/01/24 to 06/30/24 |
1,000,000 |
$ |
10.94 |
|||||||||
ProShares UltraShort Yen |
||||||||||||
Common Units of Beneficial Interest |
||||||||||||
04/01/24 to 04/30/24 |
— |
$ |
— |
|||||||||
05/01/24 to 05/31/24 |
50,000 |
$ |
87.79 |
|||||||||
06/01/24 to 06/30/24 |
50,000 |
$ |
90.52 |
|||||||||
ProShares VIX Mid-Term Futures ETF |
||||||||||||
Common Units of Beneficial Interest |
||||||||||||
04/01/24 to 04/30/24 |
3,050,000 |
$ |
16.61 |
|||||||||
05/01/24 to 05/31/24 |
100,000 |
$ |
14.74 |
|||||||||
06/01/24 to 06/30/24 |
5,100,000 |
$ |
14.29 |
ProShares VIX Short-Term Futures ETF |
||||||||||||
Common Units of Beneficial Interest |
||||||||||||
04/01/24 to 04/30/24 |
2,250,000 |
$ |
14.20 |
|||||||||
05/01/24 to 05/31/24 |
— |
$ |
— |
|||||||||
06/01/24 to 06/30/24 |
350,000 |
$ |
11.13 |
* | The registration statement covers an indeterminate amount of securities to be offered or sold. |
** | See Note 1 of these Notes to Financial Statements. |
(1) | Filed herewith. |
* | These certifications are furnished to the SEC pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and are deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, nor shall they be deemed incorporated by reference in any filing under the Securities Act of 1933, as amended, except as shall be expressly set forth by specific reference in such filing. |
PROSHARES TRUST II |
/s/ Todd Johnson |
By: Todd Johnson |
Principal Executive Officer |
Date: August 8, 2024 |
/s/ Edward J. Karpowicz |
By: Edward J. Karpowicz |
Principal Financial and Accounting Officer |
Date: August 8, 2024 |