ANNUAL REPORT
MAY 31, 2015
Alternative Solutions
ALTS Morningstar Alternatives Solution ETF
Specialty Equity
TOLZ DJ Brookfield Global Infrastructure ETF
PEX Global Listed Private Equity ETF
CSM Large Cap Core Plus
Dividend Growers
NOBL S&P 500 Dividend Aristocrats ETF
REGL S&P MidCap 400 Dividend Aristocrats ETF
SMDV Russell 2000 Dividend Growers ETF
EFAD MSCI EAFE Dividend Growers ETF
Hedged Fixed Income
HYHG High Yield�CInterest Rate Hedged
IGHG Investment Grade�CInterest Rate Hedged
Global Fixed Income
COBO USD Covered Bond
GGOV German Sovereign/Sub-Sovereign ETF
EMSH Short Term USD Emerging Markets Bond ETF
Hedge Strategies
HDG Hedge Replication ETF
MRGR Merger ETF
RALS RAFI® Long/Short
Inflation
RINF 30 Year TIPS/TSY Spread
Credit
TYTE CDS North American HY Credit ETF
WYDE CDS Short North American HY Credit ETF
Geared
Short MarketCap
SH Short S&P500®
PSQ Short QQQ®
DOG Short Dow30SM
MYY Short MidCap400
RWM Short Russell2000
SBB Short SmallCap600
SDS UltraShort S&P500®
QID UltraShort QQQ®
DXD UltraShort Dow30SM
MZZ UltraShort MidCap400
TWM UltraShort Russell2000
SDD UltraShort SmallCap600
SPXU UltraPro Short S&P500®
SQQQ UltraPro Short QQQ®
SDOW UltraPro Short Dow30SM
SMDD UltraPro Short MidCap400
SRTY UltraPro Short Russell2000
Short Sector
SBM Short Basic Materials
SEF Short Financials
DDG Short Oil & Gas
REK Short Real Estate
KRS Short S&P Regional Banking
SMN UltraShort Basic Materials
BIS UltraShort Nasdaq Biotechnology
SZK UltraShort Consumer Goods
SCC UltraShort Consumer Services
SKF UltraShort Financials
GDXS UltraShort Gold Miners
GDJS UltraShort Junior Miners
RXD UltraShort Health Care
SIJ UltraShort Industrials
DUG UltraShort Oil & Gas
SRS UltraShort Real Estate
SSG UltraShort Semiconductors
REW UltraShort Technology
TLL UltraShort Telecommunications
SDP UltraShort Utilities
FINZ UltraPro Short Financials
Short International
EFZ Short MSCI EAFE
EUM Short MSCI Emerging Markets
YXI Short FTSE China 50
EFU UltraShort MSCI EAFE
EEV UltraShort MSCI Emerging Markets
EPV UltraShort FTSE Europe
JPX UltraShort MSCI Pacific ex-Japan
BZQ UltraShort MSCI Brazil Capped
FXP UltraShort FTSE China 50
EWV UltraShort MSCI Japan
SMK UltraShort MSCI Mexico Capped IMI
Short Fixed Income
TBX Short 7-10 Year Treasury
TBF Short 20+ Year Treasury
SJB Short High Yield
IGS Short Investment Grade Corporate
TBZ UltraShort 3-7 Year Treasury
PST UltraShort 7-10 Year Treasury
TBT UltraShort 20+ Year Treasury
TPS UltraShort TIPS
TTT UltraPro Short 20+ Year Treasury
Ultra MarketCap
SSO Ultra S&P500®
QLD Ultra QQQ®
DDM Ultra Dow30SM
MVV Ultra MidCap400
UWM Ultra Russell2000
SAA Ultra SmallCap600
UPRO UltraPro S&P500®
TQQQ UltraPro QQQ®
UDOW UltraPro Dow30SM
UMDD UltraPro MidCap400
URTY UltraPro Russell2000
Ultra Sector
UYM Ultra Basic Materials
BIB Ultra Nasdaq Biotechnology
UGE Ultra Consumer Goods
UCC Ultra Consumer Services
UYG Ultra Financials
GDXX Ultra Gold Miners
GDJJ Ultra Junior Miners
RXL Ultra Health Care
UXI Ultra Industrials
DIG Ultra Oil & Gas
URE Ultra Real Estate
KRU Ultra S&P Regional Banking
USD Ultra Semiconductors
ROM Ultra Technology
LTL Ultra Telecommunications
UPW Ultra Utilities
FINU UltraPro Financials
Ultra International
EFO Ultra MSCI EAFE
EET Ultra MSCI Emerging Markets
UPV Ultra FTSE Europe
UXJ Ultra MSCI Pacific ex-Japan
UBR Ultra MSCI Brazil Capped
XPP Ultra FTSE China 50
EZJ Ultra MSCI Japan
UMX Ultra MSCI Mexico Capped IMI
Ultra Fixed Income
UST Ultra 7-10 Year Treasury
UBT Ultra 20+ Year Treasury
UJB Ultra High Yield
IGU Ultra Investment Grade Corporate
PROSHARES TRUST Distributor: SEI Investments Distribution Co.
TABLE OF CONTENTS
I |
Shareholder Letter |
||||||
II |
Management Discussion of Fund Performance |
||||||
CXXIII |
Expense Examples |
||||||
1 |
Schedule of Portfolio Investments |
||||||
2 |
Alternative Solutions |
||||||
3 |
Specialty Equity |
||||||
11 |
Dividend Growers |
||||||
19 |
Hedged Fixed Income |
||||||
29 |
Global Fixed Income |
||||||
35 |
Hedge Strategies |
||||||
45 |
Inflation |
||||||
47 |
Credit |
||||||
49 |
Geared |
||||||
236 |
Statements of Assets and Liabilities |
257 |
Statements of Operations |
||||||
278 |
Statements of Changes in Net Assets |
||||||
318 |
Financial Highlights |
||||||
371 |
Notes to Financial Statements |
||||||
415 |
Report of Independent Registered Public Accounting Firm |
||||||
416 |
Board Approval of Investment Advisory Agreement |
||||||
419 |
Federal Tax Information |
||||||
420 |
Proxy Voting & Quarterly Portfolio Holdings Information |
||||||
421 |
Trustees and Officers of ProShares Trust |
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DEAR SHAREHOLDER:
I am pleased to present the ProShares Trust Annual Report for the 12 months ended May 31, 2015.
Stock markets mixed
Stock markets around the world posted mixed results for the 12-month period. U.S. markets enjoyed solid gains, but many foreign markets were up only slightly or down in U.S. dollar terms, mainly because of significant dollar appreciation during the year.
U.S. markets continued their steady rise, with the S&P 500® up 11.8%, the Dow® up 10.3%, the S&P MidCap 400® up 12.3% and the Russell 2000® Index up 11.3%. The economy continues to improve, despite a weak first quarter, and the job market is the strongest it has been since before the financial crisis. This has supported continued stock market strength in the United States.
Nine out of 10 Dow Jones U.S. Industry IndexesSM gained during the 12-month period. Health Care, Consumer Services and Technology led the pack, up 29.0%, 19.7%, and 18.3%, respectively, benefiting from the strong U.S. economy. Oil and Gas, on the other hand, declined 16.3% as a result of a sharp drop in oil prices.
Outside the United States, the MSCI All Country World Index ex-US declined 0.9% and the MSCI EAFE Index, which tracks developed markets outside North America, was down slightly at -0.5%. These results are somewhat misleading, however, as many markets had solid gains in local currency terms. European stocks were down 4.8%, as measured by the MSCI Europe Index, which is quoted in U.S. dollars. But in euro terms, European stocks enjoyed a solid rally, driven by the European Central Bank's stimulus program and signs the eurozone economy is turning the corner. Japanese stocks were up 16.0%, as measured by the MSCI Japan Index, but in yen terms, the gains were much greater. Stellar corporate earnings, helped by a weak yen and the Japanese central bank's monetary stimulus program, provided a huge lift for stocks, driving the Nikkei 225 Index to its highest level in 15 years. Emerging markets were flat at -0.0%, as measured by the MSCI Emerging Markets Index, though some local markets had solid performances benefiting from lower oil
prices, the stimulus programs in Europe and Japan, and the U.S. Federal Reserve's delay in raising interest rates.
Bond markets soldier on
Bond markets had positive results for the 12-month period, with the Barclays U.S. Aggregate Bond Index up 3.0%. Treasurys posted strong returns, with the Ryan Labs Treasury 10 Year Index up 5.6% and the Ryan Labs Treasury 30 Year Index up 12.2%. Credit markets were somewhat weaker. Investment grade credit gained 2.9%, as measured by the Markit iBoxx $ Liquid Investment Grade Index, and high yield bonds were up 1.4%, as measured by the Markit iBoxx $ Liquid High Yield Index.
ProShares lineup expands
During the period, ProShares continued to expand its lineup of alternative ETFs. New funds include ETFs offering long and short "pure" exposure to high yield credit (TYTE and WYDE); ETFs focused on the companies with the longest track records of dividend growth of the MSCI EAFE Index (EFAD), the S&P MidCap 400 (REGL) and the Russell 2000 Index (SMDV); a diversified alternatives strategy ETF (ALTS); and ETFs offering 2x and -2x exposure to gold miners (GDXX, GDXS) and junior miners (GDJJ, GDJS). Then, in June, we launched currency hedged ETFs for Europe (HGEU) and Japan (HGJP), and six new geared ETFs offering exposure to the biotechnology (UBIO, ZBIO), homebuilding (HBU, HBZ), and oil and gas exploration and production sectors (UOP, SOP). To learn more, visit ProShares.com.
We appreciate your continued trust and confidence in ProShares.
Sincerely,
Michael Sapir
Chairman of the Board of Trustees
PROSHARES.COM :: I
MANAGEMENT DISCUSSION
OF FUND
PERFORMANCE
II :: MAY 31, 2015 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
Investment Strategies and Techniques:
One hundred and seven (107) ProShares exchange-traded funds ("ETFs") were in existence for the entire period covered by this annual report. Ten (10) ETFs were launched during this period (each ProShares ETF, a "Fund" and, collectively, the "Funds").
Certain Funds are designed to match, before fees and expenses, the performance of an underlying index1 both on a single day and over time (each a "Matching Fund" and, collectively, the "Matching Funds").2 Certain other Funds are actively managed and are designed to meet a specified investment objective (each an "Active Fund" and, collectively, the "Active Funds")3.
All other ProShares are "geared" funds (each, a "Geared Fund" and, collectively, the "Geared Funds"). Each Geared Fund seeks daily investment results, before fees and expenses, that correspond to a multiple (i.e., 3x or 2x), the inverse (i.e., -1x) or an inverse multiple (i.e., -3x or -2x) of the daily performance of an underlying index. This means such Funds seek investment results for a single day only, as measured from the time the Fund calculates its net asset value ("NAV") to the time of the Fund's next NAV calculation, not for longer periods. The return of such a Fund for a period longer than a single day will be the result of each day's returns compounded over the period, which will very likely differ from the Fund's stated leveraged, inverse, or inverse leveraged multiple times the return of the Fund's index for that period. During periods of higher market volatility, the volatility of a Fund's index may affect the Fund's return as much as or more than the return of the index.
ProShare Advisors LLC ("PSA"), the Funds' investment adviser, uses a passive approach in seeking to achieve the investment objective of each Matching and Geared Fund. Using this approach, PSA determines the type, quantity and mix of investment positions that a Fund should hold to approximate the daily performance of its index. For the Active Funds, ProShare Advisors uses its discretion to invest the assets of each Fund in the manner it believes is best suited to meet the Fund's investment objective.
For the Matching and Geared Funds, PSA does not invest the assets of the Funds in securities or financial instruments based on its view of the investment merit of a particular security, instrument, or company. In addition, PSA does not conduct conventional research or analysis; forecast market movements, trends or market conditions; or take defensive positions in managing assets of the Funds.
The Funds, other than the ProShares Morningstar Alternatives Solution ETF (ALTS), ProShares DJ Brookfield Global Infrastructure ETF (TOLZ), ProShares Global Listed Private Equity (PEX), ProShares S&P 500 Aristocrats ETF (NOBL), ProShares S&P MidCap 400 Dividend Aristocrats ETF (REGL), ProShares Russell 2000 Dividend Growers ETF (SMDV), ProShares MSCI EAFE Dividend Growers ETF (EFAD),
ProShares USD Covered Bond (COBO), ProShares German Sovereign/Sub-Sovereign ETF (GGOV), and ProShares Short Term USD Emerging Markets Bond ETF (EMSH), make significant use of investment techniques that may be considered aggressive, including the use of swap agreements, credit default swaps, futures contracts, forward contracts, and similar instruments ("derivatives"). Funds using these techniques are exposed to risks different from, or possibly greater than, the risks associated with investing directly in securities, including one or more of the following: counterparty risk (i.e., the risk that a counterparty is unable or unwilling to make timely payments) on the amount the Fund expects to receive from a derivatives counterparty, liquidity risk (i.e., the ability of a Fund to acquire or dispose of certain holdings quickly or at prices that represent true market value in the judgment of PSA) and increased correlation risk (i.e., the Fund's ability to achieve a high degree of correlation with its index). If a counterparty becomes bankrupt, or fails to perform its obligations, the value of an investment in the Fund may decline. With respect to swaps and forward contracts, the Funds seek to mitigate these risks by generally requiring derivatives counterparties to post collateral for the benefit of each Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owes the Fund, subject to certain minimum thresholds. The Funds typically enter into derivatives with counterparties that are major, global financial institutions. Any costs associated with using derivatives will have the effect of lowering the Fund's return.
Factors that Materially Affected the Performance of Each Fund during the Year Ended May 31, 20154:
Primary factors affecting Fund performance, before fees and expenses, include the following: the total return of the securities and derivatives held by the Funds, including the performance of the reference assets to which any derivatives are linked, financing rates paid or earned by the Fund associated with cash and, in certain cases, derivative positions; stock dividends, premiums and bond yields paid or earned by the Fund (including those included in the total return of derivatives contracts); the types of derivative contracts used by the Funds and their correlation to the relevant benchmark or asset fees, expenses, and transaction costs; other miscellaneous factors; and, in the case of the Geared Funds, the volatility of the Fund's index (and its impact on compounding).
• Index Performance: The performance of each Fund's index (if applicable) and, in turn, the factors and market conditions affecting that index are principal factors driving Fund performance.5
• Active Management: The ability of the Advisor to successfully invest the assets of each Active Fund such that the Active Fund meets its investment objective.
1 The term "index" as used herein includes the Merrill Lynch Factor Model-Exchange Series benchmark.
2 As of May 31, 2015, the Matching Funds are: ProShares Morningstar Alternatives Solution ETF (ALTS); ProShares DJ Brookfield Global Infrastructure ETF (TOLZ); ProShares Global Listed Private Equity ETF (PEX); ProShares Large Cap Core Plus (CSM); ProShares S&P 500 Dividend Aristocrats ETF (NOBL); ProShares S&P MidCap 400 Dividend Aristocrats ETF (REGL), ProShares Russell 2000 Dividend Growers ETF (SMDV); ProShares MSCI EAFE Dividend Growers ETF (EFAD); ProShares High Yield-Interest Rate Hedged (HYHG); ProShares Investment Grade-Interest Rate Hedged (IGHG); ProShares USD Covered Bond (COBO); ProShares German Sovereign/Sub-Sovereign ETF (GGOV); ProShares Short Term USD Emerging Markets Bond ETF (EMSH); ProShares Hedge Replication ETF (HDG); ProShares Merger ETF (MRGR); ProShares RAFI® Long/Short (RALS); and ProShares 30 Year TIPS/TSY Spread (RINF).
3 As of May 31, 2015, the Active Funds are ProShares CDS North American HY Credit ETF (TYTE) and ProShares CDS Short North American HY Credit ETF (WYDE).
4 Past performance is not a guarantee of future results.
5 Unlike the Funds, indexes that serve as benchmarks for the Funds do not actually hold a portfolio of securities and/or financial instruments. Indexes do not incur fees, expenses and transaction costs. Fees, expenses and transaction costs incurred by the Funds negatively impact the performance of the Funds relative to their Index. Performance of each Geared and Matching Fund will generally differ from the performance of the Fund's benchmark index.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: MAY 31, 2015 :: III
• Compounding of Daily Returns and Volatility: Each Geared Fund seeks to return a multiple (i.e., 3x or 2x), the inverse (i.e., -1x) or an inverse multiple (i.e., -3x or -2x) of its index return for a single day only. For longer periods, performance may be greater than or less than the one-day multiple times the index return. This is due to the effects of compounding, which exists in all investments, but has a more significant impact on geared funds. In general, during periods of higher index volatility, compounding will cause Fund performance for periods longer than a single day to be more or less than the multiple of the return of the index. This effect becomes more pronounced as volatility increases. Conversely, in periods of lower index volatility (particularly when combined with higher index returns), Fund returns over longer periods can be higher than the multiple of the return of the index. Actual results for a particular period, before fees and expenses, are also dependent on the following factors:
a) period of time; b) financing rates associated with derivatives; c) other Fund expenses; d) dividends and interest paid with respect to the securities in the index, e) the index's volatility; and f) the index's performance. Longer holding periods, higher index volatility, inverse exposure and/or greater leverage each exacerbates the impact of compounding on a Fund's performance. During periods of higher index volatility, the volatility of an index may affect a Fund's return as much as or more than the return of its index.
Daily volatility for the U.S. equity markets increased slightly from a year ago. The volatility for the S&P 500 for the year ended May 31, 2015, was 11.8%, which was higher than the prior year's volatility of 11.2%. The volatility of each index utilized by a Geared Fund is shown below.
Underlying Index |
One Year Index Volatility
or Since Inception of the Funds* |
||||||
MSCI Brazil 25/50 Index® |
33.5 |
% |
|||||
Market Vectors Global Junior Gold Miners Index* |
33.3 |
% |
|||||
NYSE Arca Gold Miners Index* |
30.6 |
% |
|||||
NASDAQ Biotechnology Index® |
22.4 |
% |
|||||
Dow Jones U.S. Oil & GasSM Index |
21.4 |
% |
|||||
Dow Jones U.S. SemiconductorsSM Index |
20.6 |
% |
|||||
FTSE China 50 Index® |
19.7 |
% |
|||||
S&P Regional Banks Select Industry IndexSM |
18.2 |
% |
|||||
MSCI Mexico IMI 25/50 Index® |
16.8 |
% |
|||||
Dow Jones U.S. UtilitiesSM Index |
15.6 |
% |
|||||
Russell 2000® Index |
15.1 |
% |
|||||
Dow Jones U.S. Basic MaterialsSM Index |
15.1 |
% |
|||||
MSCI Japan Index® |
14.9 |
% |
|||||
Dow Jones U.S. TechnologySM Index |
14.6 |
% |
|||||
Dow Jones U.S. Select TelecommunicationsSM Index |
14.4 |
% |
|||||
S&P SmallCap 600® |
14.3 |
% |
|||||
Dow Jones U.S. Health CareSM Index |
14.3 |
% |
|||||
NASDAQ-100® Index |
13.6 |
% |
|||||
FTSE Developed Europe Index® |
13.4 |
% |
|||||
Dow Jones U.S. IndustrialsSM Index |
13.3 |
% |
|||||
Dow Jones U.S. Real EstateSM Index |
12.9 |
% |
|||||
Barclays U.S. 20+ Year Treasury Bond Index |
12.9 |
% |
|||||
Russell 2000 Dividend Growth Index* |
12.8 |
% |
|||||
Dow Jones U.S. FinancialsSM Index |
12.4 |
% |
|||||
Dow Jones U.S. Consumer ServicesSM Index |
12.3 |
% |
|||||
S&P MidCap 400® |
12.3 |
% |
|||||
MSCI Pacific ex-Japan Index® |
12.2 |
% |
|||||
Credit Suisse 130/30 Large Cap Index |
11.9 |
% |
|||||
Dow Jones Industrial AverageSM |
11.8 |
% |
|||||
S&P 500® Index |
11.8 |
% |
|||||
MSCI EAFE Dividend Masters Index* |
11.6 |
% |
|||||
MSCI Emerging Markets Index® |
11.4 |
% |
|||||
S&P MidCap 400 Dividend Aristocrats Index* |
11.0 |
% |
|||||
S&P 500® Dividend Aristocrats® Index |
10.8 |
% |
|||||
Dow Jones U.S. Consumer GoodsSM Index |
10.6 |
% |
|||||
LPX Direct Listed Private Equity Index |
10.5 |
% |
|||||
MSCI EAFE Index® |
10.4 |
% |
|||||
Dow Jones Brookfield Global Infrastructure Composite Index |
9.9 |
% |
|||||
Markit iBoxx® EUR Germany Sovereign & Sub-Sovereign Liquid Index |
8.7 |
% |
IV :: MAY 31, 2015 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
Underlying Index |
One Year Index Volatility
or Since Inception of the Funds* |
||||||
Credit Suisse 30-Year Inflation Breakeven Index |
7.3 |
% |
|||||
Citi High Yield (Treasury Rate-Hedged) Index |
6.5 |
% |
|||||
Morningstar Diversified Alternatives Index* |
6.0 |
% |
|||||
Barclays U.S. 7-10 Year Treasury Bond Index |
5.5 |
% |
|||||
Markit CDX North American High Yield Index* |
5.1 |
% |
|||||
Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L) |
5.1 |
% |
|||||
Markit iBoxx® $ Liquid Investment Grade Index |
4.9 |
% |
|||||
RAFI® U.S. Equity Long/Short Index |
4.2 |
% |
|||||
Markit iBoxx® $ Liquid High Yield Index |
4.0 |
% |
|||||
Merrill Lynch Factor Model® �� Exchange Series |
3.5 |
% |
|||||
S&P Merger Arbitrage Index |
3.4 |
% |
|||||
DBIQ Short Duration Emerging Market Bond Index |
3.4 |
% |
|||||
Barclays U.S. 3-7 Year Treasury Bond Index |
3.2 |
% |
|||||
Citi Corporate Investment Grade (Treasury Rate-Hedged) Index |
2.4 |
% |
|||||
Solactive® Diversified USD Covered Bond Index |
1.5 |
% |
• Financing Rates Associated with Derivatives: The performance of Funds that use derivatives was impacted by the related financing costs. Instruments such as futures carry implied financing costs. Forward and Swap financing rates are negotiated between the Funds and the counterparties, and are typically set at the one-week/one-month London Interbank Offered Rate ("LIBOR") plus or minus a negotiated spread. The one-week LIBOR appreciated from 0.12% to 0.15% during the fiscal year. The one-month LIBOR also appreciated during the fiscal year from 0.15% to 0.18%. Each Fund with long exposure via derivatives was generally negatively affected by financing rates. Conversely, each Fund with short/inverse derivative exposure generally benefited from financing rates. In certain market environments, LIBOR adjusted by the spread may result in a Fund with short/inverse exposure also being negatively affected by financing rates.
• Stock Dividends and Bond Yields: The performance of Funds that provide long or leveraged long exposure was positively impacted by capturing the dividend, premium or income yield of the underlying assets to which they have exposure. The performance of Funds that provide inverse or leveraged inverse exposure was negatively impacted by virtue of effectively having to pay out the dividend, premium or income yield (or a multiple thereof, as applicable) associated with the assets to which they have short exposure.
• Fees, Expenses, and Transaction Costs: Fees and expenses are listed in the financial statements of each Fund and, with the exception of certain of the Matching and Active Funds, may generally be higher and thus have a more negative impact on performance than compared to many traditional index-based funds. For Geared Funds, daily repositioning of each Fund's portfolio to maintain exposure consistent with its investment objective, high levels of shareholder
creation and redemption activity, and use of leverage may lead to commensurate increases in portfolio transactions and transaction costs which negatively impact the daily NAV of each Fund. Transaction costs are not reflected in the Funds' expense ratio. Transaction costs are generally higher for Funds whose indexes are more volatile, that seek to return a larger daily multiple of its index's return, that seek to return an inverse or inverse multiple of its index's return, that invest in foreign securities, and for Funds that hold or have exposure to assets that are comparatively less liquid than other Funds...
• Miscellaneous factors: Each Fund holds a mix of securities and/or derivatives that is designed to provide returns that correspond to its investment objective. Certain Geared or Matching Funds may obtain exposure to only a representative sample of the securities of their index and may not have investment exposure to all securities of the index or may have weightings that are different from that of its index. Certain Geared or Matching funds may also obtain exposure to securities not contained in the relevant Index or in financial instruments, with the intent of obtaining exposure with aggregate characteristics similar to those of a multiple of the Index.
In addition, certain Funds invested in swap agreements based on ETFs that are designed to track the performance of the Fund's benchmark. Because the closing price of an ETF may not perfectly track the performance of its benchmark, there are deviations between the return of a swap whose reference asset is an ETF and the return of a swap based directly on the Fund's benchmark. Thus, the performance of a Fund investing significantly in swap agreements based on an ETF correlated less with its benchmark than a Fund investing in swap agreements based directly on the Fund's benchmark.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: MAY 31, 2015 :: V
ALTERNATIVE SOLUTIONS PROSHARES
ProShares Morningstar Alternatives Solution ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Morningstar® Diversified Alternatives IndexSM (the "Index"). From inception on October 8, 2014 to May 31, 2015, the Fund had a total return of 1.62%1. For the same period, the Index had a total return of 1.75%2 and a volatility of 6.01%. For the period, the Fund had an average daily volume of 9,959 shares.
The Fund takes positions in exchange-traded funds ("ETFs") that should have similar return characteristics as the Index. The Index is designed to provide diversified exposure to alternative asset classes in order to enhance risk adjusted portfolio returns when combined with a range of traditional investments. It allocates among a comprehensive set of alternative ETFs, each of which is a ProShares ETF, that employ alternative and non-traditional strategies such as long/short, market neutral, managed futures, hedge fund replication, private equity, infrastructure or inflation-related investments.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Morningstar Alternatives Solution ETF from October 8, 2014 to May 31, 2015, assuming the reinvestment of distributions.
Cumulative Total Return as of 5/31/15
Since Inception (10/08/14) |
|||||||
ProShares Morningstar Alternatives Solution ETF |
1.62 |
% |
|||||
Morningstar Diversified Alternatives Index |
1.75 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Morningstar
Alternatives Solution ETF |
1.24 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 8, 2014. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Exchange Traded Funds |
100 |
% |
|||||
Total Exposure |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
ProShares Managed
Futures Strategy ETF |
26.8 |
% |
|||||
ProShares Hedge Replication ETF |
21.1 |
% |
|||||
ProShares Merger ETF |
16.2 |
% |
|||||
ProShares RAFI Long/Short |
13.4 |
% |
|||||
ProShares DJ Brookfield
Global Infrastructure ETF |
12.2 |
% |
Morningstar Diversified Alternatives Index �C Composition
Strategy |
% of Index |
||||||
Managed Futures |
26.8 |
% |
|||||
Hedge Fund Replication |
21.1 |
% |
|||||
Long/Short |
16.2 |
% |
|||||
Market Neutral |
13.4 |
% |
|||||
Infrastructure |
12.2 |
% |
|||||
Private Equity |
7.9 |
% |
|||||
Inflation |
2.4 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
VI :: ALTS MORNINGSTAR ALTERNATIVES SOLUTION ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
SPECIALTY EQUITY PROSHARES
ProShares DJ Brookfield Global Infrastructure ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Dow Jones Brookfield Global Infrastructure Composite Index (the "Index"). For the year ended May 31, 2015, the Fund had a total return of 4.56%1. For the same period, the Index had a total return of 4.22%2 and a volatility of 9.88%. For the period, the Fund had an average daily volume of 6,102 shares.
The Fund takes positions in securities that should have similar return characteristics as the Index. The Index, constructed and maintained by S&P Dow Jones Indices LLC, consists of companies domiciled globally that qualify as "pure-play" infrastructure companies �� companies whose primary business is the ownership and operation of infrastructure assets, activities that generally generate long-term stable cash flows.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares DJ Brookfield Global Infrastructure ETF from March 25, 2014 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (3/25/14) |
||||||||||
ProShares DJ Brookfield
Global Infrastructure ETF |
4.56 |
% |
10.47 |
% |
|||||||
Dow Jones Brookfield Global Infrastructure Composite Index |
4.22 |
% |
10.38 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares DJ Brookfield
Global Infrastructure ETF |
5.91 |
% |
0.45 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
83 |
% |
|||||
Master Limited Partnerships |
16 |
% |
|||||
Investment Companies |
1 |
% |
|||||
Total Exposure |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
National Grid PLC |
7.8 |
% |
|||||
Kinder Morgan, Inc. |
4.5 |
% |
|||||
American Tower Corp. |
3.9 |
% |
|||||
Enbridge, Inc. |
3.7 |
% |
|||||
Crown Castle
International Corp. |
2.7 |
% |
Dow Jones Brookfield Global Infrastructure Composite Index �C Composition
% of Index |
|||||||
Oil & Gas Storage &
Transportation |
31.1 |
% |
|||||
Electricity Transmission & Distribution |
19.7 |
% |
|||||
Master Limited
Partnerships (MLP) |
16.3 |
% |
|||||
Communications |
11.1 |
% |
|||||
Toll Roads |
6.7 |
% |
|||||
Water |
5.9 |
% |
|||||
Airports |
4.1 |
% |
|||||
Diversified |
3.2 |
% |
|||||
Ports |
1.9 |
% |
Dow Jones Brookfield Global Infrastructure Composite Index �C Country
% of Index |
|||||||
United States |
48.8 |
% |
|||||
United Kingdom |
11.8 |
% |
|||||
Canada |
11.3 |
% |
|||||
Other |
5.4 |
% |
|||||
Australia |
4.6 |
% |
|||||
Spain |
4.2 |
% |
|||||
Italy |
3.5 |
% |
|||||
China |
3.5 |
% |
|||||
France |
2.5 |
% |
|||||
Luxembourg |
2.3 |
% |
|||||
Japan |
2.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: DJ BROOKFIELD GLOBAL INFRASTRUCTURE ETF TOLZ :: VII
ProShares Global Listed Private Equity ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the LPX Direct Listed Private Equity Index (the "Index"). For the year ended May 31, 2015, the Fund had a total return of 0.79%1. For the same period, the Index had a total return of 1.16%2 and a volatility of 10.47%. For the period, the Fund had an average daily volume of 4,074 shares.
The Fund takes positions in equity securities that should have similar return characteristics as the Index. The Index, published by LPX GmbH ("LPX"), consists of up to 30 qualifying listed private equity companies. A listed private equity company is an eligible candidate for the Index if its direct private equity investments, as well as cash and cash equivalent positions and post-Initial Public Offering listed investments, represent more than 80% of the total assets of the company.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Global Listed Private Equity ETF from February 26, 2013 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (2/26/13) |
||||||||||
ProShares Global Listed
Private Equity ETF |
0.79 |
% |
9.79 |
% |
|||||||
LPX Direct Listed Private Equity Index |
1.16 |
% |
10.59 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Global Listed
Private Equity ETF |
5.44 |
% |
3.10 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
92 |
% |
|||||
Investment Companies |
6 |
% |
|||||
Master Limited Partnerships |
1 |
% |
|||||
Total Exposure |
99 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
3 |
i Group PLC |
11.2 |
% |
||||
Ares Capital Corp. |
9.5 |
% |
|||||
Onex Corp. |
9.2 |
% |
|||||
American Capital Ltd. |
7.1 |
% |
|||||
Wendel S.A. |
6.7 |
% |
LPX Direct Listed Private Equity Index �C Country
% of Index |
|||||||
United States |
47.3 |
% |
|||||
United Kingdom |
21.1 |
% |
|||||
France |
14.2 |
% |
|||||
Greece |
6.7 |
% |
|||||
South Africa |
4.7 |
% |
|||||
Belgium |
1.8 |
% |
|||||
Canada |
1.4 |
% |
|||||
Switzerland |
1.4 |
% |
|||||
Sweden |
0.8 |
% |
|||||
Germany |
0.6 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
VIII :: PEX GLOBAL LISTED PRIVATE EQUITY ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Large Cap Core Plus (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Credit Suisse 130/30 Large Cap Index (the "Index"). For the year ended May 31, 2015, the Fund had a total return of 10.27%1. For the same period, the Index had a total return of 10.93%2 and a volatility of 11.90%. For the period, the Fund had an average daily volume of 71,307 shares.
The Fund takes positions in securities and/or derivatives that, in combination, should track the performance of the Index. The Index is designed to replicate an investment strategy that establishes either long or short positions in the stocks of certain of the 500 largest U.S. companies based on market capitalization by applying a rules-based ranking and weighting methodology. The Index intends to provide a representation of a quantitatively constructed 130/30 U.S. large cap equity strategy. This results in the Index having total long exposure of 130% and total short exposure of 30% at each monthly reconstitution date.
During the year ended May 31, 2015, the Fund invested in swap agreements as a substitute for investing directly in or taking short positions in the securities of the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares Large Cap Core Plus from July 13, 2009 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (7/13/09) |
|||||||||||||
ProShares Large Cap
Core Plus |
10.27 |
% |
16.58 |
% |
18.34 |
% |
|||||||||
Credit Suisse 130/30 Large Cap Index |
10.93 |
% |
17.58 |
% |
19.44 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Large Cap Core Plus |
1.01 |
% |
0.45 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
94 |
% |
|||||
Swap Agreements (Long) |
36 |
% |
|||||
Swap Agreements (Short) |
(30 |
%) |
|||||
Net Exposure |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
2.7 |
% |
|||||
Microsoft Corp. |
1.2 |
% |
|||||
Exxon Mobil Corp. |
1.1 |
% |
|||||
Johnson & Johnson |
1.0 |
% |
|||||
Gilead Sciences, Inc. |
1.0 |
% |
Credit Suisse 130/30 Large Cap Index �C Composition
% of Index |
|||||||
Financials |
19.9 |
% |
|||||
Information Technology |
16.6 |
% |
|||||
Consumer Discretionary |
13.4 |
% |
|||||
Health Care |
12.3 |
% |
|||||
Industrials |
11.5 |
% |
|||||
Consumer Staples |
7.8 |
% |
|||||
Energy |
6.7 |
% |
|||||
Utilities |
5.9 |
% |
|||||
Materials |
4.8 |
% |
|||||
Telecommunication Services |
1.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: LARGE CAP CORE PLUS CSM :: IX
DIVIDEND GROWERS PROSHARES
ProShares S&P 500 Dividend Aristocrats ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the S&P 500® Dividend Aristocrats® Index (the "Index"). For the year ended May 31, 2015, the Fund had a total return of 12.39%1. For the same period, the Index had a total return of 12.74%2 and a volatility of 10.79%. For the period, the Fund had an average daily volume of 101,757 shares.
The Fund takes positions in equity securities that should track the performance of the Index. The Index, constructed and maintained by S&P Dow Jones Indices LLC, targets companies that are currently members of the S&P 500®, have increased dividend payments each year for at least 25 years, and meet certain market capitalization and liquidity requirements. The Index contains a minimum of 40 stocks, which are equally weighted, and no single sector is allowed to comprise more than 30% of the Index weight.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares S&P 500 Aristocrats ETF from October 9, 2013 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (10/09/13) |
||||||||||
ProShares S&P 500
Dividend Aristocrats ETF |
12.39 |
% |
16.79 |
% |
|||||||
S&P 500 Dividend Aristocrats Index |
12.74 |
% |
17.27 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares S&P 500
Dividend Aristocrats ETF |
0.70 |
% |
0.35 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
100 |
% |
|||||
Total Exposure |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Archer-Daniels-Midland Co. |
2.1 |
% |
|||||
Leggett & Platt, Inc. |
2.1 |
% |
|||||
Cintas Corp. |
2.0 |
% |
|||||
Pentair PLC |
2.0 |
% |
|||||
Hormel Foods Corp. |
2.0 |
% |
S&P 500 Dividend Aristocrats Index �C Composition
% of Index |
|||||||
Consumer Staples |
25.2 |
% |
|||||
Industrials |
15.8 |
% |
|||||
Health Care |
13.4 |
% |
|||||
Financials |
13.1 |
% |
|||||
Materials |
11.6 |
% |
|||||
Consumer Discretionary |
11.4 |
% |
|||||
Energy |
3.7 |
% |
|||||
Telecommunication Services |
2.0 |
% |
|||||
Information Technology |
1.9 |
% |
|||||
Utilities |
1.9 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
X :: NOBL S&P 500 DIVIDEND ARISTOCRATS ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares S&P MidCap 400 Dividend Aristocrats ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the S&P MidCap 400® Dividend Aristocrats Index (the "Index"). From inception on February 3, 2015 to May 31, 2015, the Fund had a total return of 1.07%1. For the same period, the Index had a total return of 1.20%2 and a volatility of 10.99%. For the period, the Fund had an average daily volume of 1,305 shares.
The Fund takes positions in equity securities that should have similar return characteristics as the Index. The Index, constructed and maintained by S&P Dow Jones Indices LLC, targets companies that are currently members of the S&P Mid¬Cap 400® Index and have increased dividend payments each year for at least 15 years. The Index includes all companies meeting these requirements with a minimum of 40 stocks, each of which is equally weighted. No single sector is allowed to comprise more than 30% of the Index's weight.
As the ProShares S&P MidCap 400 Dividend Aristocrats ETF does not have more than six months of operating results, a line graph of a $10,000 investment and total return table are not presented.
Expense Ratios*
Fund |
Gross |
Net |
|||||||||
ProShares S&P MidCap
400 Dividend Aristocrats ETF |
0.83 |
% |
0.40 |
% |
*Reflects the expense ratio as reported in the Prospectus dated February 2, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
100 |
% |
|||||
Total Exposure |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Telephone & Data
Systems, Inc. |
2.4 |
% |
|||||
CDK Global, Inc. |
2.4 |
% |
|||||
A. O. Smith Corp. |
2.4 |
% |
|||||
StanCorp Financial Group, Inc. |
2.3 |
% |
|||||
UGI Corp. |
2.3 |
% |
S&P MidCap 400 Dividend Aristocrats Index �C Composition
% of Index |
|||||||
Financials |
28.2 |
% |
|||||
Utilities |
19.3 |
% |
|||||
Industrials |
17.2 |
% |
|||||
Materials |
13.4 |
% |
|||||
Consumer Discretionary |
6.4 |
% |
|||||
Consumer Staples |
6.3 |
% |
|||||
Information Technology |
4.6 |
% |
|||||
Telecommunication Services |
2.4 |
% |
|||||
Health Care |
2.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: S&P MIDCAP 400 DIVIDEND ARISTOCRATS ETF REGL :: XI
ProShares Russell 2000 Dividend Growers ETF (the "Fund") seeks investment results, before fees and expenses, that track the perfor¬mance of the Russell 2000 Dividend Growth Index (the "Index"). From inception on February 3, 2015 to May 31, 2015, the Fund had a total return of �C1.09%1. For the same period, the Index had a total return of �C0.97%2 and a volatility of 12.76%. For the period, the Fund had an average daily volume of 773 shares.
The Fund takes positions in equity securities that should have similar return characteristics as the Index. The Index, constructed and maintained by Russell Investments, targets companies that are currently members of the Russell 2000 Index, have increased dividend payments each year for at least 10 consecutive years, and are not in the bottom 20% of Russell 2000 Index liquidity based on 20 day average daily dollar trading volume. The Index contains a minimum of 40 stocks, which are equally weighted, and no single sector is allowed to comprise more than 30% of the Index's weight.
As the ProShares Russell 2000 Dividend Growers ETF does not have more than six months of operating results, a line graph of a $10,000 investment and total return table are not presented.
Expense Ratios*
Fund |
Gross |
Net |
|||||||||
ProShares Russell 2000
Dividend Growers ETF |
0.82 |
% |
0.40 |
% |
*Reflects the expense ratio as reported in the Prospectus dated February 2, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
100 |
% |
|||||
Total Exposure |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
CARBO Ceramics, Inc. |
2.4 |
% |
|||||
Stepan Co. |
2.4 |
% |
|||||
Universal Corp. |
2.1 |
% |
|||||
Andersons, Inc. (The) |
2.1 |
% |
|||||
Badger Meter, Inc. |
2.0 |
% |
Russell 2000 Dividend Growth Index �C Composition
% of Index |
|||||||
Utilities |
23.4 |
% |
|||||
Financials |
21.3 |
% |
|||||
Industrials |
18.9 |
% |
|||||
Consumer Staples |
15.2 |
% |
|||||
Materials |
6.0 |
% |
|||||
Information Technology |
3.9 |
% |
|||||
Health Care |
3.6 |
% |
|||||
Consumer Discretionary |
3.5 |
% |
|||||
Energy |
2.4 |
% |
|||||
Telecommunication Services |
1.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XII :: SMDV RUSSELL 2000 DIVIDEND GROWERS ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares MSCI EAFE Dividend Growers ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the MSCI EAFE Dividend Masters Index (the "Index"). From inception on August 19, 2014 to May 31, 2015, the Fund had a total return of �C0.79%1. For the same period, the Index had a total return of �C0.20%2 and a volatility of 11.56%. For the period, the Fund had an average daily volume of 3,830 shares.
The Fund takes positions in equity securities that should have similar return characteristics as the Index. The Index, constructed and maintained by MSCI, targets companies that are currently members of the MSCI EAFE Index ("MSCI EAFE") and have increased dividend payments each year for at least 10 years. The Index contains a minimum of 40 stocks, which are equally weighted. No single sector is allowed to comprise more than 30% of the Index weight, and no single country is allowed to comprise more than 50% of the Index weight.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares MSCI EAFE Dividend Growers ETF from August 19, 2014 to May 31, 2015, assuming the reinvestment of distributions.
Cumulative Total Return as of 5/31/15
Since Inception (8/19/14) |
|||||||
ProShares MSCI EAFE Dividend Growers ETF |
-0.79 |
% |
|||||
MSCI EAFE Dividend Masters Index |
-0.20 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares MSCI EAFE
Dividend Growers ETF |
0.94 |
% |
0.50 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
100 |
% |
|||||
Total Exposure |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Chocoladefabriken Lindt
& Sprungli AG |
2.1 |
% |
|||||
Cochlear Ltd. |
2.1 |
% |
|||||
Shimamura Co. Ltd. |
2.1 |
% |
|||||
Shire PLC |
2.0 |
% |
|||||
Roche Holding AG |
2.0 |
% |
MSCI EAFE Dividend Master Index �C Composition
% of Index |
|||||||
Health Care |
21.9 |
% |
|||||
Industrials |
18.8 |
% |
|||||
Consumer Staples |
16.5 |
% |
|||||
Consumer Discretionary |
14.0 |
% |
|||||
Utilities |
7.6 |
% |
|||||
Materials |
7.4 |
% |
|||||
Energy |
6.1 |
% |
|||||
Financials |
5.7 |
% |
|||||
Information Technology |
2.0 |
% |
MSCI EAFE Dividend Master Index �C Country
% of Index |
|||||||
United Kingdom |
48.4 |
% |
|||||
Switzerland |
9.6 |
% |
|||||
Japan |
8.0 |
% |
|||||
Denmark |
6.1 |
% |
|||||
Spain |
5.4 |
% |
|||||
Australia |
5.3 |
% |
|||||
Germany |
4.0 |
% |
|||||
Israel |
2.0 |
% |
|||||
Ireland |
2.0 |
% |
|||||
Others |
9.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: MSCI EAFE DIVIDEND GROWERS ETF EFAD :: XIII
HEDGED FIXED INCOME PROSHARES
ProShares High Yield-Interest Rate Hedged (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Citi High Yield (Treasury Rate-Hedged) Index (the "Index"). For the year ended May 31, 2015, the Fund had a total return of �C2.58%1. For the same period, the Index had a total return of �C1.37%2 and a volatility of 6.52%. For the period, the Fund had an average daily volume of 20,025 shares.
The Fund takes positions in debt securities and/or derivatives that, in combination, should have similar return characteristics as the Index. The Index is comprised of (a) long positions in USD-denominated high yield corporate bonds and (b) short positions in U.S. Treasury notes or bonds of, in aggregate, approximate equivalent duration to the high yield bonds. Currently, the bonds eligible for inclusion in the Index include high yield bonds that are issued by companies domiciled in the U.S. and Canada, and that: are fixed-rate (including callable bonds); have a maximum rating of Ba1/BB+ by either Moody's Investors Service, Inc. ("Moody's") or Standard and Poor's Financial Services, LLC ("S&P"); and are subject to minimum issue outstanding, minimum time-to-maturity and maximum-time from issuance criteria.
During the year ended May 31, 2015, the Fund invested in futures contracts as a substitute for taking short positions in Treasury Securities. These derivatives generally tracked the performance of their underlying index.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares High Yield-Interest Rate Hedged from May 21, 2013 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (5/21/13) |
||||||||||
ProShares High
Yield-Interest Rate Hedged |
-2.58 |
% |
0.74 |
% |
|||||||
Citi High Yield (Treasury Rate-Hedged) Index |
-1.37 |
% |
1.89 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares High
Yield-Interest Rate Hedged |
0.98 |
% |
0.50 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
High Yield Bonds |
96 |
% |
|||||
U.S. Treasury Notes Futures Contracts |
(97 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
% of Net Assets |
|||||||
HJ Heinz Co.,
4.25%, due 10/15/20 |
1.7 |
% |
|||||
Avaya, Inc., 10.50%, due 03/01/21 |
1.5 |
% |
|||||
Micron Technology, Inc.,
5.50%, due 02/01/25 |
1.4 |
% |
|||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.63%, due 10/15/21 |
1.3 |
% |
|||||
Sprint Corp.,
7.88%, due 09/15/23 |
1.3 |
% |
Citi High Yield (Treasury Rate-Hedged) Index �C High Yield Bond Composition
% of High Yield Bonds |
|||||||
Industrials |
84.6 |
% |
|||||
Utilities |
8.9 |
% |
|||||
Financials |
6.5 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XIV :: HYHG HIGH YIELD��INTEREST RATE HEDGED :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Investment Grade-Interest Rate Hedged (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Citi Corporate Investment Grade (Treasury Rate-Hedged) Index (the "Index"). For the year ended May 31, 2015, the Fund had a total return of �C2.38%1. For the same period, the Index had a total return of �C2.08%2 and a volatility of 2.38%. For the period, the Fund had an average daily volume of 17,407 shares.
The Fund takes positions in debt securities and/or derivatives that, in combination, should have similar return characteristics as the Index. The Index is comprised of (a) long positions in USD-denominated investment grade corporate bonds issued by both U.S. and foreign domiciled companies; and (b) short positions in U.S. Treasury notes or bonds of, in aggregate, approximate equivalent duration to the investment grade bonds.
During the year ended May 31, 2015, the Fund invested in futures contracts as a substitute for taking short positions in Treasury Securities. These derivatives generally tracked the performance of their underlying index.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Investment Grade-Interest Rate Hedged from November 5, 2013 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (11/05/13) |
||||||||||
ProShares Investment
Grade-Interest Rate Hedged |
-2.38 |
% |
0.50 |
% |
|||||||
Citi Corporate Investment Grade (Treasury Rate-Hedged) Index |
-2.08 |
% |
1.19 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Investment
Grade-Interest Rate Hedged |
0.89 |
% |
0.30 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Corporate Bonds |
97 |
% |
|||||
Futures Contracts |
(87 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
% of Net Assets |
|||||||
Citigroup, Inc.,
3.88%, due 10/25/23 |
1.6 |
% |
|||||
Morgan Stanley, 5.00%, due 11/24/25 |
1.6 |
% |
|||||
General Electric Capital
Corp., 6.88%, due 01/10/39 |
1.5 |
% |
|||||
Goldman Sachs Group, Inc. (The), 6.13%, due 02/15/33 |
1.4 |
% |
|||||
JPMorgan Chase & Co.,
4.50%, due 01/24/22 |
1.3 |
% |
Citi Corporate Investment Grade (Treasury Rate-Hedged) Index �C Composition
% of High Yield Bond |
|||||||
Industrials |
57.8 |
% |
|||||
Financials |
32.9 |
% |
|||||
Utilities |
9.3 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: INVESTMENT GRADE��INTEREST RATE HEDGED IGHG :: XV
GLOBAL FIXED INCOME PROSHARES
ProShares USD Covered Bond (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Solactive® Diversified USD Covered Bond Index (the "Index"). For the year ended May 31, 2015, the Fund had a total return of 1.06%1. For the same period, the Index had a total return of 1.50%2 and a volatility of 1.49%. For the period, the Fund had an average daily volume of 398 shares.
The Fund takes positions in debt securities that should have similar return characteristics as the Index. The Index, published by Solactive AG, seeks to track the performance of U.S. dollar-denominated Covered Bonds that are generally rated "AAA" (or its equivalent). Specifically, the Index aims to include the universe of U.S. dollar-denominated fixed-rate Covered Bonds that conform to the eligibility criteria for the Index. The Covered Bonds must be denominated in USD, have a fixed-rate coupon, have at least 18 months to maturity, have USD 1 billion or more of outstanding face amount and a minimum denomination no greater than $250,000, be either registered with the Securities and Exchange Commission or eligible for resale under Rule 144A under the Securities Act of 1933, and satisfy the liquidity criteria applicable to the Index.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares USD Covered Bond from May 21, 2012 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (5/21/12) |
||||||||||
ProShares USD Covered Bond |
1.06 |
% |
1.55 |
% |
|||||||
Solactive Diversified USD Covered Bond Index |
1.50 |
% |
2.01 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares USD Covered Bond |
2.57 |
% |
0.35 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Covered Bonds |
99 |
% |
|||||
Total Exposure |
99 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
% of Net Assets |
|||||||
Westpac Banking Corp.,
1.85%, due 11/26/18 |
6.7 |
% |
|||||
Royal Bank of Canada, 2.00%, due 10/01/18 |
5.1 |
% |
|||||
Stadshypotek AB,
1.25%, due 05/23/18 |
4.8 |
% |
|||||
SpareBank 1 Boligkreditt AS, 1.25%, due 05/02/18 |
4.8 |
% |
|||||
ING Bank N.V.,
2.63%, due 12/05/22 |
4.6 |
% |
Solactive Diversified USD Covered Bond Index �C Country
% of Index |
|||||||
Canada |
32.8 |
% |
|||||
Australia |
30.7 |
% |
|||||
Sweden |
11.0 |
% |
|||||
United Kingdom |
9.1 |
% |
|||||
Norway |
8.0 |
% |
|||||
Switzerland |
3.1 |
% |
|||||
Netherlands |
2.3 |
% |
|||||
Germany |
1.5 |
% |
|||||
France |
1.5 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the net asset value ("NAV") of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XVI :: COBO USD COVERED BOND :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares German Sovereign/Sub-Sovereign ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Markit iBoxx EUR Germany Sovereign & Sub-Sovereign Liquid Index (the "Index"). For the year ended May 31, 2015, the Fund had a total return of �C16.47%1. For the same period, the Index had a total return of �C16.15%2 and a volatility of 8.72%. For the period, the Fund had an average daily volume of 4,078 shares.
The Fund takes positions in debt securities that should have similar return characteristics as the Index. The Index, published by Markit Group Limited, seeks to track the performance of fixed rate debt securities of the Federal Republic of Germany ("Sovereign") as well as local governments and entities or agencies guaranteed by various German governments ("Sub-Sovereign") issuers. Qualifying constituents must be rated "Investment Grade" or higher (based on an average of ratings issued by Moody's Investor Services, Inc., Standard & Poor's Ratings Services and/or Fitch, Inc., have a minimum principal outstanding of 2 billion euros (or its equivalent) for Sovereign securities and 1 billion euros (or its equivalent) for Sub-Sovereign securities, and have a minimum remaining time to maturity of at least 18 months at the time the Index is rebalanced.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares German Sovereign/Sub-Sovereign ETF from January 24, 2012 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (1/24/12) |
||||||||||
ProShares German
Sovereign/Sub-Sovereign ETF |
-16.47 |
% |
-2.09 |
% |
|||||||
Markit iBoxx EUR Germany Sovereign & Sub-Sovereign Liquid Index |
-16.15 |
% |
-1.49 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares German
Sovereign/Sub-Sovereign ETF |
4.10 |
% |
0.45 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Fixed-Income Securities |
98 |
% |
|||||
Total Exposure |
98 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
% of Net Assets |
|||||||
KFW, 1.63%, due 01/15/21 |
5.1 |
% |
|||||
Bundesrepublik Deutschland, 3.00%, due 07/04/20 |
4.9 |
% |
|||||
KFW, 1.13%, due 10/16/18 |
4.9 |
% |
|||||
Bundesrepublik Deutschland, 1.75%, due 07/04/22 |
4.8 |
% |
|||||
Bundesrepublik
Deutschland, 3.75%, due 01/04/19 |
4.8 |
% |
Markit iBoxx EUR Germany Sovereign & Sub-Sovereign Liquid Index �C Composition
% of Index |
|||||||
Sub-Sovereigns |
76.1 |
% |
|||||
Sovereigns |
23.9 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: GERMAN SOVEREIGN/SUB-SOVEREIGN ETF GGOV :: XVII
ProShares Short Term USD Emerging Markets Bond ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the DBIQ Short Duration Emerging Market Bond Index (the "Index"). For the year ended May 31, 2015, the Fund had a total return of �C1.59%1. For the same period, the Index had a total return of �C1.93%2 and a volatility of 3.39%. For the period, the Fund had an average daily volume of 798 shares.
The Fund takes positions in debt securities that should have similar return characteristics as the Index. The Index is comprised of a diversified portfolio of USD-denominated Emerging Market bonds that have less than five years remaining to maturity that are issued by Emerging Market sovereign governments, non-sovereign government agencies and entities, and corporations with significant government ownership.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Term USD Emerging Markets Bond ETF from November 19, 2013 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (11/19/13) |
||||||||||
ProShares Short Term USD
Emerging Markets Bond ETF |
-1.59 |
% |
1.42 |
% |
|||||||
DBIQ Short Duration Emerging Market Bond Index |
-1.93 |
% |
1.38 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short Term USD
Emerging Markets Bond ETF |
1.77 |
% |
0.50 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Fixed-Income Securities |
97 |
% |
|||||
Total Exposure |
97 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
% of Net Assets |
|||||||
Perusahaan Penerbit
SBSN Indonesia III, 6.13%, due 03/15/19 |
4.4 |
% |
|||||
Qatar Government International Bond, 6.55%, due 04/09/19 |
3.5 |
% |
|||||
Hrvatska
Elektroprivreda, 6.00%, due 11/09/17 |
3.4 |
% |
|||||
South Africa Government International Bond, 6.88%, due 05/27/19 |
3.0 |
% |
|||||
Petroleos
Mexicanos, 5.75%, due 03/01/18 |
2.9 |
% |
DBIQ Short Duration Emerging Market Bond Index �C Country
% of Index |
|||||||
Others |
30.7 |
% |
|||||
Russian Federation |
10.0 |
% |
|||||
Indonesia |
9.4 |
% |
|||||
Brazil |
9.3 |
% |
|||||
Mexico |
9.2 |
% |
|||||
Turkey |
9.2 |
% |
|||||
Qatar |
9.1 |
% |
|||||
Venezuela, Bolivarian Republic of |
4.7 |
% |
|||||
Ukraine |
4.5 |
% |
|||||
Poland |
3.9 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XVIII :: EMSH SHORT TERM USD EMERGING MARKETS BOND ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
HEDGE STRATEGIES PROSHARES
ProShares Hedge Replication ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Merrill Lynch Factor Model �� Exchange Series (the "Benchmark"). For the year ended May 31, 2015, the Fund had a total return of 3.28%1. For the same period, the Benchmark had a total return of 4.31%2 and a volatility of 3.53%. For the period, the Fund had an average daily volume of 5,705 shares.
The Fund takes positions in securities and/or derivatives that, in combination, should have similar return characteristics as the Benchmark. The Benchmark, established by Merrill Lynch International, seeks to provide the risk and return characteristics of the hedge fund asset class by targeting a high correlation to the HFRI Fund Weighted Composite Index (the "HFRI"). The HFRI is designed to reflect hedge fund industry performance through an equally weighted composite of over 2000 constituent funds. In seeking to maintain a high correlation with the HFRI, the Benchmark utilizes a synthetic model to establish, each month, weighted long or short (or, in certain cases, long or flat) positions in six underlying factors ("Factors"). The Factors that comprise the Benchmark are (1) the S&P 500 Total Return Index, (2) the MSCI EAFE US Dollar Net Total Return Index, (3) the MSCI Emerging Markets US Dollar Net Total Return Index, (4) the Russell 2000 Total Return Index, (5) three-month U.S. Treasury Bills, and (6) the ProShares UltraShort Euro ETF.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts as a substitute for investing directly in or taking short positions in the Factors of the Benchmark. These derivatives generally tracked the performance of the underlying benchmark and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Hedge Replication ETF from July 12, 2011 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (7/12/11) |
||||||||||
ProShares Hedge Replication ETF |
3.28 |
% |
2.12 |
% |
|||||||
Merrill Lynch Factor Model �� Exchange Series Benchmark |
4.31 |
% |
3.09 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Hedge Replication ETF |
1.68 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
18 |
% |
|||||
U.S. Treasury Bill |
63 |
% |
|||||
Swap Agreements (Long) |
18 |
% |
|||||
Short Euro Futures Contracts |
(10 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
0.6 |
% |
|||||
Microsoft Corp. |
0.3 |
% |
|||||
Exxon Mobil Corp. |
0.3 |
% |
|||||
Johnson & Johnson |
0.2 |
% |
|||||
General Electric Co. |
0.2 |
% |
Merrill Lynch Factor Model �C Exchange Series �C Composition
% of Benchmark |
|||||||
On-The-Run T-Bill |
59.2 |
% |
|||||
MSCI EAFE® US Dollar Net Total Return Index |
15.6 |
% |
|||||
S&P 500® Total Return Index |
14.2 |
% |
|||||
Russell 2000® Total Return Index |
5.4 |
% |
|||||
ProShares UltraShort
Euro ETF |
5.1 |
% |
|||||
MSCI Emerging Markets Free US Dollar Net Total Return Index |
0.5 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Benchmark. The impact of transaction costs and the deduction of expenses associated with an exchange-traded fund such as investment management and accounting fees are not reflected in the Benchmark calculation. It is not possible to invest directly in the Benchmark.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: HEDGE REPLICATION ETF HDG :: XIX
ProShares Merger ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the S&P Merger Arbitrage Index (the "Index"). For the year ended May 31, 2015, the Fund had a total return of �C0.63%1. For the same period, the Index had a total return of 0.80%2 and a volatility of 3.44%. For the period, the Fund had an average daily volume of 1,857 shares.
The Fund takes positions in securities and/or derivatives that, in combination, should have similar return characteristics as the Index. The Index, created by Standard & Poor's®, provides exposure to up to 40 publicly announced mergers, acquisitions and/or other corporate reorganizations (the "Deals") within developed market countries through a combination of long and, in certain cases, short security positions. The Index also includes a Treasury bill component which constitutes the remainder of the Index when net exposure from included Deals is less than 100%.
During the year ended May 31, 2015, the Fund invested in swap agreements and forward currency contracts as a substitute for investing directly in or taking short positions in the securities of the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares Merger ETF from December 11, 2012 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (12/11/12) |
||||||||||
ProShares Merger ETF |
-0.63 |
% |
-2.26 |
% |
|||||||
S&P Merger Arbitrage Index |
0.80 |
% |
-0.74 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Merger ETF |
4.52 |
% |
0.75 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
89 |
% |
|||||
Master Limited Partnerships |
2 |
% |
|||||
U.S. Treasury Bill |
�� |
||||||
Swap Agreements (Long) |
24 |
% |
|||||
Swap Agreements (Short) |
(38 |
%) |
|||||
Forward Currency Contracts |
(23 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Lorillard, Inc. |
3.0 |
% |
|||||
Integrated Silicon Solution, Inc. |
2.6 |
% |
|||||
Susquehanna
Bancshares, Inc. |
2.5 |
% |
|||||
Family Dollar Stores, Inc. |
2.5 |
% |
|||||
Sigma-Aldrich Corp. |
2.5 |
% |
Regional Exposure
% of Index |
|||||||
United States |
74.1 |
% |
|||||
United Kingdom |
13.8 |
% |
|||||
Australia |
3.8 |
% |
|||||
Netherlands |
3.4 |
% |
|||||
Portugal |
3.4 |
% |
|||||
France |
3.3 |
% |
|||||
Canada |
1.6 |
% |
|||||
Finland |
(3.4 |
%) |
S&P Merger Arbitrage Index �C Composition
% of Index |
|||||||
Financials |
16.0 |
% |
|||||
Cash |
14.2 |
% |
|||||
Information Technology |
13.1 |
% |
|||||
Health Care |
12.5 |
% |
|||||
Energy |
12.2 |
% |
|||||
Materials |
10.5 |
% |
|||||
Consumer Discretionary |
8.6 |
% |
|||||
Industrials |
6.8 |
% |
|||||
Consumer Staples |
4.4 |
% |
|||||
Utilities |
1.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XX :: MRGR MERGER ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares RAFI® Long/Short (the "Fund") seeks investment results, before fees and expenses, that track the performance of the RAFI® US Equity Long/Short Index (the "Index"). For the year ended May 31, 2015, the Fund had a total return of �C2.86%1. For the same period, the Index had a total return of �C1.92%2 and a volatility of 4.24%. For the period, the Fund had an average daily volume of 13,080 shares.
The Fund takes positions in securities and/or derivatives that, in combination, should have similar return characteristics as the Index. The Index seeks to utilize the Research Affiliates Fundamental Index (RAFI®) weighting methodology to identify opportunities which are implemented through both long and short securities positions. The Index compares RAFI® constituent weightings to market capitalization (CAP) weights for a selection of U.S. domiciled publicly traded companies listed on major exchanges. The Index takes long positions in securities with larger RAFI® weights relative to their CAP weights. Short positions are taken in securities with smaller RAFI® weights relative to their CAP weights. The Index is rebalanced monthly such that it has equal dollar investments in both long and short positions and is reconstituted annually at which time new long and short positions are selected and weighted. Sector neutrality is also achieved during the annual reconstitution. The Index at any time may have significant positive or negative correlations with long-only market capitalization-weighted indexes.
During the year ended May 31, 2015, the Fund invested in swap agreements as a substitute for investing directly in or taking short positions in the securities of the Index. These derivatives generally tracked the performance of the underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares RAFI® Long/Short from December 2, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (12/02/10) |
||||||||||
ProShares RAFI® Long/Short |
-2.86 |
% |
1.66 |
% |
|||||||
RAFI US Equity Long/Short Index |
-1.92 |
% |
2.91 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares RAFI® Long/Short |
1.18 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
98 |
% |
|||||
Swap Agreements (Long) |
1 |
% |
|||||
Swap Agreements (Short) |
(99 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
AT&T, Inc. |
2.2 |
% |
|||||
Chevron Corp. |
1.6 |
% |
|||||
JPMorgan Chase & Co. |
1.4 |
% |
|||||
General Electric Co. |
1.3 |
% |
|||||
Citigroup, Inc. |
1.3 |
% |
RAFI US Equity Long/Short Index �C Composition
% of Index |
|||||||
Financials |
20.8 |
% |
|||||
Information Technology |
15.0 |
% |
|||||
Consumer Discretionary |
13.2 |
% |
|||||
Energy |
11.7 |
% |
|||||
Health Care |
10.8 |
% |
|||||
Industrials |
10.1 |
% |
|||||
Consumer Staples |
6.2 |
% |
|||||
Utilities |
5.2 |
% |
|||||
Materials |
4.0 |
% |
|||||
Telecommunication Services |
3.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: RAFI® LONG/SHORT RALS :: XXI
INFLATION PROSHARES
ProShares 30 Year TIPS/TSY Spread (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Credit Suisse 30-Year Inflation Breakeven Index (the "Index"). For the year ended May 31, 2015, the Fund had a total return of �C12.49%1. For the same period, the Index had a total return of �C11.35%2 and a volatility of 7.31%. For the period, the Fund had an average daily volume of 5,533 shares.
The Fund takes positions in securities and/or derivatives that, in combination, should have similar return characteristics as the Index. The Index tracks the performance of long positions in the most recently issued 30-year Treasury Inflation-Protected Securities ("TIPS") bond and duration-adjusted short positions in U.S. Treasury bonds of the closest maturity. The difference in yield (or "spread") between these bonds (Treasury yield minus TIPS yield) is commonly referred to as a breakeven rate of inflation ("BEI"). The 30-year BEI is considered to be a measure of the market's expectations for inflation over the next thirty years.
During the year ended May 31, 2015, the Fund invested in swap agreements as a substitute for investing directly in or taking short positions in the fixed income securities underlying the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares 30 Year TIPS/TSY Spread from January 10, 2012 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (1/10/12) |
||||||||||
ProShares 30 Year TIPS/TSY Spread |
-12.49 |
% |
-6.23 |
% |
|||||||
Credit Suisse 30-Year Inflation Breakeven Index |
-11.35 |
% |
-5.01 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares 30 Year TIPS/TSY Spread |
4.34 |
% |
0.75 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Long-Term U.S. Treasury Obligations |
91 |
% |
|||||
Swap Agreements (Long) |
9 |
% |
|||||
Swap Agreements (Short) |
(130 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Credit Suisse 30-Year Inflation Breakeven Index �C Composition
% of Index |
|||||||
30-Year Treasury
Inflation-Protected Securities (TIPS) Bond |
100.0 |
% |
|||||
30-Year U.S. Treasury Bond |
(130.2 |
%) |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXII :: RINF 30 YEAR TIPS/TSY SPREAD :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
CREDIT PROSHARES
ProShares CDS North American HY Credit ETF (the "Fund") seeks to provide long exposure to the credit of North American high yield debt issuers. This actively managed Fund seeks to achieve its investment objective primarily through investing in a portfolio of credit derivatives whose underlying reference entities are North American high yield (i.e., below investment grade or "junk bond") debt issuers. From inception on August 5, 2014 to May 31, 2015, the Fund had a total return of 3.59%1. For the same period, the Markit CDX North American High Yield Index had a total return of 1.86%2 and a volatility of 5.11%. For the period, the Fund had an average daily volume of 950 shares.
The Fund takes positions in centrally cleared, index-based credit default swaps ("CDS") that, in combination, should have economic characteristics that correlate to the North American high yield credit market. The Fund sought greater relative liquidity by only holding the most recent on-the-run (most recently issued series) and the first off-the-run (second most recently issued series) of high yield CDS.
During the period, credit spreads (i.e., the level of additional yield that is paid on corporate bonds as compared to Treasury securities) widened from 4.04% at the start of the period to a high point of 5.52% in December, before tightening through the end of the year to end at 4.33%. The Fund benefitted from this tightening during the latter part of the period and was negatively impacted by two credit events �� the bankruptcies of Radio Shack and Caesars, that occurred during the period.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares CDS North American High Yield ETF from August 5, 2014 to May 31, 2015, assuming the reinvestment of distributions.
Cumulative Total Return as of 5/31/15
Since Inception (8/05/14) |
|||||||
ProShares CDS North American HY Credit ETF |
3.59 |
% |
|||||
Markit CDX North American High Yield Index |
1.86 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares CDS North
American HY Credit ETF |
1.04 |
% |
0.50 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Credit Default Swap ("CDS") Agreements |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Industry Exposure
% of Market
Exposure (CDS) |
|||||||
Consumer, Cyclical |
28.2 |
% |
|||||
Consumer, Non-cyclical |
15.8 |
% |
|||||
Communications |
14.0 |
% |
|||||
Financial |
12.9 |
% |
|||||
Industrial |
8.0 |
% |
|||||
Technology |
7.2 |
% |
|||||
Basic Materials |
5.0 |
% |
|||||
Energy |
5.0 |
% |
|||||
Utilities |
3.9 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The swap Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: CDS NORTH AMERICAN HY CREDIT ETF TYTE :: XXIII
ProShares CDS Short North American HY Credit ETF (the "Fund") seeks to provide inverse exposure to the credit of North American high yield debt issuers. This actively managed Fund seeks to achieve its investment objective primarily through investing in a portfolio of credit derivatives whose underlying reference entities are North American high yield (i.e., below investment grade or "junk bond") debt issuers. From inception on August 5, 2014 to May 31, 2015, the Fund had a total return of �C4.42%1. For the same period, the Markit CDX North American High Yield Index had a total return of 1.86%2 and a volatility of 5.11%. For the period, the Fund had an average daily volume of 3,536 shares.
The Fund takes positions in centrally cleared, index-based credit default swaps ("CDS") that, in combination, should have economic characteristics that correlate to the inverse of North American high yield credit market. The Fund sought greater relative liquidity by only holding the most recent on-the-run (most recently issued series) and the first off-the-run (second most recently issued series) of high yield CDS.
During the period, credit spreads (i.e., the level of additional yield that is paid on corporate bonds as compared to Treasury securities) widened from 4.04% at the start of the period to a high point of 5.52% in December, before tightening through the end of the year to end at 4.33%. The Fund was negatively impacted by this tightening during the latter part of the period and benefitted from two credit events �� the bankruptcies of Radio Shack and Caesars, that occurred during the period.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares CDS Short North American High Yield ETF from August 5, 2014 to May 31, 2015, assuming the reinvestment of distributions.
Cumulative Total Return as of 5/31/15
Since Inception (8/05/14) |
|||||||
ProShares CDS Short North
American HY Credit ETF |
-4.42 |
% |
|||||
Markit CDX North American High Yield Index |
1.86 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares CDS Short North
American HY Credit ETF |
1.04 |
% |
0.50 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Credit Default Swap ("CDS") Agreements |
(99 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Industry Exposure
% of Market
Exposure (CDS) |
|||||||
Consumer, Cyclical |
28.2 |
% |
|||||
Consumer, Non-cyclical |
15.8 |
% |
|||||
Communications |
14.0 |
% |
|||||
Financial |
12.9 |
% |
|||||
Industrial |
8.0 |
% |
|||||
Technology |
7.2 |
% |
|||||
Basic Materials |
5.0 |
% |
|||||
Energy |
5.0 |
% |
|||||
Utilities |
3.9 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The swap Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXIV :: WYDE CDS SHORT NORTH AMERICAN HY CREDIT ETF :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
GEARED PROSHARES
ProShares Short S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�C1x) of the daily performance of the S&P 500® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C12.28%1. For the same period, the Index had a total return of 11.81%2 and a volatility of 11.77%. For the period, the Fund had an average daily volume of 3,564,784 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short S&P500® from June 19, 2006 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (6/19/06) |
|||||||||||||
ProShares Short S&P500® |
-12.28 |
% |
-16.76 |
% |
-10.51 |
% |
|||||||||
S&P 500 |
11.81 |
% |
16.52 |
% |
8.39 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short S&P500® |
0.89 |
% |
0.89 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(83 |
%) |
|||||
Futures Contracts |
(17 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P 500 �C Composition
% of Index |
|||||||
Information Technology |
20.1 |
% |
|||||
Financials |
16.2 |
% |
|||||
Health Care |
15.1 |
% |
|||||
Consumer Discretionary |
12.5 |
% |
|||||
Industrials |
10.2 |
% |
|||||
Consumer Staples |
9.5 |
% |
|||||
Energy |
7.9 |
% |
|||||
Materials |
3.2 |
% |
|||||
Utilities |
3.0 |
% |
|||||
Telecommunication Services |
2.3 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT S&P500® SH :: XXV
ProShares Short QQQ® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�C1x) of the daily performance of the NASDAQ-100 Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015 the Fund had a total return of �C20.12%1. For the same period, the Index had a total return of 22.08%2 and a volatility of 13.64%. For the period, the Fund had an average daily volume of 315,743 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index, a modified market capitalization-weighted index, includes 100 of the largest non-financial domestic and international issues listed on The NASDAQ Stock Market.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short QQQ® from June 19, 2006 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (6/19/06) |
|||||||||||||
ProShares Short QQQ® |
-20.12 |
% |
-20.31 |
% |
-15.43 |
% |
|||||||||
NASDAQ-100 Index |
22.08 |
% |
20.85 |
% |
13.71 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short QQQ® |
1.05 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(88 |
%) |
|||||
Futures Contracts |
(12 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ-100 Index �C Composition
% of Index |
|||||||
Information Technology |
56.4 |
% |
|||||
Consumer Discretionary |
19.2 |
% |
|||||
Health Care |
15.0 |
% |
|||||
Consumer Staples |
6.3 |
% |
|||||
Industrials |
2.0 |
% |
|||||
Telecommunication Services |
0.8 |
% |
|||||
Materials |
0.3 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXVI :: PSQ SHORT QQQ® :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�C1x) of the daily performance of the Dow Jones Industrial AverageSM (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C11.08%1. For the same period, the Index had a total return of 10.28%2 and a volatility of 11.82%. For the period, the Fund had an average daily volume of 496,883 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index is a price-weighted index maintained by editors of The Wall Street Journal. The Index includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Dow30SM from June 19, 2006 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (6/19/06) |
|||||||||||||
ProShares Short Dow30SM |
-11.08 |
% |
-15.47 |
% |
-10.10 |
% |
|||||||||
Dow Jones Industrial Average |
10.28 |
% |
15.07 |
% |
8.54 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short Dow30SM |
0.98 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(88 |
%) |
|||||
Futures Contracts |
(12 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average �C Composition
% of Index |
|||||||
Industrials |
19.6 |
% |
|||||
Information Technology |
17.8 |
% |
|||||
Financials |
16.8 |
% |
|||||
Consumer Discretionary |
15.5 |
% |
|||||
Health Care |
11.7 |
% |
|||||
Consumer Staples |
7.2 |
% |
|||||
Energy |
7.0 |
% |
|||||
Materials |
2.6 |
% |
|||||
Telecommunication Services |
1.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT DOW30SM DOG :: XXVII
ProShares Short MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�C1x) of the daily performance of the S&P MidCap 400® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C13.05%1. For the same period, the Index had a total return of 12.28%2 and a volatility of 12.25%. For the period, the Fund had an average daily volume of 139,330 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short MidCap400 from June 19, 2006 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (6/19/06) |
|||||||||||||
ProShares Short MidCap400 |
-13.05 |
% |
-17.81 |
% |
-13.33 |
% |
|||||||||
S&P MidCap 400 |
12.28 |
% |
16.53 |
% |
10.21 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short MidCap400 |
1.13 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(80 |
%) |
|||||
Futures Contracts |
(20 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P MidCap 400 �C Composition
% of Index |
|||||||
Financials |
23.6 |
% |
|||||
Information Technology |
17.4 |
% |
|||||
Industrials |
15.6 |
% |
|||||
Consumer Discretionary |
13.9 |
% |
|||||
Health Care |
8.8 |
% |
|||||
Materials |
7.5 |
% |
|||||
Utilities |
4.6 |
% |
|||||
Energy |
4.5 |
% |
|||||
Consumer Staples |
3.9 |
% |
|||||
Telecommunication Services |
0.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXVIII :: MYY SHORT MIDCAP400 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�C1x) of the daily performance of the Russell 2000® Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C13.40%1. For the same period, the Index had a total return of 11.32%2 and a volatility of 15.12%. For the period, the Fund had an average daily volume of 413,327 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2000 of the smallest companies in the Russell 3000® Index or approximately 10% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the investable U.S. equity market.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Russell2000 from January 23, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/23/07) |
|||||||||||||
ProShares Short
Russell2000 |
-13.40 |
% |
-18.31 |
% |
-13.73 |
% |
|||||||||
Russell 2000 Index |
11.32 |
% |
15.02 |
% |
7.14 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short Russell2000 |
1.02 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(89 |
%) |
|||||
Futures Contracts |
(11 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Index �C Composition
% of Index |
|||||||
Financials |
23.5 |
% |
|||||
Information Technology |
18.2 |
% |
|||||
Health Care |
16.3 |
% |
|||||
Consumer Discretionary |
13.7 |
% |
|||||
Industrials |
13.2 |
% |
|||||
Materials |
4.3 |
% |
|||||
Energy |
3.5 |
% |
|||||
Utilities |
3.5 |
% |
|||||
Consumer Staples |
3.1 |
% |
|||||
Telecommunication Services |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT RUSSELL2000 RWM :: XXIX
ProShares Short SmallCap600 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�C1x) of the daily performance of the S&P SmallCap 600® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C12.44%1. For the same period, the Index had a total return of 10.62%2 and a volatility of 14.33%. For the period, the Fund had an average daily volume of 2,998 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index is a measure of small-cap company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 600 U.S. operating companies selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short SmallCap600 from January 23, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/23/07) |
|||||||||||||
ProShares Short
SmallCap600 |
-12.44 |
% |
-18.73 |
% |
-13.77 |
% |
|||||||||
S&P SmallCap 600 |
10.62 |
% |
16.46 |
% |
8.47 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short SmallCap600 |
1.34 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P SmallCap 600 �C Composition
% of Index |
|||||||
Financials |
23.0 |
% |
|||||
Information Technology |
16.6 |
% |
|||||
Industrials |
16.1 |
% |
|||||
Consumer Discretionary |
15.1 |
% |
|||||
Health Care |
12.9 |
% |
|||||
Materials |
5.3 |
% |
|||||
Utilities |
3.7 |
% |
|||||
Energy |
3.4 |
% |
|||||
Consumer Staples |
3.2 |
% |
|||||
Telecommunication Services |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXX :: SBB SHORT SMALLCAP600 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the S&P 500® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C23.44%1. For the same period, the Index had a total return of 11.81%2 and a volatility of 11.77%. For the period, the Fund had an average daily volume of 8,314,778 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort S&P500® from July 11, 2006 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (7/11/06) |
|||||||||||||
ProShares UltraShort
S&P500® |
-23.44 |
% |
-31.80 |
% |
-23.48 |
% |
|||||||||
S&P 500 |
11.81 |
% |
16.52 |
% |
8.12 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort S&P500® |
0.89 |
% |
0.89 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(180 |
%) |
|||||
Futures Contracts |
(20 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P 500 �C Composition
% of Index |
|||||||
Information Technology |
20.1 |
% |
|||||
Financials |
16.2 |
% |
|||||
Health Care |
15.1 |
% |
|||||
Consumer Discretionary |
12.5 |
% |
|||||
Industrials |
10.2 |
% |
|||||
Consumer Staples |
9.5 |
% |
|||||
Energy |
7.9 |
% |
|||||
Materials |
3.2 |
% |
|||||
Utilities |
3.0 |
% |
|||||
Telecommunication Services |
2.3 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT S&P500® SDS :: XXXI
ProShares UltraShort QQQ® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the NASDAQ-100 Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C36.75%1. For the same period, the Index had a total return of 22.08%2 and a volatility of 13.64%. For the period, the Fund had an average daily volume of 2,974,554 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index, a modified market capitalization-weighted index, includes 100 of the largest non-financial domestic and international issues listed on The NASDAQ Stock Market.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort QQQ® from July 11, 2006 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (7/11/06) |
|||||||||||||
ProShares UltraShort QQQ® |
-36.75 |
% |
-37.77 |
% |
-32.69 |
% |
|||||||||
NASDAQ-100 Index |
22.08 |
% |
20.85 |
% |
13.94 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort QQQ® |
1.02 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(179 |
%) |
|||||
Futures Contracts |
(21 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ-100 Index �C Composition
% of Index |
|||||||
Information Technology |
56.4 |
% |
|||||
Consumer Discretionary |
19.2 |
% |
|||||
Health Care |
15.0 |
% |
|||||
Consumer Staples |
6.3 |
% |
|||||
Industrials |
2.0 |
% |
|||||
Telecommunication Services |
0.8 |
% |
|||||
Materials |
0.3 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXXII :: QID ULTRASHORT QQQ® :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the Dow Jones Industrial AverageSM (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C21.33%1. For the same period, the Index had a total return of 10.28%2 and a volatility of 11.82%. For the period, the Fund had an average daily volume of 996,127 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a price-weighted index maintained by editors of The Wall Street Journal. The Index includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Dow30SM from July 11, 2006 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (7/11/06) |
|||||||||||||
ProShares UltraShort
Dow30SM |
-21.33 |
% |
-29.46 |
% |
-22.45 |
% |
|||||||||
Dow Jones Industrial Average |
10.28 |
% |
15.07 |
% |
8.38 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Dow30SM |
0.99 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(183 |
%) |
|||||
Futures Contracts |
(17 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average �C Composition
% of Index |
|||||||
Industrials |
19.6 |
% |
|||||
Information Technology |
17.8 |
% |
|||||
Financials |
16.8 |
% |
|||||
Consumer Discretionary |
15.5 |
% |
|||||
Health Care |
11.7 |
% |
|||||
Consumer Staples |
7.2 |
% |
|||||
Energy |
7.0 |
% |
|||||
Materials |
2.6 |
% |
|||||
Telecommunication Services |
1.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT DOW30SM DXD :: XXXIII
ProShares UltraShort MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the S&P MidCap 400® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C24.85%1. For the same period, the Index had a total return of 12.28%2 and a volatility of 12.25%. For the period, the Fund had an average daily volume of 12,106 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares UltraShort MidCap400 from July 11, 2006 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (7/11/06) |
|||||||||||||
ProShares UltraShort
MidCap400 |
-24.85 |
% |
-34.17 |
% |
-28.97 |
% |
|||||||||
S&P MidCap 400 |
12.28 |
% |
16.53 |
% |
9.83 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort MidCap400 |
1.56 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(184 |
%) |
|||||
Futures Contracts |
(16 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P MidCap 400 �C Composition
% of Index |
|||||||
Financials |
23.6 |
% |
|||||
Information Technology |
17.4 |
% |
|||||
Industrials |
15.6 |
% |
|||||
Consumer Discretionary |
13.9 |
% |
|||||
Health Care |
8.8 |
% |
|||||
Materials |
7.5 |
% |
|||||
Utilities |
4.6 |
% |
|||||
Energy |
4.5 |
% |
|||||
Consumer Staples |
3.9 |
% |
|||||
Telecommunication Services |
0.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXXIV :: MZZ ULTRASHORT MIDCAP400 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the Russell 2000® Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C25.91%1. For the same period, the Index had a total return of 11.32%2 and a volatility of 15.12%. For the period, the Fund had an average daily volume of 1,594,907 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2000 of the smallest companies in the Russell 3000® Index or approximately 10% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the investable U.S. equity market.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Russell2000 from January 23, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/23/07) |
|||||||||||||
ProShares UltraShort
Russell2000 |
-25.91 |
% |
-35.82 |
% |
-31.19 |
% |
|||||||||
Russell 2000 Index |
11.32 |
% |
15.02 |
% |
7.14 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Russell2000 |
1.04 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(185 |
%) |
|||||
Futures Contracts |
(15 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Index �C Composition
% of Index |
|||||||
Financials |
23.5 |
% |
|||||
Information Technology |
18.2 |
% |
|||||
Health Care |
16.3 |
% |
|||||
Consumer Discretionary |
13.7 |
% |
|||||
Industrials |
13.2 |
% |
|||||
Materials |
4.3 |
% |
|||||
Energy |
3.5 |
% |
|||||
Utilities |
3.5 |
% |
|||||
Consumer Staples |
3.1 |
% |
|||||
Telecommunication Services |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT RUSSELL2000 TWM :: XXXV
ProShares UltraShort SmallCap600 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the S&P SmallCap 600® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C24.27%1. For the same period, the Index had a total return of 10.62%2 and a volatility of 14.33%. For the period, the Fund had an average daily volume of 1,086 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a measure of small-cap company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 600 U.S. operating companies selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use.The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort SmallCap600 from January 23, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/23/07) |
|||||||||||||
ProShares UltraShort
SmallCap600 |
-24.27 |
% |
-36.33 |
% |
-30.73 |
% |
|||||||||
S&P SmallCap 600 |
10.62 |
% |
16.46 |
% |
8.47 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort SmallCap600 |
2.33 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P SmallCap 600 �C Composition
% of Index |
|||||||
Financials |
23.0 |
% |
|||||
Information Technology |
16.6 |
% |
|||||
Industrials |
16.1 |
% |
|||||
Consumer Discretionary |
15.1 |
% |
|||||
Health Care |
12.9 |
% |
|||||
Materials |
5.3 |
% |
|||||
Utilities |
3.7 |
% |
|||||
Energy |
3.4 |
% |
|||||
Consumer Staples |
3.2 |
% |
|||||
Telecommunication Services |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXXVI :: SDD ULTRASHORT SMALLCAP600 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro Short S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (�C3x) of the daily performance of the S&P 500® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C34.15%1. For the same period, the Index had a total return of 11.81%2 and a volatility of 11.77%. For the period, the Fund had an average daily volume of 4,062,282 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as three times the inverse of the daily return of the Index. The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short S&P500® from June 23, 2009 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (6/23/09) |
|||||||||||||
ProShares UltraPro
Short S&P500® |
-34.15 |
% |
-45.48 |
% |
-47.90 |
% |
|||||||||
S&P 500 |
11.81 |
% |
16.52 |
% |
17.98 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro Short S&P500® |
0.92 |
% |
0.92 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(278 |
%) |
|||||
Futures Contracts |
(22 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P 500 �C Composition
% of Index |
|||||||
Information Technology |
20.1 |
% |
|||||
Financials |
16.2 |
% |
|||||
Health Care |
15.1 |
% |
|||||
Consumer Discretionary |
12.5 |
% |
|||||
Industrials |
10.2 |
% |
|||||
Consumer Staples |
9.5 |
% |
|||||
Energy |
7.9 |
% |
|||||
Materials |
3.2 |
% |
|||||
Utilities |
3.0 |
% |
|||||
Telecommunication Services |
2.3 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO SHORT S&P500® SPXU :: XXXVII
ProShares UltraPro Short QQQ® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (�C3x) of the daily performance of the NASDAQ-100 Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C50.89%1. For the same period, the Index had a total return of 22.08%2 and a volatility of 13.64%. For the period, the Fund had an average daily volume of 4,311,356 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as three times the inverse of the daily return of the Index. The Index, a modified market capitalization-weighted index, includes 100 of the largest non-financial domestic and international issues listed on The NASDAQ Stock Market.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short QQQ® from February 9, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (2/09/10) |
|||||||||||||
ProShares UltraPro
Short QQQ® |
-50.89 |
% |
-52.77 |
% |
-53.03 |
% |
|||||||||
NASDAQ-100 Index |
22.08 |
% |
20.85 |
% |
20.88 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro Short QQQ® |
1.06 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(278 |
%) |
|||||
Futures Contracts |
(22 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ-100 Index �C Composition
% of Index |
|||||||
Information Technology |
56.4 |
% |
|||||
Consumer Discretionary |
19.2 |
% |
|||||
Health Care |
15.0 |
% |
|||||
Consumer Staples |
6.3 |
% |
|||||
Industrials |
2.0 |
% |
|||||
Telecommunication Services |
0.8 |
% |
|||||
Materials |
0.3 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XXXVIII :: SQQQ ULTRAPRO SHORT QQQ® :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro Short Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (�C3x) of the daily performance of the Dow Jones Industrial AverageSM (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C31.42%1. For the same period, the Index had a total return of 10.28%2 and a volatility of 11.82%. For the period, the Fund had an average daily volume of 1,049,194 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as three times the inverse of the daily return of the Index. The Index is a price-weighted index maintained by editors of The Wall Street Journal. The Index includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short Dow30SM from February 9, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (2/09/10) |
|||||||||||||
ProShares UltraPro
Short Dow30SM |
-31.42 |
% |
-42.20 |
% |
-41.55 |
% |
|||||||||
Dow Jones Industrial Average |
10.28 |
% |
15.07 |
% |
14.53 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro Short Dow30SM |
1.03 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(281 |
%) |
|||||
Futures Contracts |
(19 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average �C Composition
% of Index |
|||||||
Industrials |
19.6 |
% |
|||||
Information Technology |
17.8 |
% |
|||||
Financials |
16.8 |
% |
|||||
Consumer Discretionary |
15.5 |
% |
|||||
Health Care |
11.7 |
% |
|||||
Consumer Staples |
7.2 |
% |
|||||
Energy |
7.0 |
% |
|||||
Materials |
2.6 |
% |
|||||
Telecommunication Services |
1.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO SHORT DOW30SM SDOW :: XXXIX
ProShares UltraPro Short MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (�C3x) of the daily performance of the S&P MidCap 400® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C36.29%1. For the same period, the Index had a total return of 12.28%2 and a volatility of 12.25%. For the period, the Fund had an average daily volume of 15,160 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as three times the inverse of the daily return of the Index. The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short MidCap400 from February 9, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (2/09/10) |
|||||||||||||
ProShares UltraPro
Short MidCap400 |
-36.29 |
% |
-49.15 |
% |
-50.65 |
% |
|||||||||
S&P MidCap 400 |
12.28 |
% |
16.53 |
% |
17.49 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro Short
MidCap400 |
2.27 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(279 |
%) |
|||||
Futures Contracts |
(21 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P MidCap 400 �C Composition
% of Index |
|||||||
Financials |
23.6 |
% |
|||||
Information Technology |
17.4 |
% |
|||||
Industrials |
15.6 |
% |
|||||
Consumer Discretionary |
13.9 |
% |
|||||
Health Care |
8.8 |
% |
|||||
Materials |
7.5 |
% |
|||||
Utilities |
4.6 |
% |
|||||
Energy |
4.5 |
% |
|||||
Consumer Staples |
3.9 |
% |
|||||
Telecommunication Services |
0.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XL :: SMDD ULTRAPRO SHORT MIDCAP400 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro Short Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (�C3x) of the daily performance of the Russell 2000® Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C38.30%1. For the same period, the Index had a total return of 11.32%2 and a volatility of 15.12%. For the period, the Fund had an average daily volume of 851,817 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as three times the inverse of the daily return of the Index. The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2000 of the smallest companies in the Russell 3000® Index or approximately 10% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the investable U.S. equity market.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short Russell2000 from February 9, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (2/09/10) |
|||||||||||||
ProShares UltraPro
Short Russell2000 |
-38.30 |
% |
-51.90 |
% |
-54.05 |
% |
|||||||||
Russell 2000 Index |
11.32 |
% |
15.02 |
% |
16.51 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro Short
Russell2000 |
1.13 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(283 |
%) |
|||||
Futures Contracts |
(17 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Index �C Composition
% of Index |
|||||||
Financials |
23.5 |
% |
|||||
Information Technology |
18.2 |
% |
|||||
Health Care |
16.3 |
% |
|||||
Consumer Discretionary |
13.7 |
% |
|||||
Industrials |
13.2 |
% |
|||||
Materials |
4.3 |
% |
|||||
Energy |
3.5 |
% |
|||||
Utilities |
3.5 |
% |
|||||
Consumer Staples |
3.1 |
% |
|||||
Telecommunication Services |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO SHORT RUSSELL2000 SRTY :: XLI
ProShares Short Basic Materials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�C1x) of the daily performance of the Dow Jones U.S. Basic MaterialsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C3.19%1. For the same period, the Index had a total return of 0.04%2 and a volatility of 15.07%. For the period, the Fund had an average daily volume of 4,046 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index measures the performance of the basic materials sector of the U.S. equity market. Component companies are involved in the production of aluminum, steel, non-ferrous metals, commodity chemicals, specialty chemicals, forest products, paper products, as well as the mining of precious metals and coal.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Basic Materials from March 16, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (3/16/10) |
|||||||||||||
ProShares Short Basic
Materials |
-3.19 |
% |
-14.41 |
% |
-12.77 |
% |
|||||||||
Dow Jones U.S. Basic Materials Index |
0.04 |
% |
10.20 |
% |
7.92 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short Basic Materials |
4.33 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Basic Materials Index �C Composition
% of Index |
|||||||
Chemicals |
78.8 |
% |
|||||
Metals & Mining |
15.3 |
% |
|||||
Paper & Forest Products |
4.4 |
% |
|||||
Oil, Gas & Consumable Fuels |
1.1 |
% |
|||||
Electrical Equipment |
0.4 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XLII :: SBM SHORT BASIC MATERIALS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�C1x) of the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C13.60%1. For the same period, the Index had a total return of 13.03%2 and a volatility of 12.40%. For the period, the Fund had an average daily volume of 28,556 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index measures the performance of the financial services sector of the U.S. equity market. Component companies include: among others, regional banks; major U.S. domiciled international banks; full line, life, and property and casualty insurance companies; companies that invest, directly or indirectly in real estate; diversified financial companies such as Fannie Mae, credit card issuers, check cashing companies, mortgage lenders and investment advisors; securities brokers and dealers including investment banks, merchant banks and online brokers; and publicly traded stock exchanges.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Financials from June 10, 2008 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (6/10/08) |
|||||||||||||
ProShares Short
Financials |
-13.60 |
% |
-16.29 |
% |
-17.70 |
% |
|||||||||
Dow Jones U.S. Financials Index |
13.03 |
% |
13.50 |
% |
4.54 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short Financials |
1.21 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Financials Index �C Composition
% of Index |
|||||||
Banks |
31.5 |
% |
|||||
Diversified Financials |
26.1 |
% |
|||||
Real Estate |
20.3 |
% |
|||||
Insurance |
16.3 |
% |
|||||
Software & Services |
5.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT FINANCIALS SEF :: XLIII
ProShares Short Oil & Gas (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�C1x) of the daily performance of the Dow Jones U.S. Oil & GasSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 13.19%1. For the same period, the Index had a total return of �C16.33%2 and a volatility of 21.37%. For the period, the Fund had an average daily volume of 7,822 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index measures the performance of the oil and gas sector of the U.S. equity market. Component companies include, among others, exploration and production, integrated oil and gas, oil equipment and services, pipelines, renewable energy equipment companies and alternative fuel producers.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Oil & Gas from June 10, 2008 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (6/10/08) |
|||||||||||||
ProShares Short
Oil & Gas |
13.19 |
% |
-13.88 |
% |
-9.78 |
% |
|||||||||
Dow Jones U.S. Oil & Gas Index |
-16.33 |
% |
9.90 |
% |
0.46 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short Oil & Gas |
3.89 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Oil & Gas Index �C Composition
% of Index |
|||||||
Oil, Gas & Consumable Fuels |
80.6 |
% |
|||||
Energy Equipment & Services |
18.5 |
% |
|||||
Electric Utilities |
0.4 |
% |
|||||
Semiconductors & Semiconductor |
0.2 |
% |
|||||
Electrical Equipment |
0.2 |
% |
|||||
Machinery |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XLIV :: DDG SHORT OIL & GAS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short Real Estate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�C1x) of the daily performance of the Dow Jones U.S. Real EstateSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C10.88%1. For the same period, the Index had a total return of 9.40%2 and a volatility of 12.91%. For the period, the Fund had an average daily volume of 47,270 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index measures the performance of the real estate sector of the U.S. equity market. Component companies include, among others, real estate holding and development and real estate services companies and real estate investment trusts ("REITs"). REITs are passive investment vehicles that invest primarily in income producing real estate or real estate related loans or interests.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short Real Estate from March 16, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (3/16/10) |
|||||||||||||
ProShares Short
Real Estate |
-10.88 |
% |
-15.77 |
% |
-15.80 |
% |
|||||||||
Dow Jones U.S. Real Estate Index |
9.40 |
% |
13.25 |
% |
12.89 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short Real Estate |
1.13 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Real Estate Index �C Composition
% of Index |
|||||||
Real Estate Investment Trusts |
95.3 |
% |
|||||
Real Estate Management & Development |
4.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT REAL ESTATE REK :: XLV
ProShares Short S&P Regional Banking (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�C1x) of the daily performance of the S&P Regional Banks Select Industry IndexSM (the "Index")**. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C17.28%1. For the same period, the Index had a total return of 12.48%2 and a volatility of 18.17%. For the period, the Fund had an average daily volume of 871 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index is an equal-weighted index (as adjusted to ensure adequate liquidity) that seeks to provide diverse regional banking exposure. The Index includes stocks of 84 publicly traded companies that do business as regional banks or thrifts while meeting minimum market capitalization and liquidity conditions. Component companies include, among others, leading regional banks or thrifts listed on a U.S. exchange.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short S&P Regional Banking from April 20, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (4/20/10) |
|||||||||||||
ProShares Short
S&P Regional Banking |
-17.28 |
% |
-17.44 |
% |
-15.64 |
% |
|||||||||
KBW Regional Banking Index** |
15.81 |
% |
12.41 |
% |
9.76 |
% |
|||||||||
S&P Regional Banks
Select Industry Index** |
12.48 |
% |
11.84 |
% |
9.17 |
% |
Expense Ratios***
Fund |
Gross |
Net |
|||||||||
ProShares Short S&P
Regional Banking |
5.92 |
% |
0.95 |
% |
**On April 16, 2015, the Fund's underlying index changed from the KBW Regional Banking Index to the S&P Regional Banks Select Industry Index. This change was made in order to match the Fund's underlying index to its Investment Objective.
***Reflects the expense ratio as reported in the Prospectus dated April 16, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P Regional Banks Select Industry Index �C Composition
% of Index |
|||||||
Banks |
100.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XLVI :: KRS SHORT S&P REGIONAL BANKING :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Basic Materials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the Dow Jones U.S. Basic MaterialsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C7.49%1. For the same period, the Index had a total return of 0.04%2 and a volatility of 15.07%. For the period, the Fund had an average daily volume of 16,826 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of the basic materials sector of the U.S. equity market. Component companies are involved in the production of aluminum, steel, non-ferrous metals, commodity chemicals, specialty chemicals, forest products, paper products, as well as the mining of precious metals and coal.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Basic Materials from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort
Basic Materials |
-7.49 |
% |
-29.73 |
% |
-33.66 |
% |
|||||||||
Dow Jones U.S. Basic Materials Index |
0.04 |
% |
10.20 |
% |
6.23 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort
Basic Materials |
1.30 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Basic Materials Index �C Composition
% of Index |
|||||||
Chemicals |
78.8 |
% |
|||||
Metals & Mining |
15.3 |
% |
|||||
Paper & Forest Products |
4.4 |
% |
|||||
Oil, Gas & Consumable Fuels |
1.1 |
% |
|||||
Electrical Equipment |
0.4 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT BASIC MATERIALS SMN :: XLVII
ProShares UltraShort Nasdaq Biotechnology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the NASDAQ Biotechnology Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C63.89%1. For the same period, the Index had a total return of 52.97%2 and a volatility of 22.35%. For the period, the Fund had an average daily volume of 231,453 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a modified capitalization-weighted index that includes securities of NASDAQ listed companies that are classified as either biotechnology or pharmaceutical according to the Industry Classification Benchmark which also meet other eligibility criteria determined by NASDAQ, including minimum market capitalization and liquidity requirements.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Nasdaq Biotechnology from April 7, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (4/07/10) |
|||||||||||||
ProShares UltraShort
Nasdaq Biotechnology |
-63.89 |
% |
-54.31 |
% |
-51.25 |
% |
|||||||||
NASDAQ Biotechnology Index |
52.97 |
% |
35.75 |
% |
31.37 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort
Nasdaq Biotechnology |
1.45 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ Biotechnology Index �C Composition
% of Index |
|||||||
Biotechnology |
77.7 |
% |
|||||
Pharmaceuticals |
16.3 |
% |
|||||
Life Sciences Tools & Services |
5.9 |
% |
|||||
Health Care Equipment & Supplies |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XLVIII :: BIS ULTRASHORT NASDAQ BIOTECHNOLOGY :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Consumer Goods (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the Dow Jones U.S. Consumer GoodsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C21.11%1. For the same period, the Index had a total return of 10.13%2 and a volatility of 10.60%. For the period, the Fund had an average daily volume of 1,656 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of consumer spending in the goods sector of the U.S. equity market. Component companies include, among others, automobiles and auto parts and tires, brewers and distillers, farming and fishing, durable and non-durable household product manufacturers, cosmetic companies, food and tobacco products, clothing, accessories and footwear.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Consumer Goods from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort
Consumer Goods |
-21.11 |
% |
-31.24 |
% |
-22.88 |
% |
|||||||||
Dow Jones U.S. Consumer Goods Index |
10.13 |
% |
16.90 |
% |
9.81 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort
Consumer Goods |
2.65 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Consumer Goods Index �C Composition
% of Index |
|||||||
Food Beverage & Tobacco |
49.0 |
% |
|||||
Household & Personal Products |
17.5 |
% |
|||||
Consumer Durables & Apparel |
15.4 |
% |
|||||
Automobiles & Components |
12.7 |
% |
|||||
Capital Goods |
1.8 |
% |
|||||
Software & Services |
1.7 |
% |
|||||
Retailing |
1.2 |
% |
|||||
Diversified Financials |
0.4 |
% |
|||||
Commercial & Professional Services |
0.2 |
% |
|||||
Materials |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT CONSUMER GOODS SZK :: XLIX
ProShares UltraShort Consumer Services (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the Dow Jones U.S. Consumer ServicesSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C34.04%1. For the same period, the Index had a total return of 19.66%2 and a volatility of 12.32%. For the period, the Fund had an average daily volume of 1,704 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of consumer spending in the services sector of the U.S. equity market. Component companies include, among others, airlines, broadcasting and entertainment, apparel and broadline retailers, food and drug retailers, media agencies, publishing, gambling, hotels, restaurants and bars, and travel and tourism.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Consumer Services from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort
Consumer Services |
-34.04 |
% |
-37.86 |
% |
-28.63 |
% |
|||||||||
Dow Jones U.S. Consumer Services Index |
19.66 |
% |
21.24 |
% |
10.84 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort
Consumer Services |
2.47 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Consumer Services Index �C Composition
% of Index |
|||||||
Retailing |
32.9 |
% |
|||||
Media |
26.8 |
% |
|||||
Food & Staples Retailing |
15.1 |
% |
|||||
Consumer Services |
14.6 |
% |
|||||
Transportation |
4.7 |
% |
|||||
Health Care Equipment & Services |
4.1 |
% |
|||||
Commercial & Professional Services |
1.4 |
% |
|||||
Software & Services |
0.3 |
% |
|||||
Technology Hardware & Equipment |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
L :: SCC ULTRASHORT CONSUMER SERVICES :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C25.76%1. For the same period, the Index had a total return of 13.03%2 and a volatility of 12.40%. For the period, the Fund had an average daily volume of 34,468 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of the financial services sector of the U.S. equity market. Component companies include: among others, regional banks; major U.S. domiciled international banks; full line, life, and property and casualty insurance companies; companies that invest, directly or indirectly in real estate; diversified financial companies such as Fannie Mae, credit card issuers, check cashing companies, mortgage lenders and investment advisors; securities brokers and dealers including investment banks, merchant banks and online brokers; and publicly traded stock exchanges.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Financials from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort
Financials |
-25.76 |
% |
-32.24 |
% |
-31.21 |
% |
|||||||||
Dow Jones U.S. Financials Index |
13.03 |
% |
13.50 |
% |
-1.01 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Financials |
1.03 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Financials Index �C Composition
% of Index |
|||||||
Banks |
31.5 |
% |
|||||
Diversified Financials |
26.1 |
% |
|||||
Real Estate |
20.3 |
% |
|||||
Insurance |
16.3 |
% |
|||||
Software & Services |
5.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT FINANCIALS SKF :: LI
ProShares UltraShort Gold Miners (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the NYSE Arca Gold Miners Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. From inception on February 12, 2015 to May 31, 2015, the Fund had a total return of 4.93%1. For the same period, the Index had a total return of �C7.01%2 and a volatility of 30.57%. For the period, the Fund had an average daily volume of 9,500 shares and an average daily statistical correlation of over 0.99 to the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a modified market-capitalization weighted index primarily comprised of publicly traded companies involved in the mining for gold and silver. The weight of companies whose revenues are more significantly exposed to silver mining will not exceed 20% of the Index at the time of the Index's rebalance.
During the period, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
As the ProShares UltraShort Gold Miners does not have more than six months of operating results, a line graph of a $10,000 investment and total return table are not presented.
Expense Ratios*
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Gold Miners |
1.14 |
% |
0.95 |
% |
*Reflects the expense ratio as reported in the Prospectus dated February 12, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NYSE Arca Gold Miners Index �C Composition
% of Index |
|||||||
Metals & Mining |
100.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LII :: GDXS ULTRASHORT GOLD MINERS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Junior Miners (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the Market Vectors Global Junior Gold Miners Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. From inception on February 12, 2015 to May 31, 2015, the Fund had a total return of �C7.92%1. For the same period, the Index had a total return of �C3.14%2 and a volatility of 33.29%. For the period, the Fund had an average daily volume of 9,851 shares and an average daily statistical correlation of over 0.99 to the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index includes companies that generate at least 50% of their revenues from (or, in certain circumstances, have at least 50% of their assets related to) gold mining and/or silver mining or have mining projects with the potential to generate at least 50% of their revenues from gold and/or silver when developed. The weight of companies determined to be "silver" stocks will not exceed 20% of the Index at any quarterly rebalance. Between rebalances, however, the weight may exceed 20% due to market appreciation. Such companies may include micro- and small-capitalization companies and foreign issuers.
During the period, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
As the ProShares UltraShort Junior Miners does not have more than six months of operating results, a line graph of a $10,000 investment and total return table are not presented.
Expense Ratios*
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Junior Miners |
1.20 |
% |
0.95 |
% |
*Reflects the expense ratio as reported in the Prospectus dated February 12, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Market Vectors Global Junior Gold Miners
Index �C
Composition
% of Index |
|||||||
Metals & Mining |
100.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value ("NAV") will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the inability of investors to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees, are not reflected in the Index calculation. It is not possible to invest directly in the Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT JUNIOR MINERS GDJS :: LIII
ProShares UltraShort Health Care (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the Dow Jones U.S. Health CareSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C44.07%1. For the same period, the Index had a total return of 28.98%2 and a volatility of 14.29%. For the period, the Fund had an average daily volume of 1,699 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of the healthcare sector of the U.S. equity market. Component companies include, among others, health care providers, biotechnology companies, medical supplies, advanced medical devices and pharmaceuticals.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Health Care from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort
Health Care |
-44.07 |
% |
-39.79 |
% |
-27.74 |
% |
|||||||||
Dow Jones U.S. Health Care Index |
28.98 |
% |
23.99 |
% |
12.83 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Health Care |
4.02 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Health Care Index �C Composition
% of Index |
|||||||
Pharmaceuticals |
41.2 |
% |
|||||
Biotechnology |
22.5 |
% |
|||||
Health Care Providers & Services |
16.4 |
% |
|||||
Health Care Equipment & Supplies |
15.9 |
% |
|||||
Life Sciences Tools & Services |
3.8 |
% |
|||||
Commercial Services & Supplies |
0.1 |
% |
|||||
Health Care Technology |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LIV :: RXD ULTRASHORT HEALTH CARE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Industrials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the Dow Jones U.S. IndustrialsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C18.43%1. For the same period, the Index had a total return of 7.16%2 and a volatility of 13.29%. For the period, the Fund had an average daily volume of 2,130 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of the industrial sector of the U.S. equity market. Component companies include, among others, building materials, heavy construction, factory equipment, heavy machinery, industrial services, pollution control, containers and packaging, industrial diversified, air freight, marine transportation, railroads, trucking, land-transportation equipment, shipbuilding, transportation services, advanced industrial equipment, electric components and equipment, and aerospace.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Industrials from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort
Industrials |
-18.43 |
% |
-34.50 |
% |
-27.81 |
% |
|||||||||
Dow Jones U.S. Industrials Index |
7.16 |
% |
16.66 |
% |
8.33 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Industrials |
2.70 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Industrials Index �C Composition
% of Index |
|||||||
Capital Goods |
61.3 |
% |
|||||
Transportation |
12.2 |
% |
|||||
Software & Services |
10.1 |
% |
|||||
Commercial & Professional Services |
5.7 |
% |
|||||
Materials |
5.4 |
% |
|||||
Technology Hardware & Equipment |
4.1 |
% |
|||||
Pharmaceuticals, Biotechnology |
1.1 |
% |
|||||
Utilities |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT INDUSTRIALS SIJ :: LV
ProShares UltraShort Oil & Gas (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the Dow Jones U.S. Oil & GasSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 23.57%1. For the same period, the Index had a total return of �C16.33%2 and a volatility of 21.37%. For the period, the Fund had an average daily volume of 211,950 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of the oil and gas sector of the U.S. equity market. Component companies include, among others, exploration and production, integrated oil and gas, oil equipment and services, pipelines, renewable energy equipment companies and alternative fuel producers.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Oil & Gas from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort
Oil & Gas |
23.57 |
% |
-28.68 |
% |
-30.60 |
% |
|||||||||
Dow Jones U.S. Oil & Gas Index |
-16.33 |
% |
9.90 |
% |
5.28 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Oil & Gas |
1.07 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Oil & Gas Index �C Composition
% of Index |
|||||||
Oil, Gas & Consumable Fuels |
80.6 |
% |
|||||
Energy Equipment & Services |
18.5 |
% |
|||||
Electric Utilities |
0.4 |
% |
|||||
Semiconductors & Semiconductor |
0.2 |
% |
|||||
Electrical Equipment |
0.2 |
% |
|||||
Machinery |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LVI :: DUG ULTRASHORT OIL & GAS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Real Estate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the Dow Jones U.S. Real EstateSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C21.28%1. For the same period, the Index had a total return of 9.40%2 and a volatility of 12.91%. For the period, the Fund had an average daily volume of 41,259 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of the real estate sector of the U.S. equity market. Component companies include, among others, real estate holding and development and real estate services companies and real estate investment trusts ("REITs"). REITs are passive investment vehicles that invest primarily in income producing real estate or real estate related loans or interests.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Real Estate from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort
Real Estate |
-21.28 |
% |
-31.27 |
% |
-40.48 |
% |
|||||||||
Dow Jones U.S. Real Estate Index |
9.40 |
% |
13.25 |
% |
2.45 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Real Estate |
1.11 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Real Estate Index �C Composition
% of Index |
|||||||
Real Estate Investment Trusts |
95.3 |
% |
|||||
Real Estate Management & Development |
4.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT REAL ESTATE SRS :: LVII
ProShares UltraShort Semiconductors (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the Dow Jones U.S. SemiconductorsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C48.86%1. For the same period, the Index had a total return of 30.54%2 and a volatility of 20.63%. For the period, the Fund had an average daily volume of 3,206 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of the semiconductor sub-sector of the U.S. equity market. Component companies are engaged in the production of semiconductors and other integrated chips, as well as other related products such as semiconductor capital equipment and mother-boards.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Semiconductors from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort
Semiconductors |
-48.86 |
% |
-37.04 |
% |
-32.89 |
% |
|||||||||
Dow Jones U.S. Semiconductors Index |
30.54 |
% |
16.55 |
% |
8.60 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort
Semiconductors |
2.01 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Semiconductors Index �C Composition
% of Index |
|||||||
Semiconductors & Semiconductor |
99.6 |
% |
|||||
Communications Equipment |
0.4 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LVIII :: SSG ULTRASHORT SEMICONDUCTORS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Technology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the Dow Jones U.S. TechnologySM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C33.64%1. For the same period, the Index had a total return of 18.30%2 and a volatility of 14.56%. For the period, the Fund had an average daily volume of 1,845 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of the technology sector of the U.S. equity market. Component companies include, among others, those involved in computers and office equipment, software, communications technology, semiconductors, diversified technology services and Internet services.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Technology from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort
Technology |
-33.64 |
% |
-33.26 |
% |
-28.65 |
% |
|||||||||
Dow Jones U.S. Technology Index |
18.30 |
% |
16.12 |
% |
9.81 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Technology |
2.29 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Technology Index �C Composition
% of Index |
|||||||
Software & Services |
47.5 |
% |
|||||
Technology Hardware & Equipment |
36.4 |
% |
|||||
Semiconductors & Semiconductor |
15.0 |
% |
|||||
Health Care Equipment & Services |
0.8 |
% |
|||||
Consumer Durables & Apparel |
0.2 |
% |
|||||
Commercial & Professional Services |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT TECHNOLOGY REW :: LIX
ProShares UltraShort Telecommunications (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the Dow Jones U.S. Select TelecommunicationsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C11.83%1. For the same period, the Index had a total return of 2.54%2 and a volatility of 14.44%. For the period, the Fund had an average daily volume of 70 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a measure of U.S. stock market performance of fixed line (regional and long-distance carriers) and mobile telephone services (cellular, satellite and paging services).
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Telecommunications from March 25, 2008 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (3/25/08) |
|||||||||||||
ProShares UltraShort
Telecommunications |
-11.83 |
% |
-27.93 |
% |
-27.59 |
% |
|||||||||
Dow Jones U.S. Select Telecommunications Index |
2.54 |
% |
12.35 |
% |
6.84 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort
Telecommunications |
8.65 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Select Telecommunications Index �C Composition
% of Index |
|||||||
Diversified Telecommunication |
66.4 |
% |
|||||
Wireless Telecommunication Services |
30.8 |
% |
|||||
Communications Equipment |
2.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LX :: TLL ULTRASHORT TELECOMMUNICATIONS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort Utilities (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the Dow Jones U.S. UtilitiesSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C20.28%1. For the same period, the Index had a total return of 7.59%2 and a volatility of 15.59%. For the period, the Fund had an average daily volume of 4,322 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index measures the performance of the utilities sector of the U.S. equity market. Component companies include, among others, electric utilities, gas utilities, multi-utilities and water utilities.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort Utilities from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares UltraShort
Utilities |
-20.28 |
% |
-28.20 |
% |
-20.91 |
% |
|||||||||
Dow Jones U.S. Utilities Index |
7.59 |
% |
14.11 |
% |
6.61 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort Utilities |
2.84 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Utilities Index �C Composition
% of Index |
|||||||
Electric Utilities |
52.3 |
% |
|||||
Multi-Utilities |
35.0 |
% |
|||||
Gas Utilities |
6.4 |
% |
|||||
Independent Power and Renewable |
4.2 |
% |
|||||
Water Utilities |
2.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT UTILITIES SDP :: LXI
ProShares UltraPro Short Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (�C3x) of the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C37.60%1. For the same period, the Index had a total return of 13.03%2 and a volatility of 12.40%. For the period, the Fund had an average daily volume of 783 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as three times the inverse of the daily return of the Index. The Index measures the performance of the financial services sector of the U.S. equity market. Component companies include: among others, regional banks; major U.S. domiciled international banks; full line, life, and property and casualty insurance companies; companies that invest, directly or indirectly in real estate; diversified financial companies such as Fannie Mae, credit card issuers, check cashing companies, mortgage lenders and investment advisors; securities brokers and dealers including investment banks, merchant banks and online brokers; and publicly traded stock exchanges.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short Financials from July 10, 2012 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (7/10/12) |
||||||||||
ProShares UltraPro Short Financials |
-37.60 |
% |
-50.53 |
% |
|||||||
Dow Jones U.S. Financials Index |
13.03 |
% |
21.63 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro Short Financials |
3.59 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(300 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Financials Index �C Composition
% of Index |
|||||||
Banks |
31.5 |
% |
|||||
Diversified Financials |
26.1 |
% |
|||||
Real Estate |
20.3 |
% |
|||||
Insurance |
16.3 |
% |
|||||
Software & Services |
5.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXII :: FINZ ULTRAPRO SHORT FINANCIALS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short MSCI EAFE (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�C1x) of the daily performance of the MSCI EAFE Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C2.01%1. For the same period, the Index had a total return of �C0.48%2 and a volatility of 10.37%. For the period, the Fund had an average daily volume of 161,274 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index includes 85% of free float-adjusted, market capitalization in each industry group in developed market countries, excluding the U.S. and Canada.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short MSCI EAFE from October 23, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (10/23/07) |
|||||||||||||
ProShares Short
MSCI EAFE |
-2.01 |
% |
-13.52 |
% |
-8.00 |
% |
|||||||||
MSCI EAFE Index |
-0.48 |
% |
9.89 |
% |
0.40 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short MSCI EAFE |
1.02 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI EAFE Index �C Country
% of Index |
|||||||
Japan |
22.7 |
% |
|||||
United Kingdom |
20.4 |
% |
|||||
Others |
12.3 |
% |
|||||
France |
9.6 |
% |
|||||
Switzerland |
9.4 |
% |
|||||
Germany |
8.8 |
% |
|||||
Australia |
7.0 |
% |
|||||
Spain |
3.5 |
% |
|||||
Hong Kong |
3.3 |
% |
|||||
Sweden |
3.0 |
% |
MSCI EAFE Index �C Composition
% of Index |
|||||||
Financials |
25.8 |
% |
|||||
Consumer Discretionary |
13.1 |
% |
|||||
Industrials |
12.8 |
% |
|||||
Health Care |
11.3 |
% |
|||||
Consumer Staples |
11.0 |
% |
|||||
Materials |
7.5 |
% |
|||||
Energy |
5.3 |
% |
|||||
Information Technology |
4.8 |
% |
|||||
Telecommunication Services |
4.7 |
% |
|||||
Utilities |
3.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT MSCI EAFE EFZ :: LXIII
ProShares Short MSCI Emerging Markets (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�C1x) of the daily performance of the MSCI Emerging Markets Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C2.70%1. For the same period, the Index had a total return of �C0.01%2 and a volatility of 11.39%. For the period, the Fund had an average daily volume of 389,600 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index includes 85% of free float-adjusted, market capitalization in each industry group in emerging markets countries.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short MSCI Emerging Markets from October 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (10/30/07) |
|||||||||||||
ProShares Short
MSCI Emerging Markets |
-2.70 |
% |
-9.39 |
% |
-11.64 |
% |
|||||||||
MSCI Emerging Markets Index |
-0.01 |
% |
4.29 |
% |
-1.37 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short MSCI
Emerging Markets |
0.95 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Emerging Markets Index �C Country
% of Index |
|||||||
China |
25.3 |
% |
|||||
Korea |
14.6 |
% |
|||||
Others |
13.7 |
% |
|||||
Taiwan |
13.0 |
% |
|||||
South Africa |
7.4 |
% |
|||||
Brazil |
7.3 |
% |
|||||
India |
6.9 |
% |
|||||
Mexico |
4.6 |
% |
|||||
Russia |
3.9 |
% |
|||||
Malaysia |
3.3 |
% |
MSCI Emerging Markets Index �C Composition
% of Index |
|||||||
Financials |
29.2 |
% |
|||||
Information Technology |
18.4 |
% |
|||||
Consumer Discretionary |
9.1 |
% |
|||||
Energy |
8.4 |
% |
|||||
Consumer Staples |
8.0 |
% |
|||||
Materials |
7.3 |
% |
|||||
Telecommunication Services |
7.2 |
% |
|||||
Industrials |
6.9 |
% |
|||||
Utilities |
3.2 |
% |
|||||
Health Care |
2.3 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXIV :: EUM SHORT MSCI EMERGING MARKETS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short FTSE China 50 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�C1x) of the daily performance of the FTSE China 50 Index® (the "Index")**. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C31.35%1. For the same period, the Index had a total return of 38.49%2 and a volatility of 19.74%. For the period, the Fund had an average daily volume of 6,732 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index is comprised of 50 of the largest and most liquid Chinese stocks listed on the Hong Kong Stock Exchange.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short FTSE China 50 from March 16, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (3/16/10) |
|||||||||||||
ProShares Short
FTSE China 50 |
-31.35 |
% |
-14.35 |
% |
-13.64 |
% |
|||||||||
FTSE China 50 Index** |
38.49 |
% |
7.72 |
% |
6.88 |
% |
Expense Ratios***
Fund |
Gross |
Net |
|||||||||
ProShares Short FTSE China 50 |
2.18 |
% |
0.95 |
% |
**As of September 22, 2014, the methodology of the underlying index of this ETF changed from an index consisting of 25 securities to an index consisting of 50 securities and was renamed FTSE China 50.
***Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE China 50 Index �C Composition
% of Index |
|||||||
Financials |
50.3 |
% |
|||||
Energy |
13.0 |
% |
|||||
Information Technology |
11.5 |
% |
|||||
Telecommunication Services |
10.8 |
% |
|||||
Industrials |
7.2 |
% |
|||||
Consumer Discretionary |
2.7 |
% |
|||||
Utilities |
2.3 |
% |
|||||
Consumer Staples |
1.4 |
% |
|||||
Materials |
0.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT FTSE CHINA 50 YXI :: LXV
ProShares UltraShort MSCI EAFE (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the MSCI EAFE Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C5.34%1. For the same period, the Index had a total return of �C0.48%2 and a volatility of 10.37%. For the period, the Fund had an average daily volume of 6,763 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index includes 85% of free float-adjusted, market capitalization in each industry group in developed market countries, excluding the U.S. and Canada.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort MSCI EAFE from October 23, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (10/23/07) |
|||||||||||||
ProShares UltraShort
MSCI EAFE |
-5.34 |
% |
-27.65 |
% |
-21.36 |
% |
|||||||||
MSCI EAFE Index |
-0.48 |
% |
9.89 |
% |
0.40 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort MSCI EAFE |
2.28 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(199 |
%) |
|||||
Total Exposure |
(199 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI EAFE Index �C Country
% of Index |
|||||||
Japan |
22.7 |
% |
|||||
United Kingdom |
20.4 |
% |
|||||
Others |
12.3 |
% |
|||||
France |
9.6 |
% |
|||||
Switzerland |
9.4 |
% |
|||||
Germany |
8.8 |
% |
|||||
Australia |
7.0 |
% |
|||||
Spain |
3.5 |
% |
|||||
Hong Kong |
3.3 |
% |
|||||
Sweden |
3.0 |
% |
MSCI EAFE Index �C Composition
% of Index |
|||||||
Financials |
25.8 |
% |
|||||
Consumer Discretionary |
13.1 |
% |
|||||
Industrials |
12.8 |
% |
|||||
Health Care |
11.3 |
% |
|||||
Consumer Staples |
11.0 |
% |
|||||
Materials |
7.5 |
% |
|||||
Energy |
5.3 |
% |
|||||
Information Technology |
4.8 |
% |
|||||
Telecommunication Services |
4.7 |
% |
|||||
Utilities |
3.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXVI :: EFU ULTRASHORT MSCI EAFE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort MSCI Emerging Markets (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the MSCI Emerging Markets Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C7.17%1. For the same period, the Index had a total return of �C0.01%2 and a volatility of 11.39%. For the period, the Fund had an average daily volume of 72,078 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index includes 85% of free float-adjusted, market capitalization in each industry group in emerging markets countries.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort MSCI Emerging Markets from October 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (10/30/07) |
|||||||||||||
ProShares UltraShort
MSCI Emerging Markets |
-7.17 |
% |
-21.17 |
% |
-32.35 |
% |
|||||||||
MSCI Emerging Markets Index |
-0.01 |
% |
4.29 |
% |
-1.37 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort
MSCI Emerging Markets |
1.05 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Emerging Markets Index �C Country
% of Index |
|||||||
China |
25.3 |
% |
|||||
Korea |
14.6 |
% |
|||||
Others |
13.7 |
% |
|||||
Taiwan |
13.0 |
% |
|||||
South Africa |
7.4 |
% |
|||||
Brazil |
7.3 |
% |
|||||
India |
6.9 |
% |
|||||
Mexico |
4.6 |
% |
|||||
Russia |
3.9 |
% |
|||||
Malaysia |
3.3 |
% |
MSCI Emerging Markets Index �C
Composition
% of Index |
|||||||
Financials |
29.2 |
% |
|||||
Information Technology |
18.4 |
% |
|||||
Consumer Discretionary |
9.1 |
% |
|||||
Energy |
8.4 |
% |
|||||
Consumer Staples |
8.0 |
% |
|||||
Materials |
7.3 |
% |
|||||
Telecommunication Services |
7.2 |
% |
|||||
Industrials |
6.9 |
% |
|||||
Utilities |
3.2 |
% |
|||||
Health Care |
2.3 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT MSCI EMERGING MARKETS EEV :: LXVII
ProShares UltraShort FTSE Europe (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the FTSE Developed Europe Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C2.40%1. For the same period, the Index had a total return of �C4.64%2 and a volatility of 13.40%. For the period, the Fund had an average daily volume of 23,322 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is comprised of large- and mid-cap stocks and targets the performance of approximately 500 large- and mid-cap companies. The Index utilizes free float-adjusted, market capitalizations and components are screened for liquidity.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort FTSE Europe from June 16, 2009 to May 31, 2015, assuming the reinvestment of distributions.
Index performance through April 22, 2013 reflects the performance of the MSCI Europe Index. Index performance beginning on April 23, 2013 reflects the performance of the FTSE Developed Europe Index.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (6/16/09) |
|||||||||||||
ProShares UltraShort
FTSE Europe |
-2.40 |
% |
-34.62 |
% |
-34.58 |
% |
|||||||||
FTSE Developed Europe Index |
-4.64 |
% |
10.57 |
% |
9.91 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort FTSE Europe |
1.11 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(199 |
%) |
|||||
Total Exposure |
(199 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE Developed Europe Index �C Country
% of Index |
|||||||
United Kingdom |
32.2 |
% |
|||||
Switzerland |
14.4 |
% |
|||||
France |
14.2 |
% |
|||||
Germany |
13.4 |
% |
|||||
Others |
5.3 |
% |
|||||
Spain |
5.1 |
% |
|||||
Sweden |
4.6 |
% |
|||||
Netherlands |
4.4 |
% |
|||||
Italy |
3.7 |
% |
|||||
Denmark |
2.7 |
% |
FTSE Developed Europe Index �CComposition
% of Index |
|||||||
Financials |
22.7 |
% |
|||||
Health Care |
13.7 |
% |
|||||
Consumer Staples |
13.3 |
% |
|||||
Consumer Discretionary |
11.8 |
% |
|||||
Industrials |
11.4 |
% |
|||||
Materials |
7.8 |
% |
|||||
Energy |
7.1 |
% |
|||||
Telecommunication Services |
4.7 |
% |
|||||
Utilities |
4.0 |
% |
|||||
Information Technology |
3.5 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXVIII :: EPV ULTRASHORT FTSE EUROPE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort MSCI Pacific ex-Japan (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the MSCI Pacific ex-Japan Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 0.74%1. For the same period, the Index had a total return of �C3.13%2 and a volatility of 12.15%. For the period, the Fund had an average daily volume of 415 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the developed markets in the eastern Pacific region, excluding Japan. The Index is divided into large- and mid-cap segments and targets approximately 85% of free float-adjusted market capitalization of the region.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort MSCI Pacific ex-Japan from June 16, 2009 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (6/16/09) |
|||||||||||||
ProShares UltraShort
MSCI Pacific ex-Japan |
0.74 |
% |
-27.38 |
% |
-31.37 |
% |
|||||||||
MSCI Pacific ex-Japan Index |
-3.13 |
% |
9.20 |
% |
11.30 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort MSCI
Pacific ex-Japan |
8.09 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Pacific ex-Japan Index �C Country
% of Index |
|||||||
Australia |
59.2 |
% |
|||||
Hong Kong |
27.7 |
% |
|||||
Singapore |
11.9 |
% |
|||||
New Zealand |
1.2 |
% |
MSCI Pacific ex-Japan Index �CComposition
% of Index |
|||||||
Financials |
55.2 |
% |
|||||
Industrials |
10.5 |
% |
|||||
Materials |
9.4 |
% |
|||||
Consumer Staples |
5.1 |
% |
|||||
Utilities |
4.6 |
% |
|||||
Consumer Discretionary |
4.5 |
% |
|||||
Telecommunication Services |
3.7 |
% |
|||||
Health Care |
3.5 |
% |
|||||
Energy |
3.0 |
% |
|||||
Information Technology |
0.5 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT MSCI PACIFIC EX-JAPAN JPX :: LXIX
ProShares UltraShort MSCI Brazil Capped (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the MSCI Brazil 25/50 Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 34.81%1. For the same period, the Index had a total return �C27.70%2 and a volatility of 33.51%. For the period, the Fund had an average daily volume of 28,206 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the Brazilian market. The Index is divided into large- and mid-cap segments and targets approximately 85% of free float-adjusted, market capitalization of the region.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares UltraShort MSCI Brazil Capped from June 16, 2009 to May 31, 2015, assuming the reinvestment of distributions.
Index performance through February 10, 2013 reflects the performance of the MSCI Brazil Index. Index performance beginning on February 11, 2013 reflects the performance of the MSCI Brazil 25/50 Index.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (6/16/09) |
|||||||||||||
ProShares UltraShort
MSCI Brazil Capped |
34.81 |
% |
-3.46 |
% |
-14.87 |
% |
|||||||||
MSCI Brazil 25/50 Index |
-27.70 |
% |
-9.36 |
% |
-4.78 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort MSCI
Brazil Capped |
1.52 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Brazil 25/50 Index �C Composition
% of Index |
|||||||
Financials |
31.8 |
% |
|||||
Consumer Staples |
19.7 |
% |
|||||
Energy |
11.7 |
% |
|||||
Materials |
11.2 |
% |
|||||
Consumer Discretionary |
6.3 |
% |
|||||
Utilities |
5.9 |
% |
|||||
Industrials |
5.3 |
% |
|||||
Information Technology |
4.4 |
% |
|||||
Telecommunication Services |
3.0 |
% |
|||||
Health Care |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXX :: BZQ ULTRASHORT MSCI BRAZIL CAPPED :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort FTSE China 50 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the FTSE China 50 Index® (the "Index")**. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C54.60%1. For the same period, the Index had a total return of 38.49%2 and a volatility of 19.74%. For the period, the Fund had an average daily volume of 73,937 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is comprised of 50 of the largest and most liquid Chinese stocks listed on the Hong Kong Stock Exchange.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares UltraShort FTSE China 50 from November 6, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (11/06/07) |
|||||||||||||
ProShares UltraShort
FTSE China 50 |
-54.60 |
% |
-30.07 |
% |
-40.20 |
% |
|||||||||
FTSE China 50 Index** |
38.49 |
% |
7.72 |
% |
-0.83 |
% |
Expense Ratios***
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort FTSE China 50 |
1.06 |
% |
0.95 |
% |
**As of September 22, 2014, the methodology of the underlying index of this ETF changed from an index consisting of 25 securities to an index consisting of 50 securities and was renamed FTSE China 50.
***Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(199 |
%) |
|||||
Total Exposure |
(199 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE China 50 Index �C Composition
% of Index |
|||||||
Financials |
50.3 |
% |
|||||
Energy |
13.0 |
% |
|||||
Information Technology |
11.5 |
% |
|||||
Telecommunication Services |
10.8 |
% |
|||||
Industrials |
7.2 |
% |
|||||
Consumer Discretionary |
2.7 |
% |
|||||
Utilities |
2.3 |
% |
|||||
Consumer Staples |
1.4 |
% |
|||||
Materials |
0.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT FTSE CHINA 50 FXP :: LXXI
ProShares UltraShort MSCI Japan (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the MSCI Japan Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C29.51%1. For the same period, the Index had a total return of 15.96%2 and a volatility of 14.89%. For the period, the Fund had an average daily volume of 6,120 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index includes 85% of free float-adjusted, market capitalization in each industry group in Japan.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort MSCI Japan from November 6, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (11/06/07) |
|||||||||||||
ProShares UltraShort
MSCI Japan |
-29.51 |
% |
-24.92 |
% |
-19.36 |
% |
|||||||||
MSCI Japan Index |
15.96 |
% |
8.72 |
% |
1.18 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort MSCI Japan |
1.92 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Japan Index �C Composition
% of Index |
|||||||
Consumer Discretionary |
22.5 |
% |
|||||
Financials |
19.9 |
% |
|||||
Industrials |
19.1 |
% |
|||||
Information Technology |
10.7 |
% |
|||||
Health Care |
6.8 |
% |
|||||
Consumer Staples |
6.6 |
% |
|||||
Materials |
6.1 |
% |
|||||
Telecommunication Services |
5.0 |
% |
|||||
Utilities |
2.5 |
% |
|||||
Energy |
0.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXII :: EWV ULTRASHORT MSCI JAPAN :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort MSCI Mexico Capped IMI (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the MSCI Mexico IMI 25/50 Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 11.62%1. For the same period, the Index had a total return of �C9.95%2 and a volatility of 16.81%. For the period, the Fund had an average daily volume of 267 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the Mexican market by capturing 99% of the (publicly available) total market capitalization.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively affected from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort MSCI Mexico Capped IMI from June 16, 2009 to May 31, 2015, assuming the reinvestment of distributions.
Index performance through February 10, 2013 reflects the performance of the MSCI Mexico Investable Market Index. Index performance beginning on February 11, 2013 reflects the performance of the MSCI Mexico IMI 25/50 Index.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (6/16/09) |
|||||||||||||
ProShares UltraShort
MSCI Mexico Capped IMI |
11.62 |
% |
-24.31 |
% |
-32.19 |
% |
|||||||||
MSCI Mexico IMI 25/50 Index |
-9.95 |
% |
4.75 |
% |
9.65 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort MSCI
Mexico Capped IMI |
8.97 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Mexico IMI 25/50 Index �C Composition
% of Index |
|||||||
Consumer Staples |
23.9 |
% |
|||||
Financials |
21.0 |
% |
|||||
Telecommunication Services |
16.4 |
% |
|||||
Materials |
13.8 |
% |
|||||
Industrials |
12.5 |
% |
|||||
Consumer Discretionary |
11.8 |
% |
|||||
Health Care |
0.6 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT MSCI MEXICO CAPPED IMI SMK :: LXXIII
ProShares Short 7-10 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�C1x) of the daily performance of the Barclays U.S. 7-10 Year Treasury Bond Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C6.39%1. For the same period, the Index had a total return of 5.14%2 with a volatility of 5.53%. For the period, the Fund had an average daily volume of 20,147 shares and an average daily statistical correlation of over 0.99 the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of between 7 and 10 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding. The Index is weighted by the relative market value of all securities meeting the Index criteria. Excluded from the Index are certain special issues, such as targeted investor notes, U.S. Treasury inflation-protected securities, state and local government series bonds, and coupon issues that have been stripped from Treasury securities.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short 7-10 Year Treasury from April 4, 2011 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (4/04/11) |
||||||||||
ProShares Short 7-10 Year Treasury |
-6.39 |
% |
-6.86 |
% |
|||||||
Barclays U.S. 7-10 Year Treasury Bond Index |
5.14 |
% |
5.61 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short 7-10 Year Treasury |
1.07 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(99 |
%) |
|||||
Futures Contracts |
(1 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 7-10 Year Treasury Bond Index �C Composition
% of Index |
|||||||
7-10 Year U.S. Treasury |
100.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXIV :: TBX SHORT 7-10 YEAR TREASURY :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short 20+ Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�C1x) of the daily performance of the Barclays U.S. 20+ Year Treasury Bond Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C12.50%1. For the same period, the Index had a total return of 11.10%2 and a volatility of 12.89%. For the period, the Fund had an average daily volume of 801,582 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity greater than 20 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding. The Index is weighted by the relative market value of all securities meeting the Index criteria. Excluded from the Index are certain special issues, such as targeted investor notes, U.S. Treasury inflation protected securities, state and local government series bonds, and coupon issues that have been stripped from Treasury securities.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short 20+ Year Treasury from August 18, 2009 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (8/18/09) |
|||||||||||||
ProShares Short 20+ Year
Treasury |
-12.50 |
% |
-11.17 |
% |
-11.20 |
% |
|||||||||
Barclays U.S. 20+ Year Treasury Bond Index |
11.10 |
% |
8.55 |
% |
8.44 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short 20+ Year Treasury |
0.93 |
% |
0.93 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(98 |
%) |
|||||
Futures Contracts |
(2 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 20+ Year Treasury Bond Index �C Composition
% of Index |
|||||||
20+ Year U.S. Treasury |
100.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT 20+ YEAR TREASURY TBF :: LXXV
ProShares Short High Yield (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�C1x) of the daily performance of the Markit iBoxx $ Liquid High Yield Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C3.60%1. For the same period, the Index had a total return of 1.37%2 with a volatility of 4.02%. For the period, the Fund had an average daily volume of 61,807 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index is a modified market-value weighted index designed to provide a balanced representation of U.S. dollar-denominated high yield corporate bonds for sale within the United States by means of including the most liquid high yield corporate bonds available as determined by the index provider. Currently, the bonds eligible for inclusion in the Index include U.S. dollar-denominated, corporate bonds for sale in the United States that are issued by companies domiciled in the U.S., Bermuda, Canada, Cayman Islands, Western Europe or Japan, are rated sub-investment grade by Moody's Investors Service, Inc., Fitch, Inc. or Standard and Poor's Financial Services, LLC; are from issuers with at least $1 billion par outstanding; have at least $400 million of outstanding face value; and are between three and fifteen years to maturity. There is no limit to the number of issues in the Index.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Short High Yield from March 21, 2011 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (3/21/11) |
||||||||||
ProShares Short High Yield |
-3.60 |
% |
-9.06 |
% |
|||||||
Markit iBoxx $ Liquid High Yield Index |
1.37 |
% |
6.57 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short High Yield |
1.11 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Markit iBoxx $ Liquid High Yield Index �C Composition
% of Index |
|||||||
High Yield |
100.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXVI :: SJB SHORT HIGH YIELD :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Short Investment Grade Corporate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (�C1x) of the daily performance of the Markit iBoxx $ Liquid Investment Grade Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C4.51%1. For the same period, the Index had a total return of 2.93%2 with a volatility of 4.92%. For the period, the Fund had an average daily volume of 717 shares and an average daily statistical correlation of over 0.99 to the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as the inverse of the daily return of the Index. The Index is a modified market-value weighted index designed to provide a balanced representation of U.S. dollar-denominated investment grade corporate bonds publicly offered in the United States by means of including the most liquid investment grade corporate bonds available as determined by the index provider. Currently, the bonds eligible for inclusion in the Index include U.S. dollar denominated corporate bonds publicly offered in the United States that are issued by companies domiciled in the U.S., Bermuda, Canada, Cayman Islands, Western Europe or Japan, are rated investment grade by Moody's Investors Service, Inc., Fitch, Inc. or Standard and Poor's Financial Services, LLC; are from issuers with at least $3 billion par outstanding; have at least $750 million of outstanding face value; and have at least three years remaining to maturity. There is no limit to the number of issues in the Index.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares Short Investment Grade Corporate from March 28, 2011 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (3/28/11) |
||||||||||
ProShares Short Investment
Grade Corporate |
-4.51 |
% |
-7.91 |
% |
|||||||
Markit iBoxx $ Liquid Investment Grade Index |
2.93 |
% |
6.34 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Short Investment
Grade Corporate |
3.38 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(100 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Markit iBoxx $ Liquid Investment Grade Index �C Composition
% of Index |
|||||||
Investment Grade |
100.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: SHORT INVESTMENT GRADE CORPORATE IGS :: LXXVII
ProShares UltraShort 3-7 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the Barclays U.S. 3-7 Year Treasury Bond Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C7.24%1. For the same period, the Index had a total return of 2.75%2 with a volatility of 3.15%. For the period, the Fund had an average daily volume of 578 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of more than three years and less than seven years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding. The Index is weighted by the relative market value of all securities meeting the Index criteria. Excluded from the Index are certain special issues, such as targeted investor notes, U.S. Treasury inflation protected securities, state and local government series bonds, and coupon issues that have been stripped from Treasury securities.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort 3-7 Year Treasury from April 4, 2011 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (4/04/11) |
||||||||||
ProShares UltraShort 3-7
Year Treasury |
-7.24 |
% |
-7.73 |
% |
|||||||
Barclays U.S. 3-7 Year Treasury Bond Index |
2.75 |
% |
3.17 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort 3-7
Year Treasury |
2.99 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 3-7 Year Treasury Bond Index �C Composition
% of Index |
|||||||
3-7 Year U.S. Treasury |
100.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXVIII :: TBZ ULTRASHORT 3-7 YEAR TREASURY :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort 7-10 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the Barclays U.S. 7-10 Year Treasury Bond Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C11.94%1. For the same period, the Index had a total return of 5.14%2 and a volatility of 5.53%. For the period, the Fund had an average daily volume of 107,231 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of between 7 and 10 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding. The Index is weighted by the relative market value of all securities meeting the Index criteria. Excluded from the Index are certain special issues, such as targeted investor notes, U.S. Treasury inflation-protected securities, state and local government series bonds, and coupon issues that have been stripped from Treasury securities.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort 7-10 Year Treasury from April 29, 2008 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (4/29/08) |
|||||||||||||
ProShares UltraShort
7-10 Year Treasury |
-11.94 |
% |
-12.70 |
% |
-14.14 |
% |
|||||||||
Barclays U.S. 7-10 Year Treasury Bond Index |
5.14 |
% |
5.27 |
% |
5.62 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort
7-10 Year Treasury |
0.96 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(198 |
%) |
|||||
Futures Contracts |
(3 |
%) |
|||||
Total Exposure |
(201 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 7-10 Year Treasury Bond Index �C Composition
% of Index |
|||||||
7-10 Year U.S. Treasury |
100.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT 7-10 YEAR TREASURY PST :: LXXIX
ProShares UltraShort 20+ Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the Barclays U.S. 20+ Year Treasury Bond Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C24.07%1. For the same period, the Index had a total return of 11.10%2 and a volatility of 12.89%. For the period, the Fund had an average daily volume of 3,380,073 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity greater than 20 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding. The Index is weighted by the relative market value of all securities meeting the Index criteria. Excluded from the Index are certain special issues, such as targeted investor notes, U.S. Treasury inflation protected securities, state and local government series bonds, and coupon issues that have been stripped from Treasury securities.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares UltraShort 20+ Year Treasury from April 29, 2008 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (4/29/08) |
|||||||||||||
ProShares UltraShort
20+ Year Treasury |
-24.07 |
% |
-22.15 |
% |
-22.49 |
% |
|||||||||
Barclays U.S. 20+ Year Treasury Bond Index |
11.10 |
% |
8.55 |
% |
7.95 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort 20+
Year Treasury |
0.92 |
% |
0.92 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(198 |
%) |
|||||
Futures Contracts |
(2 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 20+ Year Treasury Bond Index �C Composition
% of Index |
|||||||
20+ Year U.S. Treasury |
100.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXX :: TBT ULTRASHORT 20+ YEAR TREASURY :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraShort TIPS (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (�C2x) of the daily performance of the Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L) (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C0.54%1. For the same period, the Index had a total return of �C0.47%2 with a volatility of 5.07%. For the period, the Fund had an average daily volume of 964 shares and an average daily statistical correlation of over 0.99 to two times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar daily return characteristics as two times the inverse of the daily return of the Index. The Index includes all publicly issued TIPS that have at least one year remaining maturity, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million or more par value outstanding. The Index is weighted by the relative market value of all securities meeting the Index criteria and the securities of the Index are updated on the last calendar day of each month. TIPS are the inflation indexed bonds issued by the U.S. Treasury. The principal is adjusted by a designated inflation index, such as the consumer price index, the commonly used measure of inflation. The coupon rate is constant, but generates a different amount of interest when multiplied by the inflation-adjusted principal, thus protecting the holder against inflation.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraShort TIPS from February 9, 2011 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (2/09/11) |
||||||||||
ProShares UltraShort TIPS |
-0.54 |
% |
-8.92 |
% |
|||||||
Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L) |
-0.47 |
% |
3.97 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraShort TIPS |
1.69 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(200 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L) �C Composition
% of Index |
|||||||
TIPS (Series L) |
100.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRASHORT TIPS TPS :: LXXXI
ProShares UltraPro Short 20+ Year Treasury (the "Fund") seeks investment results, before fees and expenses, that correspond to three times the inverse (�C3x) of the daily performance of the Barclays U.S. 20+ Year Treasury Bond Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C35.15%1. For the same period, the Index had a total return of 11.10%2 and a volatility of 12.89%. For the period, the Fund had an average daily volume of 42,836 shares and an average daily statistical correlation of over 0.99 to three times the inverse of the daily performance of the Index.3
The Fund takes positions in derivatives that, in combination, should have similar return characteristics as three times the inverse of the daily return of the Index. The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity greater than 20 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding. The Index is weighted by the relative market value of all securities meeting the Index criteria. Excluded from the Index are certain special issues, such as targeted investor notes, U.S. Treasury inflation protected securities, state and local government series bonds, and coupon issues that have been stripped from Treasury securities.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain inverse leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Short 20+ Year Treasury from March 27, 2012 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (3/27/12) |
||||||||||
ProShares UltraPro
Short 20+ Year Treasury |
-35.15 |
% |
-24.56 |
% |
|||||||
Barclays U.S. 20+ Year Treasury Bond Index |
11.10 |
% |
5.74 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro
Short 20+ Year Treasury |
1.02 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
(296 |
%) |
|||||
Futures Contracts |
(5 |
%) |
|||||
Total Exposure |
(301 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 20+ Year Treasury Bond Index �C Composition
% of Index |
|||||||
20+ Year U.S. Treasury |
100.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXXII :: TTT ULTRAPRO SHORT 20+ YEAR TREASURY :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P 500® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 21.58%1. For the same period, the Index had a total return of 11.81%2 and a volatility of 11.77%. For the period, the Fund had an average daily volume of 7,871,371 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra S&P500® from June 19, 2006 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (6/19/06) |
|||||||||||||
ProShares Ultra S&P500® |
21.58 |
% |
30.73 |
% |
9.38 |
% |
|||||||||
S&P 500 |
11.81 |
% |
16.52 |
% |
8.39 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra S&P500® |
0.89 |
% |
0.89 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
83 |
% |
|||||
Swap Agreements |
112 |
% |
|||||
Futures Contracts |
5 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
3.4 |
% |
|||||
Microsoft Corp. |
1.7 |
% |
|||||
Exxon Mobil Corp. |
1.6 |
% |
|||||
Johnson & Johnson |
1.2 |
% |
|||||
General Electric Co. |
1.2 |
% |
S&P 500 �C Composition
% of Index |
|||||||
Information Technology |
20.1 |
% |
|||||
Financials |
16.2 |
% |
|||||
Health Care |
15.1 |
% |
|||||
Consumer Discretionary |
12.5 |
% |
|||||
Industrials |
10.2 |
% |
|||||
Consumer Staples |
9.5 |
% |
|||||
Energy |
7.9 |
% |
|||||
Materials |
3.2 |
% |
|||||
Utilities |
3.0 |
% |
|||||
Telecommunication Services |
2.3 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA S&P500® SSO :: LXXXIII
ProShares Ultra QQQ® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the NASDAQ-100 Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 44.02%1. For the same period, the Index had a total return of 22.08%2 and a volatility of 13.64%. For the period, the Fund had an average daily volume of 2,854,149 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index, a modified market capitalization-weighted index, includes 100 of the largest non-financial domestic and international issues listed on The NASDAQ Stock Market.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra QQQ® from June 19, 2006 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (6/19/06) |
|||||||||||||
ProShares Ultra QQQ® |
44.02 |
% |
39.91 |
% |
19.61 |
% |
|||||||||
NASDAQ-100 Index |
22.08 |
% |
20.85 |
% |
13.71 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra QQQ® |
1.02 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
81 |
% |
|||||
Swap Agreements |
117 |
% |
|||||
Futures Contracts |
2 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
11.8 |
% |
|||||
Microsoft Corp. |
6.0 |
% |
|||||
Amazon.com, Inc. |
3.1 |
% |
|||||
Google, Inc., Class C |
2.8 |
% |
|||||
Facebook, Inc., Class A |
2.8 |
% |
NASDAQ-100 Index �C Composition
% of Index |
|||||||
Information Technology |
56.4 |
% |
|||||
Consumer Discretionary |
19.2 |
% |
|||||
Health Care |
15.0 |
% |
|||||
Consumer Staples |
6.3 |
% |
|||||
Industrials |
2.0 |
% |
|||||
Telecommunication Services |
0.8 |
% |
|||||
Materials |
0.3 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXXIV :: QLD ULTRA QQQ® :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones Industrial AverageSM (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 18.30%1. For the same period, the Index had a total return of 10.28%2 and a volatility of 11.82%. For the period, the Fund had an average daily volume of 480,661 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a price-weighted index maintained by editors of The Wall Street Journal. The Index includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Dow30SM from June 19, 2006 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (6/19/06) |
|||||||||||||
ProShares Ultra Dow30SM |
18.30 |
% |
27.91 |
% |
10.39 |
% |
|||||||||
Dow Jones Industrial Average Index |
10.28 |
% |
15.07 |
% |
8.54 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Dow30SM |
0.99 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
80 |
% |
|||||
Swap Agreements |
117 |
% |
|||||
Futures Contracts |
3 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Goldman Sachs Group,
Inc. (The) |
6.1 |
% |
|||||
International Business Machines Corp. |
5.0 |
% |
|||||
3M Co. |
4.7 |
% |
|||||
Boeing Co. (The) |
4.2 |
% |
|||||
Apple, Inc. |
3.8 |
% |
Dow Jones Industrial Average �C Composition
% of Index |
|||||||
Industrials |
19.6 |
% |
|||||
Information Technology |
17.8 |
% |
|||||
Financials |
16.8 |
% |
|||||
Consumer Discretionary |
15.5 |
% |
|||||
Health Care |
11.7 |
% |
|||||
Consumer Staples |
7.2 |
% |
|||||
Energy |
7.0 |
% |
|||||
Materials |
2.6 |
% |
|||||
Telecommunication Services |
1.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA DOW30SM DDM :: LXXXV
ProShares Ultra MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P MidCap 400® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 22.16%1. For the same period, the Index had a total return of 12.28%2 and a volatility of 12.25%. For the period, the Fund had an average daily volume of 437,744 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra MidCap400 from June 19, 2006 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (6/19/06) |
|||||||||||||
ProShares Ultra
MidCap400 |
22.16 |
% |
28.92 |
% |
11.34 |
% |
|||||||||
S&P MidCap 400 |
12.28 |
% |
16.53 |
% |
10.21 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra MidCap400 |
0.95 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
84 |
% |
|||||
Swap Agreements |
99 |
% |
|||||
Futures Contracts |
17 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Qorvo, Inc. |
0.6 |
% |
|||||
Advance Auto Parts, Inc. |
0.6 |
% |
|||||
Church & Dwight Co., Inc. |
0.6 |
% |
|||||
Signet Jewelers Ltd. |
0.5 |
% |
|||||
Wabtec Corp. |
0.5 |
% |
S&P MidCap 400 �C Composition
% of Index |
|||||||
Financials |
23.6 |
% |
|||||
Information Technology |
17.4 |
% |
|||||
Industrials |
15.6 |
% |
|||||
Consumer Discretionary |
13.9 |
% |
|||||
Health Care |
8.8 |
% |
|||||
Materials |
7.5 |
% |
|||||
Utilities |
4.6 |
% |
|||||
Energy |
4.5 |
% |
|||||
Consumer Staples |
3.9 |
% |
|||||
Telecommunication Services |
0.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXXVI :: MVV ULTRA MIDCAP400 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Russell 2000® Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 20.00%1. For the same period, the Index had a total return of 11.32%2 and volatility of 15.12%. For the period, the Fund had an average daily volume of 492,319 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2000 of the smallest companies in the Russell 3000® Index or approximately 10% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the investable U.S. equity market.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Russell2000 from January 23, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/23/07) |
|||||||||||||
ProShares Ultra
Russell2000 |
20.00 |
% |
25.31 |
% |
4.34 |
% |
|||||||||
Russell 2000 Index |
11.32 |
% |
15.02 |
% |
7.14 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Russell2000 |
1.11 |
% |
1.00 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
88 |
% |
|||||
Swap Agreements |
101 |
% |
|||||
Futures Contracts |
11 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Qorvo, Inc. |
0.6 |
% |
|||||
Isis Pharmaceuticals, Inc. |
0.4 |
% |
|||||
DexCom, Inc. |
0.3 |
% |
|||||
JetBlue Airways Corp. |
0.3 |
% |
|||||
Office Depot, Inc. |
0.2 |
% |
Russell 2000 Index �C Composition
% of Index |
|||||||
Financials |
23.5 |
% |
|||||
Information Technology |
18.2 |
% |
|||||
Health Care |
16.3 |
% |
|||||
Consumer Discretionary |
13.7 |
% |
|||||
Industrials |
13.2 |
% |
|||||
Materials |
4.3 |
% |
|||||
Energy |
3.5 |
% |
|||||
Utilities |
3.5 |
% |
|||||
Consumer Staples |
3.1 |
% |
|||||
Telecommunication Services |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pa.y on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA RUSSELL2000 UWM :: LXXXVII
ProShares Ultra SmallCap600 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P SmallCap 600® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 18.40%1. For the same period, the Index had a total return of 10.62%2 and a volatility of 14.33%. For the period, the Fund had an average daily volume of 2,311 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a measure of small-cap company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 600 U.S. operating companies selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares Ultra SmallCap600 from January 23, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/23/07) |
|||||||||||||
ProShares Ultra
SmallCap600 |
18.40 |
% |
28.45 |
% |
7.42 |
% |
|||||||||
S&P SmallCap 600 |
10.62 |
% |
16.46 |
% |
8.47 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra SmallCap600 |
1.79 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
60 |
% |
|||||
Swap Agreements |
140 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Skechers U.S.A.,
Inc., Class A |
0.4 |
% |
|||||
Manhattan Associates, Inc. |
0.4 |
% |
|||||
West Pharmaceutical
Services, Inc. |
0.3 |
% |
|||||
Toro Co. (The) |
0.3 |
% |
|||||
Synaptics, Inc. |
0.3 |
% |
S&P SmallCap 600 �C Composition
% of Index |
|||||||
Financials |
23.0 |
% |
|||||
Information Technology |
16.6 |
% |
|||||
Industrials |
16.1 |
% |
|||||
Consumer Discretionary |
15.1 |
% |
|||||
Health Care |
12.9 |
% |
|||||
Materials |
5.3 |
% |
|||||
Utilities |
3.7 |
% |
|||||
Energy |
3.4 |
% |
|||||
Consumer Staples |
3.2 |
% |
|||||
Telecommunication Services |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
LXXXVIII :: SAA ULTRA SMALLCAP600 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the S&P 500® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 31.19%1. For the same period, the Index had a total return of 11.81%2 and a volatility of 11.77%. For the period, the Fund had an average daily volume of 2,816,128 shares and an average daily statistical correlation of over 0.99 to three times that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as three times the daily return of the Index. The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro S&P500® from June 23, 2009 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (6/23/09) |
|||||||||||||
ProShares UltraPro
S&P500® |
31.19 |
% |
44.28 |
% |
49.13 |
% |
|||||||||
S&P 500 |
11.81 |
% |
16.52 |
% |
17.98 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro S&P500® |
0.95 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
58 |
% |
|||||
Swap Agreements |
238 |
% |
|||||
Futures Contracts |
4 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
2.3 |
% |
|||||
Microsoft Corp. |
1.2 |
% |
|||||
Exxon Mobil Corp. |
1.1 |
% |
|||||
Johnson & Johnson |
0.9 |
% |
|||||
General Electric Co. |
0.8 |
% |
S&P 500 �C Composition
% of Index |
|||||||
Information Technology |
20.1 |
% |
|||||
Financials |
16.2 |
% |
|||||
Health Care |
15.1 |
% |
|||||
Consumer Discretionary |
12.5 |
% |
|||||
Industrials |
10.2 |
% |
|||||
Consumer Staples |
9.5 |
% |
|||||
Energy |
7.9 |
% |
|||||
Materials |
3.2 |
% |
|||||
Utilities |
3.0 |
% |
|||||
Telecommunication Services |
2.3 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO S&P500® UPRO :: LXXXIX
ProShares UltraPro QQQ® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the NASDAQ-100 Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 68.23%1. For the same period, the Index had a total return of 22.08%2 and a volatility of 13.64%. For the period, the Fund had an average daily volume of 2,796,858 shares and an average daily statistical correlation of over 0.99 to three times that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as three times the daily return of the Index. The Index, a modified market capitalization-weighted index, includes 100 of the largest non-financial domestic and international issues listed on The NASDAQ Stock Market.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro QQQ® from February 9, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (2/09/10) |
|||||||||||||
ProShares UltraPro QQQ® |
68.23 |
% |
58.89 |
% |
58.50 |
% |
|||||||||
NASDAQ-100 Index |
22.08 |
% |
20.85 |
% |
20.88 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro QQQ® |
1.04 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
54 |
% |
|||||
Swap Agreements |
243 |
% |
|||||
Futures Contracts |
3 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
7.9 |
% |
|||||
Microsoft Corp. |
4.0 |
% |
|||||
Amazon.com, Inc. |
2.1 |
% |
|||||
Google, Inc., Class C |
1.9 |
% |
|||||
Facebook, Inc., Class A |
1.8 |
% |
NASDAQ-100 Index �C Composition
% of Index |
|||||||
Information Technology |
56.4 |
% |
|||||
Consumer Discretionary |
19.2 |
% |
|||||
Health Care |
15.0 |
% |
|||||
Consumer Staples |
6.3 |
% |
|||||
Industrials |
2.0 |
% |
|||||
Telecommunication Services |
0.8 |
% |
|||||
Materials |
0.3 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XC :: TQQQ ULTRAPRO QQQ® :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the Dow Jones Industrial AverageSM (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 25.77%1. For the same period, the Index had a total return of 10.28%2 and volatility of 11.82%. For the period, the Fund had an average daily volume of 468,070 shares and an average daily statistical correlation of over 0.99 to three times that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as three times the daily return of the Index. The Index is a price-weighted index maintained by editors of The Wall Street Journal. The Index includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Dow30SM from February 9, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (2/09/10) |
|||||||||||||
ProShares UltraPro
Dow30SM |
25.77 |
% |
40.51 |
% |
38.28 |
% |
|||||||||
Dow Jones Industrial Average |
10.28 |
% |
15.07 |
% |
14.53 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro Dow30SM |
1.07 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
48 |
% |
|||||
Swap Agreements |
243 |
% |
|||||
Futures Contracts |
9 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Goldman Sachs Group,
Inc. (The) |
3.7 |
% |
|||||
International Business Machines Corp. |
3.0 |
% |
|||||
3M Co. |
2.8 |
% |
|||||
Boeing Co. (The) |
2.5 |
% |
|||||
Apple, Inc. |
2.3 |
% |
Dow Jones Industrial Average �C Composition
% of Index |
|||||||
Industrials |
19.6 |
% |
|||||
Information Technology |
17.8 |
% |
|||||
Financials |
16.8 |
% |
|||||
Consumer Discretionary |
15.5 |
% |
|||||
Health Care |
11.7 |
% |
|||||
Consumer Staples |
7.2 |
% |
|||||
Energy |
7.0 |
% |
|||||
Materials |
2.6 |
% |
|||||
Telecommunication Services |
1.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO DOW30SM UDOW :: XCI
ProShares UltraPro MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the S&P MidCap 400® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 32.55%1. For the same period, the Index had a total return of 12.28%2 and a volatility of 12.25%. For the period, the Fund had an average daily volume of 29,183 shares and an average daily statistical correlation of over 0.99 to three times that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as three times the daily return of the Index. The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro MidCap400 from February 9, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (2/09/10) |
|||||||||||||
ProShares UltraPro
MidCap400 |
32.55 |
% |
39.73 |
% |
42.72 |
% |
|||||||||
S&P MidCap 400 |
12.28 |
% |
16.53 |
% |
17.49 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro MidCap400 |
1.43 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
62 |
% |
|||||
Swap Agreements |
235 |
% |
|||||
Futures Contracts |
3 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Qorvo, Inc. |
0.5 |
% |
|||||
Advance Auto Parts, Inc. |
0.4 |
% |
|||||
Church & Dwight Co., Inc. |
0.4 |
% |
|||||
Signet Jewelers Ltd. |
0.4 |
% |
|||||
Wabtec Corp. |
0.4 |
% |
S&P MidCap 400 �C Composition
% of Index |
|||||||
Financials |
23.6 |
% |
|||||
Information Technology |
17.4 |
% |
|||||
Industrials |
15.6 |
% |
|||||
Consumer Discretionary |
13.9 |
% |
|||||
Health Care |
8.8 |
% |
|||||
Materials |
7.5 |
% |
|||||
Utilities |
4.6 |
% |
|||||
Energy |
4.5 |
% |
|||||
Consumer Staples |
3.9 |
% |
|||||
Telecommunication Services |
0.2 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XCII :: UMDD ULTRAPRO MIDCAP400 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares UltraPro Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the Russell 2000® Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 27.55%1. For the same period, the Index had a total return of 11.32%2 and a volatility of 15.12%. For the period, the Fund had an average daily volume of 192,407 shares and an average daily statistical correlation of over 0.99 to three times that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as three times the daily return of the Index. The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2000 of the smallest companies in the Russell 3000® Index or approximately 10% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the investable U.S. equity market.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Russell2000 from February 9, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (2/09/10) |
|||||||||||||
ProShares UltraPro
Russell2000 |
27.55 |
% |
31.40 |
% |
36.02 |
% |
|||||||||
Russell 2000 Index |
11.32 |
% |
15.02 |
% |
16.51 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro Russell2000 |
1.31 |
% |
0.99 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
40 |
% |
|||||
Swap Agreements |
245 |
% |
|||||
Futures Contracts |
15 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Qorvo, Inc. |
0.3 |
% |
|||||
Isis Pharmaceuticals, Inc. |
0.2 |
% |
|||||
DexCom, Inc. |
0.1 |
% |
|||||
JetBlue Airways Corp. |
0.1 |
% |
|||||
Office Depot, Inc. |
0.1 |
% |
Russell 2000 Index �C Composition
% of Index |
|||||||
Financials |
23.5 |
% |
|||||
Information Technology |
18.2 |
% |
|||||
Health Care |
16.3 |
% |
|||||
Consumer Discretionary |
13.7 |
% |
|||||
Industrials |
13.2 |
% |
|||||
Materials |
4.3 |
% |
|||||
Energy |
3.5 |
% |
|||||
Utilities |
3.5 |
% |
|||||
Consumer Staples |
3.1 |
% |
|||||
Telecommunication Services |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRAPRO RUSSELL2000 URTY :: XCIII
ProShares Ultra Basic Materials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Basic MaterialsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C3.81%1. For the same period, the Index had a total return of 0.04%2 and a volatility of 15.07%. For the period, the Fund had an average daily volume of 25,383 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of the basic materials sector of the U.S. equity market. Component companies are involved in the production of aluminum, steel, non-ferrous metals, commodity chemicals, specialty chemicals, forest products, paper products, as well as the mining of precious metals and coal.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Basic Materials from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra Basic
Materials |
-3.81 |
% |
13.29 |
% |
-0.99 |
% |
|||||||||
Dow Jones U.S. Basic Materials Index |
0.04 |
% |
10.20 |
% |
6.23 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Basic Materials |
1.07 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
68 |
% |
|||||
Swap Agreements |
132 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
E.I. du Pont de
Nemours & Co. |
6.8 |
% |
|||||
Dow Chemical Co. (The) |
6.0 |
% |
|||||
Monsanto Co. |
6.0 |
% |
|||||
LyondellBasell Industries N.V., Class A |
4.3 |
% |
|||||
Praxair, Inc. |
3.8 |
% |
Dow Jones U.S. Basic Materials Index �C Composition
% of Index |
|||||||
Chemicals |
78.8 |
% |
|||||
Metals & Mining |
15.3 |
% |
|||||
Paper & Forest Products |
4.4 |
% |
|||||
Oil, Gas & Consumable Fuels |
1.1 |
% |
|||||
Electric Equipment |
0.4 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XCIV :: UYM ULTRA BASIC MATERIALS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Nasdaq Biotechnology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the NASDAQ Biotechnology Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 119.54%1. For the same period, the Index had a total return of 52.97%2 and a volatility of 22.35%. For the period, the Fund had an average daily volume of 659,053 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a modified capitalization-weighted index that includes securities of NASDAQ listed companies that are classified as either biotechnology or pharmaceutical according to the Industry Classification Benchmark which also meet other eligibility criteria determined by NASDAQ, including minimum market capitalization and liquidity requirements.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Nasdaq Biotechnology from April 7, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (4/07/10) |
|||||||||||||
ProShares Ultra
Nasdaq Biotechnology |
119.54 |
% |
72.81 |
% |
61.61 |
% |
|||||||||
NASDAQ Biotechnology Index |
52.97 |
% |
35.75 |
% |
31.37 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra
Nasdaq Biotechnology |
1.08 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
65 |
% |
|||||
Swap Agreements |
135 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Gilead Sciences, Inc. |
5.4 |
% |
|||||
Amgen, Inc. |
5.0 |
% |
|||||
Biogen, Inc. |
4.9 |
% |
|||||
Regeneron Pharmaceuticals, Inc. |
4.7 |
% |
|||||
Celgene Corp. |
4.7 |
% |
NASDAQ Biotechnology Index �C Composition
% of Index |
|||||||
Biotechnology |
77.7 |
% |
|||||
Pharmaceuticals |
16.3 |
% |
|||||
Life Sciences Tools & Services |
5.9 |
% |
|||||
Health Care Equipment & Supplies |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA NASDAQ BIOTECHNOLOGY BIB :: XCV
ProShares Ultra Consumer Goods (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Consumer GoodsSM Index (the "Index"). The Fund seeks investment results for single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 18.00%1. For the same period, the Index had a total return of 10.13%2 and a volatility of 10.60%. For the period, the Fund had an average daily volume of 3,739 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of consumer spending in the goods sector of the U.S. equity market. Component companies include, among others, automobiles and auto parts and tires, brewers and distillers, farming and fishing, durable and non-durable household product manufacturers, cosmetic companies, food and tobacco products, clothing, accessories and footwear.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Consumer Goods from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra
Consumer Goods |
18.00 |
% |
32.46 |
% |
14.63 |
% |
|||||||||
Dow Jones U.S. Consumer Goods Index |
10.13 |
% |
16.90 |
% |
9.81 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Consumer Goods |
2.01 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
74 |
% |
|||||
Swap Agreements |
126 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Procter & Gamble Co. (The) |
7.4 |
% |
|||||
Coca-Cola Co. (The) |
5.6 |
% |
|||||
PepsiCo, Inc. |
5.0 |
% |
|||||
Philip Morris International, Inc. |
4.5 |
% |
|||||
Altria Group, Inc. |
3.5 |
% |
Dow Jones U.S. Consumer Goods Index �C Composition
% of Index |
|||||||
Food Beverage & Tobacco |
49.0 |
% |
|||||
Household & Personal Products |
17.5 |
% |
|||||
Consumer Durables & Apparel |
15.4 |
% |
|||||
Automobiles & Components |
12.7 |
% |
|||||
Capital Goods |
1.8 |
% |
|||||
Software & Services |
1.7 |
% |
|||||
Retailing |
1.2 |
% |
|||||
Diversified Financials |
0.4 |
% |
|||||
Commercial &
Professional Services |
0.2 |
% |
|||||
Materials |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XCVI :: UGE ULTRA CONSUMER GOODS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Consumer Services (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Consumer ServicesSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 38.70%1. For the same period, the Index had a total return of 19.66%2 and a volatility of 12.32%. For the period, the Fund had an average daily volume of 5,061 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of consumer spending in the services sector of the U.S. equity market. Component companies include, among others, airlines, broadcasting and entertainment, apparel and broadline retailers, food and drug retailers, media agencies, publishing, gambling, hotels, restaurants and bars, and travel and tourism.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares Ultra Consumer Services from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra
Consumer Services |
38.70 |
% |
41.38 |
% |
14.70 |
% |
|||||||||
Dow Jones U.S. Consumer Services Index |
19.66 |
% |
21.24 |
% |
10.84 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Consumer Services |
1.57 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
76 |
% |
|||||
Swap Agreements |
124 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Walt Disney Co. (The) |
4.3 |
% |
|||||
Amazon.com, Inc. |
4.1 |
% |
|||||
Comcast Corp., Class A |
3.7 |
% |
|||||
Home Depot, Inc. (The) |
3.7 |
% |
|||||
Wal-Mart Stores, Inc. |
2.9 |
% |
Dow Jones U.S. Consumer Services Index �C Composition
% of Index |
|||||||
Retailing |
32.9 |
% |
|||||
Media |
26.8 |
% |
|||||
Food & Staples Retailing |
15.1 |
% |
|||||
Consumer Services |
14.6 |
% |
|||||
Transportation |
4.7 |
% |
|||||
Health Care Equipment & Services |
4.1 |
% |
|||||
Commercial &
Professional Services |
1.4 |
% |
|||||
Software & Services |
0.3 |
% |
|||||
Technology Hardware &
Equipment |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA CONSUMER SERVICES UCC :: XCVII
ProShares Ultra Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 23.89%1. For the same period, the Index had a total return of 13.03%2 and a volatility of 12.40%. For the period, the Fund had an average daily volume of 99,970 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of the financial services sector of the U.S. equity market. Component companies include: among others, regional banks; major U.S. domiciled international banks; full line, life, and property and casualty insurance companies; companies that invest, directly or indirectly in real estate; diversified financial companies such as Fannie Mae, credit card issuers, check cashing companies, mortgage lenders and investment advisors; securities brokers and dealers including investment banks, merchant banks and online brokers; and publicly traded stock exchanges.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Financials from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra
Financials |
23.89 |
% |
21.74 |
% |
-16.21 |
% |
|||||||||
Dow Jones U.S. Financials Index |
13.03 |
% |
13.50 |
% |
-1.01 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Financials |
0.97 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
79 |
% |
|||||
Swap Agreements |
121 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Wells Fargo & Co. |
5.1 |
% |
|||||
Berkshire Hathaway, Inc., Class B |
5.1 |
% |
|||||
JPMorgan Chase & Co. |
4.8 |
% |
|||||
Bank of America Corp. |
3.4 |
% |
|||||
Citigroup, Inc. |
3.2 |
% |
Dow Jones U.S. Financials Index �C Composition
% of Index |
|||||||
Banks |
31.5 |
% |
|||||
Diversified Financials |
26.1 |
% |
|||||
Real Estate |
20.3 |
% |
|||||
Insurance |
16.3 |
% |
|||||
Software & Services |
5.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
XCVIII :: UYG ULTRA FINANCIALS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Gold Miners (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the NYSE Arca Gold Miners Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. From inception on February 12, 2015 to May 31, 2015, the Fund had a total return of �C17.68%1. For the same period, the Index had a total return of �C7.01%2 and a volatility of 30.57%. For the period, the Fund had an average daily volume of 9,377 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a modified market-capitalization weighted index primarily comprised of publicly traded companies involved in the mining for gold and silver. The weight of companies whose revenues are more significantly exposed to silver mining will not exceed 20% of the Index at the time of the Index's rebalance.
During the period, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
As the ProShares Ultra Gold Miners does not have more than six months of operating results, a line graph of a $10,000 investment and total return table are not presented.
Expense Ratios*
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Gold Miners |
1.35 |
% |
1.11 |
% |
*Reflects the expense ratio as reported in the Prospectus dated February 12, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Investment Company |
29 |
% |
|||||
Swap Agreements |
171 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Market Vectors Gold
Miners ETF |
29.3 |
% |
NYSE Arca Gold Miners Index �C Composition
% of Index |
|||||||
Metals & Mining |
100.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA GOLD MINERS GDXX :: XCIX
ProShares Ultra Junior Miners (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Market Vectors Global Junior Gold Miners Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. From inception on February 12, 2015 to May 31, 2015, the Fund had a total return of �C11.94%1. For the same period, the Index had a total return of �C3.14%2 and a volatility of 33.29%. For the period, the Fund had an average daily volume of 8,871 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index includes companies that generate at least 50% of their revenues from (or, in certain circumstances, have at least 50% of their assets related to) gold mining and/or silver mining or have mining projects with the potential to generate at least 50% of their revenues from gold and/or silver when developed. The weight of companies determined to be "silver" stocks will not exceed 20% of the Index at any quarterly rebalance. Between rebalances, however, the weight may exceed 20% due to market appreciation. Such companies may include micro- and small-capitalization companies and foreign issuers.
During the period, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
As the ProShares Ultra Junior Miners does not have more than six months of operating results, a line graph of a $10,000 investment and total return table are not presented.
Expense Ratios*
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Junior Miners |
1.42 |
% |
1.12 |
% |
*Reflects the expense ratio as reported in the Prospectus dated February 12, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Investment Company |
38 |
% |
|||||
Swap Agreements |
162 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Market Vectors Junior
Gold Miners ETF |
37.9 |
% |
Market Vectors Global Junior Gold Miners Index �C Composition
% of Index |
|||||||
Metals & Mining |
100.0 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
C :: GDJJ ULTRA JUNIOR MINERS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Health Care (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Health CareSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 60.18%1. For the same period, the Index had a total return of 28.98%2 and a volatility of 14.29%. For the period, the Fund had an average daily volume of 40,792 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of the healthcare sector of the U.S. equity market. Component companies include, among others, health care providers, biotechnology companies, medical supplies, advanced medical devices and pharmaceuticals.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Health Care from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra
Health Care |
60.18 |
% |
47.91 |
% |
20.21 |
% |
|||||||||
Dow Jones U.S. Health Care Index |
28.98 |
% |
23.99 |
% |
12.83 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Health Care |
1.11 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
72 |
% |
|||||
Swap Agreements |
128 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Johnson & Johnson |
6.7 |
% |
|||||
Pfizer, Inc. |
5.1 |
% |
|||||
Merck & Co., Inc. |
4.2 |
% |
|||||
Gilead Sciences, Inc. |
4.0 |
% |
|||||
Actavis PLC |
2.9 |
% |
Dow Jones U.S. Health Care Index �C Composition
% of Index |
|||||||
Pharmaceuticals |
41.2 |
% |
|||||
Biotechnology |
22.5 |
% |
|||||
Health Care Providers &
Services |
16.4 |
% |
|||||
Health Care Equipment & Supplies |
15.9 |
% |
|||||
Life Sciences Tools & Services |
3.8 |
% |
|||||
Commercial Services & Supplies |
0.1 |
% |
|||||
Health Care Technology |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA HEALTH CARE RXL :: CI
ProShares Ultra Industrials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. IndustrialsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 10.90%1. For the same period, the Index had a total return of 7.16%2 and a volatility of 13.29%. For the period, the Fund had an average daily volume of 3,921 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of the industrial sector of the U.S. equity market. Component companies include, among others, building materials, heavy construction, factory equipment, heavy machinery, industrial services, pollution control, containers and packaging, industrial diversified, air freight, marine transportation, railroads, trucking, land-transportation equipment, shipbuilding, transportation services, advanced industrial equipment, electric components and equipment, and aerospace.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Industrials from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra
Industrials |
10.90 |
% |
29.24 |
% |
7.76 |
% |
|||||||||
Dow Jones U.S. Industrials Index |
7.16 |
% |
16.66 |
% |
8.33 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Industrials |
1.47 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
78 |
% |
|||||
Swap Agreements |
122 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
General Electric Co. |
8.0 |
% |
|||||
3M Co. |
3.0 |
% |
|||||
United Technologies Corp. |
2.8 |
% |
|||||
Boeing Co. (The) |
2.7 |
% |
|||||
Union Pacific Corp. |
2.6 |
% |
Dow Jones U.S. Industrials Index �C Composition
% of Index |
|||||||
Capital Goods |
61.3 |
% |
|||||
Transportation |
12.2 |
% |
|||||
Software & Services |
10.1 |
% |
|||||
Commercial & Professional Services |
5.7 |
% |
|||||
Materials |
5.4 |
% |
|||||
Technology Hardware & Equipment |
4.1 |
% |
|||||
Pharmaceuticals, Biotechnology |
1.1 |
% |
|||||
Utilities |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CII :: UXI ULTRA INDUSTRIALS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Oil & Gas (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Oil & GasSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C34.31%1. For the same period, the Index had a total return of �C16.33%2 and a volatility of 21.37%. For the period, the Fund had an average daily volume of 178,831 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of the oil and gas sector of the U.S. equity market. Component companies include, among others, exploration and production, integrated oil and gas, oil equipment and services, pipelines, renewable energy equipment companies and alternative fuel producers.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Oil & Gas from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra Oil & Gas |
-34.31 |
% |
13.21 |
% |
-1.62 |
% |
|||||||||
Dow Jones U.S. Oil & Gas Index |
-16.33 |
% |
9.90 |
% |
5.28 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Oil & Gas |
1.05 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
89 |
% |
|||||
Swap Agreements |
111 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Exxon Mobil Corp. |
19.1 |
% |
|||||
Chevron Corp. |
10.3 |
% |
|||||
Schlumberger Ltd. |
6.2 |
% |
|||||
ConocoPhillips |
4.2 |
% |
|||||
Kinder Morgan, Inc. |
3.8 |
% |
Dow Jones U.S. Oil & Gas Index �C Composition
% of Index |
|||||||
Oil, Gas & Consumable Fuels |
80.6 |
% |
|||||
Energy Equipment & Services |
18.5 |
% |
|||||
Electric Utilities |
0.4 |
% |
|||||
Semiconductors & Semiconductor |
0.2 |
% |
|||||
Electrical Equipment |
0.2 |
% |
|||||
Machinery |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA OIL & GAS DIG :: CIII
ProShares Ultra Real Estate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Real EstateSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 15.69%1. For the same period, the Index had a total return of 9.40%2 and a volatility of 12.91%. For the period, the Fund had an average daily volume of 62,466 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of the real estate sector of the U.S. equity market. Component companies include, among others, real estate holding and development and real estate services companies and real estate investment trusts ("REITS"). REITs are passive investment vehicles that invest primarily in income producing real estate or real estate related loans or interests.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Real Estate from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra Real
Estate |
15.69 |
% |
21.85 |
% |
-12.11 |
% |
|||||||||
Dow Jones U.S. Real Estate Index |
9.40 |
% |
13.25 |
% |
2.45 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Real Estate |
1.00 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
72 |
% |
|||||
Swap Agreements |
128 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Simon Property Group, Inc. |
4.9 |
% |
|||||
American Tower Corp. |
3.4 |
% |
|||||
Public Storage |
2.5 |
% |
|||||
Crown Castle International Corp. |
2.4 |
% |
|||||
Equity Residential |
2.4 |
% |
Dow Jones U.S. Real Estate Index �C Composition
% of Index |
|||||||
Real Estate Investment Trusts |
95.3 |
% |
|||||
Real Estate Management & Development |
4.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CIV :: URE ULTRA REAL ESTATE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra S&P Regional Banking (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P Regional Banks Select Industry IndexSM (the "Index")**. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 26.78%1. For the same period, the Index had a total return of 12.48%2 and a volatility of 18.17%. For the period, the Fund had an average daily volume of 1,657 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is an equal-weighted index (as adjusted to ensure adequate liquidity) that seeks to provide diverse regional banking exposure. The Index includes stocks of 84 publicly traded companies that do business as regional banks or thrifts while meeting minimum market capitalization and liquidity conditions. Component companies include, among others, leading regional banks or thrifts listed on a U.S. exchange.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra S&P Regional Banking from April 20, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (4/20/10) |
|||||||||||||
ProShares Ultra S&P
Regional Banking |
26.78 |
% |
16.71 |
% |
10.95 |
% |
|||||||||
KBW Regional Banking Index** |
15.81 |
% |
12.41 |
% |
9.76 |
% |
|||||||||
S&P Regional Banks
Select Industry Index** |
12.48 |
% |
11.84 |
% |
9.17 |
% |
Expense Ratios***
Fund |
Gross |
Net |
|||||||||
ProShares Ultra S&P
Regional Banking |
1.69 |
% |
0.95 |
% |
**On April 16, 2015, the Fund's underlying index changed from the KBW Regional Banking Index to the S&P Regional Banks Select Industry Index. This change was made in order to match the Fund's underlying index to its Investment Objective.
***Reflects the expense ratio as reported in the Prospectus dated April 16, 2015. Contractual fee waivers are in effect through September 30, 2016.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
82 |
% |
|||||
Swap Agreements |
118 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Bank of the Ozarks, Inc. |
1.2 |
% |
|||||
Glacier Bancorp, Inc. |
1.1 |
% |
|||||
Cathay General Bancorp |
1.1 |
% |
|||||
Hilltop Holdings, Inc. |
1.1 |
% |
|||||
First Financial Bankshares, Inc. |
1.1 |
% |
S&P Regional Banks Select Industry Index �C Composition
% of Index |
|||||||
Banks |
100 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA S&P REGIONAL BANKING KRU :: CV
ProShares Ultra Semiconductors (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. SemiconductorsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 60.68%1. For the same period, the Index had a total return of 30.54%2 and a volatility of 20.63%. For the period, the Fund had an average daily volume of 10,065 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of the semiconductor sub-sector of the U.S. equity market. Component companies are engaged in the production of semiconductors and other integrated chips, as well as other related products such as semiconductor capital equipment and mother-boards.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Semiconductors from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra
Semiconductors |
60.68 |
% |
27.17 |
% |
6.09 |
% |
|||||||||
Dow Jones U.S. Semiconductors Index |
30.54 |
% |
16.55 |
% |
8.60 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Semiconductors |
1.36 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
73 |
% |
|||||
Swap Agreements |
127 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Intel Corp. |
21.6 |
% |
|||||
Texas Instruments, Inc. |
7.8 |
% |
|||||
Avago Technologies Ltd. |
5.0 |
% |
|||||
Broadcom Corp., Class A |
4.1 |
% |
|||||
Micron Technology, Inc. |
4.0 |
% |
Dow Jones U.S. Semiconductors Index �C Composition
% of Index |
|||||||
Semiconductors &
Semiconductor |
99.6 |
% |
|||||
Communications Equipment |
0.4 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CVI :: USD ULTRA SEMICONDUCTORS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Technology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. TechnologySM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 34.66%1. For the same period, the Index had a total return of 18.30%2 and a volatility of 14.56%. For the period, the Fund had an average daily volume of 26,893 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of the technology sector of the U.S. equity market. Component companies include, among others, those involved in computers and office equipment, software, communications technology, semiconductors, diversified technology services and Internet services.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Technology from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra
Technology |
34.66 |
% |
28.55 |
% |
11.50 |
% |
|||||||||
Dow Jones U.S. Technology Index |
18.30 |
% |
16.12 |
% |
9.81 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Technology |
1.07 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
64 |
% |
|||||
Swap Agreements |
136 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
13.2 |
% |
|||||
Microsoft Corp. |
6.7 |
% |
|||||
Facebook, Inc., Class A |
2.9 |
% |
|||||
Intel Corp. |
2.8 |
% |
|||||
International Business
Machines Corp. |
2.7 |
% |
Dow Jones U.S. Technology Index �C Composition
% of Index |
|||||||
Software & Services |
47.5 |
% |
|||||
Technology Hardware & Equipment |
36.4 |
% |
|||||
Semiconductors &
Semiconductor |
15.0 |
% |
|||||
Health Care Equipment & Services |
0.8 |
% |
|||||
Consumer Durables & Apparel |
0.2 |
% |
|||||
Commercial & Professional Services |
0.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA TECHNOLOGY ROM :: CVII
ProShares Ultra Telecommunications (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Select TelecommunicationsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 1.19%1. For the same period, the Index had a total return of 2.54%2 and a volatility of 14.44%. For the period, the Fund had an average daily volume of 1,746 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a measure of U.S. stock market performance of fixed-line (regional and long-distance carriers) and mobile telephone services (cellular, satellite and paging services).
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Telecommunications from March 25, 2008 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (3/25/08) |
|||||||||||||
ProShares Ultra
Telecommunications |
1.19 |
% |
20.78 |
% |
5.56 |
% |
|||||||||
Dow Jones U.S. Select Telecommunications Index |
2.54 |
% |
12.35 |
% |
6.84 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Telecommunications |
2.96 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
75 |
% |
|||||
Swap Agreements |
125 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Verizon Communications, Inc. |
7.4 |
% |
|||||
AT&T, Inc. |
7.4 |
% |
|||||
T-Mobile US, Inc. |
4.8 |
% |
|||||
Level 3 Communications, Inc. |
4.6 |
% |
|||||
CenturyLink, Inc. |
4.4 |
% |
Dow Jones U.S. Select Telecommunications Index �C Composition
% of Index |
|||||||
Diversified
Telecommunication |
66.4 |
% |
|||||
Wireless Telecommunication Services |
30.8 |
% |
|||||
Communications Equipment |
2.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CVIII :: LTL ULTRA TELECOMMUNICATIONS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra Utilities (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. UtilitiesSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 11.22%1. For the same period, the Index had a total return of 7.59%2 and a volatility of 15.59%. For the period, the Fund had an average daily volume of 10,552 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index measures the performance of the utilities sector of the U.S. equity market. Component companies include, among others, electric utilities, gas utilities, multi-utilities and water utilities.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Utilities from January 30, 2007 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/30/07) |
|||||||||||||
ProShares Ultra Utilities |
11.22 |
% |
25.44 |
% |
6.68 |
% |
|||||||||
Dow Jones U.S. Utilities Index |
7.59 |
% |
14.11 |
% |
6.61 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Utilities |
1.65 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
83 |
% |
|||||
Swap Agreements |
117 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Duke Energy Corp. |
6.6 |
% |
|||||
NextEra Energy, Inc. |
5.6 |
% |
|||||
Dominion Resources, Inc. |
5.1 |
% |
|||||
Southern Co. (The) |
4.9 |
% |
|||||
Exelon Corp. |
3.6 |
% |
Dow Jones U.S. Utilities Index �C Composition
% of Index |
|||||||
Electric Utilities |
52.3 |
% |
|||||
Multi-Utilities |
35.0 |
% |
|||||
Gas Utilities |
6.4 |
% |
|||||
Independent Power and Renewable |
4.2 |
% |
|||||
Water Utilities |
2.1 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA UTILITIES UPW :: CIX
ProShares UltraPro Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 34.67%1. For the same period, the Index had a total return of 13.03%2 and a volatility of 12.40%. For the period, the Fund had an average daily volume of 4,422 shares and an average daily statistical correlation of over 0.99 to three times that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as three times the daily return of the Index. The Index measures the performance of the financial services sector of the U.S. equity market. Component companies include: among others, regional banks; major U.S. domiciled international banks; full line, life, and property and casualty insurance companies; companies that invest, directly or indirectly in real estate; diversified financial companies such as Fannie Mae, credit card issuers, check cashing companies, mortgage lenders and investment advisors; securities brokers and dealers including investment banks, merchant banks and online brokers; and publicly traded stock exchanges.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares UltraPro Financials from July 10, 2012 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (7/10/12) |
||||||||||
ProShares UltraPro Financials |
34.67 |
% |
66.67 |
% |
|||||||
Dow Jones U.S. Financials Index |
13.03 |
% |
21.63 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares UltraPro Financials |
1.49 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
67 |
% |
|||||
Swap Agreements |
233 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Wells Fargo & Co. |
4.3 |
% |
|||||
Berkshire Hathaway, Inc., Class B |
4.3 |
% |
|||||
JPMorgan Chase & Co. |
4.1 |
% |
|||||
Bank of America Corp. |
2.9 |
% |
|||||
Citigroup, Inc. |
2.7 |
% |
Dow Jones U.S. Financials Index �C Composition
% of Index |
|||||||
Banks |
31.5 |
% |
|||||
Diversified Financials |
26.1 |
% |
|||||
Real Estate |
20.3 |
% |
|||||
Insurance |
16.3 |
% |
|||||
Software & Services |
5.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CX :: FINU ULTRAPRO FINANCIALS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra MSCI EAFE (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI EAFE Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C5.02%1. For the same period, the Index had a total return of �C0.48%2 and a volatility of 10.37%. For the period, the Fund had an average daily volume of 5,655 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index includes 85% of free float-adjusted, market capitalization in each industry group in developed market countries, excluding the U.S. and Canada.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra MSCI EAFE from June 2, 2009 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (6/02/09) |
|||||||||||||
ProShares Ultra
MSCI EAFE |
-5.02 |
% |
14.22 |
% |
11.13 |
% |
|||||||||
MSCI EAFE Index |
-0.48 |
% |
9.89 |
% |
8.76 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra MSCI EAFE |
1.47 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
200 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI EAFE Index �C Country
% of Index |
|||||||
Japan |
22.7 |
% |
|||||
United Kingdom |
20.4 |
% |
|||||
Others |
12.3 |
% |
|||||
France |
9.6 |
% |
|||||
Switzerland |
9.4 |
% |
|||||
Germany |
8.8 |
% |
|||||
Australia |
7.0 |
% |
|||||
Spain |
3.5 |
% |
|||||
Hong Kong |
3.3 |
% |
|||||
Sweden |
3.0 |
% |
MSCI EAFE Index �C Composition
% of Index |
|||||||
Financials |
25.8 |
% |
|||||
Consumer Discretionary |
13.1 |
% |
|||||
Industrials |
12.8 |
% |
|||||
Health Care |
11.3 |
% |
|||||
Consumer Staples |
11.0 |
% |
|||||
Materials |
7.5 |
% |
|||||
Energy |
5.3 |
% |
|||||
Information Technology |
4.8 |
% |
|||||
Telecommunication Services |
4.7 |
% |
|||||
Utilities |
3.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA MSCI EAFE EFO :: CXI
ProShares Ultra MSCI Emerging Markets (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Emerging Markets Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C6.07%1. For the same period, the Index had a total return of -0.01%2 and a volatility of 11.39 %. For the period, the Fund had an average daily volume of 12,254 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index includes 85% of free float-adjusted, market capitalization in each industry group in emerging markets countries.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra MSCI Emerging Markets from June 2, 2009 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (6/02/09) |
|||||||||||||
ProShares Ultra
MSCI Emerging Markets |
-6.07 |
% |
0.40 |
% |
3.29 |
% |
|||||||||
MSCI Emerging Markets Index |
-0.01 |
% |
4.29 |
% |
6.43 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra MSCI
Emerging Markets |
1.19 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
200 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Emerging Markets Index �C Country
% of Index |
|||||||
China |
25.3 |
% |
|||||
Korea |
14.6 |
% |
|||||
Others |
13.7 |
% |
|||||
Taiwan |
13.0 |
% |
|||||
South Africa |
7.4 |
% |
|||||
Brazil |
7.3 |
% |
|||||
India |
6.9 |
% |
|||||
Mexico |
4.6 |
% |
|||||
Russia |
3.9 |
% |
|||||
Malaysia |
3.3 |
% |
MSCI Emerging Markets
Index �C
Composition
% of Index |
|||||||
Financials |
29.2 |
% |
|||||
Information Technology |
18.4 |
% |
|||||
Consumer Discretionary |
9.1 |
% |
|||||
Energy |
8.4 |
% |
|||||
Consumer Staples |
8.0 |
% |
|||||
Materials |
7.3 |
% |
|||||
Telecommunication Services |
7.2 |
% |
|||||
Industrials |
6.9 |
% |
|||||
Utilities |
3.2 |
% |
|||||
Health Care |
2.3 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CXII :: EET ULTRA MSCI EMERGING MARKETS :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra FTSE Europe (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the FTSE Developed Europe Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C10.53%1. For the same period, the Index had a total return of �C4.64%2 and a volatility of 13.40%. For the period, the Fund had an average daily volume of 10,789 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is comprised of large- and mid-cap stocks and targets the performance of approximately 500 large- and mid-cap companies. The Index utilizes free float-adjusted market capitalizations and components are screened for liquidity.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra FTSE Europe from April 27, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Index performance through April 22, 2013 reflects the performance of the MSCI Europe Index. Index performance beginning on April 23, 2013 reflects the performance of the FTSE Developed Europe Index.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (4/27/10) |
|||||||||||||
ProShares Ultra FTSE
Europe |
-10.53 |
% |
16.96 |
% |
10.62 |
% |
|||||||||
FTSE Developed Europe Index |
-4.64 |
% |
10.57 |
% |
7.49 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra FTSE Europe |
1.34 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
200 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE Developed Europe Index �C Country
% of Index |
|||||||
United Kingdom |
32.2 |
% |
|||||
Switzerland |
14.4 |
% |
|||||
France |
14.2 |
% |
|||||
Germany |
13.4 |
% |
|||||
Others |
5.3 |
% |
|||||
Spain |
5.1 |
% |
|||||
Sweden |
4.6 |
% |
|||||
Netherlands |
4.4 |
% |
|||||
Italy |
3.7 |
% |
|||||
Denmark |
2.7 |
% |
FTSE Developed Europe
Index �C
Composition
% of Index |
|||||||
Financials |
22.7 |
% |
|||||
Health Care |
13.7 |
% |
|||||
Consumer Staples |
13.3 |
% |
|||||
Consumer Discretionary |
11.8 |
% |
|||||
Industrials |
11.4 |
% |
|||||
Materials |
7.8 |
% |
|||||
Energy |
7.1 |
% |
|||||
Telecommunication Services |
4.7 |
% |
|||||
Utilities |
4.0 |
% |
|||||
Information Technology |
3.5 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA FTSE EUROPE UPV :: CXIII
ProShares Ultra MSCI Pacific ex-Japan (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Pacific ex-Japan Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C11.22%1. For the same period, the Index had a total return of �C3.13%2 and a volatility of 12.15%. For the period, the Fund had an average daily volume of 956 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the developed markets in the eastern Pacific region, excluding Japan. The Index is divided into large- and mid-cap segments and targets approximately 85% of free float-adjusted market capitalization of the region.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares Ultra MSCI Pacific ex-Japan from April 27, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (4/27/10) |
|||||||||||||
ProShares Ultra MSCI
Pacific ex-Japan |
-11.22 |
% |
11.67 |
% |
5.41 |
% |
|||||||||
MSCI Pacific ex-Japan Index |
-3.13 |
% |
9.20 |
% |
5.94 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra MSCI
Pacific ex-Japan |
5.98 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
200 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Pacific ex-Japan Index �C Country
% of Index |
|||||||
Australia |
59.2 |
% |
|||||
Hong Kong |
27.7 |
% |
|||||
Singapore |
11.9 |
% |
|||||
New Zealand |
1.2 |
% |
MSCI Pacific ex-Japan
Index �C
Composition
% of Index |
|||||||
Financials |
55.2 |
% |
|||||
Industrials |
10.5 |
% |
|||||
Materials |
9.4 |
% |
|||||
Consumer Staples |
5.1 |
% |
|||||
Utilities |
4.6 |
% |
|||||
Consumer Discretionary |
4.5 |
% |
|||||
Telecommunication Services |
3.7 |
% |
|||||
Health Care |
3.5 |
% |
|||||
Energy |
3.0 |
% |
|||||
Information Technology |
0.5 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CXIV :: UXJ ULTRA MSCI PACIFIC EX-JAPAN :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra MSCI Brazil Capped (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Brazil 25/50 Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C55.19%1. For the same period, the Index had a total return of �C27.70%2 and a volatility of 33.51%. For the period, the Fund had an average daily volume of 10,240 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the Brazilian market. The Index is divided into large- and mid-cap segments and targets approximately 85% of free float-adjusted, market capitalization of the region.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in ProShares Ultra MSCI Brazil Capped from April 27, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Index performance through February 10, 2013 reflects the performance of the MSCI Brazil Index. Index performance beginning on February 11, 2013 reflects the performance of the MSCI Brazil 25/50 Index.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (4/27/10) |
|||||||||||||
ProShares Ultra MSCI
Brazil Capped |
-55.19 |
% |
-26.02 |
% |
-28.83 |
% |
|||||||||
MSCI Brazil 25/50 Index |
-27.70 |
% |
-9.36 |
% |
-11.20 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra MSCI Brazil Capped |
2.30 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
201 |
% |
|||||
Total Exposure |
201 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Brazil 25/50 Index �C Composition
% of Index |
|||||||
Financials |
31.8 |
% |
|||||
Consumer Staples |
19.7 |
% |
|||||
Energy |
11.7 |
% |
|||||
Materials |
11.2 |
% |
|||||
Consumer Discretionary |
6.3 |
% |
|||||
Utilities |
5.9 |
% |
|||||
Industrials |
5.3 |
% |
|||||
Information Technology |
4.4 |
% |
|||||
Telecommunication Services |
3.0 |
% |
|||||
Health Care |
0.7 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA MSCI BRAZIL CAPPED UBR :: CXV
ProShares Ultra FTSE China 50 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the FTSE China 50 Index® (the "Index")**. The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 76.43%1. For the same period, the Index had a total return of 38.49%2 and a volatility of 19.74%. For the period, the Fund had an average daily volume of 26,424 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is comprised of 50 of the largest and most liquid Chinese stocks listed on the Hong Kong Stock Exchange.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra FTSE China 50 from June 2, 2009 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (6/02/09) |
|||||||||||||
ProShares Ultra FTSE
China 50 |
76.43 |
% |
8.92 |
% |
7.50 |
% |
|||||||||
FTSE China 50 Index** |
38.49 |
% |
7.72 |
% |
7.43 |
% |
Expense Ratios***
Fund |
Gross |
Net |
|||||||||
ProShares Ultra FTSE China 50 |
1.19 |
% |
0.95 |
% |
**As of September 22, 2014, the methodology of the underlying index of this ETF changed from an index consisting of 25 securities to an index consisting of 50 securities and was renamed FTSE China 50.
***Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
201 |
% |
|||||
Total Exposure |
201 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE China 50 Index �C Composition
% of Index |
|||||||
Financials |
50.3 |
% |
|||||
Energy |
13.0 |
% |
|||||
Information Technology |
11.5 |
% |
|||||
Telecommunication Services |
10.8 |
% |
|||||
Industrials |
7.2 |
% |
|||||
Consumer Discretionary |
2.7 |
% |
|||||
Utilities |
2.3 |
% |
|||||
Consumer Staples |
1.4 |
% |
|||||
Materials |
0.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CXVI :: XPP ULTRA FTSE CHINA 50 :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra MSCI Japan (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Japan Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 25.84%1. For the same period, the Index had a total return of 15.96%2 and a volatility of 14.89%. For the period, the Fund had an average daily volume of 5,892 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index includes 85% of free float-adjusted, market capitalization in each industry group in Japan.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra MSCI Japan from June 2, 2009 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (6/02/09) |
|||||||||||||
ProShares Ultra MSCI
Japan |
25.84 |
% |
11.59 |
% |
9.33 |
% |
|||||||||
MSCI Japan Index |
15.96 |
% |
8.72 |
% |
7.85 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra MSCI Japan |
1.22 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
200 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Japan Index �C Composition
% of Index |
|||||||
Consumer Discretionary |
22.5 |
% |
|||||
Financials |
19.9 |
% |
|||||
Industrials |
19.1 |
% |
|||||
Information Technology |
10.7 |
% |
|||||
Health Care |
6.8 |
% |
|||||
Consumer Staples |
6.6 |
% |
|||||
Materials |
6.1 |
% |
|||||
Telecommunication Services |
5.0 |
% |
|||||
Utilities |
2.5 |
% |
|||||
Energy |
0.8 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA MSCI JAPAN EZJ :: CXVII
ProShares Ultra MSCI Mexico Capped IMI (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the MSCI Mexico IMI 25/50 Index® (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of �C22.90%1. For the same period, the Index had a total return of �C9.95%2 and a volatility of 16.81%. For the period, the Fund had an average daily volume of 1,166 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the Mexican market by capturing 99% of the (publicly available) total market capitalization.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally positively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra MSCI Mexico Capped IMI from April 27, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Index performance through February 10, 2013 reflects the performance of the MSCI Mexico Investable Market Index. Index performance beginning on February 11, 2013 reflects the performance of the MSCI Mexico IMI 25/50 Index.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (4/27/10) |
|||||||||||||
ProShares Ultra MSCI
Mexico Capped IMI |
-22.90 |
% |
4.67 |
% |
1.54 |
% |
|||||||||
MSCI Mexico IMI 25/50 Index |
-9.95 |
% |
4.75 |
% |
3.00 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra MSCI Mexico
Capped IMI |
3.13 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Swap Agreements |
200 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Mexico IMI 25/50 Index �C Composition
% of Index |
|||||||
Consumer Staples |
23.9 |
% |
|||||
Financials |
21.0 |
% |
|||||
Telecommunication Services |
16.4 |
% |
|||||
Materials |
13.8 |
% |
|||||
Industrials |
12.5 |
% |
|||||
Consumer Discretionary |
11.8 |
% |
|||||
Health Care |
0.6 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a price return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CXVIII :: UMX ULTRA MSCI MEXICO CAPPED IMI :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra 7-10 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Barclays U.S. 7-10 Year Treasury Bond Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one NAV calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 9.07%1. For the same period, the Index had a total return of 5.14%2 and a volatility of 5.53%. For the period, the Fund had an average daily volume of 466,013 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of between 7 and 10 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding. The Index is weighted by the relative market value of all securities meeting the Index criteria. Excluded from the Index are certain special issues, such as targeted investor notes, U.S. Treasury inflation-protected securities, state and local government series bonds, and coupon issues that have been stripped from Treasury securities.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra 7-10 Year Treasury from January 19, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/19/10) |
|||||||||||||
ProShares Ultra 7-10 Year
Treasury |
9.07 |
% |
9.42 |
% |
10.63 |
% |
|||||||||
Barclays U.S. 7-10 Year Treasury Bond Index |
5.14 |
% |
5.27 |
% |
5.82 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra 7-10 Year Treasury |
0.96 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Long-Term U.S. Treasury Obligations |
73 |
% |
|||||
Swap Agreements |
125 |
% |
|||||
Futures Contracts |
2 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 7-10 Year Treasury Bond
Index �C
Composition
% of Index |
|||||||
7-10 Year U.S. Treasury |
100 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA 7-10 YEAR TREASURY UST :: CXIX
ProShares Ultra 20+ Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Barclays U.S. 20+ Year Treasury Bond Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 20.32%1. For the same period, the Index had a total return of 11.10%2 and a volatility of 12.89%. For the period, the Fund had an average daily volume of 34,525 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in securities and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity greater than 20 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding. The Index is weighted by the relative market value of all securities meeting the Index criteria. Excluded from the Index are certain special issues, such as targeted investor notes, U.S. Treasury inflation protected securities, state and local government series bonds, and coupon issues that have been stripped from Treasury securities.
During the year ended May 31, 2015, the Fund invested in swap agreements and futures contracts in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with swap agreements. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra 20+ Year Treasury from January 19, 2010 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Five Years |
Since Inception (1/19/10) |
|||||||||||||
ProShares Ultra 20+ Year
Treasury |
20.32 |
% |
14.51 |
% |
16.55 |
% |
|||||||||
Barclays U.S. 20+ Year Treasury Bond Index |
11.10 |
% |
8.55 |
% |
9.51 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra 20+ Year Treasury |
1.51 |
% |
0.95 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Long-Term U.S. Treasury Obligations |
80 |
% |
|||||
Swap Agreements |
116 |
% |
|||||
Futures Contracts |
5 |
% |
|||||
Total Exposure |
201 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 20+ Year Treasury Bond
Index �C
Composition
% of Index |
|||||||
20+ Year U.S. Treasury |
100 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. This calculation is based on the daily total return of the Index and the performance of the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CXX :: UBT ULTRA 20+ YEAR TREASURY :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
ProShares Ultra High Yield (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Markit iBoxx $ Liquid High Yield Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 0.25%1. For the same period, the Index had a total return of 1.37%2 and a volatility of 4.02%. For the period, the Fund had an average daily volume of 833 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in exchange-traded funds ("ETFs")and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a modified market-value weighted index designed to provide a balanced representation of U.S. dollar-denominated high yield corporate bonds for sale within the United States by means of including the most liquid high yield corporate bonds available as determined by the index provider. Currently, the bonds eligible for inclusion in the Index include U.S. dollar-denominated, corporate bonds for sale in the United States that are issued by companies domiciled in the U.S., Bermuda, Canada, Cayman Islands, Western Europe or Japan, are rated sub-investment grade by Moody's Investors Service, Inc., Fitch, Inc. or Standard and Poor's Financial Services, LLC; are from issuers with at least $1 billion par outstanding; have at least $400 million of outstanding face value; and are between three and fifteen years to maturity. There is no limit to the number of issues in the Index.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund generally benefited from financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra High Yield from April 13, 2011 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (4/13/11) |
||||||||||
ProShares Ultra High Yield |
0.25 |
% |
10.54 |
% |
|||||||
Markit iBoxx $ Liquid High Yield Index |
1.37 |
% |
6.40 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra High Yield |
6.35 |
% |
1.05 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Investment Company |
70 |
% |
|||||
Swap Agreements |
130 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Markit iBoxx $ Liquid High Yield
Index �C
Composition
% of Index |
|||||||
High Yield |
100 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
PROSHARES TRUST MANAGEMENT DISCUSSION OF FUND PERFORMANCE :: ULTRA HIGH YIELD UJB :: CXXI
ProShares Ultra Investment Grade Corporate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Markit iBoxx $ Liquid Investment Grade Index (the "Index"). The Fund seeks investment results for a single day only, as measured from one net asset value ("NAV") calculation to the next, not for longer periods. The return of the Fund for longer periods will be the result of each day's returns compounded over the period, which may be greater than or less than the Fund multiple times the return of the Index. For the year ended May 31, 2015, the Fund had a total return of 2.77%1. For the same period, the Index had a total return of 2.93%2 and a volatility of 4.92%. For the period, the Fund had an average daily volume of 388 shares and an average daily statistical correlation of over 0.99 to twice that of the daily performance of the Index.3
The Fund takes positions in exchange-traded funds ("ETFs") and/or derivatives that, in combination, should have similar daily return characteristics as two times the daily return of the Index. The Index is a modified market-value weighted index designed to provide a balanced representation of U.S. dollar-denominated investment grade corporate bonds publicly offered in the United States by means of including the most liquid investment grade corporate bonds available as determined by the index provider. Currently, the bonds eligible for inclusion in the Index include U.S. dollar denominated corporate bonds publicly offered in the United States that are issued by companies domiciled in the U.S., Bermuda, Canada, Cayman Islands, Western Europe or Japan, are rated investment grade by Moody's Investors Service, Inc., Fitch, Inc. or Standard and Poor's Financial Services, LLC; are from issuers with at least $3 billion par outstanding; have at least $750 million of outstanding face value; and have at least three years remaining to maturity. There is no limit to the number of issues in the Index.
During the year ended May 31, 2015, the Fund invested in swap agreements in order to gain leveraged exposure to the Index. These derivatives generally tracked the performance of their underlying index and the Fund was generally negatively impacted by financing rates associated with their use. The Fund entered into swap agreements with counterparties that the Fund's advisor determined to be major, global financial institutions. If a counterparty becomes insolvent or otherwise fails to perform on its obligations, the value of investments in the Fund may decline. The Fund has sought to mitigate this risk by generally requiring counterparties for the Fund to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owed the Fund, subject to certain minimum thresholds.
Value of a $10,000 Investment Since Inception at Net Asset Value*
*The line graph represents historical performance of a hypothetical investment of $10,000 in the ProShares Ultra Investment Grade Corporate from April 13, 2011 to May 31, 2015, assuming the reinvestment of distributions.
Average Annual Total Return as of 5/31/15
One Year |
Since Inception (4/13/11) |
||||||||||
ProShares Ultra Investment
Grade Corporate |
2.77 |
% |
10.37 |
% |
|||||||
Markit iBoxx $ Liquid Investment Grade Index |
2.93 |
% |
6.36 |
% |
Expense Ratios**
Fund |
Gross |
Net |
|||||||||
ProShares Ultra Investment
Grade Corporate |
4.98 |
% |
1.02 |
% |
**Reflects the expense ratio as reported in the Prospectus dated October 1, 2014. Contractual fee waivers are in effect through September 30, 2015.
Allocation of Portfolio Holdings & Index Composition as of 5/31/15
Market Exposure
Investment Type |
% of Net Assets |
||||||
Investment Company |
71 |
% |
|||||
Swap Agreements |
129 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Markit iBoxx $ Liquid Investment Grade
Index �C
Composition
% of Index |
|||||||
Investment Grade |
100 |
% |
Past performance does not guarantee future results. Return calculations assume the reinvestment of distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost. The performance above reflects any fee reductions during the applicable periods. If such fee reductions had not occurred, the quoted performance would be lower. To obtain performance current to the most recent month please visit www.ProShares.com.
1 Fund returns are based on the NAV of the Fund. This calculation reflects the theoretical reinvestment of distributions, if any, in the Fund as of the ex-date. The impact of transaction costs and the lack of ability to reinvest fractional shares are not reflected in the calculations.
2 The Index is a total return index. The total return and any graph or table reflect the theoretical reinvestment of dividends on securities in the Index. The impact of transaction costs and the deduction of expenses associated with an exchange traded fund such as investment management and accounting fees are not reflected in the Index calculation. It is not possible to invest directly in an Index.
3 1.00 equals perfect correlation. Because the level of the Index is not determined at the same time that the Fund's NAV is calculated, correlation to the Index is measured by comparing the daily total return of one or more U.S. exchange-traded securities or instruments that reflect the values of securities underlying the Index as of the Fund's NAV calculation time to the daily total return of the NAV per share of the Fund.
The above information is not covered by the Report of the Independent Registered Public Accounting Firm.
CXXII :: IGU ULTRA INVESTMENT GRADE CORPORATE :: MANAGEMENT DISCUSSION OF FUND PERFORMANCE PROSHARES TRUST
EXPENSE EXAMPLES
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: CXXIII
As a shareholder, you incur two types of costs: (1) transaction costs for purchasing and selling shares and (2) ongoing costs, including advisory fees and other Fund expenses. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
Actual Expenses
The actual expense examples are based on an investment of $1,000 invested at the beginning of a six-month period and held through the period ended, May 31, 2015.
The first line in the following tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 =8.6), then multiply the result by the number in the first line under the heading "Expenses Paid During the Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The hypothetical expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended, May 31, 2015.
The second line in the following tables provides information about hypothetical account values and hypothetical expenses based on the Funds' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as brokerage charges. Therefore, the second line for each Fund in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if transaction costs were included, your costs would have been higher.
Beginning Account Value |
Ending Account Value 05/31/15 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Morningstar Alternatives Solution ETF (a) |
ALTERNATIVE SOLUTIONS PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,007.30 |
$ |
0.80 |
0.16 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,024.13 |
$ |
0.81 |
0.16 |
% |
|||||||||||
DJ Brookfield Global Infrastructure ETF |
SPECIALTY EQUITY PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
997.70 |
$ |
2.24 |
0.45 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.69 |
$ |
2.27 |
0.45 |
% |
|||||||||||
Global Listed Private Equity ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,053.50 |
$ |
3.07 |
0.60 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,021.94 |
$ |
3.02 |
0.60 |
% |
|||||||||||
Large Cap Core Plus |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,013.50 |
$ |
2.26 |
0.45 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.69 |
$ |
2.27 |
0.45 |
% |
|||||||||||
S&P 500 Dividend Aristocrats ETF |
DIVIDEND GROWERS PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,011.80 |
$ |
1.76 |
0.35 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,023.19 |
$ |
1.77 |
0.35 |
% |
|||||||||||
S&P MidCap 400 Dividend Aristocrats ETF (b) |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,010.70 |
$ |
1.29 |
0.40 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.94 |
$ |
2.02 |
0.40 |
% |
|||||||||||
Russell 2000 Dividend Growers ETF (b) |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
989.10 |
$ |
1.28 |
0.40 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.94 |
$ |
2.02 |
0.40 |
% |
|||||||||||
MSCI EAFE Dividend Growers ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,050.10 |
$ |
2.56 |
0.50 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.44 |
$ |
2.52 |
0.50 |
% |
CXXIV :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
Beginning Account Value |
Ending Account Value 05/31/15 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
High Yield-Interest Rate Hedged |
HEDGED FIXED INCOME PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,004.70 |
$ |
2.50 |
0.50 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.44 |
$ |
2.52 |
0.50 |
% |
|||||||||||
Investment Grade-Interest Rate Hedged |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
996.10 |
$ |
1.49 |
0.30 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,023.44 |
$ |
1.51 |
0.30 |
% |
|||||||||||
USD Covered Bond |
GLOBAL FIXED INCOME PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,006.20 |
$ |
1.75 |
0.35 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,023.19 |
$ |
1.77 |
0.35 |
% |
|||||||||||
German Sovereign/Sub-Sovereign ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
889.50 |
$ |
2.12 |
0.45 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.69 |
$ |
2.27 |
0.45 |
% |
|||||||||||
Short Term USD Emerging Markets Bond ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,000.00 |
$ |
2.49 |
0.50 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.44 |
$ |
2.52 |
0.50 |
% |
|||||||||||
Hedge Replication ETF |
HEDGE STRATEGIES PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,022.30 |
$ |
4.79 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Merger ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,009.80 |
$ |
3.76 |
0.75 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,021.19 |
$ |
3.78 |
0.75 |
% |
|||||||||||
RAFI® Long/Short |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
986.40 |
$ |
4.70 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
30 Year TIPS/TSY Spread |
INFLATION PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
961.50 |
$ |
3.67 |
0.75 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,021.19 |
$ |
3.78 |
0.75 |
% |
|||||||||||
CDS North American HY Credit ETF |
CREDIT PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,009.40 |
$ |
2.50 |
0.50 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.44 |
$ |
2.52 |
0.50 |
% |
|||||||||||
CDS Short North American HY Credit ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
985.50 |
$ |
2.48 |
0.50 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.44 |
$ |
2.52 |
0.50 |
% |
|||||||||||
Short S&P500® |
GEARED PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
960.90 |
$ |
4.40 |
0.90 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.44 |
$ |
4.53 |
0.90 |
% |
|||||||||||
Short QQQ® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
943.90 |
$ |
4.60 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Short Dow30SM |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
967.00 |
$ |
4.66 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: CXXV
Beginning Account Value |
Ending Account Value 05/31/15 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Short MidCap400 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
927.80 |
$ |
4.57 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Short Russell2000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
918.30 |
$ |
4.54 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Short SmallCap600 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
928.00 |
$ |
4.57 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort S&P500® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
919.60 |
$ |
4.36 |
0.91 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.39 |
$ |
4.58 |
0.91 |
% |
|||||||||||
UltraShort QQQ® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
886.20 |
$ |
4.47 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort Dow30SM |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
930.80 |
$ |
4.57 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort MidCap400 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
857.20 |
$ |
4.40 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort Russell2000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
837.80 |
$ |
4.35 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort SmallCap600 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
855.10 |
$ |
4.39 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraPro Short S&P500® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
872.40 |
$ |
4.39 |
0.94 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.24 |
$ |
4.73 |
0.94 |
% |
|||||||||||
UltraPro Short QQQ® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
822.90 |
$ |
4.32 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraPro Short Dow30SM |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
888.00 |
$ |
4.47 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraPro Short MidCap400 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
784.00 |
$ |
4.23 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraPro Short Russell2000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
753.90 |
$ |
4.15 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
CXXVI :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
Beginning Account Value |
Ending Account Value 05/31/15 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Short Basic Materials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
971.50 |
$ |
4.67 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Short Financials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
962.50 |
$ |
4.65 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Short Oil & Gas |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
975.20 |
$ |
4.68 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Short Real Estate |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
986.80 |
$ |
4.71 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Short S&P Regional Banking |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
901.50 |
$ |
4.50 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort Basic Materials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
936.40 |
$ |
4.59 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort Nasdaq Biotechnology |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
629.60 |
$ |
3.86 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort Consumer Goods |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
962.20 |
$ |
4.65 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort Consumer Services |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
849.30 |
$ |
4.38 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort Financials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
922.10 |
$ |
4.55 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort Gold Miners (c) |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,049.30 |
$ |
2.88 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort Junior Miners (c) |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
920.80 |
$ |
2.70 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort Health Care |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
802.10 |
$ |
4.27 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort Industrials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
931.00 |
$ |
4.57 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: CXXVII
Beginning Account Value |
Ending Account Value 05/31/15 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
UltraShort Oil & Gas |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
931.50 |
$ |
4.57 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort Real Estate |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
967.10 |
$ |
4.66 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort Semiconductors |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
833.70 |
$ |
4.34 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort Technology |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
891.90 |
$ |
4.48 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort Telecommunications |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
977.90 |
$ |
4.68 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort Utilities |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
983.10 |
$ |
4.70 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraPro Short Financials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
872.10 |
$ |
4.43 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Short MSCI EAFE |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
936.20 |
$ |
4.59 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Short MSCI Emerging Markets |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
973.50 |
$ |
4.67 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Short FTSE China 50 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
787.80 |
$ |
4.23 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort MSCI EAFE |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
869.70 |
$ |
4.43 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort MSCI Emerging Markets |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
936.00 |
$ |
4.59 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort FTSE Europe |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
877.10 |
$ |
4.45 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort MSCI Pacific ex-Japan |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
931.90 |
$ |
4.58 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
CXXVIII :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
Beginning Account Value |
Ending Account Value 05/31/15 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
UltraShort MSCI Brazil Capped |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,390.00 |
$ |
5.66 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort FTSE China 50 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
604.40 |
$ |
3.80 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort MSCI Japan |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
751.40 |
$ |
4.15 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort MSCI Mexico Capped IMI |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,132.00 |
$ |
5.05 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Short 7-10 Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
973.30 |
$ |
4.67 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Short 20+ Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
964.40 |
$ |
4.70 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Short High Yield |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
962.60 |
$ |
4.65 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Short Investment Grade Corporate |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
986.60 |
$ |
4.71 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort 3-7 Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
963.40 |
$ |
4.65 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort 7-10 Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
949.00 |
$ |
4.62 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraShort 20+ Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
922.70 |
$ |
4.51 |
0.94 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.24 |
$ |
4.73 |
0.94 |
% |
|||||||||||
UltraShort TIPS |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
987.70 |
$ |
4.71 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraPro Short 20+ Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
873.50 |
$ |
4.44 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra S&P500® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,044.10 |
$ |
4.54 |
0.89 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.49 |
$ |
4.48 |
0.89 |
% |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: CXXIX
Beginning Account Value |
Ending Account Value 05/31/15 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Ultra QQQ® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,072.30 |
$ |
4.91 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra Dow30SM |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,029.20 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra MidCap400 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,116.00 |
$ |
5.01 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra Russell2000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,124.90 |
$ |
5.03 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra SmallCap600 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,106.10 |
$ |
4.99 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraPro S&P500® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,054.00 |
$ |
4.86 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraPro QQQ® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,093.50 |
$ |
4.96 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraPro Dow30SM |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,029.70 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraPro MidCap400 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,165.40 |
$ |
5.13 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraPro Russell2000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,175.10 |
$ |
5.15 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra Basic Materials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,003.00 |
$ |
4.74 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra Nasdaq Biotechnology |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,396.00 |
$ |
5.67 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra Consumer Goods |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
997.70 |
$ |
4.73 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra Consumer Services |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,124.50 |
$ |
5.03 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
CXXX :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
Beginning Account Value |
Ending Account Value 05/31/15 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Ultra Financials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,032.80 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra Gold Miners (c) |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
823.20 |
$ |
2.56 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra Junior Miners (c) |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
880.60 |
$ |
2.64 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra Health Care |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,176.80 |
$ |
5.16 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra Industrials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,020.30 |
$ |
4.79 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra Oil & Gas |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
958.40 |
$ |
4.64 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra Real Estate |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
975.40 |
$ |
4.68 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra S&P Regional Banking |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,136.30 |
$ |
5.06 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra Semiconductors |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,087.40 |
$ |
4.94 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra Technology |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,050.30 |
$ |
4.86 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra Telecommunications |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
962.10 |
$ |
4.65 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra Utilities |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
948.40 |
$ |
4.61 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
UltraPro Financials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,035.20 |
$ |
4.82 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra MSCI EAFE |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,083.60 |
$ |
4.93 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: CXXXI
Beginning Account Value |
Ending Account Value 05/31/15 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Ultra MSCI Emerging Markets |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
988.60 |
$ |
4.71 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra FTSE Europe |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,057.60 |
$ |
4.87 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra MSCI Pacific ex-Japan |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,011.20 |
$ |
4.76 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra MSCI Brazil Capped |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
572.00 |
$ |
3.72 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra FTSE China 50 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,432.90 |
$ |
5.76 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra MSCI Japan |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,255.20 |
$ |
5.34 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra MSCI Mexico Capped IMI |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
796.80 |
$ |
4.26 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra 7-10 Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,031.20 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra 20+ Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,024.10 |
$ |
4.79 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra High Yield |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,042.40 |
$ |
4.84 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Ultra Investment Grade Corporate |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
993.40 |
$ |
4.72 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.19 |
$ |
4.78 |
0.95 |
% |
* Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 182/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).
(a) In addition to the fees and expenses which the Morningstar Alternatives Solution ETF bears directly, the Fund indirectly bears a pro-rata share of the fees and expenses of the underlying ProShares ETFs in which the Fund invests. The Fund's Annualized Expense Ratio During Period disclosed in the table above reflects only the direct expenses of the Fund. If the Fund's Annualized Expense Ratio During Period included such indirect expenses, known as Acquired Fund Fees and Expenses, it would have been 0.95% for both the Actual and Hypothetical Expense Examples.
(b) The Fund commenced operations on February 3, 2015. Actual Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 117 divided by 365 (to reflect the actual days in the period). Hypothetical Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 182 divided by 365 (to reflect the one-half year period).
(c) The Fund commenced operations February 12, 2015. Actual Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 108 divided by 365 (to reflect the actual days in the period). Hypothetical Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 182 divided by 365 (to reflect the one-half year period).
CXXXII :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
SCHEDULE OF PORTFOLIO INVESTMENTS
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: 1
Shares |
Value |
||||||||||
Exchange Traded Funds �� 99.9% |
|||||||||||
18,232 | ProShares 30 Year TIPS/TSY Spread�� |
$ |
564,189 |
||||||||
64,819 |
ProShares DJ Brookfield
Global Infrastructure ETF�� |
2,864,027 |
|||||||||
43,718 |
ProShares Global Listed Private Equity ETF�� |
1,845,993 |
|||||||||
113,930 |
ProShares Hedge Replication
ETF*�� |
4,938,865 |
|||||||||
299,239 |
ProShares Managed Futures Strategy ETF*�� |
6,288,508 |
|||||||||
103,559 |
ProShares Merger ETF�� |
3,802,169 |
|||||||||
76,436 |
ProShares RAFI Long/Short�� |
3,134,640 |
|||||||||
Total Exchange Traded
Funds (Cost $23,355,355) |
23,438,391 |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (a) �� 4.0% |
|||||||||||
$ |
932,933 |
Repurchase Agreements with
various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $932,939 |
932,933 |
||||||||
Total Repurchase Agreements (Cost $932,933) |
932,933 |
||||||||||
Total Investment
Securities (Cost $24,288,288) �� 103.9% |
24,371,324 |
||||||||||
Liabilities in excess of other assets �� (3.9%) |
(913,048 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
23,458,276 |
* Non-income producing security.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
�� Affiliated company as defined under the Investment Company Act of 1940.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
215,163 |
|||||
Aggregate gross unrealized depreciation |
(154,756 |
) |
|||||
Net unrealized appreciation |
$ |
60,407 |
|||||
Federal income tax cost of investments |
$ |
24,310,917 |
Investment in a company which was affiliated for the period ending May 31, 2015, was as follows:
Security |
Value October 8, 2014 |
Purchases at Cost |
Sales at Cost |
Value May 31, 2015 |
Dividend Income |
Realized Gain/(Loss) |
|||||||||||||||||||||
ProShares 30 Year TIPS/TSY Spread |
$ |
�� |
$ |
893,179 |
$ |
299,804 |
$ |
564,189 |
$ |
�� |
$ |
(7,225 |
) |
||||||||||||||
ProShares DJ Brookfield Global Infrastructure ETF |
�� |
5,235,999 |
2,445,359 |
2,864,027 |
37,124 |
34,932 |
|||||||||||||||||||||
ProShares Global Listed Private Equity ETF |
�� |
4,038,837 |
2,219,212 |
1,845,993 |
39,401 |
(52,236 |
) |
||||||||||||||||||||
ProShares Hedge Replication ETF |
�� |
7,177,685 |
2,403,633 |
4,938,865 |
�� |
44,742 |
|||||||||||||||||||||
ProShares Managed Futures Strategy ETF |
�� |
9,015,684 |
2,837,672 |
6,288,508 |
�� |
183,335 |
|||||||||||||||||||||
ProShares Merger ETF |
�� |
5,273,519 |
1,470,817 |
3,802,169 |
13,958 |
10,977 |
|||||||||||||||||||||
ProShares RAFI Long/Short |
�� |
7,651,018 |
4,394,994 |
3,134,640 |
31,379 |
(73,599 |
) |
||||||||||||||||||||
$ |
�� |
$ |
39,285,921 |
$ |
16,071,491 |
$ |
23,438,391 |
$ |
121,862 |
$ |
140,926 |
Further information about each affiliated Underlying Fund, other than ProShares Managed Futures Strategy, may be found herein. The most recent annual report for the ProShares Managed Futures Strategy, a series of ProShares Trust II, may be found at www.ProShares.com.
See accompanying notes to the financial statements.
2 :: ALTS MORNINGSTAR ALTERNATIVES SOLUTION ETF :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks �� 83.0% |
|||||||||||
Consumer Discretionary �� 3.0% |
|||||||||||
6,114 |
Eutelsat Communications S.A. |
$ |
208,233 |
||||||||
17,369 |
SES S.A. (FDR) |
615,022 |
|||||||||
823,255 |
|||||||||||
Energy �� 19.7% |
|||||||||||
3,822 |
Cheniere Energy, Inc.* |
289,822 |
|||||||||
1,071 |
Enbridge Energy Management LLC |
38,706 |
|||||||||
21,532 |
Enbridge, Inc. |
1,029,852 |
|||||||||
889 |
EnLink Midstream LLC |
29,435 |
|||||||||
7,535 |
Inter Pipeline Ltd. |
187,466 |
|||||||||
3,994 |
Keyera Corp. |
131,517 |
|||||||||
29,978 |
Kinder Morgan, Inc. |
1,243,787 |
|||||||||
1,542 |
Koninklijke Vopak N.V. |
76,719 |
|||||||||
3,597 |
ONEOK, Inc. |
150,786 |
|||||||||
8,361 |
Pembina Pipeline Corp. |
269,534 |
|||||||||
738 |
SemGroup Corp., Class A |
58,081 |
|||||||||
11,599 |
Spectra Energy Corp. |
407,937 |
|||||||||
732 |
Targa Resources Corp. |
67,307 |
|||||||||
17,298 |
TransCanada Corp. |
749,728 |
|||||||||
6,561 |
Veresen, Inc. |
97,972 |
|||||||||
11,727 |
Williams Cos., Inc. (The) |
599,250 |
|||||||||
5,427,899 |
|||||||||||
Financials �� 6.6% |
|||||||||||
11,527 |
American Tower Corp. (REIT) |
1,069,590 |
|||||||||
9,251 |
Crown Castle International Corp. (REIT) |
754,419 |
|||||||||
1,824,009 |
|||||||||||
Industrials �� 14.4% |
|||||||||||
14,971 |
Abertis Infraestructuras S.A. |
263,000 |
|||||||||
1,241 |
Aeroports de Paris |
153,541 |
|||||||||
15,982 |
Atlantia SpA |
411,092 |
|||||||||
36,020 |
Auckland International Airport Ltd. |
123,939 |
|||||||||
59,928 |
Beijing Capital
International Airport Co. Ltd., Class H |
71,725 |
|||||||||
13,407 |
Beijing Enterprises Holdings Ltd. |
117,321 |
|||||||||
70,533 |
China Merchants Holdings
International Co. Ltd. |
311,109 |
|||||||||
3,644 |
Empresas ICA SAB de CV (ADR)* |
12,280 |
|||||||||
16,371 |
Ferrovial S.A. |
353,402 |
|||||||||
151 |
Flughafen Zuerich AG |
119,454 |
|||||||||
1,460 |
Fraport AG Frankfurt
Airport Services Worldwide |
95,826 |
|||||||||
21,744 |
Groupe Eurotunnel SE |
327,534 |
|||||||||
1,352 |
Grupo Aeroportuario del
Pacifico SAB de CV (ADR) |
96,262 |
|||||||||
800 |
Grupo Aeroportuario del Sureste SAB de CV (ADR) |
115,232 |
|||||||||
904 |
Hamburger Hafen und Logistik AG |
19,520 |
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
213,523 |
Hutchison Port Holdings Trust, Class U |
$ |
140,925 |
||||||||
2,872 |
Japan Airport Terminal Co. Ltd. |
167,764 |
|||||||||
48,311 |
Jiangsu Expressway Co. Ltd., Class H |
67,292 |
|||||||||
15,025 |
Macquarie Atlas Roads Group |
37,908 |
|||||||||
1,538 |
Obrascon Huarte Lain S.A. |
28,885 |
|||||||||
2,588 |
Societa Iniziative
Autostradali e Servizi SpA |
28,339 |
|||||||||
42,558 |
Sydney Airport |
185,140 |
|||||||||
72,057 |
Transurban Group |
560,277 |
|||||||||
2,408 |
Westshore Terminals Investment Corp. |
64,266 |
|||||||||
56,681 |
Zhejiang Expressway Co.
Ltd., Class H |
88,308 |
|||||||||
3,960,341 |
|||||||||||
Telecommunication Services �� 1.5% |
|||||||||||
3,608 |
SBA Communications Corp., Class A* |
403,410 |
|||||||||
Utilities �� 37.8% |
|||||||||||
2,066 |
AGL Resources, Inc. |
104,064 |
|||||||||
1,141 |
American States Water Co. |
43,849 |
|||||||||
5,290 |
American Water Works Co., Inc. |
279,682 |
|||||||||
26,959 |
APA Group |
192,099 |
|||||||||
5,227 |
Aqua America, Inc. |
137,575 |
|||||||||
1,735 |
Atmos Energy Corp. |
93,725 |
|||||||||
65,339 |
AusNet Services |
76,181 |
|||||||||
178,170 |
Beijing Enterprises Water
Group Ltd.* |
150,512 |
|||||||||
1,411 |
California Water Service Group |
33,709 |
|||||||||
11,685 |
CenterPoint Energy, Inc. |
238,023 |
|||||||||
66,340 |
China Gas Holdings Ltd. |
114,308 |
|||||||||
25,070 |
China Resources Gas Group Ltd. |
77,276 |
|||||||||
13,511 |
Cia de Saneamento Basico do Estado de Sao Paulo (ADR) |
78,499 |
|||||||||
8,144 |
Consolidated Edison, Inc. |
503,625 |
|||||||||
60,549 |
DUET Group |
118,047 |
|||||||||
1,313 |
Elia System Operator S.A./N.V.* |
56,940 |
|||||||||
5,279 |
Enagas S.A. |
151,819 |
|||||||||
21,572 |
ENN Energy Holdings Ltd. |
144,951 |
|||||||||
8,828 |
Eversource Energy |
434,779 |
|||||||||
10,828 |
Fortis, Inc. |
330,691 |
|||||||||
168,656 |
Hong Kong & China Gas Co. Ltd. |
406,759 |
|||||||||
4,590 |
ITC Holdings Corp. |
161,981 |
|||||||||
746 |
Laclede Group, Inc. (The) |
39,918 |
|||||||||
150,881 |
National Grid PLC |
2,153,864 |
|||||||||
1,462 |
New Jersey Resources Corp. |
43,962 |
|||||||||
5,453 |
NiSource, Inc. |
257,273 |
|||||||||
451 |
Northwest Natural Gas Co. |
20,160 |
|||||||||
1,359 |
NorthWestern Corp. |
70,695 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: DJ BROOKFIELD GLOBAL INFRASTRUCTURE ETF TOLZ :: 3
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
898 |
ONE Gas, Inc. |
$ |
39,808 |
||||||||
15,492 |
Pennon Group PLC |
202,092 |
|||||||||
7,413 |
Pepco Holdings, Inc. |
202,004 |
|||||||||
12,830 |
PG&E Corp. |
686,020 |
|||||||||
1,355 |
Piedmont Natural Gas Co., Inc. |
50,528 |
|||||||||
4,279 |
Red Electrica Corp. S.A. |
359,897 |
|||||||||
3,997 |
Sempra Energy |
429,558 |
|||||||||
9,423 |
Severn Trent PLC |
316,414 |
|||||||||
54,025 |
Snam SpA |
267,248 |
|||||||||
805 |
Southwest Gas Corp. |
43,840 |
|||||||||
52,911 |
Spark Infrastructure Group |
80,704 |
|||||||||
53,874 |
Terna Rete Elettrica Nazionale SpA |
256,797 |
|||||||||
11,894 |
Toho Gas Co. Ltd. |
74,364 |
|||||||||
59,304 |
Tokyo Gas Co. Ltd. |
328,784 |
|||||||||
9,329 |
Towngas China Co. Ltd.* |
9,734 |
|||||||||
1,669 |
UIL Holdings Corp. |
84,602 |
|||||||||
26,957 |
United Utilities Group PLC |
410,363 |
|||||||||
894 |
WGL Holdings, Inc. |
51,441 |
|||||||||
10,409,164 |
|||||||||||
Total Common
Stocks (Cost $23,006,192) |
22,848,078 |
||||||||||
Investment Companies �� 0.7% |
|||||||||||
Financials �� 0.7% |
|||||||||||
22,995 |
3i Infrastructure PLC |
59,045 |
|||||||||
49,304 |
HICL Infrastructure Co. Ltd. |
115,295 |
|||||||||
174,340 |
|||||||||||
Total Investment
Companies (Cost $170,383) |
174,340 |
||||||||||
Master Limited Partnerships �� 15.9% |
|||||||||||
Energy �� 15.3% |
|||||||||||
934 |
Antero Midstream Partners LP |
26,619 |
|||||||||
2,018 |
Boardwalk Pipeline Partners LP |
32,328 |
|||||||||
2,181 |
Buckeye Partners LP |
168,657 |
|||||||||
706 |
Cheniere Energy Partners LP |
23,432 |
|||||||||
1,170 |
Crestwood Equity Partners LP |
5,850 |
|||||||||
2,732 |
Crestwood Midstream Partners LP |
36,663 |
|||||||||
1,509 |
DCP Midstream Partners LP |
57,040 |
|||||||||
486 |
Dominion Midstream Partners LP |
20,490 |
|||||||||
3,471 |
Enbridge Energy Partners LP |
128,739 |
|||||||||
7,084 |
Energy Transfer Equity LP |
486,458 |
|||||||||
7,305 |
Energy Transfer Partners LP |
410,760 |
|||||||||
2,222 |
EnLink Midstream Partners LP |
55,150 |
|||||||||
21,642 |
Enterprise Products Partners LP |
701,634 |
|||||||||
880 |
EQT Midstream Partners LP |
73,630 |
|||||||||
1,292 |
Genesis Energy LP |
62,830 |
|||||||||
594 |
Holly Energy Partners LP |
20,036 |
Shares |
Value |
||||||||||
Master Limited Partnerships (continued) |
|||||||||||
3,926 |
Magellan Midstream Partners LP |
$ |
312,981 |
||||||||
2,787 |
MarkWest Energy Partners LP |
180,124 |
|||||||||
334 |
MPLX LP |
24,382 |
|||||||||
1,117 |
NuStar Energy LP |
69,712 |
|||||||||
567 |
NuStar GP Holdings LLC |
21,761 |
|||||||||
2,674 |
ONEOK Partners LP |
104,420 |
|||||||||
427 |
Phillips 66 Partners LP |
31,060 |
|||||||||
6,939 |
Plains All American Pipeline LP |
325,786 |
|||||||||
3,272 |
Plains GP Holdings LP, Class A |
91,485 |
|||||||||
841 |
Spectra Energy Partners LP |
42,891 |
|||||||||
674 |
Summit Midstream Partners LP |
22,667 |
|||||||||
2,496 |
Sunoco Logistics Partners LP |
98,842 |
|||||||||
2,620 |
Targa Resources Partners LP |
113,262 |
|||||||||
787 |
TC PipeLines LP |
50,289 |
|||||||||
858 |
Tesoro Logistics LP |
49,601 |
|||||||||
294 |
Valero Energy Partners LP |
15,056 |
|||||||||
417 |
Western Gas Equity Partners LP |
26,709 |
|||||||||
1,246 |
Western Gas Partners LP |
85,351 |
|||||||||
4,217 |
Williams Partners LP |
235,646 |
|||||||||
4,212,341 |
|||||||||||
Utilities �� 0.6% |
|||||||||||
4,018 |
Brookfield Infrastructure Partners LP |
173,778 |
|||||||||
Total Master Limited Partnerships (Cost $4,526,210) |
4,386,119 |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (a) �� 1.0% |
|||||||||||
$ |
285,296 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $285,297 |
285,296 |
||||||||
Total Repurchase
Agreements (Cost $285,296) |
285,296 |
||||||||||
Total Investment Securities (Cost $27,988,081) �� 100.6% |
27,693,833 |
||||||||||
Liabilities in excess of
other assets �� (0.6%) |
(165,165 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
27,528,668 |
* Non-income producing security.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
ADR American Depositary Receipt
FDR Finnish Depositary Receipt
REIT Real Estate Investment Trust
See accompanying notes to the financial statements.
4 :: TOLZ DJ BROOKFIELD GLOBAL INFRASTRUCTURE ETF :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
897,601 |
|||||
Aggregate gross unrealized depreciation |
(1,218,097 |
) |
|||||
Net unrealized depreciation |
$ |
(320,496 |
) |
||||
Federal income tax cost of investments |
$ |
28,014,329 |
DJ Brookfield Global Infrastructure ETF invested, as a percentage of net assets, in the following countries as of May 31, 2015:
United States |
48.6 |
% |
|||||
United Kingdom |
11.1 |
% |
|||||
Canada |
10.4 |
% |
|||||
Australia |
4.5 |
% |
|||||
Spain |
4.3 |
% |
|||||
Hong Kong |
4.2 |
% |
|||||
Italy |
3.5 |
% |
|||||
France |
2.6 |
% |
|||||
Luxembourg |
2.2 |
% |
|||||
Japan |
2.1 |
% |
|||||
China |
1.3 |
% |
|||||
Mexico |
0.8 |
% |
|||||
Bermuda |
0.6 |
% |
|||||
Germany |
0.5 |
% |
|||||
Guernsey |
0.5 |
% |
|||||
New Zealand |
0.5 |
% |
|||||
Singapore |
0.5 |
% |
|||||
Switzerland |
0.4 |
% |
|||||
Brazil |
0.3 |
% |
|||||
Netherlands |
0.3 |
% |
|||||
Belgium |
0.2 |
% |
|||||
Jersey |
0.2 |
% |
|||||
Other1 |
0.4 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: DJ BROOKFIELD GLOBAL INFRASTRUCTURE ETF TOLZ :: 5
Shares |
Value |
||||||||||
Common Stocks �� 91.7% |
|||||||||||
Financials �� 91.7% |
|||||||||||
191,529 |
3i Group PLC |
$ |
1,648,086 |
||||||||
7,996 |
Altamir |
98,359 |
|||||||||
73,617 |
American Capital Ltd.* |
1,045,361 |
|||||||||
69,952 |
Apollo Investment Corp. |
549,123 |
|||||||||
83,365 |
Ares Capital Corp. |
1,396,364 |
|||||||||
21,749 |
BlackRock Capital Investment Corp. |
204,876 |
|||||||||
79,861 |
Brait SE* |
698,478 |
|||||||||
3,158 |
Deutsche Beteiligungs AG |
100,046 |
|||||||||
9,410 |
Eurazeo S.A. |
630,435 |
|||||||||
44,457 |
Fifth Street Finance Corp. |
308,532 |
|||||||||
5,675 |
Gimv N.V. |
269,072 |
|||||||||
14,119 |
Golub Capital BDC, Inc. |
244,541 |
|||||||||
20,075 |
Hercules Technology Growth
Capital, Inc. |
257,562 |
|||||||||
80,223 |
Intermediate Capital Group PLC |
734,451 |
|||||||||
118,700 |
IP Group PLC* |
388,241 |
|||||||||
13,324 |
Main Street Capital Corp. |
411,312 |
|||||||||
15,293 |
New Mountain Finance Corp. |
231,230 |
|||||||||
23,981 |
Onex Corp. |
1,354,282 |
|||||||||
21,948 |
PennantPark Investment Corp. |
211,798 |
|||||||||
76,407 |
Prospect Capital Corp. |
603,615 |
|||||||||
55,340 |
Ratos AB, Class B |
357,619 |
|||||||||
5,968 |
Safeguard Scientifics, Inc.* |
106,947 |
|||||||||
11,902 |
Solar Capital Ltd. |
227,566 |
|||||||||
13,900 |
TCP Capital Corp. |
225,458 |
|||||||||
9,641 |
Triangle Capital Corp. |
232,734 |
|||||||||
7,694 |
Wendel S.A. |
980,660 |
|||||||||
13,516,748 |
|||||||||||
Total Common Stocks (Cost $13,100,915) |
13,516,748 |
||||||||||
Investment Companies �� 6.2% |
|||||||||||
Financials �� 6.2% |
|||||||||||
10,668 |
Electra Private Equity PLC* |
526,651 |
|||||||||
1,814 |
HBM Healthcare Investments AG, Class A* |
208,643 |
|||||||||
10,588 |
HgCapital Trust PLC |
175,420 |
|||||||||
910,714 |
|||||||||||
Total Investment
Companies (Cost $766,511) |
910,714 |
Shares |
Value |
||||||||||
Master Limited Partnership �� 1.4% |
|||||||||||
Financials �� 1.4% |
|||||||||||
12,753 |
Compass Diversified Holdings |
$ |
208,384 |
||||||||
Total Master Limited Partnership (Cost $212,978) |
208,384 |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (a) �� 0.6% |
|||||||||||
$ |
89,036 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $89,036 |
89,036 |
||||||||
Total Repurchase Agreements
(Cost $89,036) |
89,036 |
||||||||||
Total Investment Securities (Cost $14,169,440) �� 99.9% |
14,724,882 |
||||||||||
Other assets less liabilities �� 0.1% |
21,250 |
||||||||||
Net Assets �� 100.0% |
$ |
14,746,132 |
* Non-income producing security.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
944,042 |
|||||
Aggregate gross unrealized depreciation |
(694,457 |
) |
|||||
Net unrealized appreciation |
$ |
249,585 |
|||||
Federal income tax cost of investments |
$ |
14,475,297 |
See accompanying notes to the financial statements.
6 :: PEX GLOBAL LISTED PRIVATE EQUITY ETF :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Global Listed Private Equity ETF invested, as a percentage of net assets, in the following countries as of May 31, 2015:
United States |
43.8 |
% |
|||||
United Kingdom |
23.6 |
% |
|||||
France |
11.7 |
% |
|||||
Canada |
9.2 |
% |
|||||
Malta |
4.7 |
% |
|||||
Sweden |
2.4 |
% |
|||||
Belgium |
1.8 |
% |
|||||
Switzerland |
1.4 |
% |
|||||
Germany |
0.7 |
% |
|||||
Other1 |
0.7 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: GLOBAL LISTED PRIVATE EQUITY ETF PEX :: 7
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) �� 94.4% |
|||||||||||||||
23,137 |
Amgen, Inc. (Health Care) |
0.7 |
% |
$ |
3,615,388 |
||||||||||
102,209 |
Apple, Inc.
(Information Technology) |
2.7 |
% |
13,315,789 |
|||||||||||
40,234 |
Archer-Daniels-Midland Co. (Consumer Staples) |
0.4 |
% |
2,126,367 |
|||||||||||
60,161 |
AT&T, Inc.
(Telecommunication Services) |
0.4 |
% |
2,077,961 |
|||||||||||
15,643 |
Avago Technologies Ltd. (Information Technology) |
0.5 |
% |
2,316,259 |
|||||||||||
30,685 |
Baxter International, Inc.
(Health Care) |
0.4 |
% |
2,043,928 |
|||||||||||
25,916 |
Berkshire Hathaway, Inc., Class B* (Financials) |
0.8 |
% |
3,705,988 |
|||||||||||
5,277 |
Biogen, Inc.* (Health Care) |
0.4 |
% |
2,094,916 |
|||||||||||
6,072 |
BlackRock, Inc. (Financials) |
0.5 |
% |
2,221,016 |
|||||||||||
22,841 |
Cardinal Health, Inc.
(Health Care) |
0.4 |
% |
2,013,891 |
|||||||||||
22,553 |
Chevron Corp. (Energy) |
0.5 |
% |
2,322,959 |
|||||||||||
83,779 |
Cisco Systems, Inc.
(Information Technology) |
0.5 |
% |
2,455,562 |
|||||||||||
77,690 |
Citigroup, Inc. (Financials) |
0.9 |
% |
4,201,475 |
|||||||||||
21,703 |
CME Group, Inc. (Financials) |
0.4 |
% |
2,044,423 |
|||||||||||
34,407 |
Cognizant Technology Solutions Corp., Class A* (Information Technology) |
0.5 |
% |
2,226,821 |
|||||||||||
33,734 |
ConocoPhillips (Energy) |
0.4 |
% |
2,148,181 |
|||||||||||
35,657 |
CVS Health Corp. (Consumer Staples) |
0.8 |
% |
3,650,564 |
|||||||||||
40,806 |
Dow Chemical Co. (The)
(Materials) |
0.4 |
% |
2,124,768 |
|||||||||||
24,998 |
EOG Resources, Inc. (Energy) |
0.4 |
% |
2,217,073 |
|||||||||||
30,367 |
Express Scripts
Holding Co.* (Health Care) |
0.5 |
% |
2,646,180 |
|||||||||||
63,156 |
Exxon Mobil Corp. (Energy) |
1.1 |
% |
5,380,891 |
|||||||||||
50,667 |
Facebook, Inc., Class A*
(Information Technology) |
0.8 |
% |
4,012,320 |
|||||||||||
140,291 |
General Electric Co. (Industrials) |
0.8 |
% |
3,825,736 |
|||||||||||
64,770 |
General Motors Co.
(Consumer Discretionary) |
0.5 |
% |
2,329,777 |
|||||||||||
41,857 |
Gilead Sciences, Inc.* (Health Care) |
1.0 |
% |
4,699,285 |
|||||||||||
5,426 |
Google, Inc., Class A*
(Information Technology) |
0.6 |
% |
2,958,906 |
|||||||||||
78,021 |
Hewlett-Packard Co. (Information Technology) |
0.5 |
% |
2,605,901 |
|||||||||||
28,395 |
Honeywell International,
Inc. (Industrials) |
0.6 |
% |
2,958,759 |
|||||||||||
59,912 |
Intel Corp. (Information Technology) |
0.4 |
% |
2,064,568 |
|||||||||||
19,380 |
Intuit, Inc.
(Information Technology) |
0.4 |
% |
2,018,427 |
|||||||||||
47,726 |
Johnson & Johnson (Health Care) |
1.0 |
% |
4,779,282 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
49,437 |
JPMorgan Chase & Co. (Financials) |
0.7 |
% |
$ |
3,251,966 |
||||||||||
27,918 |
Kroger Co. (The)
(Consumer Staples) |
0.4 |
% |
2,032,430 |
|||||||||||
12,160 |
Lockheed Martin Corp. (Industrials) |
0.5 |
% |
2,288,512 |
|||||||||||
34,601 |
Marsh & McLennan
Cos., Inc. (Financials) |
0.4 |
% |
2,014,816 |
|||||||||||
9,417 |
McKesson Corp. (Health Care) |
0.5 |
% |
2,233,995 |
|||||||||||
34,407 |
Merck & Co., Inc.
(Health Care) |
0.4 |
% |
2,095,042 |
|||||||||||
48,432 |
MetLife, Inc. (Financials) |
0.5 |
% |
2,531,056 |
|||||||||||
129,652 |
Microsoft Corp.
(Information Technology) |
1.2 |
% |
6,075,493 |
|||||||||||
41,897 |
PepsiCo, Inc. (Consumer Staples) |
0.8 |
% |
4,040,128 |
|||||||||||
100,281 |
Pfizer, Inc. (Health Care) |
0.7 |
% |
3,484,765 |
|||||||||||
46,040 |
Philip Morris International, Inc. (Consumer Staples) |
0.8 |
% |
3,824,543 |
|||||||||||
36,234 |
Procter & Gamble Co.
(The) (Consumer Staples) |
0.6 |
% |
2,840,383 |
|||||||||||
25,537 |
Prudential Financial, Inc. (Financials) |
0.4 |
% |
2,160,686 |
|||||||||||
18,560 |
Skyworks Solutions, Inc.
(Information Technology) |
0.4 |
% |
2,029,722 |
|||||||||||
73,448 |
Twenty-First Century Fox, Inc., Class A (Consumer Discretionary) |
0.5 |
% |
2,467,853 |
|||||||||||
50,726 |
Verizon Communications,
Inc. (Telecommunication Services) |
0.5 |
% |
2,507,894 |
|||||||||||
66,304 |
Wells Fargo & Co. (Financials) |
0.8 |
% |
3,710,372 |
|||||||||||
41,232 |
Williams Cos., Inc. (The)
(Energy) |
0.4 |
% |
2,106,955 |
|||||||||||
6,627,827 |
Other Common Stocks |
63.7 |
% |
310,586,261 |
|||||||||||
Total Common Stocks
(Cost $446,899,987) |
461,486,233 |
||||||||||||||
Principal Amount |
|||||||||||||||
Repurchase Agreements (a)(b) �� 2.6% |
|||||||||||||||
$ |
12,465,217 |
Repurchase Agreements with
various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $12,465,295 |
12,465,217 |
||||||||||||
Total Repurchase Agreements (Cost $12,465,217) |
12,465,217 |
||||||||||||||
Total Investment Securities
(Cost $459,365,204) �� 97.0% |
473,951,450 |
||||||||||||||
Other assets less liabilities �� 3.0% |
14,775,555 |
||||||||||||||
Net Assets �� 100.0% |
$ |
488,727,005 |
See accompanying notes to the financial statements.
8 :: CSM LARGE CAP CORE PLUS :: MAY 31, 2015 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $18,145,880.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
29,205,911 |
|||||
Aggregate gross unrealized depreciation |
(15,317,330 |
) |
|||||
Net unrealized appreciation |
$ |
13,888,581 |
|||||
Federal income tax cost of investments |
$ |
460,062,869 |
Swap Agreements1
Large Cap Core Plus had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||||||
$ |
(1,059,200 |
) |
11/07/16 |
Deutsche Bank AG |
0.25 |
% |
Credit Suisse
130/30 Large Cap Index (short portion) |
$ |
(95,666 |
) |
|||||||||||||||||||||||||||||
156,928,853 |
11/06/15 |
Deutsche Bank AG |
0.25 |
% |
Credit Suisse 130/30 Large Cap Index (long portion) |
10,814,583 |
|||||||||||||||||||||||||||||||||
155,869,653 |
10,718,917 |
$ |
�� |
$ |
(10,718,917 |
) |
$ |
�� |
|||||||||||||||||||||||||||||||
(139,847,142 |
) |
11/07/16 |
Goldman Sachs International |
(0.25 |
)% |
Credit Suisse 130/30 Large Cap Index (short portion) |
97,761 |
�� |
�� |
97,761 |
|||||||||||||||||||||||||||||
(252,006 |
) |
01/06/16 |
Societe Generale |
0.02 |
% |
Credit Suisse
130/30 Large Cap Index (short portion) |
(134,912 |
) |
|||||||||||||||||||||||||||||||
9,353,426 |
01/06/16 |
Societe Generale |
0.38 |
% |
Credit Suisse 130/30 Large Cap Index (long portion) |
911,788 |
|||||||||||||||||||||||||||||||||
9,101,420 |
776,876 |
�� |
(776,876 |
) |
�� |
||||||||||||||||||||||||||||||||||
(6,762,715 |
) |
11/07/16 |
UBS AG |
(0.18 |
)% |
Credit Suisse 130/30 Large Cap Index (short portion) |
(6,735,744 |
) |
|||||||||||||||||||||||||||||||
8,883,980 |
01/06/16 |
UBS AG |
0.53 |
% |
Credit Suisse
130/30 Large Cap Index (long portion) |
8,466,882 |
|||||||||||||||||||||||||||||||||
2,121,265 |
1,731,138 |
(1,731,138 |
) |
�� |
�� |
||||||||||||||||||||||||||||||||||
$ |
27,245,196 |
$ |
13,324,692 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: LARGE CAP CORE PLUS CSM :: 9
Large Cap Core Plus invested, as a percentage of net assets, in the following industries, as of May 31, 2015:
Consumer Discretionary |
12.5 |
% |
|||||
Consumer Staples |
7.5 |
% |
|||||
Energy |
6.0 |
% |
|||||
Financials |
19.2 |
% |
|||||
Health Care |
11.4 |
% |
|||||
Industrials |
10.8 |
% |
|||||
Information Technology |
17.2 |
% |
|||||
Materials |
3.4 |
% |
|||||
Telecommunication Services |
1.3 |
% |
|||||
Utilities |
5.1 |
% |
|||||
Other1 |
5.6 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
10 :: CSM LARGE CAP CORE PLUS :: MAY 31, 2015 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks �� 99.7% |
|||||||||||
Consumer Discretionary �� 11.4% |
|||||||||||
154,122 |
Genuine Parts Co. |
$ |
13,943,417 |
||||||||
325,471 |
Leggett & Platt, Inc. |
15,388,269 |
|||||||||
195,630 |
Lowe's Cos., Inc. |
13,690,187 |
|||||||||
147,973 |
McDonald's Corp. |
14,195,050 |
|||||||||
175,187 |
Target Corp. |
13,895,833 |
|||||||||
194,200 |
VF Corp. |
13,677,506 |
|||||||||
84,790,262 |
|||||||||||
Consumer Staples �� 25.1% |
|||||||||||
297,353 |
Archer-Daniels-Midland Co. |
15,715,106 |
|||||||||
156,593 |
Brown-Forman Corp., Class B |
14,762,022 |
|||||||||
131,560 |
Clorox Co. (The) |
14,163,749 |
|||||||||
350,506 |
Coca-Cola Co. (The) |
14,356,726 |
|||||||||
207,359 |
Colgate-Palmolive Co. |
13,849,508 |
|||||||||
261,540 |
Hormel Foods Corp. |
14,965,319 |
|||||||||
128,500 |
Kimberly-Clark Corp. |
13,988,510 |
|||||||||
188,314 |
McCormick & Co., Inc. (Non-Voting) |
14,782,649 |
|||||||||
149,937 |
PepsiCo, Inc. |
14,458,425 |
|||||||||
177,312 |
Procter & Gamble Co. (The) |
13,899,488 |
|||||||||
378,214 |
Sysco Corp. |
14,054,432 |
|||||||||
165,572 |
Walgreens Boots Alliance, Inc. |
14,212,700 |
|||||||||
181,275 |
Wal-Mart Stores, Inc. |
13,463,294 |
|||||||||
186,671,928 |
|||||||||||
Energy �� 3.7% |
|||||||||||
130,522 |
Chevron Corp. |
13,443,766 |
|||||||||
163,963 |
Exxon Mobil Corp. |
13,969,648 |
|||||||||
27,413,414 |
|||||||||||
Financials �� 13.1% |
|||||||||||
223,676 |
Aflac, Inc. |
13,917,121 |
|||||||||
143,836 |
Chubb Corp. (The) |
14,024,010 |
|||||||||
274,445 |
Cincinnati Financial Corp. |
13,881,428 |
|||||||||
276,662 |
Franklin Resources, Inc. |
14,084,862 |
|||||||||
337,171 |
HCP, Inc. (REIT) |
13,055,261 |
|||||||||
136,358 |
McGraw Hill Financial, Inc. |
14,147,143 |
|||||||||
174,889 |
T. Rowe Price Group, Inc. |
14,111,793 |
|||||||||
97,221,618 |
|||||||||||
Health Care �� 13.4% |
|||||||||||
296,192 |
Abbott Laboratories |
14,394,931 |
|||||||||
223,398 |
AbbVie, Inc. |
14,876,073 |
|||||||||
99,436 |
Becton, Dickinson and Co. |
13,971,752 |
|||||||||
81,440 |
C.R. Bard, Inc. |
13,870,861 |
|||||||||
156,867 |
Cardinal Health, Inc. |
13,830,963 |
|||||||||
142,878 |
Johnson & Johnson |
14,307,803 |
|||||||||
182,842 |
Medtronic PLC |
13,954,502 |
|||||||||
99,206,885 |
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
Industrials �� 15.7% |
|||||||||||
89,897 |
3M Co. |
$ |
14,300,815 |
||||||||
174,383 |
Cintas Corp. |
15,012,633 |
|||||||||
192,973 |
Dover Corp. |
14,550,164 |
|||||||||
246,578 |
Emerson Electric Co. |
14,871,119 |
|||||||||
151,551 |
Illinois Tool Works, Inc. |
14,220,030 |
|||||||||
234,149 |
Pentair PLC |
14,992,561 |
|||||||||
143,866 |
Stanley Black & Decker, Inc. |
14,737,633 |
|||||||||
58,761 |
W.W. Grainger, Inc. |
14,122,031 |
|||||||||
116,806,986 |
|||||||||||
Information Technology �� 1.9% |
|||||||||||
167,357 |
Automatic Data Processing, Inc. |
14,310,697 |
|||||||||
Materials �� 11.5% |
|||||||||||
95,309 |
Air Products & Chemicals, Inc. |
13,987,549 |
|||||||||
123,897 |
Ecolab, Inc. |
14,204,791 |
|||||||||
296,432 |
Nucor Corp. |
14,021,234 |
|||||||||
63,544 |
PPG Industries, Inc. |
14,544,586 |
|||||||||
50,834 |
Sherwin-Williams Co. (The) |
14,649,342 |
|||||||||
103,283 |
Sigma-Aldrich Corp. |
14,387,322 |
|||||||||
85,794,824 |
|||||||||||
Telecommunication Services �� 2.0% |
|||||||||||
419,320 |
AT&T, Inc. |
14,483,313 |
|||||||||
Utilities �� 1.9% |
|||||||||||
231,131 |
Consolidated Edison, Inc. |
14,293,141 |
|||||||||
Total Common Stocks (Cost $707,548,830) |
740,993,068 |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (a) �� 0.1% |
|||||||||||
$ |
973,207 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $973,213 |
973,207 |
||||||||
Total Repurchase
Agreements (Cost $973,207) |
973,207 |
||||||||||
Total Investment Securities (Cost $708,522,037) �� 99.8% |
741,966,275 |
||||||||||
Other assets less liabilities �� 0.2% |
1,134,659 |
||||||||||
Net Assets �� 100.0% |
$ |
743,100,934 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: S&P 500 DIVIDEND ARISTOCRATS ETF NOBL :: 11
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
43,237,331 |
|||||
Aggregate gross unrealized depreciation |
(10,059,526 |
) |
|||||
Net unrealized appreciation |
$ |
33,177,805 |
|||||
Federal income tax cost of investments |
$ |
708,788,470 |
See accompanying notes to the financial statements.
12 :: NOBL S&P 500 DIVIDEND ARISTOCRATS ETF :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks �� 99.7% |
|||||||||||
Consumer Discretionary �� 6.4% |
|||||||||||
2,581 |
John Wiley & Sons, Inc., Class A |
$ |
149,750 |
||||||||
2,814 |
Meredith Corp. |
148,579 |
|||||||||
1,049 |
Polaris Industries, Inc. |
150,059 |
|||||||||
448,388 |
|||||||||||
Consumer Staples �� 6.3% |
|||||||||||
1,835 |
Church & Dwight Co., Inc. |
154,085 |
|||||||||
1,619 |
Lancaster Colony Corp. |
144,480 |
|||||||||
4,772 |
Tootsie Roll Industries, Inc. |
146,691 |
|||||||||
445,256 |
|||||||||||
Financials �� 28.1% |
|||||||||||
4,767 |
Brown & Brown, Inc. |
154,403 |
|||||||||
3,597 |
Commerce Bancshares, Inc./MO |
160,462 |
|||||||||
2,165 |
Cullen/Frost Bankers, Inc. |
158,933 |
|||||||||
3,543 |
Eaton Vance Corp. |
143,846 |
|||||||||
1,097 |
Federal Realty Investment
Trust (REIT) |
147,513 |
|||||||||
2,653 |
HCC Insurance Holdings, Inc. |
151,698 |
|||||||||
2,632 |
Mercury General Corp. |
146,550 |
|||||||||
3,737 |
National Retail Properties, Inc. (REIT) |
140,175 |
|||||||||
10,010 |
Old Republic International Corp. |
154,755 |
|||||||||
1,497 |
RenaissanceRe Holdings Ltd. |
152,859 |
|||||||||
3,326 |
SEI Investments Co. |
159,116 |
|||||||||
2,222 |
StanCorp Financial Group, Inc. |
164,917 |
|||||||||
4,467 |
Tanger Factory Outlet
Centers, Inc. (REIT) |
150,225 |
|||||||||
1,985,452 |
|||||||||||
Health Care �� 2.2% |
|||||||||||
4,610 |
Owens & Minor, Inc. |
153,605 |
|||||||||
Industrials �� 17.2% |
|||||||||||
2,343 |
A. O. Smith Corp. |
167,243 |
|||||||||
1,553 |
Carlisle Cos., Inc. |
153,980 |
|||||||||
2,320 |
CLARCOR, Inc. |
142,935 |
|||||||||
4,099 |
Donaldson Co., Inc. |
146,170 |
|||||||||
2,131 |
Graco, Inc. |
154,689 |
|||||||||
2,274 |
Lincoln Electric Holdings, Inc. |
152,836 |
|||||||||
3,071 |
MSA Safety, Inc. |
137,274 |
|||||||||
1,921 |
Nordson Corp. |
155,428 |
|||||||||
1,210,555 |
|||||||||||
Information Technology �� 4.6% |
|||||||||||
3,148 |
CDK Global, Inc. |
167,757 |
|||||||||
963 |
FactSet Research Systems, Inc. |
159,059 |
|||||||||
326,816 |
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
Materials �� 13.3% |
|||||||||||
2,610 |
Albemarle Corp. |
$ |
156,991 |
||||||||
2,444 |
AptarGroup, Inc. |
155,854 |
|||||||||
3,440 |
Bemis Co., Inc. |
158,034 |
|||||||||
3,162 |
RPM International, Inc. |
158,195 |
|||||||||
3,456 |
Sonoco Products Co. |
155,589 |
|||||||||
1,862 |
Valspar Corp. (The) |
155,402 |
|||||||||
940,065 |
|||||||||||
Telecommunication Services �� 2.4% |
|||||||||||
5,743 |
Telephone & Data Systems, Inc. |
170,510 |
|||||||||
Utilities �� 19.2% |
|||||||||||
5,679 |
Aqua America, Inc. |
149,471 |
|||||||||
2,783 |
Atmos Energy Corp. |
150,338 |
|||||||||
3,036 |
Black Hills Corp. |
145,060 |
|||||||||
6,816 |
MDU Resources Group, Inc. |
142,727 |
|||||||||
2,411 |
National Fuel Gas Co. |
154,907 |
|||||||||
6,378 |
Questar Corp. |
144,781 |
|||||||||
4,366 |
UGI Corp. |
163,288 |
|||||||||
3,469 |
Vectren Corp. |
147,675 |
|||||||||
2,715 |
WGL Holdings, Inc. |
156,221 |
|||||||||
1,354,468 |
|||||||||||
Total Common
Stocks (Cost $6,985,227) |
7,035,115 |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (a) �� 0.3% |
|||||||||||
$ |
23,280 |
Repurchase Agreements with
various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $23,280 |
23,280 |
||||||||
Total Repurchase Agreements (Cost $23,280) |
23,280 |
||||||||||
Total Investment
Securities (Cost $7,008,507) �� 100.0% |
7,058,395 |
||||||||||
Liabilities in excess of other assets �� 0.0% |
(2,120 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
7,056,275 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: S&P MIDCAP 400 DIVIDEND ARISTOCRATS ETF REGL :: 13
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
204,594 |
|||||
Aggregate gross unrealized depreciation |
(156,390 |
) |
|||||
Net unrealized appreciation |
$ |
48,204 |
|||||
Federal income tax cost of investments |
$ |
7,010,191 |
See accompanying notes to the financial statements.
14 :: REGL S&P MIDCAP 400 DIVIDEND ARISTOCRATS ETF :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks �� 99.6% |
|||||||||||
Consumer Discretionary �� 3.5% |
|||||||||||
596 |
Cracker Barrel Old Country
Store, Inc. |
$ |
84,084 |
||||||||
1,664 |
Meredith Corp. |
87,859 |
|||||||||
171,943 |
|||||||||||
Consumer Staples �� 15.2% |
|||||||||||
2,303 |
Andersons, Inc. (The) |
102,115 |
|||||||||
1,760 |
Calavo Growers, Inc. |
88,792 |
|||||||||
1,040 |
Casey's General Stores, Inc. |
90,678 |
|||||||||
878 |
J&J Snack Foods Corp. |
94,648 |
|||||||||
983 |
Lancaster Colony Corp. |
87,723 |
|||||||||
2,727 |
Tootsie Roll Industries, Inc. |
83,828 |
|||||||||
2,017 |
Universal Corp. |
103,855 |
|||||||||
4,302 |
Vector Group Ltd. |
95,117 |
|||||||||
746,756 |
|||||||||||
Energy �� 2.4% |
|||||||||||
2,798 |
CARBO Ceramics, Inc. |
119,335 |
|||||||||
Financials �� 21.2% |
|||||||||||
3,153 |
American Equity Investment
Life Holding Co. |
80,118 |
|||||||||
2,576 |
Community Bank System, Inc. |
90,958 |
|||||||||
1,137 |
Infinity Property & Casualty Corp. |
82,262 |
|||||||||
1,282 |
National Health Investors, Inc. (REIT) |
84,791 |
|||||||||
1,748 |
Prosperity Bancshares, Inc. |
93,640 |
|||||||||
1,749 |
RLI Corp. |
85,124 |
|||||||||
3,310 |
Southside Bancshares, Inc. |
88,873 |
|||||||||
1,768 |
UMB Financial Corp. |
91,565 |
|||||||||
2,408 |
United Bankshares, Inc./WV |
91,167 |
|||||||||
1,694 |
Universal Health Realty Income Trust (REIT) |
81,143 |
|||||||||
3,942 |
Urstadt Biddle Properties,
Inc., Class A (REIT) |
79,313 |
|||||||||
2,089 |
Westamerica Bancorp. |
95,593 |
|||||||||
1,044,547 |
|||||||||||
Health Care �� 3.6% |
|||||||||||
2,682 |
Owens & Minor, Inc. |
89,364 |
|||||||||
1,618 |
West Pharmaceutical Services, Inc. |
87,599 |
|||||||||
176,963 |
|||||||||||
Industrials �� 18.8% |
|||||||||||
2,881 |
ABM Industries, Inc. |
93,460 |
|||||||||
3,301 |
Brady Corp., Class A |
83,515 |
|||||||||
1,386 |
CLARCOR, Inc. |
85,391 |
|||||||||
2,328 |
Franklin Electric Co., Inc. |
81,922 |
|||||||||
3,118 |
Gorman-Rupp Co. (The) |
87,397 |
|||||||||
2,733 |
Healthcare Services Group, Inc. |
82,564 |
|||||||||
1,103 |
Lindsay Corp. |
88,836 |
|||||||||
1,804 |
Matthews International Corp., Class A |
89,569 |
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
1,823 |
MSA Safety, Inc. |
$ |
81,488 |
||||||||
4,419 |
Raven Industries, Inc. |
85,110 |
|||||||||
1,111 |
VSE Corp. |
69,360 |
|||||||||
928,612 |
|||||||||||
Information Technology �� 3.8% |
|||||||||||
1,554 |
Badger Meter, Inc. |
100,264 |
|||||||||
1,793 |
Cass Information Systems, Inc. |
89,399 |
|||||||||
189,663 |
|||||||||||
Materials �� 6.0% |
|||||||||||
2,115 |
H.B. Fuller Co. |
89,063 |
|||||||||
5,222 |
Myers Industries, Inc. |
90,288 |
|||||||||
2,256 |
Stepan Co. |
116,094 |
|||||||||
295,445 |
|||||||||||
Telecommunication Services �� 1.8% |
|||||||||||
1,340 |
Atlantic Tele-Network, Inc. |
89,847 |
|||||||||
Utilities �� 23.3% |
|||||||||||
2,229 |
American States Water Co. |
85,661 |
|||||||||
2,685 |
Avista Corp. |
85,920 |
|||||||||
1,766 |
Black Hills Corp. |
84,380 |
|||||||||
3,602 |
California Water Service Group |
86,052 |
|||||||||
1,834 |
Chesapeake Utilities Corp. |
96,523 |
|||||||||
1,763 |
Laclede Group, Inc. (The) |
94,338 |
|||||||||
2,097 |
MGE Energy, Inc. |
81,217 |
|||||||||
2,921 |
New Jersey Resources Corp. |
87,834 |
|||||||||
1,921 |
Northwest Natural Gas Co. |
85,869 |
|||||||||
1,698 |
NorthWestern Corp. |
88,330 |
|||||||||
2,428 |
Piedmont Natural Gas Co., Inc. |
90,540 |
|||||||||
3,293 |
South Jersey Industries, Inc. |
86,902 |
|||||||||
1,613 |
WGL Holdings, Inc. |
92,812 |
|||||||||
1,146,378 |
|||||||||||
Total Common Stocks (Cost $5,001,259) |
4,909,489 |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (a) �� 0.6% |
|||||||||||
$ |
31,121 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $31,121 |
31,121 |
||||||||
Total Repurchase Agreements
(Cost $31,121) |
31,121 |
||||||||||
Total Investment Securities (Cost $5,032,380) �� 100.2% |
4,940,610 |
||||||||||
Liabilities in excess of
other assets �� (0.2%) |
(11,902 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
4,928,708 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: RUSSELL 2000 DIVIDEND GROWERS ETF SMDV :: 15
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
107,544 |
|||||
Aggregate gross unrealized depreciation |
(199,445 |
) |
|||||
Net unrealized depreciation |
$ |
(91,901 |
) |
||||
Federal income tax cost of investments |
$ |
5,032,511 |
See accompanying notes to the financial statements.
16 :: SMDV RUSSELL 2000 DIVIDEND GROWERS ETF :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks �� 99.6% |
|||||||||||
Aerospace & Defense �� 3.7% |
|||||||||||
28,963 |
BAE Systems PLC |
$ |
227,610 |
||||||||
48,545 |
Cobham PLC |
219,046 |
|||||||||
446,656 |
|||||||||||
Beverages �� 1.9% |
|||||||||||
8,001 |
Diageo PLC |
221,657 |
|||||||||
Capital Markets �� 1.9% |
|||||||||||
32,623 |
Aberdeen Asset Management PLC |
222,322 |
|||||||||
Chemicals �� 5.8% |
|||||||||||
5,184 |
Croda International PLC |
231,383 |
|||||||||
5,207 |
Fuchs Petrolub SE (Preference) |
228,005 |
|||||||||
4,837 |
Novozymes A/S, Class B |
232,229 |
|||||||||
691,617 |
|||||||||||
Commercial Services & Supplies �� 3.9% |
|||||||||||
9,089 |
Aggreko PLC |
223,019 |
|||||||||
13,506 |
Babcock International Group PLC |
231,857 |
|||||||||
454,876 |
|||||||||||
Diversified Financial Services �� 3.7% |
|||||||||||
2,639 |
Groupe Bruxelles Lambert S.A. |
219,107 |
|||||||||
40,706 |
Mitsubishi UFJ Lease &
Finance Co. Ltd. |
214,855 |
|||||||||
433,962 |
|||||||||||
Electric Utilities �� 5.8% |
|||||||||||
28,231 |
Cheung Kong Infrastructure Holdings Ltd. |
233,087 |
|||||||||
2,550 |
Red Electrica Corp. S.A. |
214,094 |
|||||||||
9,204 |
SSE PLC |
233,847 |
|||||||||
681,028 |
|||||||||||
Energy Equipment & Services �� 2.0% |
|||||||||||
15,993 |
Amec Foster Wheeler PLC |
231,843 |
|||||||||
Food & Staples Retailing �� 3.6% |
|||||||||||
5,189 |
FamilyMart Co. Ltd. |
218,273 |
|||||||||
10,031 |
Woolworths Ltd. |
214,990 |
|||||||||
433,263 |
|||||||||||
Food Products �� 9.8% |
|||||||||||
5,004 |
Associated British Foods PLC |
231,214 |
|||||||||
4 |
Chocoladefabriken Lindt & Sprungli AG |
250,616 |
|||||||||
42 |
Chocoladefabriken Lindt
& Sprungli AG, Class PC |
220,919 |
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
3,106 |
Kerry Group PLC, Class A |
$ |
231,558 |
||||||||
2,850 |
Nestle S.A. |
220,242 |
|||||||||
1,154,549 |
|||||||||||
Gas Utilities �� 1.8% |
|||||||||||
7,637 |
Enagas S.A. |
219,242 |
|||||||||
Health Care Equipment & Supplies �� 4.0% |
|||||||||||
3,638 |
Cochlear Ltd. |
246,586 |
|||||||||
2,903 |
Coloplast A/S, Class B |
218,854 |
|||||||||
465,440 |
|||||||||||
Health Care Providers & Services �� 7.6% |
|||||||||||
2,732 |
Fresenius Medical Care AG & Co. KGaA |
232,969 |
|||||||||
4,739 |
Miraca Holdings, Inc. |
229,131 |
|||||||||
4,534 |
Ramsay Health Care Ltd. |
220,449 |
|||||||||
38,327 |
Ryman Healthcare Ltd. |
217,900 |
|||||||||
900,449 |
|||||||||||
Hotels, Restaurants & Leisure �� 1.9% |
|||||||||||
12,902 |
Compass Group PLC |
225,228 |
|||||||||
Machinery �� 2.0% |
|||||||||||
7,669 |
Weir Group PLC (The) |
236,859 |
|||||||||
Media �� 7.7% |
|||||||||||
11,046 |
Pearson PLC |
220,303 |
|||||||||
6,404 |
SES S.A. (FDR) |
226,358 |
|||||||||
14,302 |
Sky PLC |
230,245 |
|||||||||
9,851 |
WPP PLC |
231,495 |
|||||||||
908,401 |
|||||||||||
Metals & Mining �� 1.9% |
|||||||||||
10,531 |
BHP Billiton PLC |
221,683 |
|||||||||
Multiline Retail �� 1.9% |
|||||||||||
1,986 |
Next PLC |
227,896 |
|||||||||
Multi-Utilities �� 1.9% |
|||||||||||
52,318 |
Centrica PLC |
221,621 |
|||||||||
Oil, Gas & Consumable Fuels �� 3.6% |
|||||||||||
12,406 |
BG Group PLC |
215,245 |
|||||||||
11,286 |
Statoil ASA |
211,023 |
|||||||||
426,268 |
|||||||||||
Pharmaceuticals �� 9.8% |
|||||||||||
2,162 |
Novartis AG |
221,162 |
|||||||||
4,234 |
Novo Nordisk A/S, Class B |
236,007 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: MSCI EAFE DIVIDEND GROWERS ETF EFAD :: 17
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
811 |
Roche Holding AG |
$ |
237,449 |
||||||||
2,763 |
Shire PLC |
237,583 |
|||||||||
3,731 |
Teva Pharmaceutical Industries Ltd. |
226,399 |
|||||||||
1,158,600 |
|||||||||||
Professional Services �� 3.7% |
|||||||||||
12,210 |
Capita PLC |
233,271 |
|||||||||
5,306 |
Intertek Group PLC |
202,498 |
|||||||||
435,769 |
|||||||||||
Semiconductors & Semiconductor
Equipment �� 2.0% |
|||||||||||
13,349 |
ARM Holdings PLC |
235,273 |
|||||||||
Specialty Retail �� 2.1% |
|||||||||||
2,281 |
Shimamura Co. Ltd. |
246,123 |
|||||||||
Tobacco �� 1.9% |
|||||||||||
4,067 |
British American Tobacco PLC |
223,759 |
|||||||||
Trading Companies & Distributors �� 1.9% |
|||||||||||
7,631 |
Bunzl PLC |
220,780 |
|||||||||
Transportation Infrastructure �� 1.8% |
|||||||||||
12,181 |
Abertis Infraestructuras S.A. |
213,608 |
|||||||||
Total Common Stocks (Cost $11,841,020) |
11,758,772 |
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) �� 0.5% |
|||||||||||
$ |
62,053 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $62,053 |
$ |
62,053 |
|||||||
Total Repurchase
Agreements (Cost $62,053) |
62,053 |
||||||||||
Total Investment Securities (Cost $11,903,073) �� 100.1% |
11,820,825 |
||||||||||
Liabilities in excess of
other assets �� (0.1%) |
(12,716 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
11,808,109 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
FDR Finnish Depositary Receipt
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
238,732 |
|||||
Aggregate gross unrealized depreciation |
(323,619 |
) |
|||||
Net unrealized depreciation |
$ |
(84,887 |
) |
||||
Federal income tax cost of investments |
$ |
11,905,712 |
MSCI EAFE Dividend Growers ETF invested, as a percentage of net assets, in the following countries as of May 31, 2015:
United Kingdom |
44.0 |
% |
|||||
Switzerland |
9.8 |
% |
|||||
Australia 7.7% Japan 7.6% Denmark |
5.9 |
% |
|||||
Spain |
5.4 |
% |
|||||
Ireland |
4.0 |
% |
|||||
Germany |
3.9 |
% |
|||||
Hong Kong |
2.0 |
% |
|||||
Belgium |
1.9 |
% |
|||||
Israel |
1.9 |
% |
|||||
Luxembourg |
1.9 |
% |
|||||
New Zealand |
1.8 |
% |
|||||
Norway |
1.8 |
% |
|||||
Other1 |
0.4 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
18 :: EFAD MSCI EAFE DIVIDEND GROWERS ETF :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Corporate Bonds �� 96.0% |
|||||||||||
Aerospace & Defense �� 2.7% |
|||||||||||
Bombardier, Inc. |
|||||||||||
$ |
863,000 |
6.13%, due 01/15/23 (a) |
$ |
785,330 |
|||||||
438,000 |
7.50%, due 03/15/25 (a) |
418,837 |
|||||||||
KLX, Inc. |
|||||||||||
640,000 |
5.88%, due 12/01/22 (a) |
648,000 |
|||||||||
TransDigm, Inc. |
|||||||||||
1,114,000 |
6.00%, due 07/15/22 |
1,129,318 |
|||||||||
450,000 |
6.50%, due 07/15/24 |
459,000 |
|||||||||
3,440,485 |
|||||||||||
Auto Components �� 0.4% |
|||||||||||
Goodyear Tire & Rubber Co. (The) |
|||||||||||
494,000 |
8.25%, due 08/15/20 |
519,318 |
|||||||||
Automobiles �� 0.6% |
|||||||||||
FCA US LLC/CG Co-Issuer, Inc. |
|||||||||||
747,000 |
8.25%, due 06/15/21 |
825,062 |
|||||||||
Banks �� 2.1% |
|||||||||||
CIT Group, Inc. |
|||||||||||
1,063,000 |
4.25%, due 08/15/17 |
1,086,918 |
|||||||||
1,576,000 |
5.50%, due 02/15/19 (a) |
1,664,650 |
|||||||||
2,751,568 |
|||||||||||
Beverages �� 0.7% |
|||||||||||
Constellation Brands, Inc. |
|||||||||||
849,000 |
4.25%, due 05/01/23 |
857,490 |
|||||||||
Building Products �� 1.0% |
|||||||||||
Building Materials Corp. of
America |
|||||||||||
332,000 |
6.75%, due 05/01/21 (a) |
351,505 |
|||||||||
979,000 |
5.38%, due 11/15/24 (a) |
986,949 |
|||||||||
1,338,454 |
|||||||||||
Capital Markets �� 0.8% |
|||||||||||
ARC Properties Operating Partnership LP |
|||||||||||
1,057,000 |
2.00%, due 02/06/17 |
1,033,218 |
|||||||||
Chemicals �� 2.9% |
|||||||||||
Ashland, Inc. |
|||||||||||
1,096,000 |
4.75%, due 08/15/22 |
1,117,920 |
|||||||||
Gates Global LLC/Gates Global Co. |
|||||||||||
416,000 |
6.00%, due 07/15/22 (a) |
383,760 |
|||||||||
Hexion, Inc. |
|||||||||||
1,370,000 |
6.63%, due 04/15/20 |
1,291,225 |
|||||||||
Momentive Performance
Materials, Inc. |
|||||||||||
509,000 |
3.88%, due 10/24/21 |
458,736 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Platform Specialty Products Corp. |
|||||||||||
$ |
453,000 |
6.50%, due 02/01/22 (a) |
$ |
475,650 |
|||||||
3,727,291 |
|||||||||||
Commercial Services & Supplies �� 2.7% |
|||||||||||
ADT Corp. (The) |
|||||||||||
861,000 |
3.50%, due 07/15/22 |
791,948 |
|||||||||
Aramark Services, Inc. |
|||||||||||
1,009,000 |
5.75%, due 03/15/20 |
1,053,144 |
|||||||||
Laureate Education, Inc. |
|||||||||||
785,000 |
10.00%, due 09/01/19 (a) |
759,487 |
|||||||||
West Corp. |
|||||||||||
900,000 |
5.38%, due 07/15/22 (a) |
873,000 |
|||||||||
3,477,579 |
|||||||||||
Communications Equipment �� 1.9% |
|||||||||||
Alcatel-Lucent USA, Inc. |
|||||||||||
477,000 |
6.75%, due 11/15/20 (a) |
505,620 |
|||||||||
Avaya, Inc. |
|||||||||||
2,263,000 |
10.50%, due 03/01/21 (a) |
1,934,865 |
|||||||||
2,440,485 |
|||||||||||
Consumer Finance �� 0.9% |
|||||||||||
Navient Corp. |
|||||||||||
1,102,000 |
5.50%, due 01/15/19 |
1,143,325 |
|||||||||
Containers & Packaging �� 2.7% |
|||||||||||
Ball Corp. |
|||||||||||
453,000 |
4.00%, due 11/15/23 |
436,579 |
|||||||||
Crown Americas LLC/Crown
Americas Capital Corp. IV |
|||||||||||
541,000 |
4.50%, due 01/15/23 |
534,237 |
|||||||||
Reynolds Group Issuer,
Inc./ Reynolds Group Issuer LLC/ Reynolds Group Issuer Lu |
|||||||||||
773,000 |
9.88%, due 08/15/19 |
819,380 |
|||||||||
1,574,000 |
5.75%, due 10/15/20 |
1,638,928 |
|||||||||
3,429,124 |
|||||||||||
Diversified Financial Services �� 0.7% |
|||||||||||
Argos Merger Sub, Inc. |
|||||||||||
878,000 |
7.13%, due 03/15/23 (a) |
930,680 |
|||||||||
Diversified Telecommunication
Services �� 2.5% |
|||||||||||
CenturyLink, Inc. |
|||||||||||
1,117,000 |
6.45%, due 06/15/21 |
1,191,001 |
|||||||||
300,000 |
5.80%, due 03/15/22 |
307,500 |
|||||||||
Hughes Satellite Systems Corp. |
|||||||||||
443,000 |
6.50%, due 06/15/19 |
487,300 |
|||||||||
Virgin Media Secured Finance PLC |
|||||||||||
360,000 |
5.38%, due 04/15/21 (a) |
377,100 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: HIGH YIELD��INTEREST RATE HEDGED HYHG :: 19
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Zayo Group LLC/Zayo Capital, Inc. |
|||||||||||
$ |
800,000 |
6.00%, due 04/01/23 (a) |
$ |
805,592 |
|||||||
3,168,493 |
|||||||||||
Electronic Equipment,
Instruments & Components �� 0.3% |
|||||||||||
Zebra Technologies Corp. |
|||||||||||
394,000 |
7.25%, due 10/15/22 (a) |
427,490 |
|||||||||
Food Products �� 2.8% |
|||||||||||
HJ Heinz Co. |
|||||||||||
2,164,000 |
4.25%, due 10/15/20 |
2,215,395 |
|||||||||
334,000 |
4.88%, due 02/15/25 (a) |
359,885 |
|||||||||
Post Holdings, Inc. |
|||||||||||
994,000 |
7.38%, due 02/15/22 |
1,017,190 |
|||||||||
3,592,470 |
|||||||||||
Gas Utilities �� 2.0% |
|||||||||||
Sabine Pass Liquefaction LLC |
|||||||||||
1,547,000 |
5.75%, due 05/15/24 |
1,572,139 |
|||||||||
1,000,000 |
5.63%, due 03/01/25 (a) |
1,000,000 |
|||||||||
2,572,139 |
|||||||||||
Health Care Equipment & Supplies �� 1.2% |
|||||||||||
Biomet, Inc. |
|||||||||||
657,000 |
6.50%, due 08/01/20 |
694,777 |
|||||||||
Hologic, Inc. |
|||||||||||
814,000 |
6.25%, due 08/01/20 |
843,508 |
|||||||||
1,538,285 |
|||||||||||
Health Care Providers & Services �� 9.8% |
|||||||||||
Amsurg Corp. |
|||||||||||
680,000 |
5.63%, due 07/15/22 |
696,150 |
|||||||||
CHS/Community Health
Systems, Inc. |
|||||||||||
1,582,000 |
8.00%, due 11/15/19 |
1,680,875 |
|||||||||
633,000 |
6.88%, due 02/01/22 |
675,734 |
|||||||||
Crimson Merger Sub, Inc. |
|||||||||||
724,000 |
6.63%, due 05/15/22 (a) |
636,215 |
|||||||||
DaVita HealthCare Partners, Inc. |
|||||||||||
1,665,000 |
5.13%, due 07/15/24 |
1,682,691 |
|||||||||
HCA Holdings, Inc. |
|||||||||||
756,000 |
7.75%, due 05/15/21 |
808,935 |
|||||||||
HCA, Inc. |
|||||||||||
1,060,000 |
7.50%, due 02/15/22 |
1,240,200 |
|||||||||
Kinetic Concepts, Inc./KCI USA Inc. |
|||||||||||
641,000 |
10.50%, due 11/01/18 |
689,395 |
|||||||||
LifePoint Health, Inc. |
|||||||||||
992,000 |
5.50%, due 12/01/21 |
1,042,840 |
|||||||||
MPH Acquisition Holdings LLC |
|||||||||||
926,000 |
6.63%, due 04/01/22 (a) |
979,245 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Tenet Healthcare Corp. |
|||||||||||
$ |
796,000 |
6.00%, due 10/01/20 |
$ |
851,720 |
|||||||
1,456,000 |
8.13%, due 04/01/22 |
1,587,040 |
|||||||||
12,571,040 |
|||||||||||
Hotels, Restaurants & Leisure �� 5.3% |
|||||||||||
1011778 BC ULC/New Red
Finance, Inc. |
|||||||||||
1,100,000 |
6.00%, due 04/01/22 (a) |
1,140,700 |
|||||||||
Hilton Worldwide Finance
LLC/ Hilton Worldwide Finance Corp. |
|||||||||||
1,621,000 |
5.63%, due 10/15/21 |
1,708,129 |
|||||||||
MGM Resorts International |
|||||||||||
746,000 |
6.63%, due 12/15/21 |
801,950 |
|||||||||
1,000,000 |
6.00%, due 03/15/23 |
1,036,250 |
|||||||||
Pinnacle Entertainment, Inc. |
|||||||||||
713,000 |
7.50%, due 04/15/21 |
756,671 |
|||||||||
Scientific Games International, Inc. |
|||||||||||
1,425,000 |
10.00%, due 12/01/22 |
1,378,687 |
|||||||||
6,822,387 |
|||||||||||
Independent Power and
Renewable Electricity Producers �� 3.6% |
|||||||||||
Calpine Corp. |
|||||||||||
570,000 |
5.38%, due 01/15/23 |
572,850 |
|||||||||
844,000 |
5.75%, due 01/15/25 |
849,275 |
|||||||||
Dynegy, Inc. |
|||||||||||
640,000 |
6.75%, due 11/01/19 (a) |
676,800 |
|||||||||
1,400,000 |
7.38%, due 11/01/22 (a) |
1,491,000 |
|||||||||
NRG Energy, Inc. |
|||||||||||
510,000 |
7.63%, due 01/15/18 |
568,395 |
|||||||||
481,000 |
7.88%, due 05/15/21 |
515,271 |
|||||||||
4,673,591 |
|||||||||||
Insurance �� 0.6% |
|||||||||||
HUB International Ltd. |
|||||||||||
720,000 |
7.88%, due 10/01/21 (a) |
743,400 |
|||||||||
Internet Software & Services �� 0.3% |
|||||||||||
Equinix, Inc. |
|||||||||||
400,000 |
5.38%, due 04/01/23 |
412,000 |
|||||||||
IT Services �� 2.3% |
|||||||||||
First Data Corp. |
|||||||||||
1,165,000 |
12.63%, due 01/15/21 |
1,364,506 |
|||||||||
820,000 |
11.75%, due 08/15/21 |
937,875 |
|||||||||
SunGard Data Systems, Inc. |
|||||||||||
628,000 |
6.63%, due 11/01/19 |
655,475 |
|||||||||
2,957,856 |
See accompanying notes to the financial statements.
20 :: HYHG HIGH YIELD��INTEREST RATE HEDGED :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Machinery �� 0.2% |
|||||||||||
Case New Holland Industrial, Inc. |
|||||||||||
$ |
260,000 |
7.88%, due 12/01/17 |
$ |
287,625 |
|||||||
Media �� 8.0% |
|||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp. |
|||||||||||
1,174,000 |
6.38%, due 09/15/20 (a) |
1,197,480 |
|||||||||
Clear Channel Worldwide Holdings, Inc. |
|||||||||||
976,000 |
7.63%, due 03/15/20 |
1,032,120 |
|||||||||
1,128,000 |
6.50%, due 11/15/22 |
1,194,270 |
|||||||||
CSC Holdings LLC |
|||||||||||
592,000 |
6.75%, due 11/15/21 |
644,540 |
|||||||||
DISH DBS Corp. |
|||||||||||
1,380,000 |
6.75%, due 06/01/21 |
1,474,012 |
|||||||||
1,052,000 |
5.88%, due 11/15/24 |
1,054,630 |
|||||||||
Nielsen Finance LLC/Nielsen Finance Co. |
|||||||||||
700,000 |
5.00%, due 04/15/22 (a) |
702,625 |
|||||||||
Sirius XM Radio, Inc. |
|||||||||||
1,008,000 |
6.00%, due 07/15/24 (a) |
1,046,002 |
|||||||||
1,000,000 |
5.38%, due 04/15/25 (a) |
1,001,500 |
|||||||||
Univision Communications, Inc. |
|||||||||||
878,000 |
6.75%, due 09/15/22 (a) |
950,435 |
|||||||||
10,297,614 |
|||||||||||
Metals & Mining �� 2.6% |
|||||||||||
First Quantum Minerals Ltd. |
|||||||||||
649,000 |
6.75%, due 02/15/20 (a) |
634,397 |
|||||||||
655,000 |
8.75%, due 06/01/20 (a)(c) |
714,769 |
|||||||||
505,000 |
7.00%, due 02/15/21 (a) |
489,219 |
|||||||||
Novelis, Inc. |
|||||||||||
1,210,000 |
8.38%, due 12/15/17 |
1,265,963 |
|||||||||
184,000 |
8.75%, due 12/15/20 |
196,017 |
|||||||||
3,300,365 |
|||||||||||
Oil, Gas & Consumable Fuels �� 15.1% |
|||||||||||
Antero Resources Corp. |
|||||||||||
851,000 |
5.38%, due 11/01/21 |
861,637 |
|||||||||
300,000 |
5.13%, due 12/01/22 |
299,250 |
|||||||||
Arch Coal, Inc. |
|||||||||||
814,000 |
7.00%, due 06/15/19 |
146,520 |
|||||||||
416,000 |
7.25%, due 06/15/21 |
72,800 |
|||||||||
California Resources Corp. |
|||||||||||
688,000 |
5.50%, due 09/15/21 |
651,880 |
|||||||||
1,429,000 |
6.00%, due 11/15/24 |
1,314,680 |
|||||||||
Chesapeake Energy Corp. |
|||||||||||
1,074,000 |
4.88%, due 04/15/22 |
1,022,985 |
|||||||||
Citgo Holding, Inc. |
|||||||||||
700,000 |
10.75%, due 02/15/20 (a) |
732,375 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Concho Resources, Inc. |
|||||||||||
$ |
476,000 |
5.50%, due 04/01/23 |
$ |
483,140 |
|||||||
CONSOL Energy, Inc. |
|||||||||||
1,311,000 |
5.88%, due 04/15/22 |
1,222,507 |
|||||||||
Denbury Resources, Inc. |
|||||||||||
440,000 |
5.50%, due 05/01/22 |
419,925 |
|||||||||
1,044,000 |
4.63%, due 07/15/23 |
952,650 |
|||||||||
Energy Transfer Equity LP |
|||||||||||
286,000 |
7.50%, due 10/15/20 |
326,755 |
|||||||||
337,000 |
5.88%, due 01/15/24 |
358,062 |
|||||||||
Energy XXI Gulf Coast, Inc. |
|||||||||||
700,000 |
11.00%, due 03/15/20 (a) |
640,500 |
|||||||||
EP Energy LLC/Everest Acquisition Finance, Inc. |
|||||||||||
890,000 |
9.38%, due 05/01/20 |
966,762 |
|||||||||
Linn Energy LLC/Linn Energy Finance Corp. |
|||||||||||
100,000 |
6.25%, due 11/01/19 |
85,500 |
|||||||||
1,744,000 |
8.63%, due 04/15/20 |
1,577,230 |
|||||||||
MarkWest Energy Partners
LP/ MarkWest Energy Finance Corp. |
|||||||||||
210,000 |
4.50%, due 07/15/23 |
207,375 |
|||||||||
1,000,000 |
4.88%, due 12/01/24 |
1,010,000 |
|||||||||
MEG Energy Corp. |
|||||||||||
809,000 |
7.00%, due 03/31/24 (a) |
780,685 |
|||||||||
Oasis Petroleum, Inc. |
|||||||||||
631,000 |
6.88%, due 03/15/22 |
645,198 |
|||||||||
Offshore Group Investment Ltd. |
|||||||||||
435,000 |
7.50%, due 11/01/19 |
314,288 |
|||||||||
Pacific Rubiales Energy Corp. |
|||||||||||
945,000 |
5.38%, due 01/26/19 (a) |
854,044 |
|||||||||
Peabody Energy Corp. |
|||||||||||
1,095,000 |
6.00%, due 11/15/18 |
777,450 |
|||||||||
465,000 |
6.25%, due 11/15/21 |
229,013 |
|||||||||
Targa Resources Partners
LP/ Targa Resources Partners Finance Corp. |
|||||||||||
244,000 |
5.00%, due 01/15/18 (a) |
251,930 |
|||||||||
Whiting Petroleum Corp. |
|||||||||||
1,035,000 |
5.00%, due 03/15/19 |
1,035,000 |
|||||||||
350,000 |
5.75%, due 03/15/21 |
356,125 |
|||||||||
WPX Energy, Inc. |
|||||||||||
820,000 |
6.00%, due 01/15/22 |
826,150 |
|||||||||
19,422,416 |
|||||||||||
Pharmaceuticals �� 2.5% |
|||||||||||
Endo Finance LLC/Endo Ltd./ Endo Finco, Inc. |
|||||||||||
675,000 |
6.00%, due 02/01/25 (a) |
683,437 |
|||||||||
Valeant Pharmaceuticals International, Inc. |
|||||||||||
1,467,000 |
5.88%, due 05/15/23 (a) |
1,520,179 |
|||||||||
1,000,000 |
6.13%, due 04/15/25 (a) |
1,040,000 |
|||||||||
3,243,616 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: HIGH YIELD��INTEREST RATE HEDGED HYHG :: 21
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Real Estate Investment Trusts (REITs) �� 1.3% |
|||||||||||
Crown Castle International Corp. |
|||||||||||
$ |
969,000 |
5.25%, due 01/15/23 |
$ |
1,021,568 |
|||||||
Iron Mountain, Inc. |
|||||||||||
624,000 |
5.75%, due 08/15/24 |
639,600 |
|||||||||
1,661,168 |
|||||||||||
Road & Rail �� 0.7% |
|||||||||||
Hertz Corp. (The) |
|||||||||||
857,000 |
6.75%, due 04/15/19 |
886,995 |
|||||||||
Semiconductors &
Semiconductor Equipment �� 1.4% |
|||||||||||
Micron Technology, Inc. |
|||||||||||
1,850,000 |
5.50%, due 02/01/25 (a) |
1,835,940 |
|||||||||
Software �� 3.8% |
|||||||||||
Activision Blizzard, Inc. |
|||||||||||
1,402,000 |
5.63%, due 09/15/21 (a) |
1,498,387 |
|||||||||
Audatex North America, Inc. |
|||||||||||
880,000 |
6.00%, due 06/15/21 (a) |
918,315 |
|||||||||
BMC Software Finance, Inc. |
|||||||||||
850,000 |
8.13%, due 07/15/21 (a) |
768,188 |
|||||||||
Infor US, Inc. |
|||||||||||
889,000 |
6.50%, due 05/15/22 (a) |
923,582 |
|||||||||
Nuance Communications, Inc. |
|||||||||||
700,000 |
5.38%, due 08/15/20 (a) |
706,125 |
|||||||||
4,814,597 |
|||||||||||
Specialty Retail �� 2.6% |
|||||||||||
Claire's Stores, Inc. |
|||||||||||
400,000 |
9.00%, due 03/15/19 (a) |
355,000 |
|||||||||
Family Tree Escrow LLC |
|||||||||||
1,209,000 |
5.75%, due 03/01/23 (a) |
1,275,495 |
|||||||||
L Brands, Inc. |
|||||||||||
610,000 |
6.63%, due 04/01/21 |
689,300 |
|||||||||
915,000 |
5.63%, due 02/15/22 |
995,063 |
|||||||||
3,314,858 |
|||||||||||
Trading Companies & Distributors �� 3.5% |
|||||||||||
HD Supply, Inc. |
|||||||||||
1,151,000 |
7.50%, due 07/15/20 |
1,244,519 |
|||||||||
International Lease Finance Corp. |
|||||||||||
1,413,000 |
8.75%, due 03/15/17 |
1,561,365 |
|||||||||
635,000 |
6.25%, due 05/15/19 |
704,850 |
|||||||||
United Rentals North America, Inc. |
|||||||||||
861,000 |
7.63%, due 04/15/22 |
940,642 |
|||||||||
4,451,376 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Wireless Telecommunication Services �� 3.5% |
|||||||||||
Sprint Communications, Inc. |
|||||||||||
$ |
334,000 |
9.00%, due 11/15/18 (a) |
$ |
382,847 |
|||||||
Sprint Corp. |
|||||||||||
1,671,000 |
7.88%, due 09/15/23 |
1,699,240 |
|||||||||
T-Mobile USA, Inc. |
|||||||||||
1,194,000 |
6.25%, due 04/01/21 |
1,259,670 |
|||||||||
1,042,000 |
6.63%, due 04/01/23 |
1,096,705 |
|||||||||
4,438,462 |
|||||||||||
Total Corporate
Bonds (Cost $125,863,743) |
123,348,262 |
||||||||||
Repurchase Agreements (b) �� 2.8% |
|||||||||||
3,569,719 |
Repurchase Agreements with
various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $3,569,741 |
3,569,719 |
|||||||||
Total Repurchase Agreements (Cost $3,569,719) |
3,569,719 |
||||||||||
Total Investment
Securities (Cost $129,433,462) �� 98.8% |
126,917,981 |
||||||||||
Other assets less liabilities �� 1.2% |
1,569,712 |
||||||||||
Net Assets �� 100.0% |
$ |
128,487,693 |
(a) Security is not registered for public sale, but may be sold to qualified institutional buyers under Rule 144A under the Securities Act of 1933. Unless otherwise noted, these securities are deemed to be liquid.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
(c) Security has been deemed to be illiquid as of May 31, 2015.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
944,648 |
|||||
Aggregate gross unrealized depreciation |
(3,467,809 |
) |
|||||
Net unrealized depreciation |
$ |
(2,523,161 |
) |
||||
Federal income tax cost of investments |
$ |
129,441,142 |
See accompanying notes to the financial statements.
22 :: HYHG HIGH YIELD��INTEREST RATE HEDGED :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Futures Contracts Sold
High Yield-Interest Rate Hedged had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
U.S. 10 Year Treasury Note Futures Contracts |
371 |
09/21/15 |
$ |
47,372,062 |
$ |
(150,907 |
) |
||||||||||||
U.S. 2 Year Treasury Note Futures Contracts |
143 |
09/30/15 |
31,296,891 |
(31,497 |
) |
||||||||||||||
U.S. 5 Year Treasury Note Futures Contracts |
380 |
09/30/15 |
45,496,094 |
(140,124 |
) |
||||||||||||||
$ |
(322,528 |
) |
Cash collateral in the amount of $1,029,380 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: HIGH YIELD��INTEREST RATE HEDGED HYHG :: 23
Principal Amount |
Value |
||||||||||
Corporate Bonds �� 96.5% |
|||||||||||
Aerospace & Defense �� 1.2% |
|||||||||||
Lockheed Martin Corp. |
|||||||||||
$ |
140,000 |
4.07%, due 12/15/42 |
$ |
137,349 |
|||||||
United Technologies Corp. |
|||||||||||
1,176,000 |
6.13%, due 07/15/38 |
1,464,168 |
|||||||||
240,000 |
5.70%, due 04/15/40 |
291,565 |
|||||||||
1,893,082 |
|||||||||||
Air Freight & Logistics �� 0.5% |
|||||||||||
United Parcel Service, Inc. |
|||||||||||
799,000 |
3.13%, due 01/15/21 |
844,374 |
|||||||||
Automobiles �� 1.6% |
|||||||||||
Daimler Finance
North America LLC |
|||||||||||
387,000 |
8.50%, due 01/18/31 |
590,440 |
|||||||||
Ford Motor Co. |
|||||||||||
620,000 |
7.45%, due 07/16/31 |
807,725 |
|||||||||
General Motors Co. |
|||||||||||
859,000 |
4.88%, due 10/02/23 |
915,411 |
|||||||||
251,000 |
5.20%, due 04/01/45 |
256,112 |
|||||||||
2,569,688 |
|||||||||||
Banks �� 18.5% |
|||||||||||
Banco do Brasil S.A. |
|||||||||||
726,000 |
3.88%, due 10/10/22 |
681,315 |
|||||||||
Bank of America Corp. |
|||||||||||
520,000 |
5.00%, due 05/13/21 |
579,098 |
|||||||||
392,000 |
5.70%, due 01/24/22 |
454,411 |
|||||||||
1,216,000 |
3.30%, due 01/11/23 |
1,218,269 |
|||||||||
241,000 |
4.20%, due 08/26/24 |
244,831 |
|||||||||
348,000 |
6.11%, due 01/29/37 |
405,251 |
|||||||||
952,000 |
7.75%, due 05/14/38 |
1,304,305 |
|||||||||
357,000 |
4.88%, due 04/01/44 |
381,703 |
|||||||||
Barclays Bank PLC |
|||||||||||
436,000 |
3.75%, due 05/15/24 |
451,032 |
|||||||||
BNP Paribas S.A. |
|||||||||||
1,326,000 |
5.00%, due 01/15/21 |
1,488,383 |
|||||||||
Citigroup, Inc. |
|||||||||||
2,457,000 |
3.88%, due 10/25/23 |
2,561,297 |
|||||||||
459,000 |
5.88%, due 01/30/42 |
555,466 |
|||||||||
1,546,000 |
5.30%, due 05/06/44 |
1,672,144 |
|||||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank B.A. |
|||||||||||
1,286,000 |
3.88%, due 02/08/22 |
1,369,518 |
|||||||||
1,037,000 |
4.63%, due 12/01/23 |
1,101,960 |
|||||||||
207,000 |
5.25%, due 05/24/41 |
239,494 |
|||||||||
Fifth Third Bancorp |
|||||||||||
384,000 |
8.25%, due 03/01/38 |
560,809 |
|||||||||
HSBC Holdings PLC |
|||||||||||
186,000 |
5.10%, due 04/05/21 |
210,611 |
|||||||||
857,000 |
4.25%, due 03/14/24 |
893,868 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
$ |
1,011,000 |
6.80%, due 06/01/38 |
$ |
1,309,804 |
|||||||
799,000 |
5.25%, due 03/14/44 |
876,410 |
|||||||||
JPMorgan Chase & Co. |
|||||||||||
1,929,000 |
4.50%, due 01/24/22 |
2,108,947 |
|||||||||
1,237,000 |
3.25%, due 09/23/22 |
1,251,295 |
|||||||||
749,000 |
3.88%, due 09/10/24 |
753,218 |
|||||||||
620,000 |
6.40%, due 05/15/38 |
792,046 |
|||||||||
KeyCorp |
|||||||||||
300,000 |
5.10%, due 03/24/21 |
337,952 |
|||||||||
Lloyds Bank PLC |
|||||||||||
625,000 |
6.38%, due 01/21/21 |
742,546 |
|||||||||
Wells Fargo & Co. |
|||||||||||
360,000 |
4.60%, due 04/01/21 |
400,767 |
|||||||||
240,000 |
3.50%, due 03/08/22 |
251,965 |
|||||||||
1,132,000 |
3.30%, due 09/09/24 |
1,140,819 |
|||||||||
1,350,000 |
3.00%, due 02/19/25 |
1,321,853 |
|||||||||
Wells Fargo Bank N.A. |
|||||||||||
1,018,000 |
6.60%, due 01/15/38 |
1,376,729 |
|||||||||
29,038,116 |
|||||||||||
Beverages �� 1.6% |
|||||||||||
Anheuser-Busch InBev Worldwide, Inc. |
|||||||||||
400,000 |
2.50%, due 07/15/22 |
391,495 |
|||||||||
967,000 |
3.75%, due 07/15/42 |
893,029 |
|||||||||
PepsiCo, Inc. |
|||||||||||
1,245,000 |
2.75%, due 03/05/22 |
1,260,973 |
|||||||||
2,545,497 |
|||||||||||
Capital Markets �� 7.3% |
|||||||||||
BlackRock, Inc. |
|||||||||||
190,000 |
3.50%, due 03/18/24 |
197,635 |
|||||||||
Credit Suisse |
|||||||||||
1,021,000 |
3.00%, due 10/29/21 |
1,027,853 |
|||||||||
Deutsche Bank AG |
|||||||||||
500,000 |
4.50%, due 04/01/25 |
490,947 |
|||||||||
Goldman Sachs Group, Inc. (The) |
|||||||||||
1,185,000 |
3.63%, due 01/22/23 |
1,208,224 |
|||||||||
836,000 |
5.95%, due 01/15/27 |
965,876 |
|||||||||
1,796,000 |
6.13%, due 02/15/33 |
2,210,186 |
|||||||||
250,000 |
6.45%, due 05/01/36 |
296,077 |
|||||||||
Morgan Stanley |
|||||||||||
1,255,000 |
3.88%, due 04/29/24 |
1,292,965 |
|||||||||
751,000 |
3.70%, due 10/23/24 |
765,217 |
|||||||||
2,303,000 |
5.00%, due 11/24/25 |
2,487,880 |
|||||||||
State Street Corp. |
|||||||||||
500,000 |
3.70%, due 11/20/23 |
529,951 |
|||||||||
11,472,811 |
|||||||||||
Chemicals �� 0.5% |
|||||||||||
Dow Chemical Co. (The) |
|||||||||||
292,000 |
7.38%, due 11/01/29 |
389,579 |
See accompanying notes to the financial statements.
24 :: IGHG INVESTMENT GRADE��INTEREST RATE HEDGED :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
EI du Pont de Nemours & Co. |
|||||||||||
$ |
330,000 |
2.80%, due 02/15/23 |
$ |
328,706 |
|||||||
718,285 |
|||||||||||
Communications Equipment �� 1.0% |
|||||||||||
Cisco Systems, Inc. |
|||||||||||
1,370,000 |
3.63%, due 03/04/24 |
1,436,327 |
|||||||||
Telefonaktiebolaget LM Ericsson |
|||||||||||
150,000 |
4.13%, due 05/15/22 |
160,108 |
|||||||||
1,596,435 |
|||||||||||
Consumer Finance �� 2.3% |
|||||||||||
American Express Co. |
|||||||||||
677,000 |
4.05%, due 12/03/42 |
641,340 |
|||||||||
Capital One Financial Corp. |
|||||||||||
551,000 |
4.75%, due 07/15/21 |
609,068 |
|||||||||
Ford Motor Credit Co. LLC |
|||||||||||
385,000 |
5.75%, due 02/01/21 |
442,557 |
|||||||||
729,000 |
4.38%, due 08/06/23 |
778,429 |
|||||||||
HSBC Finance Corp. |
|||||||||||
715,000 |
6.68%, due 01/15/21 |
841,440 |
|||||||||
Toyota Motor Credit Corp. |
|||||||||||
320,000 |
3.40%, due 09/15/21 |
341,885 |
|||||||||
3,654,719 |
|||||||||||
Diversified Financial Services �� 3.8% |
|||||||||||
General Electric Capital Corp. |
|||||||||||
1,374,000 |
5.30%, due 02/11/21 |
1,580,776 |
|||||||||
1,660,000 |
6.88%, due 01/10/39 |
2,325,034 |
|||||||||
Shell International Finance B.V. |
|||||||||||
640,000 |
2.38%, due 08/21/22 |
627,597 |
|||||||||
602,000 |
5.50%, due 03/25/40 |
714,951 |
|||||||||
713,000 |
4.55%, due 08/12/43 |
748,342 |
|||||||||
5,996,700 |
|||||||||||
Diversified Telecommunication Services �� 6.2% |
|||||||||||
AT&T, Inc. |
|||||||||||
1,061,000 |
4.45%, due 05/15/21 |
1,141,899 |
|||||||||
401,000 |
6.50%, due 09/01/37 |
467,661 |
|||||||||
180,000 |
5.35%, due 09/01/40 |
184,616 |
|||||||||
1,332,000 |
5.55%, due 08/15/41 |
1,410,738 |
|||||||||
Embarq Corp. |
|||||||||||
570,000 |
8.00%, due 06/01/36 |
654,075 |
|||||||||
Telefonica Emisiones SAU |
|||||||||||
457,000 |
5.46%, due 02/16/21 |
517,363 |
|||||||||
757,000 |
7.05%, due 06/20/36 |
979,200 |
|||||||||
Verizon Communications, Inc. |
|||||||||||
554,000 |
4.60%, due 04/01/21 |
606,659 |
|||||||||
342,000 |
3.50%, due 11/01/21 |
355,359 |
|||||||||
1,260,000 |
5.15%, due 09/15/23 |
1,407,180 |
|||||||||
398,000 |
6.40%, due 09/15/33 |
468,113 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
$ |
836,000 |
5.85%, due 09/15/35 |
$ |
941,760 |
|||||||
584,000 |
6.00%, due 04/01/41 |
666,609 |
|||||||||
9,801,232 |
|||||||||||
Electric Utilities �� 1.0% |
|||||||||||
Duke Energy Florida, Inc. |
|||||||||||
486,000 |
6.40%, due 06/15/38 |
644,010 |
|||||||||
FirstEnergy Corp. |
|||||||||||
150,000 |
7.38%, due 11/15/31 |
188,719 |
|||||||||
Pacific Gas & Electric Co. |
|||||||||||
651,000 |
6.05%, due 03/01/34 |
810,363 |
|||||||||
1,643,092 |
|||||||||||
Energy Equipment & Services �� 0.8% |
|||||||||||
Baker Hughes, Inc. |
|||||||||||
558,000 |
5.13%, due 09/15/40 |
614,658 |
|||||||||
Ensco PLC |
|||||||||||
323,000 |
4.70%, due 03/15/21 |
334,061 |
|||||||||
Halliburton Co. |
|||||||||||
234,000 |
7.45%, due 09/15/39 |
325,022 |
|||||||||
1,273,741 |
|||||||||||
Food & Staples Retailing �� 2.5% |
|||||||||||
Wal-Mart Stores, Inc. |
|||||||||||
298,000 |
7.55%, due 02/15/30 |
436,978 |
|||||||||
1,182,000 |
5.25%, due 09/01/35 |
1,393,542 |
|||||||||
581,000 |
6.50%, due 08/15/37 |
773,543 |
|||||||||
1,039,000 |
5.63%, due 04/15/41 |
1,257,850 |
|||||||||
3,861,913 |
|||||||||||
Food Products �� 1.5% |
|||||||||||
Kellogg Co. |
|||||||||||
409,000 |
7.45%, due 04/01/31 |
528,639 |
|||||||||
Kraft Foods Group, Inc. |
|||||||||||
853,000 |
3.50%, due 06/06/22 |
871,009 |
|||||||||
Unilever Capital Corp. |
|||||||||||
671,000 |
5.90%, due 11/15/32 |
890,788 |
|||||||||
2,290,436 |
|||||||||||
Health Care Providers & Services �� 2.0% |
|||||||||||
Anthem, Inc. |
|||||||||||
467,000 |
3.30%, due 01/15/23 |
468,498 |
|||||||||
Express Scripts Holding Co. |
|||||||||||
393,000 |
4.75%, due 11/15/21 |
434,895 |
|||||||||
HCA, Inc. |
|||||||||||
500,000 |
5.00%, due 03/15/24 |
521,250 |
|||||||||
810,000 |
5.25%, due 04/15/25 |
860,017 |
|||||||||
Howard Hughes Medical Institute |
|||||||||||
519,000 |
3.50%, due 09/01/23 |
545,888 |
|||||||||
UnitedHealth Group, Inc. |
|||||||||||
221,000 |
6.88%, due 02/15/38 |
302,687 |
|||||||||
3,133,235 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: INVESTMENT GRADE��INTEREST RATE HEDGED IGHG :: 25
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Household Products �� 0.4% |
|||||||||||
Procter & Gamble Co. (The) |
|||||||||||
$ |
696,000 |
2.30%, due 02/06/22 |
$ |
700,213 |
|||||||
Industrial Conglomerates �� 0.7% |
|||||||||||
General Electric Co. |
|||||||||||
222,000 |
2.70%, due 10/09/22 |
222,264 |
|||||||||
100,000 |
4.13%, due 10/09/42 |
100,136 |
|||||||||
Koninklijke Philips N.V. |
|||||||||||
591,000 |
6.88%, due 03/11/38 |
747,529 |
|||||||||
1,069,929 |
|||||||||||
Insurance �� 1.4% |
|||||||||||
American International Group, Inc. |
|||||||||||
805,000 |
4.88%, due 06/01/22 |
898,425 |
|||||||||
123,000 |
4.13%, due 02/15/24 |
130,073 |
|||||||||
AXA S.A. |
|||||||||||
254,000 |
8.60%, due 12/15/30 |
352,425 |
|||||||||
MetLife, Inc. |
|||||||||||
656,000 |
5.70%, due 06/15/35 |
800,598 |
|||||||||
2,181,521 |
|||||||||||
Internet Software & Services �� 0.2% |
|||||||||||
Google, Inc. |
|||||||||||
286,000 |
3.38%, due 02/25/24 |
298,833 |
|||||||||
IT Services �� 0.9% |
|||||||||||
International Business
Machines Corp. |
|||||||||||
998,000 |
3.63%, due 02/12/24 |
1,033,631 |
|||||||||
51,000 |
4.00%, due 06/20/42 |
47,323 |
|||||||||
Xerox Corp. |
|||||||||||
372,000 |
4.50%, due 05/15/21 |
401,265 |
|||||||||
1,482,219 |
|||||||||||
Life Sciences Tools & Services �� 0.2% |
|||||||||||
Thermo Fisher Scientific, Inc. |
|||||||||||
211,000 |
4.50%, due 03/01/21 |
230,498 |
|||||||||
Machinery �� 0.6% |
|||||||||||
Caterpillar, Inc. |
|||||||||||
1,022,000 |
3.80%, due 08/15/42 |
968,223 |
|||||||||
Media �� 8.9% |
|||||||||||
21st Century Fox America, Inc. |
|||||||||||
1,258,000 |
4.50%, due 02/15/21 |
1,382,482 |
|||||||||
473,000 |
6.65%, due 11/15/37 |
600,344 |
|||||||||
Comcast Corp. |
|||||||||||
915,000 |
3.13%, due 07/15/22 |
926,559 |
|||||||||
992,000 |
3.60%, due 03/01/24 |
1,026,488 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
$ |
611,000 |
4.25%, due 01/15/33 |
$ |
617,687 |
|||||||
1,044,000 |
6.50%, due 11/15/35 |
1,338,224 |
|||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc. |
|||||||||||
305,000 |
3.80%, due 03/15/22 |
313,502 |
|||||||||
690,000 |
6.38%, due 03/01/41 |
783,283 |
|||||||||
Historic TW, Inc. |
|||||||||||
687,000 |
6.63%, due 05/15/29 |
860,164 |
|||||||||
NBCUniversal Media LLC |
|||||||||||
450,000 |
2.88%, due 01/15/23 |
447,347 |
|||||||||
371,000 |
5.95%, due 04/01/41 |
451,576 |
|||||||||
Omnicom Group, Inc. |
|||||||||||
460,000 |
3.63%, due 05/01/22 |
470,970 |
|||||||||
Time Warner Cable, Inc. |
|||||||||||
333,000 |
7.30%, due 07/01/38 |
388,242 |
|||||||||
540,000 |
6.75%, due 06/15/39 |
591,807 |
|||||||||
Time Warner Entertainment Co. LP |
|||||||||||
758,000 |
8.38%, due 03/15/23 |
952,018 |
|||||||||
Time Warner, Inc. |
|||||||||||
100,000 |
4.70%, due 01/15/21 |
109,813 |
|||||||||
554,000 |
7.70%, due 05/01/32 |
753,384 |
|||||||||
780,000 |
6.10%, due 07/15/40 |
914,791 |
|||||||||
Viacom, Inc. |
|||||||||||
826,000 |
4.38%, due 03/15/43 |
707,322 |
|||||||||
Walt Disney Co. (The) |
|||||||||||
301,000 |
2.35%, due 12/01/22 |
297,287 |
|||||||||
13,933,290 |
|||||||||||
Metals & Mining �� 4.1% |
|||||||||||
Barrick Gold Corp. |
|||||||||||
317,000 |
3.85%, due 04/01/22 |
314,417 |
|||||||||
Barrick North America Finance LLC |
|||||||||||
397,000 |
4.40%, due 05/30/21 |
411,828 |
|||||||||
BHP Billiton Finance USA Ltd. |
|||||||||||
335,000 |
3.85%, due 09/30/23 |
352,753 |
|||||||||
395,000 |
4.13%, due 02/24/42 |
380,024 |
|||||||||
549,000 |
5.00%, due 09/30/43 |
593,927 |
|||||||||
Newmont Mining Corp. |
|||||||||||
408,000 |
6.25%, due 10/01/39 |
418,469 |
|||||||||
Rio Tinto Finance USA Ltd. |
|||||||||||
1,121,000 |
4.13%, due 05/20/21 |
1,203,057 |
|||||||||
Southern Copper Corp. |
|||||||||||
1,140,000 |
5.25%, due 11/08/42 |
1,023,435 |
|||||||||
Vale Overseas Ltd. |
|||||||||||
510,000 |
6.88%, due 11/21/36 |
501,529 |
|||||||||
785,000 |
6.88%, due 11/10/39 |
774,897 |
|||||||||
Vale S.A. |
|||||||||||
593,000 |
5.63%, due 09/11/42 |
518,152 |
|||||||||
6,492,488 |
See accompanying notes to the financial statements.
26 :: IGHG INVESTMENT GRADE��INTEREST RATE HEDGED :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Multiline Retail �� 0.6% |
|||||||||||
Target Corp. |
|||||||||||
$ |
958,000 |
4.00%, due 07/01/42 |
$ |
932,996 |
|||||||
Multi-Utilities �� 0.4% |
|||||||||||
Berkshire Hathaway Energy Co. |
|||||||||||
504,000 |
6.50%, due 09/15/37 |
639,335 |
|||||||||
Oil, Gas & Consumable Fuels �� 10.0% |
|||||||||||
Anadarko Petroleum Corp. |
|||||||||||
393,000 |
6.45%, due 09/15/36 |
472,241 |
|||||||||
Apache Corp. |
|||||||||||
200,000 |
6.00%, due 01/15/37 |
227,917 |
|||||||||
BP Capital Markets PLC |
|||||||||||
870,000 |
4.74%, due 03/11/21 |
980,729 |
|||||||||
503,000 |
3.25%, due 05/06/22 |
511,022 |
|||||||||
772,000 |
3.81%, due 02/10/24 |
803,698 |
|||||||||
Cenovus Energy, Inc. |
|||||||||||
252,000 |
6.75%, due 11/15/39 |
299,162 |
|||||||||
ConocoPhillips |
|||||||||||
746,000 |
6.50%, due 02/01/39 |
964,218 |
|||||||||
Devon Energy Corp. |
|||||||||||
304,000 |
7.95%, due 04/15/32 |
407,181 |
|||||||||
Devon Financing Corp. LLC |
|||||||||||
100,000 |
7.88%, due 09/30/31 |
133,205 |
|||||||||
Ecopetrol S.A. |
|||||||||||
911,000 |
5.88%, due 09/18/23 |
978,869 |
|||||||||
Hess Corp. |
|||||||||||
100,000 |
5.60%, due 02/15/41 |
106,863 |
|||||||||
Kinder Morgan Energy Partners LP |
|||||||||||
370,000 |
6.95%, due 01/15/38 |
414,329 |
|||||||||
Newfield Exploration Co. |
|||||||||||
409,000 |
5.63%, due 07/01/24 |
430,473 |
|||||||||
Nexen Energy ULC |
|||||||||||
873,000 |
6.40%, due 05/15/37 |
1,071,223 |
|||||||||
Petrobras Global Finance B.V. |
|||||||||||
672,000 |
5.38%, due 01/27/21 |
655,536 |
|||||||||
1,647,000 |
4.38%, due 05/20/23 |
1,469,948 |
|||||||||
1,093,000 |
6.75%, due 01/27/41 |
1,022,545 |
|||||||||
293,000 |
7.25%, due 03/17/44 |
288,634 |
|||||||||
Phillips 66 |
|||||||||||
718,000 |
4.30%, due 04/01/22 |
772,947 |
|||||||||
Statoil ASA |
|||||||||||
433,000 |
3.70%, due 03/01/24 |
456,428 |
|||||||||
Suncor Energy, Inc. |
|||||||||||
393,000 |
6.50%, due 06/15/38 |
493,398 |
|||||||||
Total Capital International S.A. |
|||||||||||
387,000 |
2.75%, due 06/19/21 |
394,228 |
|||||||||
184,000 |
2.88%, due 02/17/22 |
186,674 |
|||||||||
494,000 |
2.70%, due 01/25/23 |
487,201 |
|||||||||
103,000 |
3.70%, due 01/15/24 |
108,063 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
TransCanada PipeLines Ltd. |
|||||||||||
$ |
473,000 |
2.50%, due 08/01/22 |
$ |
458,990 |
|||||||
482,000 |
6.20%, due 10/15/37 |
577,882 |
|||||||||
Valero Energy Corp. |
|||||||||||
368,000 |
6.63%, due 06/15/37 |
435,409 |
|||||||||
Williams Partners LP |
|||||||||||
102,000 |
6.30%, due 04/15/40 |
111,274 |
|||||||||
15,720,287 |
|||||||||||
Pharmaceuticals �� 5.2% |
|||||||||||
AbbVie, Inc. |
|||||||||||
398,000 |
2.90%, due 11/06/22 |
391,926 |
|||||||||
738,000 |
4.40%, due 11/06/42 |
716,629 |
|||||||||
AstraZeneca PLC |
|||||||||||
632,000 |
6.45%, due 09/15/37 |
832,423 |
|||||||||
GlaxoSmithKline Capital PLC |
|||||||||||
1,122,000 |
2.85%, due 05/08/22 |
1,129,570 |
|||||||||
GlaxoSmithKline Capital, Inc. |
|||||||||||
330,000 |
6.38%, due 05/15/38 |
428,883 |
|||||||||
Merck & Co., Inc. |
|||||||||||
840,000 |
4.15%, due 05/18/43 |
837,721 |
|||||||||
Novartis Capital Corp. |
|||||||||||
1,214,000 |
4.40%, due 05/06/44 |
1,299,705 |
|||||||||
Pfizer, Inc. |
|||||||||||
489,000 |
3.00%, due 06/15/23 |
494,520 |
|||||||||
200,000 |
3.40%, due 05/15/24 |
204,943 |
|||||||||
704,000 |
7.20%, due 03/15/39 |
998,578 |
|||||||||
Sanofi |
|||||||||||
728,000 |
4.00%, due 03/29/21 |
794,220 |
|||||||||
8,129,118 |
|||||||||||
Real Estate Investment Trusts (REITs) �� 0.5% |
|||||||||||
American Tower Corp. |
|||||||||||
500,000 |
3.50%, due 01/31/23 |
493,313 |
|||||||||
Weyerhaeuser Co. |
|||||||||||
235,000 |
7.38%, due 03/15/32 |
300,797 |
|||||||||
794,110 |
|||||||||||
Semiconductors &
Semiconductor Equipment �� 0.8% |
|||||||||||
Intel Corp. |
|||||||||||
317,000 |
3.30%, due 10/01/21 |
335,345 |
|||||||||
846,000 |
4.80%, due 10/01/41 |
896,164 |
|||||||||
1,231,509 |
|||||||||||
Software �� 1.8% |
|||||||||||
Microsoft Corp. |
|||||||||||
439,000 |
5.30%, due 02/08/41 |
514,683 |
|||||||||
Oracle Corp. |
|||||||||||
895,000 |
2.80%, due 07/08/21 |
914,334 |
|||||||||
1,174,000 |
6.13%, due 07/08/39 |
1,460,530 |
|||||||||
2,889,547 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: INVESTMENT GRADE��INTEREST RATE HEDGED IGHG :: 27
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Specialty Retail �� 0.5% |
|||||||||||
Home Depot, Inc. (The) |
|||||||||||
$ |
646,000 |
5.88%, due 12/16/36 |
$ |
797,690 |
|||||||
Technology Hardware,
Storage & Peripherals �� 3.4% |
|||||||||||
Apple, Inc. |
|||||||||||
1,295,000 |
2.40%, due 05/03/23 |
1,257,375 |
|||||||||
126,000 |
3.45%, due 05/06/24 |
130,591 |
|||||||||
700,000 |
2.50%, due 02/09/25 |
668,952 |
|||||||||
1,015,000 |
3.85%, due 05/04/43 |
953,488 |
|||||||||
1,166,000 |
3.45%, due 02/09/45 |
1,017,217 |
|||||||||
Hewlett-Packard Co. |
|||||||||||
573,000 |
4.38%, due 09/15/21 |
609,204 |
|||||||||
597,000 |
4.65%, due 12/09/21 |
643,937 |
|||||||||
5,280,764 |
|||||||||||
Thrifts & Mortgage Finance �� 0.6% |
|||||||||||
Abbey National Treasury
Services PLC |
|||||||||||
585,000 |
4.00%, due 03/13/24 |
618,858 |
|||||||||
BPCE S.A. |
|||||||||||
250,000 |
4.00%, due 04/15/24 |
259,769 |
|||||||||
878,627 |
|||||||||||
Tobacco �� 1.4% |
|||||||||||
Altria Group, Inc. |
|||||||||||
683,000 |
4.75%, due 05/05/21 |
756,808 |
|||||||||
342,000 |
2.85%, due 08/09/22 |
335,619 |
|||||||||
200,000 |
4.00%, due 01/31/24 |
207,380 |
|||||||||
Philip Morris International, Inc. |
|||||||||||
333,000 |
6.38%, due 05/16/38 |
426,202 |
|||||||||
Reynolds American, Inc. |
|||||||||||
518,000 |
4.75%, due 11/01/42 |
496,797 |
|||||||||
2,222,806 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Wireless Telecommunication Services �� 1.6% |
|||||||||||
America Movil SAB de CV |
|||||||||||
$ |
735,000 |
3.13%, due 07/16/22 |
$ |
738,197 |
|||||||
462,000 |
4.38%, due 07/16/42 |
447,669 |
|||||||||
Vodafone Group PLC |
|||||||||||
1,038,000 |
2.95%, due 02/19/23 |
976,693 |
|||||||||
350,000 |
4.38%, due 02/19/43 |
307,071 |
|||||||||
2,469,630 |
|||||||||||
Total Corporate Bonds (Cost $151,543,852) |
151,676,989 |
||||||||||
Repurchase Agreements (a) �� 0.6% |
|||||||||||
865,558 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $865,563 |
865,558 |
|||||||||
Total Repurchase Agreements
(Cost $865,558) |
865,558 |
||||||||||
Total Investment Securities (Cost $152,409,410) �� 97.1% |
152,542,547 |
||||||||||
Other assets less liabilities �� 2.9% |
4,506,007 |
||||||||||
Net Assets �� 100.0% |
$ |
157,048,554 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
1,659,860 |
|||||
Aggregate gross unrealized depreciation |
(1,552,942 |
) |
|||||
Net unrealized appreciation |
$ |
106,918 |
|||||
Federal income tax cost of investments |
$ |
152,435,629 |
Futures Contracts Sold
Investment Grade-Interest Rate Hedged had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
U.S. 10 Year Treasury Note Futures Contracts |
508 |
09/21/15 |
$ |
64,865,250 |
$ |
(208,063 |
) |
||||||||||||
U.S. Long Bond Futures Contracts |
312 |
09/21/15 |
48,555,000 |
(175,987 |
) |
||||||||||||||
Ultra Long Term U.S. Treasury Bond Futures Contracts |
140 |
09/21/15 |
22,439,375 |
(113,026 |
) |
||||||||||||||
$ |
(497,076 |
) |
Cash collateral in the amount of $2,506,460 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
See accompanying notes to the financial statements.
28 :: IGHG INVESTMENT GRADE��INTEREST RATE HEDGED :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Corporate Bonds �� 98.9% |
|||||||||||
Banks �� 87.4% |
|||||||||||
Australia & New Zealand
Banking Group Ltd. |
|||||||||||
$ |
250,000 |
2.40%, due 11/23/16 (a) |
$ |
254,851 |
|||||||
Bank of Montreal |
|||||||||||
250,000 |
1.95%, due 01/30/17 (a) |
254,401 |
|||||||||
Bank of Nova Scotia (The) |
|||||||||||
265,000 |
1.95%, due 01/30/17 (a) |
269,644 |
|||||||||
200,000 |
1.75%, due 03/22/17 (a) |
202,709 |
|||||||||
Bank of Scotland PLC |
|||||||||||
250,000 |
5.25%, due 02/21/17 (a) |
267,340 |
|||||||||
Barclays Bank PLC |
|||||||||||
295,000 |
2.25%, due 05/10/17 (a) |
301,646 |
|||||||||
Commonwealth Bank of Australia |
|||||||||||
300,000 |
1.88%, due 12/11/18 (a) |
302,690 |
|||||||||
Credit Mutuel - CIC Home Loan SFH |
|||||||||||
200,000 |
1.50%, due 11/16/17 (a) |
201,082 |
|||||||||
DNB Boligkreditt AS |
|||||||||||
270,000 |
1.45%, due 03/21/18 (a) |
269,953 |
|||||||||
National Australia Bank Ltd. |
|||||||||||
250,000 |
1.25%, due 03/08/18 (a) |
249,224 |
|||||||||
295,000 |
2.00%, due 02/22/19 (a) |
299,086 |
|||||||||
Royal Bank of Canada |
|||||||||||
150,000 |
1.20%, due 09/19/17 |
150,090 |
|||||||||
330,000 |
2.00%, due 10/01/18 |
335,288 |
|||||||||
200,000 |
2.20%, due 09/23/19 |
203,055 |
|||||||||
100,000 |
1.88%, due 02/05/20 |
99,713 |
|||||||||
Skandinaviska Enskilda Banken AB |
|||||||||||
200,000 |
1.38%, due 05/29/18 (a) |
199,817 |
|||||||||
SpareBank 1 Boligkreditt AS |
|||||||||||
320,000 |
1.25%, due 05/02/18 (a) |
318,465 |
|||||||||
Stadshypotek AB |
|||||||||||
320,000 |
1.25%, due 05/23/18 (a) |
318,834 |
|||||||||
Swedbank Hypotek AB |
|||||||||||
230,000 |
2.38%, due 04/05/17 (a) |
235,764 |
|||||||||
Toronto-Dominion Bank (The) |
|||||||||||
200,000 |
2.25%, due 09/25/19 (a) |
203,305 |
|||||||||
Westpac Banking Corp. |
|||||||||||
200,000 |
1.25%, due 12/15/17 (a) |
199,761 |
|||||||||
200,000 |
1.38%, due 05/30/18 (a) |
199,603 |
|||||||||
440,000 |
1.85%, due 11/26/18 (a) |
443,827 |
|||||||||
5,780,148 |
|||||||||||
Capital Markets �� 7.7% |
|||||||||||
ING Bank N.V. |
|||||||||||
300,000 |
2.63%, due 12/05/22 (a) |
304,818 |
|||||||||
UBS AG |
|||||||||||
200,000 |
2.25%, due 03/30/17 (a) |
204,625 |
|||||||||
509,443 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Diversified Financial Services �� 3.8% |
|||||||||||
Caisse Centrale Desjardins |
|||||||||||
$ |
250,000 |
1.60%, due 03/06/17 (a) |
$ |
252,790 |
|||||||
Total Corporate
Bonds (Cost $6,497,036) |
6,542,381 |
||||||||||
Repurchase Agreements (b) �� 1.3% |
|||||||||||
83,695 |
Repurchase Agreements with
various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $83,695 |
83,695 |
|||||||||
Total Repurchase Agreements (Cost $83,695) |
83,695 |
||||||||||
Total Investment
Securities (Cost $6,580,731) �� 100.2% |
6,626,076 |
||||||||||
Liabilities in excess of other assets �� (0.2%) |
(11,429 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
6,614,647 |
(a) Security is not registered for public sale, but may be sold to qualified institutional buyers under Rule 144A under the Securities Act of 1933. Unless otherwise noted, these securities are deemed to be liquid.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
47,624 |
|||||
Aggregate gross unrealized depreciation |
(2,279 |
) |
|||||
Net unrealized appreciation |
$ |
45,345 |
|||||
Federal income tax cost of investments |
$ |
6,580,731 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: USD COVERED BOND COBO :: 29
USD Covered Bond invested, as a percentage of net assets, in the following countries as of May 31, 2015:
Canada |
29.7 |
% |
|||||
Australia |
29.6 |
% |
|||||
Sweden |
11.4 |
% |
|||||
Norway |
8.9 |
% |
|||||
United Kingdom |
8.6 |
% |
|||||
Netherlands |
4.6 |
% |
|||||
Switzerland |
3.1 |
% |
|||||
France |
3.0 |
% |
|||||
Other1 |
1.1 |
% |
|||||
100.0 |
% |
1 Includes any non fixed-income securities and net other assets (liabilities).
See accompanying notes to the financial statements.
30 :: COBO USD COVERED BOND :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Sovereign Government &
Agency Obligations �� 88.2% |
|||||||||||
Germany �� 88.2% |
|||||||||||
Bund Laender Anleihe |
|||||||||||
EUR |
130,000 |
1.50%, due 07/15/20 |
$ |
151,867 |
|||||||
Bundesrepublik Deutschland |
|||||||||||
139,000 |
3.75%, due 01/04/19 |
173,669 |
|||||||||
136,000 |
3.50%, due 07/04/19 |
170,961 |
|||||||||
139,000 |
3.00%, due 07/04/20 |
175,520 |
|||||||||
143,000 |
1.75%, due 07/04/22 |
173,848 |
|||||||||
90,000 |
4.00%, due 01/04/37 |
155,694 |
|||||||||
Free State of Bavaria |
|||||||||||
57,000 |
4.13%, due 01/16/17 |
66,713 |
|||||||||
Gemeinsame Deutsche
Bundeslaender |
|||||||||||
67,000 |
1.75%, due 06/13/22 |
80,047 |
|||||||||
77,000 |
0.50%, due 02/05/25 |
82,635 |
|||||||||
KFW |
|||||||||||
153,000 |
1.13%, due 10/16/18 |
174,367 |
|||||||||
132,000 |
3.88%, due 01/21/19 |
165,248 |
|||||||||
144,000 |
0.88%, due 03/18/19 |
163,237 |
|||||||||
153,000 |
1.63%, due 01/15/21 |
181,620 |
|||||||||
129,000 |
3.38%, due 01/18/21 |
167,007 |
|||||||||
State of Baden-Wurttemberg |
|||||||||||
67,000 |
1.00%, due 07/18/22 |
76,362 |
|||||||||
76,000 |
2.00%, due 11/13/23 |
93,053 |
|||||||||
State of Berlin |
|||||||||||
58,000 |
1.88%, due 06/12/23 |
70,097 |
|||||||||
65,000 |
1.63%, due 06/03/24 |
77,208 |
|||||||||
State of Brandenburg |
|||||||||||
42,000 |
1.50%, due 02/12/20 |
48,879 |
|||||||||
39,000 |
3.50%, due 06/15/21 |
50,821 |
|||||||||
State of Hesse |
|||||||||||
61,000 |
1.75%, due 01/20/23 |
73,090 |
|||||||||
65,000 |
1.38%, due 06/10/24 |
75,771 |
|||||||||
State of Lower Saxony |
|||||||||||
59,000 |
4.25%, due 02/27/18 |
72,197 |
|||||||||
61,000 |
2.13%, due 01/16/24 |
75,351 |
|||||||||
State of North Rhine-Westphalia |
|||||||||||
74,000 |
0.88%, due 12/04/17 |
82,911 |
|||||||||
73,000 |
1.88%, due 09/15/22 |
88,007 |
|||||||||
State of Rhineland-Palatinate |
|||||||||||
40,000 |
2.88%, due 03/03/17 |
46,081 |
|||||||||
46,000 |
1.25%, due 01/16/20 |
52,931 |
|||||||||
State of Saxony-Anhalt |
|||||||||||
43,000 |
1.63%, due 04/25/23 |
51,085 |
|||||||||
40,000 |
1.88%, due 04/10/24 |
48,454 |
|||||||||
3,164,731 |
|||||||||||
Total Sovereign Government
& Agency Obligations (Cost $3,631,838) |
3,164,731 |
Principal Amount |
Value |
||||||||||
Corporate Bonds �� 10.1% |
|||||||||||
Banks �� 10.1% |
|||||||||||
Landeskreditbank
Baden- Wuerttemberg Foerderbank |
|||||||||||
EUR |
52,000 |
1.00%, due 11/19/18 |
$ |
58,904 |
|||||||
49,000 |
0.25%, due 11/25/19 |
54,070 |
|||||||||
Landwirtschaftliche Rentenbank |
|||||||||||
47,000 |
2.88%, due 08/30/21 |
59,982 |
|||||||||
51,000 |
1.25%, due 05/20/22 |
59,569 |
|||||||||
NRW Bank |
|||||||||||
54,000 |
0.63%, due 08/01/16 |
59,658 |
|||||||||
54,000 |
3.88%, due 01/27/20 |
69,417 |
|||||||||
361,600 |
|||||||||||
Total Corporate
Bonds (Cost $445,424) |
361,600 |
||||||||||
Repurchase Agreements (a) �� 1.2% |
|||||||||||
$ |
44,800 |
Repurchase Agreements with
various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $44,800 |
44,800 |
||||||||
Total Repurchase Agreements (Cost $44,800) |
44,800 |
||||||||||
Total Investment
Securities (Cost $4,122,062) �� 99.5% |
3,571,131 |
||||||||||
Other assets less liabilities �� 0.5% |
18,317 |
||||||||||
Net Assets �� 100.0% |
$ |
3,589,448 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
EUR Euro
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
�� |
|||||
Aggregate gross unrealized depreciation |
(550,931 |
) |
|||||
Net unrealized depreciation |
$ |
(550,931 |
) |
||||
Federal income tax cost of investments |
$ |
4,122,062 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: GERMAN SOVEREIGN/SUB-SOVEREIGN ETF GGOV :: 31
Principal Amount |
Value |
||||||||||
Sovereign Government &
Agency Obligations �� 64.2% |
|||||||||||
Brazil �� 5.2% |
|||||||||||
Banco Nacional de
Desenvolvimento Economico e Social |
|||||||||||
$ |
100,000 |
6.37%, due 06/16/18 |
$ |
107,900 |
|||||||
100,000 |
6.50%, due 06/10/19 |
109,250 |
|||||||||
Brazilian Government International Bond |
|||||||||||
102,000 |
6.00%, due 01/17/17 |
109,293 |
|||||||||
60,000 |
8.88%, due 10/14/19 |
75,210 |
|||||||||
401,653 |
|||||||||||
Colombia �� 2.0% |
|||||||||||
Colombia Government
International Bond |
|||||||||||
110,000 |
11.75%, due 02/25/20 |
150,700 |
|||||||||
Hungary �� 3.5% |
|||||||||||
Hungary Government International Bond |
|||||||||||
150,000 |
4.13%, due 02/19/18 |
156,937 |
|||||||||
100,000 |
6.25%, due 01/29/20 |
113,572 |
|||||||||
270,509 |
|||||||||||
Indonesia �� 8.3% |
|||||||||||
Indonesia Government
International Bond |
|||||||||||
162,000 |
6.88%, due 01/17/18 |
182,655 |
|||||||||
100,000 |
5.88%, due 03/13/20 |
112,750 |
|||||||||
Perusahaan Penerbit SBSN Indonesia III |
|||||||||||
300,000 |
6.13%, due 03/15/19 |
336,749 |
|||||||||
632,154 |
|||||||||||
Lithuania �� 2.9% |
|||||||||||
Lithuania Government International Bond |
|||||||||||
205,000 |
5.13%, due 09/14/17 |
222,220 |
|||||||||
Mexico �� 4.7% |
|||||||||||
Mexico Government
International Bond |
|||||||||||
140,000 |
5.63%, due 01/15/17 |
149,870 |
|||||||||
90,000 |
5.95%, due 03/19/19 |
102,015 |
|||||||||
100,000 |
5.13%, due 01/15/20 |
111,000 |
|||||||||
362,885 |
|||||||||||
Pakistan �� 2.7% |
|||||||||||
Pakistan Government
International Bond |
|||||||||||
200,000 |
6.75%, due 12/03/19 |
204,870 |
Principal Amount |
Value |
||||||||||
Sovereign Government &
Agency Obligations (continued) |
|||||||||||
Panama �� 1.4% |
|||||||||||
Panama Government
International Bond |
|||||||||||
$ |
100,000 |
5.20%, due 01/30/20 |
$ |
110,750 |
|||||||
Philippines �� 2.4% |
|||||||||||
Philippine Government International Bond |
|||||||||||
150,000 |
8.38%, due 06/17/19 |
186,750 |
|||||||||
Poland �� 4.0% |
|||||||||||
Poland Government
International Bond |
|||||||||||
110,000 |
3.88%, due 07/16/15 |
110,453 |
|||||||||
170,000 |
6.38%, due 07/15/19 |
198,220 |
|||||||||
308,673 |
|||||||||||
Qatar �� 6.2% |
|||||||||||
Qatar Government International Bond |
|||||||||||
230,000 |
6.55%, due 04/09/19 |
269,962 |
|||||||||
SoQ Sukuk A Q.S.C |
|||||||||||
201,000 |
2.10%, due 01/18/18 |
205,523 |
|||||||||
475,485 |
|||||||||||
Russia �� 1.6% |
|||||||||||
Russian Foreign Bond - Eurobond |
|||||||||||
100,000 |
11.00%, due 07/24/18 |
122,005 |
|||||||||
Serbia �� 2.7% |
|||||||||||
Republic of Serbia |
|||||||||||
200,000 |
4.88%, due 02/25/20 |
205,500 |
|||||||||
Slovenia �� 2.8% |
|||||||||||
Slovenia Government International Bond |
|||||||||||
200,000 |
4.13%, due 02/18/19 |
211,000 |
|||||||||
South Africa �� 3.0% |
|||||||||||
South Africa Government
International Bond |
|||||||||||
200,000 |
6.88%, due 05/27/19 |
229,400 |
|||||||||
Turkey �� 5.7% |
|||||||||||
Export Credit Bank of Turkey |
|||||||||||
201,000 |
5.38%, due 11/04/16 |
209,040 |
|||||||||
Turkey Government International Bond |
|||||||||||
102,000 |
6.75%, due 04/03/18 |
112,914 |
|||||||||
100,000 |
7.50%, due 11/07/19 |
116,480 |
|||||||||
438,434 |
See accompanying notes to the financial statements.
32 :: EMSH SHORT TERM USD EMERGING MARKETS BOND ETF :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Sovereign Government &
Agency Obligations (continued) |
|||||||||||
Ukraine �� 2.8% |
|||||||||||
Ukraine Government
International Bond |
|||||||||||
$ |
100,000 |
6.88%, due 09/23/15 |
$ |
50,500 |
|||||||
360,000 |
6.58%, due 11/21/16 |
165,600 |
|||||||||
216,100 |
|||||||||||
Venezuela �� 2.3% |
|||||||||||
Venezuela Government International Bond |
|||||||||||
100,000 |
5.75%, due 02/26/16 |
83,950 |
|||||||||
220,000 |
7.75%, due 10/13/19 |
93,500 |
|||||||||
177,450 |
|||||||||||
Total Sovereign Government & Agency Obligations (Cost $4,970,364) |
4,926,538 |
||||||||||
Corporate Bonds �� 33.3% |
|||||||||||
Banks �� 12.0% |
|||||||||||
QNB Finance Ltd. |
|||||||||||
200,000 |
3.38%, due 02/22/17 |
206,500 |
|||||||||
Russian Agricultural Bank
OJSC Via RSHB Capital S.A. |
|||||||||||
200,000 |
7.75%, due 05/29/18 |
208,896 |
|||||||||
Sberbank of Russia Via
SB Capital S.A. |
|||||||||||
195,000 |
4.95%, due 02/07/17 |
196,034 |
|||||||||
100,000 |
5.40%, due 03/24/17 |
101,440 |
|||||||||
Turkiye Halk Bankasi AS |
|||||||||||
200,000 |
4.88%, due 07/19/17 |
206,131 |
|||||||||
919,001 |
|||||||||||
Diversified Financial Services �� 1.7% |
|||||||||||
Gazprom OAO Via Gaz Capital S.A. |
|||||||||||
125,000 |
6.21%, due 11/22/16 |
128,732 |
|||||||||
Electric Utilities �� 4.9% |
|||||||||||
Hrvatska Elektroprivreda |
|||||||||||
250,000 |
6.00%, due 11/09/17 |
262,001 |
|||||||||
Majapahit Holding B.V. |
|||||||||||
100,000 |
8.00%, due 08/07/19 |
116,630 |
|||||||||
378,631 |
|||||||||||
Electrical Equipment �� 1.4% |
|||||||||||
Power Sector Assets &
Liabilities Management Corp. |
|||||||||||
100,000 |
6.88%, due 11/02/16 |
107,500 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Multi-Utilities �� 1.5% |
|||||||||||
Empresas Publicas de
Medellin ESP |
|||||||||||
$ |
100,000 |
7.63%, due 07/29/19 |
$ |
118,062 |
|||||||
Oil & Gas �� 1.3% |
|||||||||||
Petrobras Global Finance B.V. |
|||||||||||
100,000 |
3.25%, due 03/17/17 |
98,846 |
|||||||||
Oil, Gas & Consumable Fuels �� 8.6% |
|||||||||||
Petrobras Global Finance B.V. |
|||||||||||
84,000 |
5.88%, due 03/01/18 |
86,396 |
|||||||||
90,000 |
7.88%, due 03/15/19 |
96,867 |
|||||||||
Petroleos de Venezuela S.A. |
|||||||||||
60,000 |
5.00%, due 10/28/15 |
58,800 |
|||||||||
63,000 |
5.13%, due 10/28/16 |
44,730 |
|||||||||
140,000 |
5.25%, due 04/12/17 |
75,530 |
|||||||||
Petroleos Mexicanos |
|||||||||||
204,000 |
5.75%, due 03/01/18 |
224,400 |
|||||||||
60,000 |
8.00%, due 05/03/19 |
71,130 |
|||||||||
657,853 |
|||||||||||
Supranational �� 1.9% |
|||||||||||
Ukreximbank Via Biz
Finance PLC |
|||||||||||
200,000 |
8.75%, due 01/22/18 |
141,250 |
|||||||||
Total Corporate
Bonds (Cost $2,473,010) |
2,549,875 |
||||||||||
Repurchase Agreements (a) �� 1.5% |
|||||||||||
116,939 |
Repurchase Agreements with
various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $116,939 |
116,939 |
|||||||||
Total Repurchase Agreements (Cost $116,939) |
116,939 |
||||||||||
Total Investment
Securities (Cost $7,560,313) �� 99.0% |
7,593,352 |
||||||||||
Other assets less liabilities �� 1.0% |
75,670 |
||||||||||
Net Assets �� 100.0% |
$ |
7,669,022 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: SHORT TERM USD EMERGING MARKETS BOND ETF EMSH :: 33
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
146,073 |
|||||
Aggregate gross unrealized depreciation |
(113,034 |
) |
|||||
Net unrealized appreciation |
$ |
33,039 |
|||||
Federal income tax cost of investments |
$ |
7,560,313 |
Short Term USD Emerging Markets Bond ETF invested, as a percentage of net assets, in the following countries as of May 31, 2015:
Mexico |
8.6 |
% |
|||||
Turkey |
8.4 |
% |
|||||
Indonesia |
8.3 |
% |
|||||
Luxembourg |
8.3 |
% |
|||||
Qatar |
6.2 |
% |
|||||
Brazil |
5.2 |
% |
|||||
Netherlands |
5.2 |
% |
|||||
Venezuela |
4.6 |
% |
|||||
Poland |
4.0 |
% |
|||||
Philippines |
3.8 |
% |
|||||
Colombia |
3.5 |
% |
|||||
Hungary |
3.5 |
% |
|||||
Croatia |
3.4 |
% |
|||||
South Africa |
3.0 |
% |
|||||
Lithuania |
2.9 |
% |
|||||
Slovenia |
2.8 |
% |
|||||
Ukraine |
2.8 |
% |
|||||
Cayman Islands |
2.7 |
% |
|||||
Pakistan |
2.7 |
% |
|||||
Serbia |
2.7 |
% |
|||||
United Kingdom |
1.9 |
% |
|||||
Russia |
1.6 |
% |
|||||
Panama |
1.4 |
% |
|||||
Other1 |
2.5 |
% |
|||||
100.0 |
% |
1 Includes any non fixed-income securities and net other assets (liabilities).
See accompanying notes to the financial statements.
34 :: EMSH SHORT TERM USD EMERGING MARKETS BOND ETF :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks �� 17.8% |
|||||||||||||||
185 |
3M Co. (Industrials) |
0.1 |
% |
$ |
29,430 |
||||||||||
500 |
AbbVie, Inc. (Health Care) |
0.1 |
% |
33,295 |
|||||||||||
114 |
Actavis PLC* (Health Care) |
0.1 |
% |
34,976 |
|||||||||||
573 |
Altria Group, Inc.
(Consumer Staples) |
0.1 |
% |
29,338 |
|||||||||||
111 |
Amazon.com, Inc.* (Consumer Discretionary) |
0.1 |
% |
47,645 |
|||||||||||
221 |
Amgen, Inc. (Health Care) |
0.1 |
% |
34,533 |
|||||||||||
1,694 |
Apple, Inc. (Information Technology) |
0.6 |
% |
220,694 |
|||||||||||
1,509 |
AT&T, Inc.
(Telecommunication Services) |
0.1 |
% |
52,121 |
|||||||||||
3,059 |
Bank of America Corp. (Financials) |
0.1 |
% |
50,473 |
|||||||||||
530 |
Berkshire Hathaway, Inc.,
Class B* (Financials) |
0.2 |
% |
75,790 |
|||||||||||
68 |
Biogen, Inc.* (Health Care) |
0.1 |
% |
26,995 |
|||||||||||
190 |
Boeing Co. (The) (Industrials) |
0.1 |
% |
26,699 |
|||||||||||
483 |
Bristol-Myers Squibb Co. (Health Care) |
0.1 |
% |
31,202 |
|||||||||||
233 |
Celgene Corp.* (Health Care) |
0.1 |
% |
26,665 |
|||||||||||
547 |
Chevron Corp. (Energy) |
0.1 |
% |
56,341 |
|||||||||||
1,484 |
Cisco Systems, Inc.
(Information Technology) |
0.1 |
% |
43,496 |
|||||||||||
882 |
Citigroup, Inc. (Financials) |
0.1 |
% |
47,699 |
|||||||||||
1,143 |
Coca-Cola Co. (The)
(Consumer Staples) |
0.1 |
% |
46,817 |
|||||||||||
739 |
Comcast Corp., Class A (Consumer Discretionary) |
0.1 |
% |
43,202 |
|||||||||||
327 |
CVS Health Corp.
(Consumer Staples) |
0.1 |
% |
33,478 |
|||||||||||
1,220 |
Exxon Mobil Corp. (Energy) |
0.3 |
% |
103,944 |
|||||||||||
610 |
Facebook, Inc., Class A*
(Information Technology) |
0.1 |
% |
48,306 |
|||||||||||
2,927 |
General Electric Co. (Industrials) |
0.2 |
% |
79,819 |
|||||||||||
433 |
Gilead Sciences, Inc.*
(Health Care) |
0.1 |
% |
48,613 |
|||||||||||
83 |
Google, Inc., Class A* (Information Technology) |
0.1 |
% |
45,262 |
|||||||||||
83 |
Google, Inc., Class C*
(Information Technology) |
0.1 |
% |
44,165 |
|||||||||||
383 |
Home Depot, Inc. (The) (Consumer Discretionary) |
0.1 |
% |
42,674 |
|||||||||||
1,377 |
Intel Corp. (Information
Technology) |
0.1 |
% |
47,451 |
|||||||||||
267 |
International Business Machines Corp. (Information Technology) |
0.1 |
% |
45,297 |
|||||||||||
809 |
Johnson & Johnson
(Health Care) |
0.2 |
% |
81,013 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (continued) |
|||||||||||||||
1,084 |
JPMorgan Chase & Co. (Financials) |
0.2 |
% |
$ |
71,306 |
||||||||||
279 |
McDonald's Corp.
(Consumer Discretionary) |
0.1 |
% |
26,764 |
|||||||||||
414 |
Medtronic PLC (Health Care) |
0.1 |
% |
31,597 |
|||||||||||
825 |
Merck & Co., Inc.
(Health Care) |
0.1 |
% |
50,234 |
|||||||||||
2,386 |
Microsoft Corp. (Information Technology) |
0.3 |
% |
111,808 |
|||||||||||
932 |
Oracle Corp. (Information
Technology) |
0.1 |
% |
40,533 |
|||||||||||
431 |
PepsiCo, Inc. (Consumer Staples) |
0.1 |
% |
41,561 |
|||||||||||
1,782 |
Pfizer, Inc. (Health Care) |
0.1 |
% |
61,925 |
|||||||||||
450 |
Philip Morris International, Inc. (Consumer Staples) |
0.1 |
% |
37,382 |
|||||||||||
785 |
Procter & Gamble Co.
(The) (Consumer Staples) |
0.1 |
% |
61,536 |
|||||||||||
480 |
QUALCOMM, Inc. (Information Technology) |
0.1 |
% |
33,446 |
|||||||||||
371 |
Schlumberger Ltd. (Energy) |
0.1 |
% |
33,676 |
|||||||||||
240 |
United Technologies Corp. (Industrials) |
0.1 |
% |
28,121 |
|||||||||||
277 |
UnitedHealth Group, Inc.
(Health Care) |
0.1 |
% |
33,298 |
|||||||||||
1,208 |
Verizon Communications, Inc. (Telecommunication Services) |
0.1 |
% |
59,724 |
|||||||||||
564 |
Visa, Inc., Class A
(Information Technology) |
0.1 |
% |
38,736 |
|||||||||||
459 |
Wal-Mart Stores, Inc. (Consumer Staples) |
0.1 |
% |
34,090 |
|||||||||||
455 |
Walt Disney Co. (The)
(Consumer Discretionary) |
0.1 |
% |
50,218 |
|||||||||||
1,363 |
Wells Fargo & Co. (Financials) |
0.2 |
% |
76,273 |
|||||||||||
127,230 |
Other Common Stocks |
11.5 |
% |
4,616,132 |
|||||||||||
Total Common Stocks (Cost $6,200,289) |
7,115,793 |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government &
Agency Security �� 62.7% |
|||||||||||||||
U.S. Treasury Bill |
|||||||||||||||
$ |
25,146,000 |
0.00%, due 07/30/15 |
25,146,100 |
||||||||||||
Total U.S. Government & Agency
Security (Cost $ 25,146,097) |
25,146,100 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: HEDGE REPLICATION ETF HDG :: 35
Principal Amount |
Value |
||||||||||||||
Repurchase Agreement (a) �� 13.5% |
|||||||||||||||
$ |
5,401,267 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $5,401,302 |
$ |
5,401,267 |
|||||||||||
Total Repurchase Agreements
(Cost $5,401,267) |
5,401,267 |
||||||||||||||
Total Investment Securities (Cost $36,747,653) �� 94.0% |
37,663,160 |
||||||||||||||
Other assets less liabilities �� 6.0% |
2,422,546 |
||||||||||||||
Net Assets �� 100.0% |
$ |
40,085,706 |
* Non-income producing security.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
982,850 |
|||||
Aggregate gross unrealized depreciation |
(105,966 |
) |
|||||
Net unrealized appreciation |
$ |
876,884 |
|||||
Federal income tax cost of investments |
$ |
36,786,276 |
Futures Contracts Sold
Hedge Replication ETF had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
Euro FX Currency Futures Contracts |
61 |
06/15/15 |
$ |
4,188,413 |
$ |
(50,480 |
) |
Cash collateral in the amount of $110,715 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
See accompanying notes to the financial statements.
36 :: HDG HEDGE REPLICATION ETF :: MAY 31, 2015 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
Hedge Replication ETF had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||||||
$ |
18,300 |
01/06/16 |
Credit Suisse
International |
(0.07 |
)% |
iShares®
MSCI Emerging Markets ETF |
$ |
18,124 |
|||||||||||||||||||||||||||||||
209,715 |
11/06/15 |
Credit Suisse International |
(0.07 |
)% |
Russell 2000® Total Return Index |
208,745 |
|||||||||||||||||||||||||||||||||
210,488 |
11/06/15 |
Credit Suisse
International |
0.63 |
% |
S&P
500® Total Return Index |
133,878 |
|||||||||||||||||||||||||||||||||
5,921,035 |
01/06/16 |
Credit Suisse International |
(0.12 |
)% |
iShares® MSCI EAFE ETF |
549,017 |
|||||||||||||||||||||||||||||||||
6,359,538 |
909,764 |
$ |
(268,168 |
) |
$ |
(580,000 |
) |
$ |
61,596 |
||||||||||||||||||||||||||||||
133,814 |
11/06/15 |
Deutsche Bank AG |
(0.40 |
)% |
iShares® MSCI Emerging Markets ETF |
134,912 |
|||||||||||||||||||||||||||||||||
243,126 |
01/06/16 |
Deutsche Bank AG |
0.35 |
% |
iShares®
MSCI EAFE ETF |
85,375 |
|||||||||||||||||||||||||||||||||
285,263 |
11/06/15 |
Deutsche Bank AG |
(0.05 |
)% |
Russell 2000® Total Return Index |
285,070 |
|||||||||||||||||||||||||||||||||
662,203 |
505,357 |
�� |
(450,000 |
) |
55,357 |
||||||||||||||||||||||||||||||||||
1,092 |
01/06/16 |
Morgan Stanley & Co. International PLC |
(0.07 |
)% |
iShares® MSCI Emerging Markets ETF |
(449 |
) |
||||||||||||||||||||||||||||||||
34,331 |
11/06/15 |
Morgan Stanley &
Co. International PLC |
0.58 |
% |
S&P 500®
Total Return Index |
(15,268 |
) |
||||||||||||||||||||||||||||||||
35,423 |
(15,717 |
) |
�� |
�� |
(15,717 |
) |
|||||||||||||||||||||||||||||||||
1,768 |
11/06/15 |
Societe Generale |
0.18 |
% |
Russell
2000® Total Return Index |
(7,012 |
) |
||||||||||||||||||||||||||||||||
15,723 |
01/06/16 |
Societe Generale |
0.58 |
% |
iShares® MSCI EAFE ETF |
12,887 |
|||||||||||||||||||||||||||||||||
31,577 |
01/06/16 |
Societe Generale |
(0.57 |
)% |
iShares® MSCI
Emerging Markets ETF |
58,735 |
|||||||||||||||||||||||||||||||||
49,068 |
64,610 |
�� |
(50,000 |
) |
14,610 |
||||||||||||||||||||||||||||||||||
362 |
01/06/16 |
UBS AG |
0.28 |
% |
iShares® MSCI
Emerging Markets ETF |
(464 |
) |
||||||||||||||||||||||||||||||||
3,341 |
11/06/15 |
UBS AG |
0.03 |
% |
Russell 2000® Total Return Index |
(56,460 |
) |
||||||||||||||||||||||||||||||||
23,209 |
01/06/16 |
UBS AG |
0.38 |
% |
iShares® MSCI
EAFE ETF |
2,246 |
|||||||||||||||||||||||||||||||||
26,912 |
(54,678 |
) |
�� |
54,678 |
�� |
||||||||||||||||||||||||||||||||||
$ |
7,133,144 |
$ |
1,409,336 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: HEDGE REPLICATION ETF HDG :: 37
Hedge Replication ETF invested, as a percentage of net assets, in the following industries, as of May 31, 2015:
Consumer Discretionary |
2.3 |
% |
|||||
Consumer Staples |
1.4 |
% |
|||||
Energy |
1.2 |
% |
|||||
Financials |
3.2 |
% |
|||||
Health Care |
2.7 |
% |
|||||
Industrials |
1.9 |
% |
|||||
Information Technology |
3.5 |
% |
|||||
Materials |
0.6 |
% |
|||||
Telecommunication Services |
0.4 |
% |
|||||
Utilities |
0.6 |
% |
|||||
Other1 |
82.2 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
38 :: HDG HEDGE REPLICATION ETF :: MAY 31, 2015 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks �� 88.6% |
|||||||||||
Consumer Discretionary �� 9.6% |
|||||||||||
3,300 |
ANN INC* |
$ |
154,275 |
||||||||
2,079 |
Family Dollar Stores, Inc. |
161,164 |
|||||||||
2,001 |
Life Time Fitness, Inc.* |
143,872 |
|||||||||
850 |
Time Warner Cable, Inc. |
153,756 |
|||||||||
613,067 |
|||||||||||
Consumer Staples �� 5.2% |
|||||||||||
1,703 |
Kraft Foods Group, Inc. |
143,819 |
|||||||||
2,640 |
Lorillard, Inc. |
191,347 |
|||||||||
335,166 |
|||||||||||
Energy �� 6.9% |
|||||||||||
2,352 |
Baker Hughes, Inc. |
151,610 |
|||||||||
8,643 |
BG Group PLC |
150,197 |
|||||||||
6,100 |
Rosetta Resources, Inc.* |
142,496 |
|||||||||
444,303 |
|||||||||||
Financials �� 17.0% |
|||||||||||
5,270 |
Associated Estates Realty Corp. (REIT) |
150,669 |
|||||||||
102,830 |
Banco BPI S.A.* |
157,436 |
|||||||||
1,729 |
City National Corp./CA |
159,379 |
|||||||||
9,252 |
Excel Trust, Inc. (REIT) |
147,014 |
|||||||||
1,154 |
PartnerRe Ltd. |
151,670 |
|||||||||
11,705 |
Susquehanna Bancshares, Inc. |
162,583 |
|||||||||
30,659 |
TSB Banking Group PLC (a)* |
159,087 |
|||||||||
1,087,838 |
|||||||||||
Health Care �� 14.0% |
|||||||||||
�� |
# |
AbbVie, Inc. |
26 |
||||||||
2,456 |
Catamaran Corp.* |
147,032 |
|||||||||
1,989 |
Mylan NV* |
144,461 |
|||||||||
1,600 |
Omnicare, Inc. |
152,464 |
|||||||||
758 |
Perrigo Co. PLC |
144,247 |
|||||||||
750 |
Synageva BioPharma Corp.* |
160,058 |
|||||||||
5,258 |
Synergy Health PLC |
146,502 |
|||||||||
894,790 |
|||||||||||
Industrials �� 9.4% |
|||||||||||
31,280 |
GrafTech International Ltd.* |
158,590 |
|||||||||
1,200 |
Pall Corp. |
149,328 |
|||||||||
24,703 |
Recall Holdings Ltd. |
146,561 |
|||||||||
17,980 |
TNT Express NV |
151,660 |
|||||||||
606,139 |
|||||||||||
Information Technology �� 14.4% |
|||||||||||
37,788 |
Alcatel-Lucent* |
151,194 |
|||||||||
3,000 |
AOL, Inc.* |
150,030 |
|||||||||
3,277 |
IGATE Corp.* |
155,690 |
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
3,147 |
Informatica Corp.* |
$ |
152,315 |
||||||||
8,154 |
Integrated Silicon Solution, Inc. |
167,320 |
|||||||||
22,872 |
Pace PLC |
144,060 |
|||||||||
920,609 |
|||||||||||
Materials �� 9.7% |
|||||||||||
45,618 |
AuRico Gold, Inc. |
151,131 |
|||||||||
17,967 |
Rexam PLC |
153,506 |
|||||||||
1,151 |
Sigma-Aldrich Corp. |
160,334 |
|||||||||
53,500 |
Sirius Resources NL* |
155,024 |
|||||||||
619,995 |
|||||||||||
Utilities �� 2.4% |
|||||||||||
2,852 |
Cleco Corp. |
154,721 |
|||||||||
Total Common Stocks (Cost $5,664,514) |
5,676,628 |
||||||||||
Master Limited Partnership �� 2.1% |
|||||||||||
Energy �� 2.1% |
|||||||||||
10,100 |
Crestwood Midstream Partners LP |
135,542 |
|||||||||
Total Master Limited Partnership (Cost $149,599) |
135,542 |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (b) �� 10.7% |
|||||||||||
$ |
685,985 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $685,989 |
685,985 |
||||||||
Total Repurchase
Agreements (Cost $685,985) |
685,985 |
||||||||||
Total Investment Securities (Cost $6,500,098) �� 101.4% |
6,498,155 |
||||||||||
Liabilities in excess of
other assets �� (1.4%) |
(92,240 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
6,405,915 |
* Non-income producing security.
# Amount represents less than one share.
(a) Security is not registered for public sale, but may be sold to qualified institutional buyers under Rule 144A under the Securities Act of 1933. Unless otherwise noted, these securities are deemed to be liquid.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: MERGER ETF MRGR :: 39
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
81,622 |
|||||
Aggregate gross unrealized depreciation |
(83,565 |
) |
|||||
Net unrealized depreciation |
$ |
(1,943 |
) |
||||
Federal income tax cost of investments |
$ |
6,500,098 |
Forward Currency Contracts
Merger ETF had the following open forward currency contracts as of May 31, 2015:
Currency |
Counterparty |
Delivery Date |
Foreign Currency to Receive (Pay) |
U.S. Dollars
to Receive (Pay) |
Market Value |
Net Unrealized Appreciation/ (Depreciation)1 |
|||||||||||||||||||||
U.S. Dollar vs. Australian Dollar |
Goldman Sachs & Co. |
08/14/15 |
251,000 |
$ |
(201,898 |
) |
$ |
191,125 |
$ |
(10,773 |
) |
||||||||||||||||
U.S. Dollar vs. Canadian Dollar |
Goldman Sachs & Co. |
08/14/15 |
188,000 |
(154,555 |
) |
151,000 |
(3,555 |
) |
|||||||||||||||||||
U.S. Dollar vs. Australian Dollar |
Goldman Sachs & Co. |
08/14/15 |
(476,000 |
) |
371,520 |
362,452 |
9,068 |
||||||||||||||||||||
U.S. Dollar vs. Canadian Dollar |
Goldman Sachs & Co. |
08/14/15 |
(292,000 |
) |
240,557 |
234,532 |
6,025 |
||||||||||||||||||||
U.S. Dollar vs. Euro |
Goldman Sachs & Co. |
08/14/15 |
(362,000 |
) |
405,260 |
398,000 |
7,260 |
||||||||||||||||||||
U.S. Dollar vs. British Pound |
Goldman Sachs & Co. |
08/14/15 |
(554,000 |
) |
837,316 |
846,274 |
(8,958 |
) |
|||||||||||||||||||
$ |
(933 |
)2 |
1 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on forward currency contracts) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on forward currency contracts) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
2 The Net Amount of the Fund's uncollateralized exposure to the counterparty under these contracts is equal to the net unrealized depreciation of $(933). Neither the Fund nor the counterparty has posted Financial Instruments or cash as collateral pursuant to these contracts.
Swap Agreements1
Merger ETF had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(2,456,945 |
) |
11/06/15 |
Societe Generale |
0.52 |
% |
S&P Merger Arbitrage
Index (short exposure to Acquirers) |
$ |
(417,317 |
) |
|||||||||||||||||||||||||
1,551,738 |
11/06/15 |
Societe Generale |
0.63 |
% |
S&P Merger Arbitrage Index (long exposure to Targets) |
36,957 |
|||||||||||||||||||||||||||||
$ |
(905,207 |
) |
$ |
(380,360 |
) |
$ |
�� |
$ |
39,434 |
$ |
(340,926 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received fromthe counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
40 :: MRGR MERGER ETF :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Merger ETF invested, as a percentage of net assets, in the following countries as of May 31, 2015:
United States |
60.1 |
% |
|||||
United Kingdom |
11.8 |
% |
|||||
Australia |
4.7 |
% |
|||||
Portugal |
2.4 |
% |
|||||
Bermuda |
2.4 |
% |
|||||
Canada |
2.4 |
% |
|||||
France |
2.4 |
% |
|||||
Netherlands |
2.3 |
% |
|||||
Ireland |
2.2 |
% |
|||||
Other1 |
9.3 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: MERGER ETF MRGR :: 41
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) �� 97.9% |
|||||||||||||||
21,494 |
AES Corp. (The) (Utilities) |
0.6 |
% |
$ |
292,318 |
||||||||||
13,415 |
Ally Financial, Inc.*
(Financials) |
0.6 |
% |
304,118 |
|||||||||||
9,222 |
American International Group, Inc. (Financials) |
1.1 |
% |
540,501 |
|||||||||||
2,492 |
AmerisourceBergen Corp.
(Health Care) |
0.6 |
% |
280,500 |
|||||||||||
2,162 |
Anthem, Inc. (Health Care) |
0.7 |
% |
362,892 |
|||||||||||
4,761 |
Apache Corp. (Energy) |
0.6 |
% |
284,898 |
|||||||||||
7,791 |
Archer-Daniels-Midland Co. (Consumer Staples) |
0.8 |
% |
411,754 |
|||||||||||
31,954 |
AT&T, Inc.
(Telecommunication Services) |
2.2 |
% |
1,103,691 |
|||||||||||
36,838 |
Bank of America Corp. (Financials) |
1.2 |
% |
607,827 |
|||||||||||
3,800 |
Bunge Ltd. (Consumer
Staples) |
0.7 |
% |
351,728 |
|||||||||||
47,524 |
California Resources Corp. (Energy) |
0.7 |
% |
373,064 |
|||||||||||
3,583 |
Cardinal Health, Inc.
(Health Care) |
0.6 |
% |
315,913 |
|||||||||||
4,039 |
Caterpillar, Inc. (Industrials) |
0.7 |
% |
344,608 |
|||||||||||
10,796 |
CenturyLink, Inc.
(Telecommunication Services) |
0.7 |
% |
358,859 |
|||||||||||
7,628 |
Chevron Corp. (Energy) |
1.6 |
% |
785,684 |
|||||||||||
11,642 |
Citigroup, Inc. (Financials) |
1.3 |
% |
629,599 |
|||||||||||
7,835 |
ConocoPhillips (Energy) |
1.0 |
% |
498,933 |
|||||||||||
12,605 |
Exelon Corp. (Utilities) |
0.8 |
% |
426,427 |
|||||||||||
5,582 |
Exxon Mobil Corp. (Energy) |
1.0 |
% |
475,586 |
|||||||||||
8,817 |
FirstEnergy Corp. (Utilities) |
0.6 |
% |
314,591 |
|||||||||||
26,066 |
Ford Motor Co. (Consumer Discretionary) |
0.8 |
% |
395,421 |
|||||||||||
14,778 |
Freeport-McMoRan, Inc.
(Materials) |
0.6 |
% |
290,388 |
|||||||||||
24,372 |
General Electric Co. (Industrials) |
1.3 |
% |
664,624 |
|||||||||||
11,529 |
General Motors Co.
(Consumer Discretionary) |
0.8 |
% |
414,698 |
|||||||||||
1,591 |
Goldman Sachs Group, Inc. (The) (Financials) |
0.6 |
% |
328,048 |
|||||||||||
4,145 |
HCA Holdings, Inc.*
(Health Care) |
0.7 |
% |
339,185 |
|||||||||||
11,939 |
Hewlett-Packard Co. (Information Technology) |
0.8 |
% |
398,763 |
|||||||||||
10,653 |
Ingram Micro, Inc., Class
A* (Information Technology) |
0.6 |
% |
285,607 |
|||||||||||
14,436 |
Intel Corp. (Information Technology) |
1.0 |
% |
497,465 |
|||||||||||
3,230 |
International Business
Machines Corp. (Information Technology) |
1.1 |
% |
547,969 |
|||||||||||
3,533 |
Johnson & Johnson (Health Care) |
0.7 |
% |
353,795 |
|||||||||||
11,039 |
JPMorgan Chase & Co.
(Financials) |
1.4 |
% |
726,145 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
4,131 |
Kroger Co. (The) (Consumer Staples) |
0.6 |
% |
$ |
300,737 |
||||||||||
11,237 |
Marathon Oil Corp. (Energy) |
0.6 |
% |
305,534 |
|||||||||||
1,271 |
McKesson Corp. (Health Care) |
0.6 |
% |
301,519 |
|||||||||||
6,167 |
Merck & Co., Inc.
(Health Care) |
0.7 |
% |
375,509 |
|||||||||||
5,945 |
MetLife, Inc. (Financials) |
0.6 |
% |
310,686 |
|||||||||||
8,708 |
Microsoft Corp.
(Information Technology) |
0.8 |
% |
408,057 |
|||||||||||
13,823 |
Pfizer, Inc. (Health Care) |
1.0 |
% |
480,349 |
|||||||||||
3,672 |
Philip Morris
International, Inc. (Consumer Staples) |
0.6 |
% |
305,033 |
|||||||||||
5,885 |
Phillips 66 (Energy) |
0.9 |
% |
465,621 |
|||||||||||
4,071 |
Prudential Financial, Inc.
(Financials) |
0.7 |
% |
344,447 |
|||||||||||
3,973 |
Target Corp. (Consumer Discretionary) |
0.6 |
% |
315,138 |
|||||||||||
9,977 |
Telephone & Data
Systems, Inc. (Telecommunication Services) |
0.6 |
% |
296,217 |
|||||||||||
2,525 |
Time Warner Cable, Inc. (Consumer Discretionary) |
0.9 |
% |
456,747 |
|||||||||||
3,056 |
Travelers Cos., Inc. (The)
(Financials) |
0.6 |
% |
309,023 |
|||||||||||
2,508 |
UnitedHealth Group, Inc. (Health Care) |
0.6 |
% |
301,487 |
|||||||||||
7,691 |
Valero Energy Corp. (Energy) |
0.9 |
% |
455,615 |
|||||||||||
6,019 |
Wal-Mart Stores, Inc. (Consumer Staples) |
0.9 |
% |
447,031 |
|||||||||||
1,112,936 |
Other Common Stocks |
57.2 |
% |
28,669,215 |
|||||||||||
Total Common Stocks (Cost $45,179,343) |
49,153,564 |
||||||||||||||
Principal Amount |
|||||||||||||||
Repurchase Agreements (a)(b) �� 24.2% |
|||||||||||||||
$ |
12,176,250 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $12,176,326 |
12,176,250 |
||||||||||||
Total Repurchase Agreements
(Cost $12,176,250) |
12,176,250 |
||||||||||||||
Total Investment Securities (Cost $57,355,593) �� 122.1% |
61,329,814 |
||||||||||||||
Liabilities in excess of
other assets �� (22.1%) |
(11,111,615 |
) |
|||||||||||||
Net Assets �� 100.0% |
$ |
50,218,199 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $25,048,236.
See accompanying notes to the financial statements.
42 :: RALS RAFI® LONG/SHORT :: MAY 31, 2015 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
5,268,691 |
|||||
Aggregate gross unrealized depreciation |
(1,721,383 |
) |
|||||
Net unrealized appreciation |
$ |
3,547,308 |
|||||
Federal income tax cost of investments |
$ |
57,782,506 |
Swap Agreements1
RAFI® Long/Short had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(45,193,865 |
) |
11/06/15 |
Deutsche Bank AG |
(0.10 |
)% |
RAFI® US Equity
Long/Short Index (short portion) |
$ |
(7,040,602 |
) |
$ |
6,734,714 |
$ |
305,888 |
$ |
�� |
|||||||||||||||||||
(4,528,863 |
) |
11/06/15 |
Societe Generale |
0.22 |
% |
RAFI® US Equity Long/Short Index (short portion) |
(4,985,078 |
) |
|||||||||||||||||||||||||||
628,546 |
11/06/15 |
Societe Generale |
0.28 |
% |
RAFI® US
Equity Long/Short Index (long portion) |
348,873 |
|||||||||||||||||||||||||||||
(3,900,317 |
) |
(4,636,205 |
) |
4,420,242 |
215,963 |
�� |
|||||||||||||||||||||||||||||
$ |
(49,094,182 |
) |
$ |
(11,676,807 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: RAFI® LONG/SHORT RALS :: 43
RAFI® Long/Short invested, as a percentage of net assets, in the following industries, as of May 31, 2015:
Consumer Discretionary |
11.5 |
% |
|||||
Consumer Staples |
7.6 |
% |
|||||
Energy |
11.2 |
% |
|||||
Financials |
21.6 |
% |
|||||
Health Care |
10.8 |
% |
|||||
Industrials |
11.2 |
% |
|||||
Information Technology |
11.0 |
% |
|||||
Materials |
3.8 |
% |
|||||
Telecommunication Services |
3.9 |
% |
|||||
Utilities |
5.3 |
% |
|||||
Other1 |
2.1 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
44 :: RALS RAFI® LONG/SHORT :: MAY 31, 2015 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Long-Term U.S.
Treasury Obligation �� 90.6% |
|||||||||||
U.S. Treasury Inflation Index Bonds |
|||||||||||
$ |
3,654,987 |
0.75%, due 02/15/45 |
$ |
3,505,597 |
|||||||
Total Long-Term U.S. Treasury Obligation (Cost $3,698,331) |
3,505,597 |
||||||||||
Repurchase Agreements (a) �� 5.6% |
|||||||||||
216,249 |
Repurchase Agreements with various counterparties,rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $216,249 |
216,249 |
|||||||||
Total Repurchase
Agreements (Cost $216,249) |
216,249 |
||||||||||
Total Investment Securities (Cost $3,914,580) �� 96.2% |
3,721,846 |
||||||||||
Other assets less liabilities �� 3.8% |
146,773 |
||||||||||
Net Assets �� 100.0% |
$ |
3,868,619 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
�� |
|||||
Aggregate gross unrealized depreciation |
(192,734 |
) |
|||||
Net unrealized depreciation |
$ |
(192,734 |
) |
||||
Federal income tax cost of investments |
$ |
3,914,580 |
Swap Agreements1
30 Year TIPS/TSY Spread had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(2,501,043 |
) |
05/06/16 |
Citibank, N.A. |
0.17 |
% |
Credit Suisse
30-Year Inflation Breakeven Index (duration- adjusted short exposure to U.S. Treasury bonds) |
$ |
(72,812 |
) |
|||||||||||||||||||||||||
207,727 |
05/06/16 |
Citibank, N.A. |
(0.08 |
)% |
Credit Suisse 30-Year Inflation Breakeven Index (long exposure to 30-year Treasury Inflation-Protected Securities (TIPS) bond) |
7,560 |
|||||||||||||||||||||||||||||
(2,293,316 |
) |
(65,252 |
) |
$ |
�� |
$ |
65,252 |
$ |
�� |
||||||||||||||||||||||||||
(2,532,008 |
) |
01/06/16 |
Societe Generale |
0.32 |
% |
Credit Suisse 30-Year Inflation Breakeven Index (duration- adjusted short exposure to U.S. Treasury bonds) |
(95,669 |
) |
|||||||||||||||||||||||||||
142,341 |
11/06/15 |
Societe Generale |
0.23 |
% |
Credit Suisse
30-Year Inflation Breakeven Index (long exposure to 30-year Treasury Inflation-Protected Securities (TIPS) bond) |
9,074 |
|||||||||||||||||||||||||||||
(2,389,667 |
) |
(86,595 |
) |
�� |
86,595 |
�� |
|||||||||||||||||||||||||||||
$ |
(4,682,983 |
) |
$ |
(151,847 |
) |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: 30 YEAR TIPS/TSY SPREAD RINF :: 45
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
46 :: RINF 30 YEAR TIPS/TSY SPREAD :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) �� 95.4% |
|||||||||||
$ |
5,784,702 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $5,784,737 |
$ |
5,784,702 |
|||||||
Total Repurchase
Agreements (Cost $5,784,702) |
5,784,702 |
||||||||||
Total Investment Securities (Cost $5,784,702) † �� 95.4% |
5,784,702 |
||||||||||
Other assets less liabilities �� 4.6% |
279,228 |
||||||||||
Net Assets �� 100.0% |
$ |
6,063,930 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Credit Default Swap Agreements �� Sell protection (a)
Underlying Instrument |
Fixed Deal Receive Rate |
Maturity Date |
Implied Credit Spread at May 31, 2015 (b) |
Notional Amount (c) |
Value |
Premiums Paid(Received) |
Unrealized Appreciation |
||||||||||||||||||||||||
CDX North American High
Yield Index; Version 3, Series 23* |
5.00 |
% |
12/20/19 |
2.97 |
% |
$ |
842,800 |
** |
$ |
78,573 |
$ |
51,863 |
$ |
26,710 |
|||||||||||||||||
CDX North American High Yield Index;
Version 1, Series 24 |
5.00 |
% |
06/20/20 |
3.39 |
% |
4,740,000 |
383,271 |
320,580 |
62,691 |
||||||||||||||||||||||
$ |
461,844 |
$ |
372,443 |
$ |
89,401 |
* As of May 31, 2015, the CDX North America High Yield Index included securities which had defaulted and represented 2% of the Index.
** Reflects the notional amount after the default of securities.
(a) When a credit event occurs as defined under the terms of the swap agreement, the Fund as a seller of credit protection would be required to pay a) the full notional value of the swap; or b) the difference between the notional value of the defaulted reference entity and the recovery price/rate for the defaulted reference entity.
(b) Implied credit spread, represented in absolute terms, utilized in determining the market value of the credit default swap agreements as of period end will serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/selling protection and may include payments required to be made to enter into the agreement. Generally, wider credit spreads represent a perceived deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap agreement.
(c) The notional amount represents the maximum potential payment the Fund could be required to make as a seller of credit protection if a credit event occurs, as defined under the terms of the swap agreement, for each security included in the CDX North American High Yield Index.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: CDS NORTH AMERICAN HY CREDIT ETF TYTE :: 47
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) �� 97.3% |
|||||||||||
$ |
7,436,486 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $7,436,531 |
$ |
7,436,486 |
|||||||
Total Repurchase Agreements
(Cost $7,436,486) |
7,436,486 |
||||||||||
Total Investment Securities (Cost $7,436,486) † �� 97.3% |
7,436,486 |
||||||||||
Other assets less liabilities �� 2.7% |
207,775 |
||||||||||
Net Assets �� 100.0% |
$ |
7,644,261 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Credit Default Swap Agreements �� Buy protection (a)
Underlying Instrument |
Fixed Deal Pay Rate |
Maturity Date |
Implied Credit Spread at May 31, 2015 (b) |
Notional Amount (c) |
Value |
Premiums Paid(Received) |
Unrealized Depreciation |
||||||||||||||||||||||||
CDX North American High
Yield Index; Version 3, Series 23* |
5.00 |
% |
12/20/19 |
2.97 |
% |
$ |
872,200 |
** |
$ |
(81,314 |
) |
$ |
(64,206 |
) |
$ |
(17,108 |
) |
||||||||||||||
CDX North American High Yield Index;
Version 1, Series 24 |
5.00 |
% |
06/20/20 |
3.39 |
% |
6,110,000 |
(494,048 |
) |
(413,162 |
) |
(80,886 |
) |
|||||||||||||||||||
$ |
(575,362 |
) |
$ |
(477,368 |
) |
$ |
(97,994 |
) |
* As of May 31, 2015, the CDX North America High Yield Index included securities which had defaulted and represented 2% of the Index.
** Reflects the notional amount after the default of securities.
(a) When a credit event occurs as defined under the terms of the swap agreement, the Fund as a buyer of credit protection would have the right to deliver a reference obligation and receive the par (or other agreed-upon) value of such obligation from the counterparty in the event of a default or other credit event (such as a credit downgrade).
(b) Implied credit spread, represented in absolute terms, utilized in determining the market value of the credit default swap agreements as of period end will serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/selling protection and may include payments required to be made to enter into the agreement. Generally, wider credit spreads represent a perceived deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap agreement.
(c) The notional amount represents the maximum potential amount the Fund may receive as a buyer of credit protection if a credit event occurs, as defined under the terms of the swap agreement, for each security included in the CDX North American High Yield Index.
See accompanying notes to the financial statements.
48 :: WYDE CDS SHORT NORTH AMERICAN HY CREDIT ETF :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 75.7% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
50,000,000 |
0.00%, due 06/11/15 |
$ |
49,998,847 |
|||||||
100,000,000 |
0.00%, due 06/25/15 |
99,995,833 |
|||||||||
90,000,000 |
0.00%, due 07/02/15 |
89,995,737 |
|||||||||
30,000,000 |
0.00%, due 07/16/15 |
29,999,625 |
|||||||||
100,000,000 |
0.00%, due 07/23/15 |
99,996,620 |
|||||||||
40,000,000 |
0.00%, due 07/30/15 |
39,998,689 |
|||||||||
100,000,000 |
0.00%, due 08/06/15 |
100,000,900 |
|||||||||
50,000,000 |
0.00%, due 08/20/15 |
50,000,001 |
|||||||||
100,000,000 |
0.00%, due 08/27/15 |
100,000,000 |
|||||||||
50,000,000 |
0.00%, due 09/10/15 |
49,999,300 |
|||||||||
180,000,000 |
0.00%, due 09/17/15 |
179,993,160 |
|||||||||
135,000,000 |
0.00%, due 10/01/15 |
134,997,705 |
|||||||||
70,000,000 |
0.00%, due 10/08/15 |
69,994,330 |
|||||||||
40,000,000 |
0.00%, due 10/15/15 |
39,996,600 |
|||||||||
30,000,000 |
0.00%, due 11/12/15 |
29,993,850 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $1,164,905,633) |
1,164,961,197 |
||||||||||
Repurchase Agreements (a)(b) �� 35.7% |
|||||||||||
550,221,982 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $550,225,404 |
550,221,982 |
|||||||||
Total Repurchase Agreements
(Cost $550,221,982) |
550,221,982 |
||||||||||
Total Investment Securities (Cost $1,715,127,615) �� 111.4% |
1,715,183,179 |
||||||||||
Liabilities in excess of
other assets �� (11.4%) |
(175,793,593 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
1,539,389,586 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $295,349,569.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
55,564 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
55,564 |
|||||
Federal income tax cost of investments |
$ |
1,715,127,615 |
Futures Contracts Sold
Short S&P500® had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini S&P 500 Futures Contracts |
2,493 |
06/19/15 |
$ |
262,388,250 |
$ |
(2,661,656 |
) |
Cash collateral in the amount of $12,614,580 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: SHORT S&P500® SH :: 49
Swap Agreements1
Short S&P500® had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(264,121,390 |
) |
11/07/16 |
Bank of
America, N.A. |
(0.53 |
)% |
S&P 500® |
$ |
(17,451,482 |
) |
$ |
17,451,482 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(109,994,345 |
) |
02/08/16 |
Citibank, N.A. |
(0.35 |
)% |
S&P 500® |
(8,322,187 |
) |
8,322,187 |
�� |
�� |
||||||||||||||||||||||||
(100,795,475 |
) |
11/06/15 |
Credit Suisse
International |
(0.33 |
)% |
S&P 500® |
(36,869,916 |
) |
36,869,916 |
�� |
�� |
||||||||||||||||||||||||
(73,381,568 |
) |
11/06/15 |
Deutsche Bank AG |
(0.20 |
)% |
S&P 500® |
(9,778,029 |
) |
|||||||||||||||||||||||||||
(2,208,551 |
) |
11/06/15 |
Deutsche Bank AG |
(0.08 |
)% |
SPDR® S&P 500®
ETF Trust |
(472,664 |
) |
|||||||||||||||||||||||||||
(75,590,119 |
) |
(10,250,693 |
) |
9,394,194 |
�� |
(856,499 |
) |
||||||||||||||||||||||||||||
(189,755,220 |
) |
01/06/16 |
Goldman Sachs
International |
(0.30 |
)% |
S&P 500® |
(5,707,980 |
) |
5,707,980 |
�� |
�� |
||||||||||||||||||||||||
(101,388,925 |
) |
01/06/16 |
Morgan Stanley & Co. International PLC |
(0.38 |
)% |
S&P 500® |
(9,342,922 |
) |
9,342,922 |
�� |
�� |
||||||||||||||||||||||||
(132,421,910 |
) |
11/06/15 |
Societe Generale |
(0.38 |
)% |
S&P 500® |
(48,188,871 |
) |
48,188,871 |
�� |
�� |
||||||||||||||||||||||||
(303,029,311 |
) |
11/07/16 |
UBS AG |
(0.33 |
)% |
S&P 500® |
(21,441,455 |
) |
21,441,455 |
�� |
�� |
||||||||||||||||||||||||
$ |
(1,277,096,695 |
) |
$ |
(157,575,506 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
50 :: SH SHORT S&P500® :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 89.4% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
50,000,000 |
0.00%, due 06/11/15 |
$ |
49,998,785 |
|||||||
40,000,000 |
0.00%, due 06/18/15 |
39,999,056 |
|||||||||
28,000,000 |
0.00%, due 07/09/15 |
27,999,394 |
|||||||||
25,000,000 |
0.00%, due 07/30/15 |
24,999,295 |
|||||||||
20,000,000 |
0.00%, due 10/15/15 |
19,998,300 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $162,989,277) |
162,994,830 |
||||||||||
Repurchase Agreements (a)(b) �� 33.7% |
|||||||||||
61,378,534 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $61,378,917 |
61,378,534 |
|||||||||
Total Repurchase Agreements
(Cost $61,378,534) |
61,378,534 |
||||||||||
Total Investment Securities (Cost $224,367,811) �� 123.1% |
224,373,364 |
||||||||||
Liabilities in excess of
other assets �� (23.1%) |
(42,080,529 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
182,292,835 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $59,089,897.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
5,553 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
5,553 |
|||||
Federal income tax cost of investments |
$ |
224,367,811 |
Futures Contracts Sold
Short QQQ® had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini NASDAQ-100 Futures Contracts |
251 |
06/19/15 |
$ |
22,635,180 |
$ |
(39,072 |
) |
Cash collateral in the amount of $993,960 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: SHORT QQQ® PSQ :: 51
Swap Agreements1
Short QQQ® had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(14,874,627 |
) |
11/07/16 |
Bank of America,
N.A. |
(0.48 |
)% |
NASDAQ-100 Index® |
$ |
(2,093,930 |
) |
$ |
2,093,930 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(11,309,062 |
) |
04/06/16 |
Citibank, N.A. |
(0.40 |
)% |
NASDAQ-100 Index® |
(1,336,348 |
) |
1,336,348 |
�� |
�� |
||||||||||||||||||||||||
(14,803,597 |
) |
11/06/15 |
Credit Suisse
International |
(0.28 |
)% |
NASDAQ-100 Index® |
(5,676,118 |
) |
5,676,118 |
�� |
�� |
||||||||||||||||||||||||
(5,847,955 |
) |
11/06/15 |
Deutsche Bank AG |
(0.30 |
)% |
NASDAQ-100 Index® |
(3,492,142 |
) |
3,492,142 |
�� |
�� |
||||||||||||||||||||||||
(27,189,279 |
) |
12/07/15 |
Goldman Sachs
International |
(0.35 |
)% |
NASDAQ-100 Index® |
(2,030,749 |
) |
2,030,749 |
�� |
�� |
||||||||||||||||||||||||
(2,412,750 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
(0.33 |
)% |
NASDAQ-100 Index® |
(1,378,540 |
) |
|||||||||||||||||||||||||||
(1,715,883 |
) |
11/06/15 |
Morgan Stanley &
Co. International PLC |
0.02 |
% |
PowerShares QQQ
TrustSM, Series 1 |
(497,881 |
) |
|||||||||||||||||||||||||||
(4,128,633 |
) |
(1,876,421 |
) |
1,806,929 |
�� |
(69,492 |
) |
||||||||||||||||||||||||||||
(32,350,863 |
) |
11/06/15 |
Societe Generale |
(0.43 |
)% |
NASDAQ-100 Index® |
(22,760,531 |
) |
19,760,531 |
3,000,000 |
�� |
||||||||||||||||||||||||
(49,170,679 |
) |
11/07/16 |
UBS AG |
(0.28 |
)% |
NASDAQ-100 Index® |
(6,657,156 |
) |
6,657,156 |
�� |
�� |
||||||||||||||||||||||||
$ |
(159,674,695 |
) |
$ |
(45,923,395 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
52 :: PSQ SHORT QQQ® :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 73.1% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
45,000,000 |
0.00%, due 06/25/15 |
$ |
44,998,350 |
|||||||
20,000,000 |
0.00%, due 08/20/15 |
20,000,000 |
|||||||||
25,000,000 |
0.00%, due 09/10/15 |
24,999,650 |
|||||||||
95,000,000 |
0.00%, due 10/15/15 |
94,991,925 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $184,961,647) |
184,989,925 |
||||||||||
Repurchase Agreements (a)(b) �� 38.3% |
|||||||||||
96,969,313 |
Repurchase Agreements with
various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $96,969,915 |
96,969,313 |
|||||||||
Total Repurchase Agreements (Cost $96,969,313) |
96,969,313 |
||||||||||
Total Investment
Securities (Cost $281,930,960) �� 111.4% |
281,959,238 |
||||||||||
Liabilities in excess of other assets �� (11.4%) |
(28,746,221 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
253,213,017 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $45,818,674.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
28,278 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
28,278 |
|||||
Federal income tax cost of investments |
$ |
281,930,960 |
Futures Contracts Sold
Short Dow30SM had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini Dow Jones Industrial Average Futures Contracts |
343 |
06/19/15 |
$ |
30,868,285 |
$ |
6,530 |
Cash collateral in the amount of $1,471,470 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: SHORT DOW30SM DOG :: 53
Swap Agreements1
Short Dow30SM had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(33,376,542 |
) |
11/07/16 |
Bank of America,
N.A. |
(0.48 |
)% |
Dow Jones Industrial
AverageSM |
$ |
(1,706,420 |
) |
$ |
1,706,420 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(11,259,837 |
) |
04/06/16 |
Citibank, N.A. |
(0.30 |
)% |
Dow Jones Industrial AverageSM |
(196,506 |
) |
196,506 |
�� |
�� |
||||||||||||||||||||||||
(70,228,099 |
) |
11/06/15 |
Credit Suisse
International |
(0.28 |
)% |
Dow Jones Industrial
AverageSM |
(13,593,773 |
) |
13,593,773 |
�� |
�� |
||||||||||||||||||||||||
(2,617,948 |
) |
11/06/15 |
Deutsche Bank AG |
0.05 |
% |
Dow Jones Industrial AverageSM |
(560,299 |
) |
|||||||||||||||||||||||||||
(944,006 |
) |
11/06/15 |
Deutsche Bank AG |
0.10 |
% |
SPDR® Dow Jones
Industrial AverageSM ETF Trust |
(390,885 |
) |
|||||||||||||||||||||||||||
(3,561,954 |
) |
(951,184 |
) |
874,917 |
�� |
(76,267 |
) |
||||||||||||||||||||||||||||
(24,271,101 |
) |
12/07/15 |
Goldman Sachs
International |
(0.45 |
)% |
Dow Jones Industrial
AverageSM |
(649,016 |
) |
649,016 |
�� |
�� |
||||||||||||||||||||||||
(76,631,867 |
) |
11/06/15 |
Societe Generale |
(0.43 |
)% |
Dow Jones Industrial AverageSM |
(12,504,138 |
) |
12,504,138 |
�� |
�� |
||||||||||||||||||||||||
(3,023,710 |
) |
11/07/16 |
UBS AG |
(0.28 |
)% |
Dow Jones Industrial
AverageSM |
(388,955 |
) |
388,955 |
�� |
�� |
||||||||||||||||||||||||
$ |
(222,353,110 |
) |
$ |
(29,989,992 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
54 :: DOG SHORT DOW30SM :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) �� 44.0% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
10,000,000 |
0.00%, due 06/11/15 |
$ |
9,999,770 |
|||||||
Total U.S. Government & Agency
Security (Cost $9,999,770) |
9,999,770 |
||||||||||
Repurchase Agreements (a)(b) �� 85.2% |
|||||||||||
19,336,820 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $19,336,939 |
19,336,820 |
|||||||||
Total Repurchase Agreements
(Cost $19,336,820) |
19,336,820 |
||||||||||
Total Investment Securities (Cost $29,336,590) † �� 129.2% |
29,336,590 |
||||||||||
Liabilities in excess of
other assets �� (29.2%) |
(6,637,817 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
22,698,773 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $7,897,978.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
Short MidCap400 had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini S&P MidCap 400 Futures Contracts |
30 |
06/19/15 |
$ |
4,567,500 |
$ |
(21,081 |
) |
Cash collateral in the amount of $221,100 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
Swap Agreements1
Short MidCap400 had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(3,613,267 |
) |
11/07/16 |
Bank of America,
N.A. |
(0.08 |
)% |
S&P MidCap 400® |
$ |
(354,728 |
) |
$ |
304,728 |
$ |
50,000 |
$ |
�� |
|||||||||||||||||||
(7,800,051 |
) |
11/06/15 |
Credit Suisse International |
(0.18 |
)% |
S&P MidCap 400® |
(3,908,367 |
) |
3,908,367 |
�� |
�� |
||||||||||||||||||||||||
(2,585,818 |
) |
11/06/15 |
Deutsche Bank AG |
0.25 |
% |
S&P MidCap 400® |
(611,106 |
) |
611,106 |
�� |
�� |
||||||||||||||||||||||||
(2,047,316 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.07 |
% |
S&P MidCap 400® |
(1,279,397 |
) |
1,279,397 |
�� |
�� |
||||||||||||||||||||||||
(2,073,138 |
) |
11/06/15 |
Societe Generale |
(0.08 |
)% |
S&P MidCap 400® |
(1,011,833 |
) |
552,998 |
260,000 |
(198,835 |
) |
|||||||||||||||||||||||
$ |
(18,119,590 |
) |
$ |
(7,165,431 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: SHORT MIDCAP400 MYY :: 55
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 70.1% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
60,000,000 |
0.00%, due 06/04/15 |
$ |
59,999,918 |
|||||||
40,000,000 |
0.00%, due 06/11/15 |
39,999,033 |
|||||||||
50,000,000 |
0.00%, due 06/18/15 |
49,998,926 |
|||||||||
50,000,000 |
0.00%, due 07/09/15 |
49,997,308 |
|||||||||
80,000,000 |
0.00%, due 08/13/15 |
80,000,800 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $279,988,129) |
279,995,985 |
||||||||||
Repurchase Agreements (a)(b) �� 39.6% |
|||||||||||
158,376,306 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $158,377,290 |
158,376,306 |
|||||||||
Total Repurchase Agreements
(Cost $158,376,306) |
158,376,306 |
||||||||||
Total Investment Securities (Cost $438,364,435) �� 109.7% |
438,372,291 |
||||||||||
Liabilities in excess of
other assets �� (9.7%) |
(38,637,843 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
399,734,448 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $66,590,400.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
7,856 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
7,856 |
|||||
Federal income tax cost of investments |
$ |
438,364,435 |
Futures Contracts Sold
Short Russell2000 had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini Russell 2000 Futures Contracts |
360 |
06/19/15 |
$ |
44,780,400 |
$ |
280,253 |
Cash collateral in the amount of $2,019,600 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
See accompanying notes to the financial statements.
56 :: RWM SHORT RUSSELL2000 :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
Short Russell2000 had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(152,110,191 |
) |
11/07/16 |
Bank of America, N.A. |
0.32 |
% |
Russell 2000® Index |
$ |
(15,416,149 |
) |
$ |
15,416,149 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(10,719,396 |
) |
04/06/16 |
Citibank, N.A. |
0.55 |
% |
Russell 2000® Index |
(170,337 |
) |
109,000 |
�� |
(61,337 |
) |
|||||||||||||||||||||||
(9,081,826 |
) |
11/06/15 |
Credit Suisse
International |
0.62 |
% |
Russell 2000® Index |
(8,118,093 |
) |
8,118,093 |
�� |
�� |
||||||||||||||||||||||||
(2,373,216 |
) |
11/06/15 |
Deutsche Bank AG |
0.85 |
% |
Russell 2000® Index |
(535,866 |
) |
|||||||||||||||||||||||||||
(591,328 |
) |
11/06/15 |
Deutsche Bank AG |
0.85 |
% |
iShares® Russell 2000
ETF |
(70,301 |
) |
|||||||||||||||||||||||||||
(2,964,544 |
) |
(606,167 |
) |
606,167 |
�� |
�� |
|||||||||||||||||||||||||||||
(139,839,973 |
) |
12/07/15 |
Goldman Sachs
International |
0.45 |
% |
Russell 2000® Index |
(10,576,386 |
) |
10,146,386 |
430,000 |
�� |
||||||||||||||||||||||||
(16,252,109 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.52 |
% |
Russell 2000® Index |
(2,554,203 |
) |
|||||||||||||||||||||||||||
(931,688 |
) |
11/06/15 |
Morgan Stanley &
Co. International PLC |
0.72 |
% |
iShares® Russell 2000
ETF |
(644,609 |
) |
|||||||||||||||||||||||||||
(17,183,797 |
) |
(3,198,812 |
) |
3,198,812 |
�� |
�� |
|||||||||||||||||||||||||||||
(2,707,273 |
) |
11/06/15 |
Societe Generale |
0.52 |
% |
Russell 2000® Index |
(1,956,272 |
) |
1,797,992 |
�� |
(158,280 |
) |
|||||||||||||||||||||||
(20,547,297 |
) |
11/07/16 |
UBS AG |
0.42 |
% |
Russell 2000® Index |
(912,142 |
) |
192,998 |
�� |
(719,144 |
) |
|||||||||||||||||||||||
$ |
(355,154,297 |
) |
$ |
(40,954,358 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: SHORT RUSSELL2000 RWM :: 57
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 49.8% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
2,000,000 |
0.00%, due 07/16/15 |
$ |
1,999,938 |
|||||||
6,000,000 |
0.00%, due 10/15/15 |
5,999,490 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $7,997,762) |
7,999,428 |
||||||||||
Repurchase Agreements (a)(b) �� 60.8% |
|||||||||||
9,771,967 |
Repurchase Agreements with
various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $9,772,027 |
9,771,967 |
|||||||||
Total Repurchase Agreements (Cost $9,771,967) |
9,771,967 |
||||||||||
Total Investment
Securities (Cost $17,769,729) �� 110.6% |
17,771,395 |
||||||||||
Liabilities in excess of other assets �� (10.6%) |
(1,709,276 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
16,062,119 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $2,723,743.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
1,666 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
1,666 |
|||||
Federal income tax cost of investments |
$ |
17,769,729 |
Swap Agreements1
Short SmallCap600 had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(6,447,811 |
) |
11/06/15 |
Bank of America,
N.A. |
(0.03 |
)% |
S&P SmallCap 600® |
$ |
(697,194 |
) |
$ |
697,194 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(3,597,444 |
) |
02/08/16 |
Citibank, N.A. |
0.05 |
% |
S&P SmallCap 600® |
(179,119 |
) |
179,119 |
�� |
�� |
||||||||||||||||||||||||
(1,572,911 |
) |
11/06/15 |
Credit Suisse
International |
0.27 |
% |
S&P SmallCap 600® |
(240,756 |
) |
240,756 |
�� |
�� |
||||||||||||||||||||||||
(1,686,741 |
) |
11/06/15 |
Deutsche Bank AG |
0.65 |
% |
S&P SmallCap 600® |
(153,061 |
) |
53,995 |
�� |
(99,066 |
) |
|||||||||||||||||||||||
(1,352,750 |
) |
11/06/15 |
Morgan Stanley &
Co. International PLC |
0.37 |
% |
S&P SmallCap 600® |
(197,094 |
) |
150,986 |
�� |
(46,108 |
) |
|||||||||||||||||||||||
(1,389,255 |
) |
11/06/15 |
Societe Generale |
0.42 |
% |
S&P SmallCap 600® |
(204,732 |
) |
49,995 |
�� |
(154,737 |
) |
|||||||||||||||||||||||
$ |
(16,046,912 |
) |
$ |
(1,671,956 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
58 :: SBB SHORT SMALLCAP600 :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 85.9% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
35,000,000 |
0.00%, due 06/18/15 |
$ |
34,999,398 |
|||||||
10,000,000 |
0.00%, due 07/16/15 |
9,999,750 |
|||||||||
70,000,000 |
0.00%, due 07/23/15 |
69,997,856 |
|||||||||
90,000,000 |
0.00%, due 08/13/15 |
90,000,900 |
|||||||||
117,000,000 |
0.00%, due 08/20/15 |
117,000,000 |
|||||||||
65,000,000 |
0.00%, due 08/27/15 |
65,000,000 |
|||||||||
65,000,000 |
0.00%, due 09/03/15 |
64,997,465 |
|||||||||
100,000,000 |
0.00%, due 09/10/15 |
99,998,600 |
|||||||||
180,000,000 |
0.00%, due 09/17/15 |
179,993,160 |
|||||||||
320,000,000 |
0.00%, due 10/15/15 |
319,972,800 |
|||||||||
130,000,000 |
0.00%, due 11/12/15 |
129,973,350 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $1,181,755,171) |
1,181,933,279 |
||||||||||
Repurchase Agreements (a)(b) �� 30.8% |
|||||||||||
424,219,669 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $424,222,306 |
424,219,669 |
|||||||||
Total Repurchase Agreements
(Cost $424,219,669) |
424,219,669 |
||||||||||
Total Investment Securities (Cost $1,605,974,840) �� 116.7% |
1,606,152,948 |
||||||||||
Liabilities in excess of
other assets �� (16.7%) |
(229,926,233 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
1,376,226,715 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $397,768,203.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
178,946 |
|||||
Aggregate gross unrealized depreciation |
(838 |
) |
|||||
Net unrealized appreciation |
$ |
178,108 |
|||||
Federal income tax cost of investments |
$ |
1,605,974,840 |
Futures Contracts Sold
UltraShort S&P500® had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini S&P 500 Futures Contracts |
2,624 |
06/19/15 |
$ |
276,176,000 |
$ |
(121,757 |
) |
Cash collateral in the amount of $13,277,440 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT S&P500® SDS :: 59
Swap Agreements1
UltraShort S&P500® had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(571,227,428 |
) |
11/07/16 |
Bank of
America, N.A. |
(0.53 |
)% |
S&P 500® |
$ |
(23,204,929 |
) |
$ |
23,204,929 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(362,386,385 |
) |
02/08/16 |
Citibank, N.A. |
(0.35 |
)% |
S&P 500® |
(21,539,641 |
) |
21,539,641 |
�� |
�� |
||||||||||||||||||||||||
(118,458,740 |
) |
11/06/15 |
Credit Suisse
International |
(0.33 |
)% |
S&P 500® |
(26,274,257 |
) |
26,274,257 |
�� |
�� |
||||||||||||||||||||||||
(123,091,360 |
) |
11/06/15 |
Deutsche Bank AG |
(0.20 |
)% |
S&P 500® |
(20,052,794 |
) |
|||||||||||||||||||||||||||
(6,516,729 |
) |
01/06/16 |
Deutsche Bank AG |
(0.08 |
)% |
SPDR® S&P
500® ETF Trust |
(959,830 |
) |
|||||||||||||||||||||||||||
(129,608,089 |
) |
(21,012,624 |
) |
21,012,624 |
�� |
�� |
|||||||||||||||||||||||||||||
(504,567,024 |
) |
01/06/16 |
Goldman
Sachs International |
(0.30 |
)% |
S&P 500® |
(18,563,906 |
) |
|||||||||||||||||||||||||||
(622,362 |
) |
11/07/16 |
Goldman Sachs International |
(0.21 |
)% |
SPDR® S&P 500® ETF Trust |
(35,272 |
) |
|||||||||||||||||||||||||||
(505,189,386 |
) |
(18,599,178 |
) |
18,599,178 |
�� |
�� |
|||||||||||||||||||||||||||||
(373,424,537 |
) |
01/06/16 |
Morgan Stanley & Co. International PLC |
(0.38 |
)% |
S&P 500® |
(12,366,459 |
) |
12,366,459 |
�� |
�� |
||||||||||||||||||||||||
(362,017,588 |
) |
11/06/15 |
Societe Generale |
(0.38 |
)% |
S&P 500® |
(84,196,770 |
) |
84,196,770 |
�� |
�� |
||||||||||||||||||||||||
(54,036,108 |
) |
11/07/16 |
UBS AG |
(0.33 |
)% |
S&P 500® |
(8,282,179 |
) |
8,282,179 |
�� |
�� |
||||||||||||||||||||||||
$ |
(2,476,348,261 |
) |
$ |
(215,476,037 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
60 :: SDS ULTRASHORT S&P500® :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 82.9% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
80,000,000 |
0.00%, due 06/04/15 |
$ |
79,999,480 |
|||||||
60,000,000 |
0.00%, due 06/11/15 |
59,998,550 |
|||||||||
45,000,000 |
0.00%, due 07/30/15 |
44,998,525 |
|||||||||
60,000,000 |
0.00%, due 08/13/15 |
60,000,600 |
|||||||||
35,000,000 |
0.00%, due 10/15/15 |
34,997,025 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $279,983,010) |
279,994,180 |
||||||||||
Repurchase Agreements (a)(b) �� 43.2% |
|||||||||||
145,728,091 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $145,728,997 |
145,728,091 |
|||||||||
Total Repurchase Agreements
(Cost $145,728,091) |
145,728,091 |
||||||||||
Total Investment Securities (Cost $425,711,101) �� 126.1% |
425,722,271 |
||||||||||
Liabilities in excess of
other assets �� (26.1%) |
(88,099,873 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
337,622,398 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $146,626,054.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
11,170 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
11,170 |
|||||
Federal income tax cost of investments |
$ |
425,711,101 |
Futures Contracts Sold
UltraShort QQQ® had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini NASDAQ-100 Futures Contracts |
788 |
06/19/15 |
$ |
71,061,840 |
$ |
(488,912 |
) |
Cash collateral in the amount of $3,120,480 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT QQQ® QID :: 61
Swap Agreements1
UltraShort QQQ® had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(64,817,747 |
) |
11/07/16 |
Bank of
America, N.A. |
(0.48 |
)% |
NASDAQ-100 Index® |
$ |
(6,893,081 |
) |
$ |
6,893,081 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(32,240,551 |
) |
04/06/16 |
Citibank, N.A. |
(0.40 |
)% |
NASDAQ-100 Index® |
(3,146,480 |
) |
3,146,480 |
�� |
�� |
||||||||||||||||||||||||
(23,834,434 |
) |
11/06/15 |
Credit
Suisse International |
(0.28 |
)% |
NASDAQ-100 Index® |
(10,712,598 |
) |
10,712,598 |
�� |
�� |
||||||||||||||||||||||||
(19,963,766 |
) |
11/06/15 |
Deutsche Bank AG |
(0.30 |
)% |
NASDAQ-100 Index® |
(3,686,253 |
) |
|||||||||||||||||||||||||||
(3,085,391 |
) |
11/06/15 |
Deutsche Bank AG |
(0.10 |
)% |
PowerShares
QQQ TrustSM, Series 1 |
(612,847 |
) |
|||||||||||||||||||||||||||
(23,049,157 |
) |
(4,299,100 |
) |
4,299,100 |
�� |
�� |
|||||||||||||||||||||||||||||
(274,612,277 |
) |
01/06/16 |
Goldman
Sachs International |
(0.35 |
)% |
NASDAQ-100 Index® |
(17,253,002 |
) |
|||||||||||||||||||||||||||
(368,889 |
) |
11/07/16 |
Goldman Sachs International |
(0.15 |
)% |
PowerShares QQQ TrustSM, Series 1 |
(78,482 |
) |
|||||||||||||||||||||||||||
(274,981,166 |
) |
(17,331,484 |
) |
17,331,484 |
�� |
�� |
|||||||||||||||||||||||||||||
(5,543,808 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
(0.33 |
)% |
NASDAQ-100 Index® |
(1,496,210 |
) |
|||||||||||||||||||||||||||
(385,855 |
) |
11/06/15 |
Morgan Stanley
& Co. International PLC |
0.02 |
% |
PowerShares
QQQ TrustSM, Series 1 |
(261,356 |
) |
|||||||||||||||||||||||||||
(5,929,663 |
) |
(1,757,566 |
) |
1,757,566 |
�� |
�� |
|||||||||||||||||||||||||||||
(151,258,455 |
) |
11/06/15 |
Societe Generale |
(0.43 |
)% |
NASDAQ-100 Index® |
(41,118,366 |
) |
41,118,366 |
�� |
�� |
||||||||||||||||||||||||
(28,114,752 |
) |
11/07/16 |
UBS AG |
(0.28 |
)% |
NASDAQ-100 Index® |
(974,417 |
) |
974,417 |
�� |
�� |
||||||||||||||||||||||||
$ |
(604,225,925 |
) |
$ |
(86,233,092 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
62 :: QID ULTRASHORT QQQ® :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 87.0% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
50,000,000 |
0.00%, due 06/25/15 |
$ |
49,998,167 |
|||||||
47,000,000 |
0.00%, due 07/09/15 |
46,997,470 |
|||||||||
30,000,000 |
0.00%, due 07/23/15 |
29,999,783 |
|||||||||
50,000,000 |
0.00%, due 10/15/15 |
49,995,750 |
|||||||||
20,000,000 |
0.00%, due 11/12/15 |
19,995,900 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $196,966,235) |
196,987,070 |
||||||||||
Repurchase Agreements (a)(b) �� 35.1% |
|||||||||||
79,387,098 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $79,387,591 |
79,387,098 |
|||||||||
Total Repurchase Agreements
(Cost $79,387,098) |
79,387,098 |
||||||||||
Total Investment Securities (Cost $276,353,333) �� 122.1% |
276,374,168 |
||||||||||
Liabilities in excess of
other assets �� (22.1%) |
(50,080,429 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
226,293,739 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $69,767,201.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
20,835 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
20,835 |
|||||
Federal income tax cost of investments |
$ |
276,353,333 |
Futures Contracts Sold
UltraShort Dow30SM had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini Dow Jones Industrial Average Futures Contracts |
415 |
06/19/15 |
$ |
37,347,925 |
$ |
49,485 |
Cash collateral in the amount of $1,780,350 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT DOW30SM DXD :: 63
Swap Agreements1
UltraShort Dow30SM had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(166,449,337 |
) |
11/07/16 |
Bank of
America, N.A. |
(0.48 |
)% |
Dow Jones
Industrial AverageSM |
$ |
(6,870,135 |
) |
$ |
6,870,135 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(21,991,429 |
) |
04/06/16 |
Citibank, N.A. |
(0.30 |
)% |
Dow Jones Industrial AverageSM |
(529,786 |
) |
529,786 |
�� |
�� |
||||||||||||||||||||||||
(5,797,351 |
) |
11/06/15 |
Credit Suisse
International |
(0.28 |
)% |
Dow Jones
Industrial AverageSM |
(6,174,635 |
) |
6,174,635 |
�� |
�� |
||||||||||||||||||||||||
(22,993,207 |
) |
11/06/15 |
Deutsche Bank AG |
0.05 |
% |
Dow Jones Industrial AverageSM |
(8,969,173 |
) |
|||||||||||||||||||||||||||
(932,576 |
) |
11/06/15 |
Deutsche Bank AG |
0.10 |
% |
SPDR® Dow Jones
Industrial AverageSM ETF Trust |
(154,885 |
) |
|||||||||||||||||||||||||||
(23,925,783 |
) |
(9,124,058 |
) |
9,124,058 |
�� |
�� |
|||||||||||||||||||||||||||||
(139,628,395 |
) |
12/07/15 |
Goldman Sachs
International |
(0.45 |
)% |
Dow Jones Industrial
AverageSM |
(3,689,895 |
) |
|||||||||||||||||||||||||||
(1,262,631 |
) |
12/07/15 |
Goldman Sachs International |
(0.27 |
)% |
SPDR® Dow Jones Industrial AverageSM ETF Trust |
(47,756 |
) |
|||||||||||||||||||||||||||
(140,891,026 |
) |
(3,737,651 |
) |
3,737,651 |
�� |
�� |
|||||||||||||||||||||||||||||
(49,734,674 |
) |
11/06/15 |
Societe Generale |
(0.43 |
)% |
Dow Jones Industrial AverageSM |
(10,953,880 |
) |
10,953,880 |
�� |
�� |
||||||||||||||||||||||||
(6,464,920 |
) |
11/07/16 |
UBS AG |
(0.28 |
)% |
Dow Jones Industrial
AverageSM |
(252,904 |
) |
252,904 |
�� |
�� |
||||||||||||||||||||||||
$ |
(415,254,520 |
) |
$ |
(37,643,049 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
64 :: DXD ULTRASHORT DOW30SM :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) �� 70.5% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
4,000,000 |
0.00%, due 07/23/15 |
$ |
3,999,971 |
|||||||
Total U.S. Government & Agency
Security (Cost $3,999,971) |
3,999,971 |
||||||||||
Repurchase Agreements (a)(b) �� 106.8% |
|||||||||||
6,053,752 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $6,053,789 |
6,053,752 |
|||||||||
Total Repurchase Agreements
(Cost $6,053,752) |
6,053,752 |
||||||||||
Total Investment Securities (Cost $10,053,723) † �� 177.3% |
10,053,723 |
||||||||||
Liabilities in excess of
other assets �� (77.3%) |
(4,382,839 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
5,670,884 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $2,721,961.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
UltraShort MidCap400 had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini S&P MidCap 400 Futures Contracts |
6 |
06/19/15 |
$ |
913,500 |
$ |
644 |
Cash collateral in the amount of $44,220 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT MIDCAP400 MZZ :: 65
Swap Agreements1
UltraShort MidCap400 had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(1,455,004 |
) |
11/07/16 |
Bank of
America, N.A. |
(0.08 |
)% |
S&P MidCap 400® |
$ |
(135,224 |
) |
$ |
73,999 |
$ |
�� |
$ |
(61,225 |
) |
||||||||||||||||||
(1,349,381 |
) |
02/08/16 |
Citibank, N.A. |
(0.15 |
)% |
S&P MidCap 400® |
(154,014 |
) |
�� |
72,000 |
(82,014 |
) |
|||||||||||||||||||||||
(3,290,163 |
) |
11/06/15 |
Credit
Suisse International |
(0.18 |
)% |
S&P MidCap 400® |
(1,080,248 |
) |
1,080,248 |
�� |
�� |
||||||||||||||||||||||||
(1,749,518 |
) |
11/06/15 |
Deutsche Bank AG |
0.25 |
% |
S&P MidCap 400® |
(311,241 |
) |
|||||||||||||||||||||||||||
(46,083 |
) |
01/06/16 |
Deutsche Bank AG |
0.35 |
% |
SPDR®
S&P MidCap 400® ETF Trust |
(15,250 |
) |
|||||||||||||||||||||||||||
(1,795,601 |
) |
(326,491 |
) |
249,997 |
�� |
(76,494 |
) |
||||||||||||||||||||||||||||
(1,095,950 |
) |
11/06/15 |
Morgan Stanley
& Co. International PLC |
0.07 |
% |
S&P MidCap 400® |
(444,879 |
) |
270,996 |
130,000 |
(43,883 |
) |
|||||||||||||||||||||||
(1,439,002 |
) |
11/06/15 |
Societe Generale |
(0.08 |
)% |
S&P MidCap 400® |
(665,757 |
) |
626,991 |
�� |
(38,766 |
) |
|||||||||||||||||||||||
$ |
(10,425,101 |
) |
$ |
(2,806,613 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
66 :: MZZ ULTRASHORT MIDCAP400 :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 82.6% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
20,000,000 |
0.00%, due 06/04/15 |
$ |
19,999,864 |
|||||||
55,000,000 |
0.00%, due 08/06/15 |
55,000,495 |
|||||||||
25,000,000 |
0.00%, due 09/10/15 |
24,999,650 |
|||||||||
60,000,000 |
0.00%, due 10/15/15 |
59,994,900 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $159,976,699) |
159,994,909 |
||||||||||
Repurchase Agreements (a)(b) �� 38.7% |
|||||||||||
75,117,144 |
Repurchase Agreements with
various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $75,117,612 |
75,117,144 |
|||||||||
Total Repurchase Agreements (Cost $75,117,144) |
75,117,144 |
||||||||||
Total Investment
Securities (Cost $235,093,843) �� 121.3% |
235,112,053 |
||||||||||
Liabilities in excess of other assets �� (21.3%) |
(41,239,093 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
193,872,960 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $51,543,134.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
18,210 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
18,210 |
|||||
Federal income tax cost of investments |
$ |
235,093,843 |
Futures Contracts Sold
UltraShort Russell2000 had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini Russell 2000 Futures Contracts |
238 |
06/19/15 |
$ |
29,604,820 |
$ |
224,623 |
Cash collateral in the amount of $1,335,180 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT RUSSELL2000 TWM :: 67
Swap Agreements1
UltraShort Russell2000 had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(250,348,186 |
) |
11/07/16 |
Bank of America,
N.A. |
0.32 |
% |
Russell 2000® Index |
$ |
(20,179,706 |
) |
$ |
20,179,706 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(22,819,215 |
) |
04/06/16 |
Citibank, N.A. |
0.55 |
% |
Russell 2000® Index |
(1,395,402 |
) |
1,395,402 |
�� |
�� |
||||||||||||||||||||||||
(1,147,234 |
) |
11/06/15 |
Credit Suisse
International |
0.62 |
% |
Russell 2000® Index |
(79,908 |
) |
79,908 |
�� |
�� |
||||||||||||||||||||||||
(4,483,287 |
) |
11/06/15 |
Deutsche Bank AG |
0.85 |
% |
Russell 2000® Index |
(353,641 |
) |
|||||||||||||||||||||||||||
(877,716 |
) |
11/06/15 |
Deutsche Bank AG |
0.85 |
% |
iShares® Russell
2000 ETF |
(131,017 |
) |
|||||||||||||||||||||||||||
(5,361,003 |
) |
(484,658 |
) |
484,658 |
�� |
�� |
|||||||||||||||||||||||||||||
(1,245,208 |
) |
12/07/15 |
Goldman Sachs
International |
0.45 |
% |
Russell 2000® Index |
(87,619 |
) |
87,619 |
�� |
�� |
||||||||||||||||||||||||
(43,966,897 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.52 |
% |
Russell 2000® Index |
(10,543,413 |
) |
|||||||||||||||||||||||||||
(1,076,345 |
) |
11/06/15 |
Morgan Stanley &
Co. International PLC |
0.72 |
% |
iShares® Russell
2000 ETF |
(1,002,387 |
) |
|||||||||||||||||||||||||||
(45,043,242 |
) |
(11,545,800 |
) |
11,545,800 |
�� |
�� |
|||||||||||||||||||||||||||||
(2,484,710 |
) |
11/06/15 |
Societe Generale |
0.52 |
% |
Russell 2000® Index |
(7,979,250 |
) |
7,848,259 |
�� |
(130,991 |
) |
|||||||||||||||||||||||
(29,790,872 |
) |
11/07/16 |
UBS AG |
0.42 |
% |
Russell 2000® Index |
(706,069 |
) |
706,069 |
�� |
�� |
||||||||||||||||||||||||
$ |
(358,239,670 |
) |
$ |
(42,458,412 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
68 :: TWM ULTRASHORT RUSSELL2000 :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) �� 45.3% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
2,000,000 |
0.00%, due 08/20/15 |
$ |
2,000,000 |
|||||||
Total U.S. Government & Agency
Security (Cost $1,999,951) |
2,000,000 |
||||||||||
Repurchase Agreements (a)(b) �� 73.7% |
|||||||||||
3,260,971 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $3,260,991 |
3,260,971 |
|||||||||
Total Repurchase Agreements
(Cost $3,260,971) |
3,260,971 |
||||||||||
Total Investment Securities (Cost $5,260,922) �� 119.0% |
5,260,971 |
||||||||||
Liabilities in excess of
other assets �� (19.0%) |
(839,292 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
4,421,679 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $1,434,984.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
49 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
49 |
|||||
Federal income tax cost of investments |
$ |
5,260,922 |
Swap Agreements1
UltraShort SmallCap600 had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(3,437,917 |
) |
11/06/15 |
Bank of America,
N.A. |
(0.03 |
)% |
S&P SmallCap 600® |
$ |
(558,435 |
) |
$ |
�� |
$ |
558,435 |
$ |
�� |
|||||||||||||||||||
(1,624,441 |
) |
11/06/15 |
Credit Suisse International |
0.27 |
% |
S&P SmallCap 600® |
(229,486 |
) |
229,486 |
�� |
�� |
||||||||||||||||||||||||
(1,250,647 |
) |
11/06/15 |
Deutsche Bank AG |
0.65 |
% |
S&P SmallCap 600® |
(197,327 |
) |
|||||||||||||||||||||||||||
(117,750 |
) |
11/06/15 |
Deutsche Bank AG |
0.65 |
% |
iShares® Core S&P Small-Cap ETF |
8,809 |
||||||||||||||||||||||||||||
(1,368,397 |
) |
(188,518 |
) |
�� |
�� |
(188,518 |
) |
||||||||||||||||||||||||||||
(1,401,397 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.37 |
% |
S&P SmallCap 600® |
(269,318 |
) |
264,997 |
�� |
(4,321 |
) |
|||||||||||||||||||||||
(1,015,230 |
) |
11/06/15 |
Societe Generale |
0.42 |
% |
S&P SmallCap 600® |
(167,567 |
) |
�� |
�� |
(167,567 |
) |
|||||||||||||||||||||||
$ |
(8,847,382 |
) |
$ |
(1,413,324 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT SMALLCAP600 SDD :: 69
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 102.6% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
50,000,000 |
0.00%, due 07/23/15 |
$ |
49,999,639 |
|||||||
50,000,000 |
0.00%, due 07/30/15 |
49,997,091 |
|||||||||
50,000,000 |
0.00%, due 08/13/15 |
50,000,500 |
|||||||||
46,000,000 |
0.00%, due 08/20/15 |
46,000,000 |
|||||||||
150,000,000 |
0.00%, due 09/17/15 |
149,994,300 |
|||||||||
70,000,000 |
0.00%, due 10/08/15 |
69,994,330 |
|||||||||
115,000,000 |
0.00%, due 11/12/15 |
114,976,425 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $530,887,853) |
530,962,285 |
||||||||||
Repurchase Agreements (a)(b) �� 19.3% |
|||||||||||
99,580,985 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $99,581,605 |
99,580,985 |
|||||||||
Total Repurchase Agreements
(Cost $99,580,985) |
99,580,985 |
||||||||||
Total Investment Securities (Cost $630,468,838) �� 121.9% |
630,543,270 |
||||||||||
Liabilities in excess of
other assets �� (21.9%) |
(113,335,348 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
517,207,922 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $225,424,455.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
74,432 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
74,432 |
|||||
Federal income tax cost of investments |
$ |
630,468,838 |
Futures Contracts Sold
UltraPro Short S&P500® had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini S&P 500 Futures Contracts |
1,066 |
06/19/15 |
$ |
112,196,500 |
$ |
775,372 |
Cash collateral in the amount of $5,393,960 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
See accompanying notes to the financial statements.
70 :: SPXU ULTRAPRO SHORT S&P500® :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
UltraPro Short S&P500® had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(409,504,512 |
) |
11/07/16 |
Bank of America,
N.A. |
(0.53 |
)% |
S&P 500® |
$ |
(11,373,347 |
) |
$ |
11,373,347 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(299,431,546 |
) |
02/08/16 |
Citibank, N.A. |
(0.35 |
)% |
S&P 500® |
(10,044,904 |
) |
10,044,904 |
�� |
�� |
||||||||||||||||||||||||
(87,056,139 |
) |
11/06/15 |
Credit Suisse
International |
(0.33 |
)% |
S&P 500® |
(16,329,549 |
) |
16,329,549 |
�� |
�� |
||||||||||||||||||||||||
(15,957,580 |
) |
11/06/15 |
Deutsche Bank AG |
(0.20 |
)% |
S&P 500® |
(13,176,533 |
) |
|||||||||||||||||||||||||||
(263,873 |
) |
01/06/16 |
Deutsche Bank AG |
(0.08 |
)% |
SPDR® S&P 500®
ETF Trust |
(37,643 |
) |
|||||||||||||||||||||||||||
(16,221,453 |
) |
(13,214,176 |
) |
13,214,176 |
�� |
�� |
|||||||||||||||||||||||||||||
(124,461,743 |
) |
01/06/16 |
Goldman Sachs
International |
(0.30 |
)% |
S&P 500® |
(8,940,180 |
) |
|||||||||||||||||||||||||||
(695,092 |
) |
11/07/16 |
Goldman Sachs International |
(0.21 |
)% |
SPDR® S&P 500® ETF Trust |
(39,394 |
) |
|||||||||||||||||||||||||||
(125,156,835 |
) |
(8,979,574 |
) |
�� |
8,979,574 |
�� |
|||||||||||||||||||||||||||||
(160,507,392 |
) |
11/07/16 |
Morgan Stanley & Co. International PLC |
(0.38 |
)% |
S&P 500® |
(11,994,987 |
) |
11,994,987 |
�� |
�� |
||||||||||||||||||||||||
(245,033,531 |
) |
11/06/15 |
Societe Generale |
(0.38 |
)% |
S&P 500® |
(37,434,741 |
) |
37,434,741 |
�� |
�� |
||||||||||||||||||||||||
(96,514,938 |
) |
11/07/16 |
UBS AG |
(0.33 |
)% |
S&P 500® |
(6,088,222 |
) |
6,088,222 |
�� |
�� |
||||||||||||||||||||||||
$ |
(1,439,426,346 |
) |
$ |
(115,459,500 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRAPRO SHORT S&P500® SPXU :: 71
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 82.5% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
10,000,000 |
0.00%, due 06/18/15 |
$ |
9,999,835 |
|||||||
15,000,000 |
0.00%, due 07/02/15 |
14,999,651 |
|||||||||
55,000,000 |
0.00%, due 07/09/15 |
54,998,810 |
|||||||||
10,000,000 |
0.00%, due 07/23/15 |
9,999,473 |
|||||||||
15,000,000 |
0.00%, due 07/30/15 |
14,999,508 |
|||||||||
75,000,000 |
0.00%, due 08/20/15 |
75,000,000 |
|||||||||
60,000,000 |
0.00%, due 10/08/15 |
59,995,140 |
|||||||||
45,000,000 |
0.00%, due 10/15/15 |
44,996,175 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $284,967,556) |
284,988,592 |
||||||||||
Repurchase Agreements (a)(b) �� 32.1% |
|||||||||||
110,683,087 |
Repurchase Agreements with
various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $110,683,775 |
110,683,087 |
|||||||||
Total Repurchase Agreements (Cost $110,683,087) |
110,683,087 |
||||||||||
Total Investment
Securities (Cost $395,650,643) �� 114.6% |
395,671,679 |
||||||||||
Liabilities in excess of other assets �� (14.6%) |
(50,370,088 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
345,301,591 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $192,433,890.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
21,036 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
21,036 |
|||||
Federal income tax cost of investments |
$ |
395,650,643 |
Futures Contracts Sold
UltraPro Short QQQ® had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini NASDAQ-100 Futures Contracts |
835 |
06/19/15 |
$ |
75,300,300 |
$ |
(623,164 |
) |
Cash collateral in the amount of $3,306,600 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
See accompanying notes to the financial statements.
72 :: SQQQ ULTRAPRO SHORT QQQ® :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
UltraPro Short QQQ® had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(530,226,239 |
) |
11/07/16 |
Bank of America,
N.A. |
(0.48 |
)% |
NASDAQ-100 Index® |
$ |
(18,806,850 |
) |
$ |
16,376,850 |
$ |
2,430,000 |
$ |
�� |
|||||||||||||||||||
(19,331,675 |
) |
04/06/16 |
Citibank, N.A. |
(0.40 |
)% |
NASDAQ-100 Index® |
(1,276,633 |
) |
1,276,633 |
�� |
�� |
||||||||||||||||||||||||
(8,106,019 |
) |
11/06/15 |
Credit Suisse
International |
(0.28 |
)% |
NASDAQ-100 Index® |
(2,014,868 |
) |
2,014,868 |
�� |
�� |
||||||||||||||||||||||||
(75,826,854 |
) |
11/06/15 |
Deutsche Bank AG |
(0.30 |
)% |
NASDAQ-100 Index® |
(8,619,641 |
) |
|||||||||||||||||||||||||||
(4,115,728 |
) |
11/06/15 |
Deutsche Bank AG |
(0.10 |
)% |
PowerShares
QQQ TrustSM, Series 1 |
(967,408 |
) |
|||||||||||||||||||||||||||
(79,942,582 |
) |
(9,587,049 |
) |
9,587,049 |
�� |
�� |
|||||||||||||||||||||||||||||
(97,455,176 |
) |
01/06/16 |
Goldman Sachs
International |
(0.35 |
)% |
NASDAQ-100 Index® |
(12,661,055 |
) |
|||||||||||||||||||||||||||
(70,215 |
) |
12/07/15 |
Goldman Sachs International |
(0.15 |
)% |
PowerShares QQQ TrustSM, Series 1 |
(22,931 |
) |
|||||||||||||||||||||||||||
(97,525,391 |
) |
(12,683,986 |
) |
12,253,986 |
430,000 |
�� |
|||||||||||||||||||||||||||||
(3,978,577 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
(0.33 |
)% |
NASDAQ-100 Index® |
(1,224,648 |
) |
|||||||||||||||||||||||||||
(1,154,073 |
) |
11/06/15 |
Morgan Stanley &
Co. International PLC |
0.02 |
% |
PowerShares QQQ
TrustSM, Series 1 |
(786,605 |
) |
|||||||||||||||||||||||||||
(5,132,650 |
) |
(2,011,253 |
) |
2,011,253 |
�� |
�� |
|||||||||||||||||||||||||||||
(199,486,715 |
) |
11/06/15 |
Societe Generale |
(0.43 |
)% |
NASDAQ-100 Index® |
(49,770,017 |
) |
49,770,017 |
�� |
�� |
||||||||||||||||||||||||
(20,864,368 |
) |
11/07/16 |
UBS AG |
(0.28 |
)% |
NASDAQ-100 Index® |
(2,094,889 |
) |
2,094,889 |
�� |
�� |
||||||||||||||||||||||||
$ |
(960,615,639 |
) |
|
$ |
(98,245,545 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRAPRO SHORT QQQ® SQQQ :: 73
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 94.5% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
10,000,000 |
0.00%, due 06/11/15 |
$ |
9,999,769 |
|||||||
20,000,000 |
0.00%, due 08/06/15 |
20,000,180 |
|||||||||
30,000,000 |
0.00%, due 08/20/15 |
30,000,000 |
|||||||||
55,000,000 |
0.00%, due 10/15/15 |
54,995,326 |
|||||||||
20,000,000 |
0.00%, due 11/12/15 |
19,995,900 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $134,968,325) |
134,991,175 |
||||||||||
Repurchase Agreements (a)(b) �� 30.6% |
|||||||||||
43,646,658 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $43,646,929 |
43,646,658 |
|||||||||
Total Repurchase Agreements
(Cost $43,646,658) |
43,646,658 |
||||||||||
Total Investment Securities (Cost $178,614,983) �� 125.1% |
178,637,833 |
||||||||||
Liabilities in excess of
other assets �� (25.1%) |
(35,893,573 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
142,744,260 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $46,009,444.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
22,850 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
22,850 |
|||||
Federal income tax cost of investments |
$ |
178,614,983 |
Futures Contracts Sold
UltraPro Short Dow30SM had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini Dow Jones Industrial Average Futures Contracts |
295 |
06/19/15 |
$ |
26,548,525 |
$ |
178,429 |
Cash collateral in the amount of $1,265,550 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
See accompanying notes to the financial statements.
74 :: SDOW ULTRAPRO SHORT DOW30SM :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
UltraPro Short Dow30SM had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(130,925,184 |
) |
11/07/16 |
Bank of America,
N.A. |
(0.48 |
)% |
Dow Jones Industrial AverageSM |
$ |
(1,951,909 |
) |
$ |
1,951,909 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(17,098,506 |
) |
04/06/16 |
Citibank, N.A. |
(0.30 |
)% |
Dow Jones Industrial AverageSM |
(345,265 |
) |
345,265 |
�� |
�� |
||||||||||||||||||||||||
(848,272 |
) |
11/06/15 |
Credit Suisse
International |
(0.28 |
)% |
Dow Jones Industrial AverageSM |
(266,538 |
) |
259,947 |
�� |
(6,591 |
) |
|||||||||||||||||||||||
(2,955,161 |
) |
11/06/15 |
Deutsche Bank AG |
0.10 |
% |
SPDR® Dow Jones Industrial AverageSM ETF Trust |
(420,630 |
) |
|||||||||||||||||||||||||||
(871,283 |
) |
11/06/15 |
Deutsche Bank AG |
0.05 |
% |
Dow Jones Industrial AverageSM |
(200,666 |
) |
|||||||||||||||||||||||||||
(3,826,444 |
) |
(621,296 |
) |
621,296 |
�� |
�� |
|||||||||||||||||||||||||||||
(4,404,190 |
) |
12/07/15 |
Goldman
Sachs International |
(0.27 |
)% |
SPDR® Dow Jones
Industrial AverageSM ETF Trust |
(166,577 |
) |
|||||||||||||||||||||||||||
(11,160 |
) |
12/07/15 |
Goldman Sachs International |
(0.45 |
)% |
Dow Jones Industrial AverageSM |
(62,129 |
) |
|||||||||||||||||||||||||||
(4,415,350 |
) |
(228,706 |
) |
228,706 |
�� |
�� |
|||||||||||||||||||||||||||||
(85,095,211 |
) |
11/07/16 |
Morgan Stanley & Co. International PLC |
(0.23 |
)% |
Dow Jones Industrial AverageSM |
(1,890,909 |
) |
1,890,909 |
�� |
�� |
||||||||||||||||||||||||
(148,742,925 |
) |
11/06/15 |
Societe Generale |
(0.43 |
)% |
Dow Jones Industrial AverageSM |
(31,327,136 |
) |
31,327,136 |
�� |
�� |
||||||||||||||||||||||||
(10,740,005 |
) |
11/07/16 |
UBS AG |
(0.28 |
)% |
Dow Jones Industrial AverageSM |
(671,180 |
) |
671,180 |
�� |
�� |
||||||||||||||||||||||||
$ |
(401,691,897 |
) |
|
$ |
(37,302,939 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRAPRO SHORT DOW30SM SDOW :: 75
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 86.3% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
2,000,000 |
0.00%, due 06/11/15 |
$ |
1,999,978 |
|||||||
2,000,000 |
0.00%, due 07/23/15 |
1,999,895 |
|||||||||
400,000 |
0.00%, due 10/15/15 |
399,965 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $4,399,733) |
4,399,838 |
||||||||||
Repurchase Agreements (a)(b) �� 69.0% |
|||||||||||
3,516,978 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $3,517,000 |
3,516,978 |
|||||||||
Total Repurchase Agreements
(Cost $3,516,978) |
3,516,978 |
||||||||||
Total Investment Securities (Cost $7,916,711) �� 155.3% |
7,916,816 |
||||||||||
Liabilities in excess of
other assets �� (55.3%) |
(2,819,334 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
5,097,482 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $2,848,950.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
105 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
105 |
|||||
Federal income tax cost of investments |
$ |
7,916,711 |
Futures Contracts Sold
UltraPro Short MidCap400 had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini S&P MidCap 400 Futures Contracts |
7 |
06/19/15 |
$ |
1,065,750 |
$ |
4,537 |
Cash collateral in the amount of $51,590 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
See accompanying notes to the financial statements.
76 :: SMDD ULTRAPRO SHORT MIDCAP400 :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
UltraPro Short MidCap400 had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(2,488,805 |
) |
11/06/15 |
Bank of America,
N.A. |
(0.08 |
)% |
S&P MidCap 400® |
$ |
(353,557 |
) |
$ |
204,980 |
$ |
61,000 |
$ |
(87,577 |
) |
||||||||||||||||||
(1,900,528 |
) |
02/08/16 |
Citibank, N.A. |
(0.15 |
)% |
S&P MidCap 400® |
(291,434 |
) |
�� |
117,000 |
(174,434 |
) |
|||||||||||||||||||||||
(133,856 |
) |
11/06/15 |
Credit
Suisse International |
(0.18 |
)% |
S&P MidCap 400® |
5,377 |
�� |
�� |
5,377 |
|||||||||||||||||||||||||
(117,997 |
) |
11/06/15 |
Deutsche Bank AG |
0.25 |
% |
S&P MidCap 400® |
(22,578 |
) |
�� |
�� |
(22,578 |
) |
|||||||||||||||||||||||
(136,998 |
) |
12/07/15 |
Goldman
Sachs International |
0.15 |
% |
SPDR®
S&P MidCap 400® ETF Trust |
(9,437 |
) |
�� |
9,437 |
�� |
||||||||||||||||||||||||
(5,517,118 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.07 |
% |
S&P MidCap 400® |
(2,339,640 |
) |
2,059,978 |
277,000 |
(2,662 |
) |
|||||||||||||||||||||||
(3,933,846 |
) |
11/06/15 |
Societe Generale |
(0.08 |
)% |
S&P MidCap 400® |
(848,433 |
) |
449,433 |
399,000 |
�� |
||||||||||||||||||||||||
$ |
(14,229,148 |
) |
$ |
(3,859,702 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRAPRO SHORT MIDCAP400 SMDD :: 77
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 79.7% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
5,000,000 |
0.00%, due 06/25/15 |
$ |
4,999,792 |
|||||||
16,000,000 |
0.00%, due 07/09/15 |
15,999,654 |
|||||||||
20,000,000 |
0.00%, due 08/13/15 |
20,000,200 |
|||||||||
20,000,000 |
0.00%, due 10/15/15 |
19,998,299 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $60,991,908) |
60,997,945 |
||||||||||
Repurchase Agreements (a)(b) �� 57.8% |
|||||||||||
44,207,133 |
Repurchase Agreements with
various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $44,207,409 |
44,207,133 |
|||||||||
Total Repurchase Agreements (Cost $44,207,133) |
44,207,133 |
||||||||||
Total Investment
Securities (Cost $105,199,041) �� 137.5% |
105,205,078 |
||||||||||
Liabilities in excess of other assets �� (37.5%) |
(28,719,273 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
76,485,805 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $28,031,052.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
6,037 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
6,037 |
|||||
Federal income tax cost of investments |
$ |
105,199,041 |
Futures Contracts Sold
UltraPro Short Russell2000 had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini Russell 2000 Futures Contracts |
106 |
06/19/15 |
$ |
13,185,340 |
$ |
126,285 |
Cash collateral in the amount of $594,660 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
See accompanying notes to the financial statements.
78 :: SRTY ULTRAPRO SHORT RUSSELL2000 :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
UltraPro Short Russell2000 had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(71,181,683 |
) |
11/07/16 |
Bank of America,
N.A. |
0.32 |
% |
Russell 2000® Index |
$ |
(5,057,205 |
) |
$ |
5,057,205 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(35,631,038 |
) |
04/06/16 |
Citibank, N.A. |
0.55 |
% |
Russell 2000® Index |
(1,872,800 |
) |
1,872,800 |
�� |
�� |
||||||||||||||||||||||||
(164,078 |
) |
11/06/15 |
Credit Suisse
International |
0.62 |
% |
Russell 2000® Index |
(54,178 |
) |
54,178 |
�� |
�� |
||||||||||||||||||||||||
(1,089,883 |
) |
11/06/15 |
Deutsche Bank AG |
0.85 |
% |
iShares® Russell 2000 ETF |
(229,026 |
) |
|||||||||||||||||||||||||||
(192,311 |
) |
11/06/15 |
Deutsche Bank AG |
0.85 |
% |
Russell 2000® Index |
42,690 |
||||||||||||||||||||||||||||
(1,282,194 |
) |
(186,336 |
) |
186,336 |
�� |
�� |
|||||||||||||||||||||||||||||
(195,822 |
) |
12/07/15 |
Goldman Sachs
International |
0.45 |
% |
Russell 2000® Index |
(27,085 |
) |
�� |
27,085 |
�� |
||||||||||||||||||||||||
(84,626,723 |
) |
01/06/16 |
Morgan Stanley & Co. International PLC |
0.52 |
% |
Russell 2000® Index |
(10,230,529 |
) |
|||||||||||||||||||||||||||
(430,692 |
) |
11/06/15 |
Morgan Stanley &
Co. International PLC |
0.72 |
% |
iShares® Russell 2000
ETF |
(1,078,569 |
) |
|||||||||||||||||||||||||||
(85,057,415 |
) |
(11,309,098 |
) |
10,965,098 |
344,000 |
�� |
|||||||||||||||||||||||||||||
(6,515,940 |
) |
11/06/15 |
Societe Generale |
0.52 |
% |
Russell 2000® Index |
(3,335,255 |
) |
3,251,875 |
�� |
(83,380 |
) |
|||||||||||||||||||||||
(16,282,509 |
) |
11/07/16 |
UBS AG |
0.42 |
% |
Russell 2000® Index |
(2,756,469 |
) |
2,756,469 |
�� |
�� |
||||||||||||||||||||||||
$ |
(216,310,679 |
) |
$ |
(24,598,426 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRAPRO SHORT RUSSELL2000 SRTY :: 79
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) �� 65.2% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
800,000 |
0.00%, due 10/15/15 |
$ |
799,932 |
|||||||
Total U.S. Government & Agency
Security (Cost $799,710) |
799,932 |
||||||||||
Repurchase Agreements (a)(b) �� 50.8% |
|||||||||||
623,717 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $623,720 |
623,717 |
|||||||||
Total Repurchase Agreements
(Cost $623,717) |
623,717 |
||||||||||
Total Investment Securities (Cost $1,423,427) �� 116.0% |
1,423,649 |
||||||||||
Liabilities in excess of
other assets �� (16.0%) |
(196,860 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
1,226,789 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $303,971.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
222 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
222 |
|||||
Federal income tax cost of investments |
$ |
1,423,427 |
Swap Agreements1
Short Basic Materials had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(102,146 |
) |
11/06/15 |
Bank of America, N.A. |
(0.08 |
)% |
Dow Jones
U.S. Basic MaterialsSM Index |
$ |
(26,109 |
) |
$ |
�� |
$ |
�� |
$ |
(26,109 |
) |
||||||||||||||||||
(226,115 |
) |
12/07/15 |
Credit Suisse International |
(0.28 |
)% |
Dow Jones U.S. Basic MaterialsSM Index |
(4,507 |
) |
4,507 |
�� |
�� |
||||||||||||||||||||||||
(236,885 |
) |
11/06/15 |
Deutsche Bank AG |
0.15 |
% |
Dow Jones U.S.
Basic MaterialsSM Index |
(33,056 |
) |
33,056 |
�� |
�� |
||||||||||||||||||||||||
(356,757 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.12 |
% |
Dow Jones U.S. Basic MaterialsSM Index |
(55,915 |
) |
�� |
�� |
(55,915 |
) |
|||||||||||||||||||||||
(245,783 |
) |
11/06/15 |
Societe Generale |
0.07 |
% |
Dow Jones
U.S. Basic MaterialsSM Index |
(42,154 |
) |
19,998 |
�� |
(22,156 |
) |
|||||||||||||||||||||||
(58,118 |
) |
12/07/15 |
UBS AG |
(0.08 |
)% |
Dow Jones U.S. Basic MaterialsSM Index |
(8,658 |
) |
8,658 |
�� |
�� |
||||||||||||||||||||||||
$ |
(1,225,804 |
) |
$ |
(170,399 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
80 :: SBM SHORT BASIC MATERIALS :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) �� 67.8% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
12,270,000 |
0.00%, due 09/17/15 |
$ |
12,269,534 |
|||||||
Total U.S. Government & Agency
Security (Cost $12,267,507) |
12,269,534 |
||||||||||
Repurchase Agreements (a)(b) �� 53.7% |
|||||||||||
9,723,148 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $9,723,208 |
9,723,148 |
|||||||||
Total Repurchase Agreements
(Cost $9,723,148) |
9,723,148 |
||||||||||
Total Investment Securities (Cost $21,990,655) �� 121.5% |
21,992,682 |
||||||||||
Liabilities in excess of
other assets �� (21.5%) |
(3,890,864 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
18,101,818 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $5,202,766.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
2,027 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
2,027 |
|||||
Federal income tax cost of investments |
$ |
21,990,655 |
Swap Agreements1
Short Financials had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(927,589 |
) |
11/06/15 |
Bank of America, N.A. |
(0.28 |
)% |
Dow Jones
U.S. FinancialsSM Index |
$ |
(614,420 |
) |
$ |
519,977 |
$ |
�� |
$ |
(94,443 |
) |
||||||||||||||||||
(4,892,997 |
) |
12/07/15 |
Credit Suisse International |
(0.28 |
)% |
Dow Jones U.S. FinancialsSM Index |
(858,837 |
) |
858,837 |
�� |
�� |
||||||||||||||||||||||||
(133,718 |
) |
11/06/15 |
Deutsche Bank AG |
0.40 |
% |
Dow Jones
U.S. FinancialsSM Index |
(74,599 |
) |
74,599 |
�� |
�� |
||||||||||||||||||||||||
(936,901 |
) |
12/07/15 |
Goldman Sachs International |
(0.40 |
)% |
Dow Jones U.S. FinancialsSM Index |
(83,513 |
) |
83,513 |
�� |
�� |
||||||||||||||||||||||||
(4,265,266 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
(0.03 |
)% |
Dow Jones
U.S. FinancialsSM Index |
(557,353 |
) |
557,353 |
�� |
�� |
||||||||||||||||||||||||
(5,316,502 |
) |
11/06/15 |
Societe Generale |
(0.03 |
)% |
Dow Jones U.S. FinancialsSM Index |
(1,298,445 |
) |
1,298,445 |
�� |
�� |
||||||||||||||||||||||||
(1,611,346 |
) |
12/07/15 |
UBS AG |
(0.08 |
)% |
Dow Jones
U.S. FinancialsSM Index |
(356,147 |
) |
332,985 |
�� |
(23,162 |
) |
|||||||||||||||||||||||
$ |
(18,084,319 |
) |
$ |
(3,843,314 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: SHORT FINANCIALS SEF :: 81
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) �� 93.7% |
|||||||||||
$ |
4,201,787 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $4,201,813 |
$ |
4,201,787 |
|||||||
Total Repurchase Agreements
(Cost $4,201,787) |
4,201,787 |
||||||||||
Total Investment Securities (Cost $4,201,787) † �� 93.7% |
4,201,787 |
||||||||||
Other assets less liabilities �� 6.3% |
281,133 |
||||||||||
Net Assets �� 100.0% |
$ |
4,482,920 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1
Short Oil & Gas had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(915,277 |
) |
11/06/15 |
Bank of America, N.A. |
0.02 |
% |
Dow Jones
U.S. Oil & GasSM Index |
$ |
(86,954 |
) |
$ |
�� |
$ |
�� |
$ |
(86,954 |
) |
||||||||||||||||||
(223,402 |
) |
12/07/15 |
Credit Suisse International |
(0.28 |
)% |
Dow Jones U.S. Oil & GasSM Index |
21,944 |
�� |
�� |
21,944 |
|||||||||||||||||||||||||
(443,970 |
) |
11/06/15 |
Deutsche Bank AG |
(0.05 |
)% |
Dow Jones
U.S. Oil & GasSM Index |
(26,548 |
) |
�� |
26,548 |
�� |
||||||||||||||||||||||||
(1,002,028 |
) |
12/07/15 |
Goldman Sachs International |
(0.30 |
)% |
Dow Jones U.S. Oil & GasSM Index |
46,257 |
�� |
�� |
46,257 |
|||||||||||||||||||||||||
(1,052,805 |
) |
11/06/15 |
Morgan Stanley &
Co. International PLC |
(0.08 |
)% |
Dow Jones
U.S. Oil & GasSM Index |
(7,313 |
) |
�� |
1,008 |
(6,305 |
) |
|||||||||||||||||||||||
(179,010 |
) |
11/06/15 |
Societe Generale |
0.07 |
% |
Dow Jones U.S. Oil & GasSM Index |
(29,089 |
) |
�� |
29,089 |
�� |
||||||||||||||||||||||||
(662,581 |
) |
12/07/15 |
UBS AG |
(0.08 |
)% |
Dow Jones
U.S. Oil & GasSM Index |
15,105 |
�� |
�� |
15,105 |
|||||||||||||||||||||||||
$ |
(4,479,073 |
) |
$ |
(66,598 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
82 :: DDG SHORT OIL & GAS :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 67.1% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
2,000,000 |
0.00%, due 06/25/15 |
$ |
1,999,912 |
|||||||
5,000,000 |
0.00%, due 08/13/15 |
5,000,050 |
|||||||||
30,000,000 |
0.00%, due 09/10/15 |
29,999,580 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $36,998,609) |
36,999,542 |
||||||||||
Repurchase Agreements (a)(b) �� 124.7% |
|||||||||||
68,714,123 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $68,714,551 |
68,714,123 |
|||||||||
Total Repurchase Agreements
(Cost $68,714,123) |
68,714,123 |
||||||||||
Total Investment Securities (Cost $105,712,732) �� 191.8% |
105,713,665 |
||||||||||
Liabilities in excess of
other assets �� (91.8%) |
(50,609,107 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
55,104,558 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $5,289,876.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
933 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
933 |
|||||
Federal income tax cost of investments |
$ |
105,712,732 |
Swap Agreements1
Short Real Estate had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(34,327,145 |
) |
03/07/16 |
Bank of America, N.A. |
(0.28 |
)% |
Dow Jones
U.S. Real EstateSM Index |
$ |
1,009,097 |
$ |
(720,542 |
) |
$ |
�� |
$ |
288,555 |
|||||||||||||||||||
(14,435,463 |
) |
12/07/15 |
Credit Suisse International |
(0.18 |
)% |
Dow Jones U.S. Real EstateSM Index |
263,606 |
�� |
(50,000 |
) |
213,606 |
||||||||||||||||||||||||
(3,515,938 |
) |
11/06/15 |
Deutsche Bank AG |
0.45 |
% |
Dow Jones
U.S. Real EstateSM Index |
(251,640 |
) |
�� |
251,640 |
�� |
||||||||||||||||||||||||
(510,732 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.07 |
% |
Dow Jones U.S. Real EstateSM Index |
(80,321 |
) |
�� |
�� |
(80,321 |
) |
|||||||||||||||||||||||
(1,922,882 |
) |
11/06/15 |
Societe Generale |
0.07 |
% |
Dow Jones
U.S. Real EstateSM Index |
(1,897,137 |
) |
1,647,137 |
250,000 |
�� |
||||||||||||||||||||||||
(339,739 |
) |
12/07/15 |
UBS AG |
0.07 |
% |
Dow Jones U.S. Real EstateSM Index |
(56,473 |
) |
�� |
56,473 |
�� |
||||||||||||||||||||||||
$ |
(55,051,899 |
) |
$ |
(1,012,868 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: SHORT REAL ESTATE REK :: 83
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) �� 75.6% |
|||||||||||
$ |
950,330 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $950,336 |
$ |
950,330 |
|||||||
Total Repurchase Agreements
(Cost $950,330) |
950,330 |
||||||||||
Total Investment Securities (Cost $950,330) † �� 75.6% |
950,330 |
||||||||||
Other assets less liabilities �� 24.4% |
307,329 |
||||||||||
Net Assets �� 100.0% |
$ |
1,257,659 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1
Short S&P Regional Banking had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(115,234 |
) |
11/07/16 |
Bank of
America, N.A. |
0.17 |
% |
S&P Regional
Banks Select Industry Index |
$ |
(2,347 |
) |
$ |
�� |
$ |
�� |
$ |
(2,347 |
) |
||||||||||||||||||
(148,199 |
) |
11/07/16 |
Deutsche Bank AG |
0.55 |
% |
S&P Regional Banks Select Industry Index |
(960 |
) |
�� |
960 |
�� |
||||||||||||||||||||||||
(152,580 |
) |
11/07/16 |
Morgan Stanley &
Co. International PLC |
0.47 |
% |
S&P Regional
Banks Select Industry Index |
(1,573 |
) |
�� |
1,573 |
�� |
||||||||||||||||||||||||
(645,832 |
) |
11/07/16 |
Societe Generale |
0.07 |
% |
S&P Regional Banks Select Industry Index |
(6,344 |
) |
�� |
6,344 |
�� |
||||||||||||||||||||||||
(195,339 |
) |
11/07/16 |
UBS AG |
(0.03 |
)% |
S&P Regional
Banks Select Industry Index |
(4,237 |
) |
�� |
4,237 |
�� |
||||||||||||||||||||||||
$ |
(1,257,184 |
) |
$ |
(15,461 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
84 :: KRS SHORT S&P REGIONAL BANKING :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) �� 74.9% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
9,000,000 |
0.00%, due 10/15/15 |
$ |
8,999,235 |
|||||||
Total U.S. Government & Agency
Security (Cost $8,996,719) |
8,999,235 |
||||||||||
Repurchase Agreements (a)(b) �� 46.1% |
|||||||||||
5,541,705 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $5,541,740 |
5,541,705 |
|||||||||
Total Repurchase Agreements
(Cost $5,541,705) |
5,541,705 |
||||||||||
Total Investment Securities (Cost $14,538,424) �� 121.0% |
14,540,940 |
||||||||||
Liabilities in excess of
other assets �� (21.0%) |
(2,525,599 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
12,015,341 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $5,165,512.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
2,516 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
2,516 |
|||||
Federal income tax cost of investments |
$ |
14,538,424 |
Swap Agreements1
UltraShort Basic Materials had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(2,867,189 |
) |
03/07/16 |
Bank of America, N.A. |
(0.08 |
)% |
Dow Jones
U.S. Basic MaterialsSM Index |
$ |
(580,972 |
) |
$ |
580,972 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(10,854,689 |
) |
12/07/15 |
Credit Suisse International |
(0.28 |
)% |
Dow Jones U.S. Basic MaterialsSM Index |
(33,635 |
) |
33,635 |
�� |
�� |
||||||||||||||||||||||||
(4,965,968 |
) |
11/06/15 |
Deutsche Bank AG |
0.15 |
% |
Dow Jones
U.S. Basic MaterialsSM Index |
(960,313 |
) |
960,313 |
�� |
�� |
||||||||||||||||||||||||
(1,512,039 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.12 |
% |
Dow Jones U.S. Basic MaterialsSM Index |
(544,235 |
) |
272,235 |
272,000 |
�� |
||||||||||||||||||||||||
(1,232,024 |
) |
11/06/15 |
Societe Generale |
0.07 |
% |
Dow Jones
U.S. Basic MaterialsSM Index |
(152,538 |
) |
29,997 |
�� |
(122,541 |
) |
|||||||||||||||||||||||
(2,592,665 |
) |
12/07/15 |
UBS AG |
(0.08 |
)% |
Dow Jones U.S. Basic MaterialsSM Index |
(485,218 |
) |
485,218 |
�� |
�� |
||||||||||||||||||||||||
$ |
(24,024,574 |
) |
$ |
(2,756,911 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT BASIC MATERIALS SMN :: 85
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 85.4% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
3,000,000 |
0.00%, due 06/18/15 |
$ |
2,999,936 |
|||||||
5,000,000 |
0.00%, due 06/25/15 |
4,999,815 |
|||||||||
5,000,000 |
0.00%, due 07/02/15 |
4,999,884 |
|||||||||
60,000,000 |
0.00%, due 07/16/15 |
59,999,250 |
|||||||||
10,000,000 |
0.00%, due 08/06/15 |
10,000,090 |
|||||||||
2,000,000 |
0.00%, due 08/13/15 |
2,000,020 |
|||||||||
10,000,000 |
0.00%, due 10/15/15 |
9,999,150 |
|||||||||
1,000,000 |
0.00%, due 11/12/15 |
999,795 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $95,993,482) |
95,997,940 |
||||||||||
Repurchase Agreements (a)(b) �� 40.9% |
|||||||||||
46,043,659 |
Repurchase Agreements with
various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $46,043,945 |
46,043,659 |
|||||||||
Total Repurchase Agreements (Cost $46,043,659) |
46,043,659 |
||||||||||
Total Investment
Securities (Cost $142,037,141) �� 126.3% |
142,041,599 |
||||||||||
Liabilities in excess of other assets �� (26.3%) |
(29,576,805 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
112,464,794 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $35,163,662.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
4,458 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
4,458 |
|||||
Federal income tax cost of investments |
$ |
142,037,141 |
See accompanying notes to the financial statements.
86 :: BIS ULTRASHORT NASDAQ BIOTECHNOLOGY :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
UltraShort Nasdaq Biotechnology had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(105,423,431 |
) |
03/07/16 |
Bank of America, N.A. |
0.22 |
% |
NASDAQ Biotechnology Index® |
$ |
(19,312,128 |
) |
|||||||||||||||||||||||||
(17,335 |
) |
11/06/15 |
Bank of America, N.A. |
0.60 |
% |
iShares® Nasdaq Biotechnology ETF |
(6,908 |
) |
|||||||||||||||||||||||||||
(105,440,766 |
) |
(19,319,036 |
) |
$ |
11,453,036 |
$ |
7,866,000 |
$ |
�� |
||||||||||||||||||||||||||
(36,260 |
) |
12/07/15 |
Citibank, N.A. |
0.85 |
% |
NASDAQ Biotechnology Index® |
(7,331 |
) |
�� |
7,331 |
�� |
||||||||||||||||||||||||
(1,439,134 |
) |
12/07/15 |
Credit
Suisse International |
0.52 |
% |
NASDAQ Biotechnology Index® |
(376,228 |
) |
376,228 |
�� |
�� |
||||||||||||||||||||||||
(10,569,513 |
) |
11/06/15 |
Deutsche Bank AG |
0.65 |
% |
NASDAQ Biotechnology Index® |
(5,986,206 |
) |
5,586,206 |
400,000 |
�� |
||||||||||||||||||||||||
(152,726 |
) |
11/06/15 |
Morgan Stanley &
Co. International PLC |
0.47 |
% |
NASDAQ Biotechnology Index® |
(60,995 |
) |
|||||||||||||||||||||||||||
(68,497 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.92 |
% |
iShares® Nasdaq Biotechnology ETF |
(26,749 |
) |
|||||||||||||||||||||||||||
(221,223 |
) |
(87,744 |
) |
57,744 |
30,000 |
�� |
|||||||||||||||||||||||||||||
(53,855,535 |
) |
11/06/15 |
Societe Generale |
0.27 |
% |
NASDAQ Biotechnology Index® |
(23,614,346 |
) |
9,208,346 |
14,406,000 |
�� |
||||||||||||||||||||||||
(53,355,117 |
) |
12/07/15 |
UBS AG |
0.32 |
% |
NASDAQ Biotechnology Index® |
(5,077,918 |
) |
2,967,918 |
2,110,000 |
�� |
||||||||||||||||||||||||
$ |
(224,917,548 |
) |
$ |
(54,468,809 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT NASDAQ BIOTECHNOLOGY BIS :: 87
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) �� 95.6% |
|||||||||||
$ |
3,864,890 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $3,864,913 |
$ |
3,864,890 |
|||||||
Total Repurchase
Agreements (Cost $3,864,890) |
3,864,890 |
||||||||||
Total Investment Securities (Cost $3,864,890) † �� 95.6% |
3,864,890 |
||||||||||
Other assets less liabilities �� 4.4% |
179,827 |
||||||||||
Net Assets �� 100.0% |
$ |
4,044,717 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1
UltraShort Consumer Goods had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(5,120,281 |
) |
03/07/16 |
Bank of America, N.A. |
(0.13 |
)% |
Dow Jones
U.S. Consumer GoodsSM Index |
$ |
(137,878 |
) |
|||||||||||||||||||||||||
(12,597 |
) |
11/06/15 |
Bank of America, N.A. |
0.33 |
% |
iShares® U.S. Consumer Goods ETF |
(1,679 |
) |
|||||||||||||||||||||||||||
(5,132,878 |
) |
(139,557 |
) |
$ |
�� |
$ |
90,005 |
$ |
(49,552 |
) |
|||||||||||||||||||||||||
(8,082 |
) |
12/07/15 |
Credit Suisse International |
(0.28 |
)% |
Dow Jones U.S. Consumer GoodsSM Index |
(1,923 |
) |
�� |
�� |
(1,923 |
) |
|||||||||||||||||||||||
(419,333 |
) |
11/06/15 |
Deutsche Bank AG |
0.25 |
% |
Dow Jones
U.S. Consumer GoodsSM Index |
(110,488 |
) |
�� |
110,488 |
�� |
||||||||||||||||||||||||
(605,917 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.17 |
% |
Dow Jones U.S. Consumer GoodsSM Index |
(134,969 |
) |
|||||||||||||||||||||||||||
(14,880 |
) |
11/06/15 |
Morgan Stanley &
Co. International PLC |
0.67 |
% |
iShares®
U.S. Consumer Goods ETF |
(2,049 |
) |
|||||||||||||||||||||||||||
(620,797 |
) |
(137,018 |
) |
�� |
55,009 |
(82,009 |
) |
||||||||||||||||||||||||||||
(183,261 |
) |
11/06/15 |
Societe Generale |
0.07 |
% |
Dow Jones
U.S. Consumer GoodsSM Index |
(147,954 |
) |
�� |
147,954 |
�� |
||||||||||||||||||||||||
(1,726,036 |
) |
12/07/15 |
UBS AG |
(0.08 |
)% |
Dow Jones U.S. Consumer GoodsSM Index |
(50,471 |
) |
�� |
50,471 |
�� |
||||||||||||||||||||||||
$ |
(8,090,387 |
) |
$ |
(587,411 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
88 :: SZK ULTRASHORT CONSUMER GOODS :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) �� 99.3% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
4,000,000 |
0.00%, due 10/15/15 |
$ |
3,999,661 |
|||||||
Total U.S. Government & Agency Security (Cost $3,998,535) |
3,999,661 |
||||||||||
Repurchase Agreements (a)(b) �� 73.0% |
|||||||||||
2,940,054 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $2,940,072 |
2,940,054 |
|||||||||
Total Repurchase
Agreements (Cost $2,940,054) |
2,940,054 |
||||||||||
Total Investment Securities (Cost $6,938,589) �� 172.3% |
6,939,715 |
||||||||||
Liabilities in excess of
other assets �� (72.3%) |
(2,913,102 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
4,026,613 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $2,441,769.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
1,126 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
1,126 |
|||||
Federal income tax cost of investments |
$ |
6,938,589 |
Swap Agreements1
UltraShort Consumer Services had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(1,229,369 |
) |
03/07/16 |
Bank of America, N.A. |
(0.13 |
)% |
Dow Jones
U.S. Consumer ServicesSM Index |
$ |
(302,618 |
) |
|||||||||||||||||||||||||
(17,065 |
) |
11/06/15 |
Bank of America, N.A. |
0.33 |
% |
iShares® U.S. Consumer Services ETF |
(3,314 |
) |
|||||||||||||||||||||||||||
(1,246,434 |
) |
(305,932 |
) |
$ |
69,993 |
$ |
�� |
$ |
(235,939 |
) |
|||||||||||||||||||||||||
(276,912 |
) |
12/07/15 |
Credit Suisse International |
(0.28 |
)% |
Dow Jones U.S. Consumer ServicesSM Index |
(33,172 |
) |
�� |
�� |
(33,172 |
) |
|||||||||||||||||||||||
(932,416 |
) |
11/06/15 |
Deutsche Bank AG |
0.25 |
% |
Dow Jones
U.S. Consumer ServicesSM Index |
(770,940 |
) |
666,937 |
�� |
(104,003 |
) |
|||||||||||||||||||||||
(760,888 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.32 |
% |
Dow Jones U.S. Consumer ServicesSM Index |
(643,387 |
) |
|||||||||||||||||||||||||||
(8,348 |
) |
11/06/15 |
Morgan Stanley &
Co. International PLC |
0.82 |
% |
iShares®
U.S. Consumer Services ETF |
(1,671 |
) |
|||||||||||||||||||||||||||
(769,236 |
) |
(645,058 |
) |
591,944 |
�� |
(53,114 |
) |
||||||||||||||||||||||||||||
(3,113,268 |
) |
11/06/15 |
Societe Generale |
0.07 |
% |
Dow Jones
U.S. Consumer ServicesSM Index |
(808,440 |
) |
808,440 |
�� |
�� |
||||||||||||||||||||||||
(1,718,021 |
) |
12/07/15 |
UBS AG |
(0.08 |
)% |
Dow Jones U.S. Consumer ServicesSM Index |
(317,631 |
) |
286,973 |
�� |
(30,658 |
) |
|||||||||||||||||||||||
$ |
(8,056,287 |
) |
$ |
(2,881,173 |
) |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT CONSUMER SERVICES SCC :: 89
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
90 :: SCC ULTRASHORT CONSUMER SERVICES :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 81.5% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
15,000,000 |
0.00%, due 06/18/15 |
$ |
14,999,653 |
|||||||
31,000,000 |
0.00%, due 10/15/15 |
30,997,365 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $45,988,410) |
45,997,018 |
||||||||||
Repurchase Agreements (a)(b) �� 38.7% |
|||||||||||
21,873,042 |
Repurchase Agreements with
various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $21,873,177 |
21,873,042 |
|||||||||
Total Repurchase Agreements (Cost $21,873,042) |
21,873,042 |
||||||||||
Total Investment
Securities (Cost $67,861,452) �� 120.2% |
67,870,060 |
||||||||||
Liabilities in excess of other assets �� (20.2%) |
(11,421,108 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
56,448,952 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $29,645,201.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
8,608 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
8,608 |
|||||
Federal income tax cost of investments |
$ |
67,861,452 |
Swap Agreements1
UltraShort Financials had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(3,573,182 |
) |
03/07/16 |
Bank of America, N.A. |
(0.28 |
)% |
Dow Jones U.S. FinancialsSM Index |
$ |
(487,827 |
) |
$ |
487,827 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(26,081,561 |
) |
12/07/15 |
Credit Suisse International |
(0.28 |
)% |
Dow Jones U.S. FinancialsSM Index |
(933,325 |
) |
933,325 |
�� |
�� |
||||||||||||||||||||||||
(10,119,781 |
) |
11/06/15 |
Deutsche Bank AG |
0.40 |
% |
Dow Jones U.S. FinancialsSM Index |
(862,290 |
) |
862,290 |
�� |
�� |
||||||||||||||||||||||||
(38,890,269 |
) |
12/07/15 |
Goldman Sachs International |
(0.40 |
)% |
Dow Jones U.S. FinancialsSM Index |
(1,507,697 |
) |
1,507,697 |
�� |
�� |
||||||||||||||||||||||||
(6,985,301 |
) |
01/06/16 |
Morgan Stanley &
Co. International PLC |
(0.03 |
)% |
Dow Jones U.S. FinancialsSM Index |
(548,984 |
) |
548,984 |
�� |
�� |
||||||||||||||||||||||||
(15,042,467 |
) |
11/06/15 |
Societe Generale |
(0.03 |
)% |
Dow Jones U.S. FinancialsSM Index |
(5,441,518 |
) |
5,441,518 |
�� |
�� |
||||||||||||||||||||||||
(12,202,591 |
) |
12/07/15 |
UBS AG |
(0.08 |
)% |
Dow Jones U.S. FinancialsSM Index |
(1,546,258 |
) |
1,546,258 |
�� |
�� |
||||||||||||||||||||||||
$ |
(112,895,152 |
) |
$ |
(11,327,899 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT FINANCIALS SKF :: 91
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
92 :: SKF ULTRASHORT FINANCIALS :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) �� 76.9% |
|||||||||||
$ |
1,613,833 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $1,613,843 |
$ |
1,613,833 |
|||||||
Total Repurchase Agreements
(Cost $1,613,833) |
1,613,833 |
||||||||||
Total Investment Securities (Cost $1,613,833) † �� 76.9% |
1,613,833 |
||||||||||
Other assets less liabilities �� 23.1% |
484,674 |
||||||||||
Net Assets �� 100.0% |
$ |
2,098,507 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1,5
UltraShort Gold Miners had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(1,160,009 |
) |
01/06/17 |
Bank of
America, N.A. |
0.22 |
% |
Market Vectors
Gold Miners ETF |
$ |
(268,019 |
) |
$ |
�� |
$ |
268,019 |
$ |
�� |
|||||||||||||||||||
(2,928,860 |
) |
01/06/17 |
Deutsche Bank AG |
0.00 |
% |
Market Vectors Gold Miners ETF |
414,377 |
�� |
(414,377 |
) |
�� |
||||||||||||||||||||||||
(103,928 |
) |
11/07/16 |
Morgan Stanley &
Co. International PLC |
0.12 |
% |
Market Vectors
Gold Miners ETF |
(3,952 |
) |
�� |
�� |
(3,952 |
) |
|||||||||||||||||||||||
$ |
(4,192,797 |
) |
$ |
142,406 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
5 In order to facilitate the daily valuation and final settlement of these swap transactions as of the time the Fund calculates its NAV, which differs from the time the Fund's underlying index is calculated, one or more exchange-traded financial products are used as the reference entity, as a surrogate for the respective underlying index.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: UltraShort Gold Miners GDXS :: 93
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) �� 56.2% |
|||||||||||
$ |
1,035,724 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $1,035,730 |
$ |
1,035,724 |
|||||||
Total Repurchase Agreements
(Cost $1,035,724) |
1,035,724 |
||||||||||
Total Investment Securities (Cost $1,035,724) † �� 56.2% |
1,035,724 |
||||||||||
Other assets less liabilities �� 43.8% |
805,724 |
||||||||||
Net Assets �� 100.0% |
$ |
1,841,448 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1,5
UltraShort Junior Miners had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(2,840,651 |
) |
11/07/16 |
Bank of America
N.A. |
0.32 |
% |
Market Vectors
Junior Gold Miners ETF |
$ |
263,713 |
$ |
�� |
$ |
�� |
$ |
263,713 |
||||||||||||||||||||
(735,431 |
) |
11/07/16 |
Deutsche Bank AG |
0.25 |
% |
Market Vectors Junior Gold Miners ETF |
(359,909 |
) |
�� |
300,000 |
(59,909 |
) |
|||||||||||||||||||||||
(110,690 |
) |
11/07/16 |
Morgan Stanley &
Co. International PLC |
0.12 |
% |
Market Vectors
Junior Gold Miners ETF |
(10,713 |
) |
�� |
�� |
(10,713 |
) |
|||||||||||||||||||||||
$ |
(3,686,772 |
) |
$ |
(106,909 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
5 In order to facilitate the daily valuation and final settlement of these swap transactions as of the time the Fund calculates its NAV, which differs from the time the Fund's underlying index is calculated, one or more exchange-traded financial products are used as the reference entity, as a surrogate for the respective underlying index.
See accompanying notes to the financial statements.
94 :: GDJS UltraShort Junior Miners :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) �� 115.6% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
2,000,000 |
0.00%, due 10/15/15 |
$ |
1,999,830 |
|||||||
Total U.S. Government & Agency
Security (Cost $1,999,267) |
1,999,830 |
||||||||||
Repurchase Agreements (a)(b) �� 111.1% |
|||||||||||
1,920,464 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $1,920,476 |
1,920,464 |
|||||||||
Total Repurchase Agreements
(Cost $1,920,464) |
1,920,464 |
||||||||||
Total Investment Securities (Cost $3,919,731) �� 226.7% |
3,920,294 |
||||||||||
Liabilities in excess of
other assets �� (126.7%) |
(2,191,127 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
1,729,167 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $1,934,817.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
563 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
563 |
|||||
Federal income tax cost of investments |
$ |
3,919,731 |
Swap Agreements1
UltraShort Health Care had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(849,872 |
) |
11/06/15 |
Bank of America, N.A. |
(0.13 |
)% |
Dow Jones U.S. Health CareSM Index |
$ |
(596,789 |
) |
|||||||||||||||||||||||||
(8,269 |
) |
11/06/15 |
Bank of America, N.A. |
0.33 |
% |
iShares® U.S. Healthcare ETF |
(2,375 |
) |
|||||||||||||||||||||||||||
(858,141 |
) |
(599,164 |
) |
$ |
519,951 |
$ |
�� |
$ |
(79,213 |
) |
|||||||||||||||||||||||||
(69,036 |
) |
12/07/15 |
Credit Suisse International |
(0.28 |
)% |
Dow Jones U.S. Health CareSM Index |
(7,639 |
) |
�� |
�� |
(7,639 |
) |
|||||||||||||||||||||||
(630,017 |
) |
11/06/15 |
Deutsche Bank AG |
(0.05 |
)% |
Dow Jones U.S. Health CareSM Index |
(648,403 |
) |
648,403 |
�� |
�� |
||||||||||||||||||||||||
(549,830 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.12 |
% |
Dow Jones U.S. Health CareSM Index |
(578,338 |
) |
|||||||||||||||||||||||||||
(10,424 |
) |
11/06/15 |
Morgan Stanley & Co.
International PLC |
0.62 |
% |
iShares® U.S.
Healthcare ETF |
(3,027 |
) |
|||||||||||||||||||||||||||
(560,254 |
) |
(581,365 |
) |
476,955 |
�� |
(104,410 |
) |
||||||||||||||||||||||||||||
(759,018 |
) |
11/06/15 |
Societe Generale |
0.07 |
% |
Dow Jones U.S. Health CareSM Index |
(177,195 |
) |
9,999 |
�� |
(167,196 |
) |
|||||||||||||||||||||||
(579,300 |
) |
12/07/15 |
UBS AG |
(0.08 |
)% |
Dow Jones U.S. Health CareSM Index |
(150,551 |
) |
150,551 |
�� |
�� |
||||||||||||||||||||||||
$ |
(3,455,766 |
) |
$ |
(2,164,317 |
) |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT HEALTH CARE RXD :: 95
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
96 :: RXD ULTRASHORT HEALTH CARE :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) �� 67.9% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
3,000,000 |
0.00%, due 10/15/15 |
$ |
2,999,745 |
|||||||
Total U.S. Government & Agency
Security (Cost $2,998,923) |
2,999,745 |
||||||||||
Repurchase Agreements (a)(b) �� 84.8% |
|||||||||||
3,741,718 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $3,741,740 |
3,741,718 |
|||||||||
Total Repurchase Agreements
(Cost $3,741,718) |
3,741,718 |
||||||||||
Total Investment Securities (Cost $6,740,641) �� 152.7% |
6,741,463 |
||||||||||
Liabilities in excess of
other assets �� (52.7%) |
(2,326,698 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
4,414,765 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $2,227,790.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
822 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
822 |
|||||
Federal income tax cost of investments |
$ |
6,740,641 |
Swap Agreements1
UltraShort Industrials had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(493,473 |
) |
11/06/15 |
Bank of America, N.A. |
(0.13 |
)% |
Dow Jones U.S. IndustrialsSM Index |
$ |
(115,813 |
) |
|||||||||||||||||||||||||
(6,335 |
) |
11/06/15 |
Bank of America, N.A. |
0.33 |
% |
iShares® U.S. Industrials ETF |
(2,197 |
) |
|||||||||||||||||||||||||||
(499,808 |
) |
(118,010 |
) |
$ |
�� |
$ |
�� |
$ |
(118,010 |
) |
|||||||||||||||||||||||||
(34,132 |
) |
12/07/15 |
Credit Suisse International |
(0.28 |
)% |
Dow Jones U.S. IndustrialsSM Index |
(1,011 |
) |
�� |
�� |
(1,011 |
) |
|||||||||||||||||||||||
(1,181,302 |
) |
11/06/15 |
Deutsche Bank AG |
0.15 |
% |
Dow Jones U.S. IndustrialsSM Index |
(791,113 |
) |
772,927 |
�� |
(18,186 |
) |
|||||||||||||||||||||||
(19,020 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.12 |
% |
Dow Jones U.S. IndustrialsSM Index |
(13,997 |
) |
|||||||||||||||||||||||||||
(5,974 |
) |
11/06/15 |
Morgan Stanley & Co.
International PLC |
0.07 |
% |
iShares® U.S.
Industrials ETF |
(2,104 |
) |
|||||||||||||||||||||||||||
(24,994 |
) |
(16,101 |
) |
16,101 |
�� |
�� |
|||||||||||||||||||||||||||||
(6,395,924 |
) |
11/06/15 |
Societe Generale |
0.07 |
% |
Dow Jones U.S. IndustrialsSM Index |
(1,300,300 |
) |
1,272,880 |
�� |
(27,420 |
) |
|||||||||||||||||||||||
(687,683 |
) |
12/07/15 |
UBS AG |
(0.08 |
)% |
Dow Jones U.S. IndustrialsSM Index |
(68,229 |
) |
68,229 |
�� |
�� |
||||||||||||||||||||||||
$ |
(8,823,843 |
) |
$ |
(2,294,764 |
) |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT INDUSTRIALS SIJ :: 97
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
98 :: SIJ ULTRASHORT INDUSTRIALS :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 65.6% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
14,000,000 |
0.00%, due 09/10/15 |
$ |
13,999,804 |
|||||||
15,000,000 |
0.00%, due 10/15/15 |
14,998,725 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $28,994,111) |
28,998,529 |
||||||||||
Repurchase Agreements (a)(b) �� 41.5% |
|||||||||||
18,316,408 |
Repurchase Agreements with
various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $18,316,521 |
18,316,408 |
|||||||||
Total Repurchase Agreements (Cost $18,316,408) |
18,316,408 |
||||||||||
Total Investment
Securities (Cost $47,310,519) �� 107.1% |
47,314,937 |
||||||||||
Liabilities in excess of other assets �� (7.1%) |
(3,137,657 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
44,177,280 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $7,165,324.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
4,418 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
4,418 |
|||||
Federal income tax cost of investments |
$ |
47,310,519 |
Swap Agreements1
UltraShort Oil & Gas had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(9,774,207 |
) |
11/06/15 |
Bank of America, N.A. |
0.02 |
% |
Dow Jones U.S.
Oil & GasSM Index |
$ |
(1,404,464 |
) |
|||||||||||||||||||||||||
(6,328 |
) |
11/06/15 |
Bank of America, N.A. |
0.38 |
% |
iShares® U.S. Energy ETF |
475 |
||||||||||||||||||||||||||||
(9,780,535 |
) |
(1,403,989 |
) |
$ |
1,358,989 |
$ |
45,000 |
$ |
�� |
||||||||||||||||||||||||||
(352,920 |
) |
12/07/15 |
Credit Suisse International |
(0.28 |
)% |
Dow Jones U.S. Oil & GasSM Index |
34,666 |
�� |
�� |
34,666 |
|||||||||||||||||||||||||
(25,530,115 |
) |
11/06/15 |
Deutsche Bank AG |
(0.05 |
)% |
Dow Jones U.S.
Oil & GasSM Index |
(1,046,908 |
) |
1,046,908 |
�� |
�� |
||||||||||||||||||||||||
(2,984,699 |
) |
12/07/15 |
Goldman Sachs International |
(0.30 |
)% |
Dow Jones U.S. Oil & GasSM Index |
293,510 |
(286,573 |
) |
�� |
6,937 |
||||||||||||||||||||||||
(41,236,732 |
) |
11/06/15 |
Morgan Stanley & Co.
International PLC |
(0.08 |
)% |
Dow Jones U.S.
Oil & GasSM Index |
(2,216,007 |
) |
|||||||||||||||||||||||||||
(15,739 |
) |
11/07/16 |
Morgan Stanley & Co. International PLC |
0.07 |
% |
iShares® U.S. Energy ETF |
1,515 |
||||||||||||||||||||||||||||
(41,252,471 |
) |
(2,214,492 |
) |
2,214,492 |
�� |
�� |
|||||||||||||||||||||||||||||
(3,591,312 |
) |
11/06/15 |
Societe Generale |
0.07 |
% |
Dow Jones U.S. Oil & GasSM Index |
(955,050 |
) |
95,050 |
860,000 |
�� |
||||||||||||||||||||||||
(4,857,828 |
) |
12/07/15 |
UBS AG |
(0.08 |
)% |
Dow Jones U.S.
Oil & GasSM Index |
3,712,032 |
(3,712,032 |
) |
�� |
�� |
||||||||||||||||||||||||
$ |
(88,349,880 |
) |
$ |
(1,580,231 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT OIL & GAS DUG :: 99
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
100 :: DUG ULTRASHORT OIL & GAS :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) �� 91.9% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
30,000,000 |
0.00%, due 10/15/15 |
$ |
29,997,450 |
|||||||
Total U.S. Government & Agency
Security (Cost $29,989,272) |
29,997,450 |
||||||||||
Repurchase Agreements (a)(b) �� 31.3% |
|||||||||||
10,208,095 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $10,208,157 |
10,208,095 |
|||||||||
Total Repurchase Agreements
(Cost $10,208,095) |
10,208,095 |
||||||||||
Total Investment Securities (Cost $40,197,367) �� 123.2% |
40,205,545 |
||||||||||
Liabilities in excess of
other assets �� (23.2%) |
(7,560,838 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
32,644,707 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $4,737,553.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
8,178 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
8,178 |
|||||
Federal income tax cost of investments |
$ |
40,197,367 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT REAL ESTATE SRS :: 101
Swap Agreements1
UltraShort Real Estate had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(26,738,202 |
) |
03/07/16 |
Bank of America, N.A. |
(0.28 |
)% |
Dow Jones U.S. Real EstateSM Index |
$ |
209,357 |
||||||||||||||||||||||||||
(73,359 |
) |
11/06/15 |
Bank of America, N.A. |
0.23 |
% |
iShares® U.S. Real Estate ETF |
(15,165 |
) |
|||||||||||||||||||||||||||
(26,811,561 |
) |
194,192 |
$ |
�� |
$ |
�� |
$ |
194,192 |
|||||||||||||||||||||||||||
(604,419 |
) |
12/07/15 |
Credit Suisse International |
(0.18 |
)% |
Dow Jones U.S. Real EstateSM Index |
(31,622 |
) |
31,622 |
�� |
�� |
||||||||||||||||||||||||
(2,745,825 |
) |
11/06/15 |
Deutsche Bank AG |
0.45 |
% |
Dow Jones U.S. Real EstateSM Index |
(716,076 |
) |
716,076 |
�� |
�� |
||||||||||||||||||||||||
(1,123,213 |
) |
12/07/15 |
Goldman Sachs International |
(0.30 |
)% |
Dow Jones U.S. Real EstateSM Index |
(70,593 |
) |
70,593 |
�� |
�� |
||||||||||||||||||||||||
(11,469,206 |
) |
01/06/16 |
Morgan Stanley & Co.
International PLC |
0.07 |
% |
Dow Jones U.S. Real EstateSM Index |
(329,566 |
) |
|||||||||||||||||||||||||||
(63,658 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.92 |
% |
iShares® U.S. Real Estate ETF |
(13,683 |
) |
|||||||||||||||||||||||||||
(11,532,864 |
) |
(343,249 |
) |
140,987 |
81,000 |
(121,262 |
) |
||||||||||||||||||||||||||||
(16,372,155 |
) |
11/06/15 |
Societe Generale |
0.07 |
% |
Dow Jones U.S. Real EstateSM Index |
(6,784,868 |
) |
1,206,868 |
5,578,000 |
�� |
||||||||||||||||||||||||
(6,207,124 |
) |
12/07/15 |
UBS AG |
0.07 |
% |
Dow Jones U.S. Real EstateSM Index |
(448,568 |
) |
448,568 |
�� |
�� |
||||||||||||||||||||||||
$ |
(65,397,161 |
) |
$ |
(8,200,784 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
102 :: SRS ULTRASHORT REAL ESTATE :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) �� 130.5% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
4,000,000 |
0.00%, due 10/15/15 |
$ |
3,999,660 |
|||||||
Total U.S. Government & Agency
Security (Cost $3,998,542) |
3,999,660 |
||||||||||
Repurchase Agreements (a)(b) �� 60.9% |
|||||||||||
1,869,212 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $1,869,224 |
1,869,212 |
|||||||||
Total Repurchase Agreements
(Cost $1,869,212) |
1,869,212 |
||||||||||
Total Investment Securities (Cost $5,867,754) �� 191.4% |
5,868,872 |
||||||||||
Liabilities in excess of
other assets �� (91.4%) |
(2,801,862 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
3,067,010 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $2,411,772.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
1,118 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
1,118 |
|||||
Federal income tax cost of investments |
$ |
5,867,754 |
Swap Agreements1
UltraShort Semiconductors had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(698,625 |
) |
03/07/16 |
Bank of America, N.A. |
(0.18 |
)% |
Dow Jones U.S.
SemiconductorsSM Index |
$ |
(542,893 |
) |
$ |
542,893 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(24,048 |
) |
12/07/15 |
Credit Suisse International |
(0.28 |
)% |
Dow Jones U.S. SemiconductorsSM Index |
(2,905 |
) |
�� |
�� |
(2,905 |
) |
|||||||||||||||||||||||
(1,244,456 |
) |
11/06/15 |
Deutsche Bank AG |
0.05 |
% |
Dow Jones U.S.
SemiconductorsSM Index |
(503,189 |
) |
396,963 |
�� |
(106,226 |
) |
|||||||||||||||||||||||
(1,374,304 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.12 |
% |
Dow Jones U.S. SemiconductorsSM Index |
(745,752 |
) |
709,933 |
�� |
(35,819 |
) |
|||||||||||||||||||||||
(1,685,093 |
) |
11/06/15 |
Societe Generale |
0.07 |
% |
Dow Jones U.S.
SemiconductorsSM Index |
(794,993 |
) |
595,944 |
�� |
(199,049 |
) |
|||||||||||||||||||||||
(1,110,666 |
) |
12/07/15 |
UBS AG |
(0.08 |
)% |
Dow Jones U.S. SemiconductorsSM Index |
(183,520 |
) |
136,987 |
�� |
(46,533 |
) |
|||||||||||||||||||||||
$ |
(6,137,192 |
) |
$ |
(2,773,252 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT SEMICONDUCTORS SSG :: 103
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) �� 60.9% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
4,500,000 |
0.00%, due 10/15/15 |
$ |
4,499,618 |
|||||||
Total U.S. Government & Agency
Security (Cost $4,498,399) |
4,499,618 |
||||||||||
Repurchase Agreements (a)(b) �� 83.9% |
|||||||||||
6,204,305 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $6,204,344 |
6,204,305 |
|||||||||
Total Repurchase Agreements
(Cost $6,204,305) |
6,204,305 |
||||||||||
Total Investment Securities (Cost $10,702,704) �� 144.8% |
10,703,923 |
||||||||||
Liabilities in excess of
other assets �� (44.8%) |
(3,312,725 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
7,391,198 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $3,004,716.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
1,219 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
1,219 |
|||||
Federal income tax cost of investments |
$ |
10,702,704 |
Swap Agreements1
UltraShort Technology had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(3,271,451 |
) |
11/06/15 |
Bank of America, N.A. |
(0.18 |
)% |
Dow Jones U.S. TechnologySM Index |
$ |
(505,877 |
) |
|||||||||||||||||||||||||
(14,087 |
) |
11/06/15 |
Bank of America, N.A. |
0.28 |
% |
iShares® U.S. Technology ETF |
(3,313 |
) |
|||||||||||||||||||||||||||
(3,285,538 |
) |
(509,190 |
) |
$ |
509,190 |
$ |
�� |
$ |
�� |
||||||||||||||||||||||||||
(344,788 |
) |
12/07/15 |
Credit Suisse International |
(0.28 |
)% |
Dow Jones U.S. TechnologySM Index |
(30,880 |
) |
�� |
�� |
(30,880 |
) |
|||||||||||||||||||||||
(1,319,467 |
) |
11/06/15 |
Deutsche Bank AG |
0.15 |
% |
Dow Jones U.S. TechnologySM Index |
(290,804 |
) |
146,986 |
�� |
(143,818 |
) |
|||||||||||||||||||||||
(244,890 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.12 |
% |
Dow Jones U.S. TechnologySM Index |
(22,327 |
) |
|||||||||||||||||||||||||||
(9,954 |
) |
11/06/15 |
Morgan Stanley & Co.
International PLC |
0.07 |
% |
iShares® U.S.
Technology ETF |
(2,317 |
) |
|||||||||||||||||||||||||||
(254,844 |
) |
(24,644 |
) |
9,999 |
�� |
(14,645 |
) |
||||||||||||||||||||||||||||
(8,187,670 |
) |
11/06/15 |
Societe Generale |
0.07 |
% |
Dow Jones U.S. TechnologySM Index |
(2,093,601 |
) |
2,093,601 |
�� |
�� |
||||||||||||||||||||||||
(1,392,112 |
) |
12/07/15 |
UBS AG |
(0.08 |
)% |
Dow Jones U.S. TechnologySM Index |
(330,836 |
) |
212,980 |
�� |
(117,856 |
) |
|||||||||||||||||||||||
$ |
(14,784,419 |
) |
$ |
(3,279,955 |
) |
See accompanying notes to the financial statements.
104 :: REW ULTRASHORT TECHNOLOGY :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT TECHNOLOGY REW :: 105
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) �� 86.2% |
|||||||||||
$ |
116,985 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $116,985 |
$ |
116,985 |
|||||||
Total Repurchase Agreements
(Cost $116,985) |
116,985 |
||||||||||
Total Investment Securities (Cost $116,985) † �� 86.2% |
116,985 |
||||||||||
Other assets less liabilities �� 13.8% |
18,663 |
||||||||||
Net Assets �� 100.0% |
$ |
135,648 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1
UltraShort Telecommunications had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(103,643 |
) |
11/06/15 |
Bank of America, N.A. |
0.17 |
% |
Dow Jones U.S. Select
TelecommunicationsSM Index |
$ |
(54,241 |
) |
|||||||||||||||||||||||||
(1,168 |
) |
11/06/15 |
Bank of America, N.A. |
0.63 |
% |
iShares® U.S. Telecommunications ETF |
(581 |
) |
|||||||||||||||||||||||||||
(104,811 |
) |
(54,822 |
) |
$ |
�� |
$ |
�� |
$ |
(54,822 |
) |
|||||||||||||||||||||||||
(12,277 |
) |
12/07/15 |
Credit Suisse International |
(0.28 |
)% |
Dow Jones U.S. Select TelecommunicationsSM Index |
(704 |
) |
�� |
�� |
(704 |
) |
|||||||||||||||||||||||
(25,596 |
) |
11/06/15 |
Deutsche Bank AG |
0.15 |
% |
Dow Jones U.S. Select
TelecommunicationsSM Index |
(6,608 |
) |
�� |
6,608 |
�� |
||||||||||||||||||||||||
(9,704 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.12 |
% |
Dow Jones U.S. Select TelecommunicationsSM Index |
(18,299 |
) |
|||||||||||||||||||||||||||
(702 |
) |
11/06/15 |
Morgan Stanley &
Co. International PLC |
0.62 |
% |
iShares® U.S.
Telecommunications ETF |
(428 |
) |
|||||||||||||||||||||||||||
(10,406 |
) |
(18,727 |
) |
�� |
18,351 |
(376 |
) |
||||||||||||||||||||||||||||
(105,128 |
) |
11/06/15 |
Societe Generale |
0.07 |
% |
Dow Jones U.S. Select
TelecommunicationsSM Index |
(68,526 |
) |
�� |
60,202 |
(8,324 |
) |
|||||||||||||||||||||||
(13,574 |
) |
11/07/16 |
UBS AG |
0.22 |
% |
Dow Jones U.S. Select TelecommunicationsSM Index |
47 |
�� |
�� |
47 |
|||||||||||||||||||||||||
$ |
(271,792 |
) |
$ |
(149,340 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
106 :: TLL ULTRASHORT TELECOMMUNICATIONS :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT TELECOMMUNICATIONS TLL :: 107
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 49.6% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
600,000 |
0.00%, due 06/11/15 |
$ |
599,993 |
|||||||
2,000,000 |
0.00%, due 08/13/15 |
2,000,020 |
|||||||||
1,500,000 |
0.00%, due 10/15/15 |
1,499,873 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $4,099,409) |
4,099,886 |
||||||||||
Repurchase Agreements (a)(b) �� 56.5% |
|||||||||||
4,661,262 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $4,661,291 |
4,661,262 |
|||||||||
Total Repurchase Agreements
(Cost $4,661,262) |
4,661,262 |
||||||||||
Total Investment Securities (Cost $8,760,671) �� 106.1% |
8,761,148 |
||||||||||
Liabilities in excess of
other assets �� (6.1%) |
(506,099 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
8,255,049 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $2,099,857.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
477 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
477 |
|||||
Federal income tax cost of investments |
$ |
8,760,671 |
Swap Agreements1
UltraShort Utilities had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(6,618,645 |
) |
03/07/16 |
Bank of America, N.A. |
(0.08 |
)% |
Dow Jones U.S.
UtilitiesSM Index |
$ |
(122,768 |
) |
$ |
122,768 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(7,126,756 |
) |
12/07/15 |
Credit Suisse International |
(0.28 |
)% |
Dow Jones U.S. UtilitiesSM Index |
12,579 |
�� |
(12,579 |
) |
�� |
||||||||||||||||||||||||
(498,264 |
) |
11/06/15 |
Deutsche Bank AG |
0.25 |
% |
Dow Jones U.S.
UtilitiesSM Index |
(79,258 |
) |
�� |
�� |
(79,258 |
) |
|||||||||||||||||||||||
(108,373 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.12 |
% |
Dow Jones U.S. UtilitiesSM Index |
(35,352 |
) |
35,352 |
�� |
�� |
||||||||||||||||||||||||
(694,213 |
) |
11/06/15 |
Societe Generale |
0.07 |
% |
Dow Jones U.S.
UtilitiesSM Index |
(288,713 |
) |
224,993 |
�� |
(63,720 |
) |
|||||||||||||||||||||||
(1,466,566 |
) |
12/07/15 |
UBS AG |
(0.08 |
)% |
Dow Jones U.S. UtilitiesSM Index |
39,855 |
�� |
�� |
39,855 |
|||||||||||||||||||||||||
$ |
(16,512,817 |
) |
$ |
(473,657 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
108 :: SDP ULTRASHORT UTILITIES :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) �� 95.1% |
|||||||||||
$ |
3,732,064 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $3,732,086 |
$ |
3,732,064 |
|||||||
Total Repurchase Agreements
(Cost $3,732,064) |
3,732,064 |
||||||||||
Total Investment Securities (Cost $3,732,064) † �� 95.1% |
3,732,064 |
||||||||||
Other assets less
liabilities �� 4.9% |
191,754 |
||||||||||
Net Assets �� 100.0% |
$ |
3,923,818 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1
UltraPro Short Financials had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(1,009,148 |
) |
03/07/16 |
Bank of America, N.A. |
(0.28 |
)% |
Dow Jones U.S.
FinancialsSM Index |
$ |
(41,143 |
) |
|||||||||||||||||||||||||
(8,041 |
) |
11/06/15 |
Bank of America, N.A. |
0.28 |
% |
iShares® U.S. Financials ETF |
(1,262 |
) |
|||||||||||||||||||||||||||
(1,017,189 |
) |
(42,405 |
) |
$ |
�� |
$ |
42,405 |
$ |
�� |
||||||||||||||||||||||||||
(247,505 |
) |
11/06/15 |
Deutsche Bank AG |
0.40 |
% |
Dow Jones U.S. FinancialsSM Index |
(38,296 |
) |
|||||||||||||||||||||||||||
(30,141 |
) |
11/07/16 |
Deutsche Bank AG |
0.45 |
% |
iShares® U.S.
Financials ETF |
(1,077 |
) |
|||||||||||||||||||||||||||
(277,646 |
) |
(39,373 |
) |
�� |
39,373 |
�� |
|||||||||||||||||||||||||||||
(3,435,927 |
) |
11/06/15 |
Morgan Stanley & Co.
International PLC |
(0.03 |
)% |
Dow Jones U.S.
FinancialsSM Index |
(1,211,714 |
) |
|||||||||||||||||||||||||||
(18,374 |
) |
11/07/16 |
Morgan Stanley & Co. International PLC |
0.07 |
% |
iShares® U.S. Financials ETF |
(618 |
) |
|||||||||||||||||||||||||||
(3,454,301 |
) |
(1,212,332 |
) |
�� |
1,212,332 |
�� |
|||||||||||||||||||||||||||||
(4,213,429 |
) |
11/06/15 |
Societe Generale |
(0.03 |
)% |
Dow Jones U.S. FinancialsSM Index |
(225,970 |
) |
�� |
225,970 |
�� |
||||||||||||||||||||||||
(2,812,929 |
) |
12/07/15 |
UBS AG |
(0.08 |
)% |
Dow Jones U.S.
FinancialsSM Index |
(227,041 |
) |
�� |
149,551 |
(77,490 |
) |
|||||||||||||||||||||||
$ |
(11,775,494 |
) |
$ |
(1,747,121 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRAPRO SHORT FINANCIALS FINZ :: 109
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 59.6% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
2,000,000 |
0.00%, due 06/18/15 |
$ |
1,999,953 |
|||||||
5,000,000 |
0.00%, due 06/25/15 |
4,999,780 |
|||||||||
12,000,000 |
0.00%, due 07/23/15 |
11,999,632 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $18,999,365) |
18,999,365 |
||||||||||
Repurchase Agreements (a)(b) �� 48.1% |
|||||||||||
15,340,162 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $15,340,256 |
15,340,162 |
|||||||||
Total Repurchase Agreements
(Cost $15,340,162) |
15,340,162 |
||||||||||
Total Investment Securities (Cost $34,339,527) † �� 107.7% |
34,339,527 |
||||||||||
Liabilities in excess of
other assets �� (7.7%) |
(2,454,414 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
31,885,113 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $6,154,942.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1,5
Short MSCI EAFE had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(4,912,128 |
) |
11/06/15 |
Credit
Suisse International |
0.12 |
% |
iShares®
MSCI EAFE ETF |
$ |
(2,399,018 |
) |
$ |
2,399,018 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(2,202,084 |
) |
11/07/16 |
Deutsche Bank AG |
0.35 |
% |
iShares® MSCI EAFE ETF |
(172,518 |
) |
107,000 |
�� |
(65,518 |
) |
|||||||||||||||||||||||
(20,907,195 |
) |
11/06/15 |
Goldman
Sachs International |
(0.15 |
)% |
iShares®
MSCI EAFE ETF |
(831,880 |
) |
�� |
831,880 |
�� |
||||||||||||||||||||||||
(2,084,057 |
) |
11/07/16 |
Societe Generale |
0.42 |
% |
iShares® MSCI EAFE ETF |
(166,174 |
) |
75,999 |
�� |
(90,175 |
) |
|||||||||||||||||||||||
(1,711,488 |
) |
11/06/15 |
UBS AG |
0.22 |
% |
iShares®
MSCI EAFE ETF |
(1,093,543 |
) |
�� |
1,093,543 |
�� |
||||||||||||||||||||||||
$ |
(31,816,952 |
) |
$ |
(4,663,133 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
5 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
110 :: EFZ SHORT MSCI EAFE :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 69.4% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
15,000,000 |
0.00%, due 06/11/15 |
$ |
14,999,833 |
|||||||
60,000,000 |
0.00%, due 06/18/15 |
59,998,612 |
|||||||||
15,000,000 |
0.00%, due 07/02/15 |
14,999,354 |
|||||||||
60,000,000 |
0.00%, due 10/15/15 |
59,994,901 |
|||||||||
30,000,000 |
0.00%, due 11/12/15 |
29,993,850 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $179,960,323) |
179,986,550 |
||||||||||
Repurchase Agreements (a)(b) �� 36.7% |
|||||||||||
95,080,116 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $95,080,706 |
95,080,116 |
|||||||||
Total Repurchase Agreements
(Cost $95,080,116) |
95,080,116 |
||||||||||
Total Investment Securities (Cost $275,040,439) �� 106.1% |
275,066,666 |
||||||||||
Liabilities in excess of
other assets �� (6.1%) |
(15,766,806 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
259,299,860 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $65,962,454.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
26,227 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
26,227 |
|||||
Federal income tax cost of investments |
$ |
275,040,439 |
Swap Agreements1,5
Short MSCI Emerging Markets had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(2,799,599 |
) |
11/07/16 |
Bank of America, N.A. |
0.82 |
% |
iShares® MSCI
Emerging Markets ETF |
$ |
(226,466 |
) |
$ |
226,466 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(111,788,553 |
) |
11/06/15 |
Credit Suisse International |
0.42 |
% |
iShares® MSCI Emerging Markets ETF |
(7,332,390 |
) |
7,332,390 |
�� |
�� |
||||||||||||||||||||||||
(34,968,749 |
) |
11/06/15 |
Deutsche Bank AG |
0.35 |
% |
iShares® MSCI
Emerging Markets ETF |
(32,168 |
) |
32,168 |
�� |
�� |
||||||||||||||||||||||||
(100,950,134 |
) |
11/07/16 |
Goldman Sachs International |
0.30 |
% |
iShares® MSCI Emerging Markets ETF |
(12,742,806 |
) |
12,742,806 |
�� |
�� |
||||||||||||||||||||||||
(2,838,128 |
) |
11/06/15 |
Morgan Stanley &
Co. International PLC |
0.82 |
% |
iShares® MSCI
Emerging Markets ETF |
(23,446 |
) |
23,446 |
�� |
�� |
||||||||||||||||||||||||
(1,352,286 |
) |
11/07/16 |
Societe Generale |
0.57 |
% |
iShares® MSCI Emerging Markets ETF |
(248,290 |
) |
130,973 |
�� |
(117,317 |
) |
|||||||||||||||||||||||
(4,243,911 |
) |
11/06/15 |
UBS AG |
1.07 |
% |
iShares® MSCI
Emerging Markets ETF |
(2,172,955 |
) |
2,172,955 |
�� |
�� |
||||||||||||||||||||||||
$ |
(258,941,360 |
) |
$ |
(22,778,521 |
) |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: SHORT MSCI EMERGING MARKETS EUM :: 111
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
5 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
112 :: EUM SHORT MSCI EMERGING MARKETS :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) �� 71.6% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
2,500,000 |
0.00%, due 10/15/15 |
$ |
2,499,788 |
|||||||
Total U.S. Government & Agency
Security (Cost $2,499,084) |
2,499,788 |
||||||||||
Repurchase Agreements (a)(b) �� 49.4% |
|||||||||||
1,727,317 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $1,727,327 |
1,727,317 |
|||||||||
Total Repurchase Agreements
(Cost $1,727,317) |
1,727,317 |
||||||||||
Total Investment Securities (Cost $4,226,401) �� 121.0% |
4,227,105 |
||||||||||
Liabilities in excess of
other assets �� (21.0%) |
(732,730 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
3,494,375 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $923,913.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
704 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
704 |
|||||
Federal income tax cost of investments |
$ |
4,226,401 |
Swap Agreements1,5
Short FTSE China 50 had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(371,464 |
) |
11/06/15 |
Bank of America, N.A. |
0.82 |
% |
iShares® China
Large-Cap ETF |
$ |
(126,513 |
) |
$ |
�� |
$ |
�� |
$ |
(126,513 |
) |
||||||||||||||||||
(950,578 |
) |
11/07/16 |
Deutsche Bank AG |
0.70 |
% |
iShares® China Large-Cap ETF |
(296,089 |
) |
296,089 |
�� |
�� |
||||||||||||||||||||||||
(1,683,450 |
) |
01/06/16 |
Goldman Sachs
International |
1.60 |
% |
iShares® China
Large-Cap ETF |
(263,302 |
) |
37,302 |
226,000 |
�� |
||||||||||||||||||||||||
(163,496 |
) |
11/06/15 |
Societe Generale |
0.82 |
% |
iShares® China Large-Cap ETF |
(82,891 |
) |
9,999 |
�� |
(72,892 |
) |
|||||||||||||||||||||||
(308,101 |
) |
11/07/16 |
UBS AG |
1.57 |
% |
iShares® China
Large-Cap ETF |
(163,990 |
) |
158,990 |
5,000 |
�� |
||||||||||||||||||||||||
$ |
(3,477,089 |
) |
$ |
(932,785 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
5 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: SHORT FTSE CHINA 50 YXI :: 113
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) �� 63.6% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
2,000,000 |
0.00%, due 10/15/15 |
$ |
1,999,830 |
|||||||
Total U.S. Government & Agency
Security (Cost $1,999,267) |
1,999,830 |
||||||||||
Repurchase Agreements (a)(b) �� 62.7% |
|||||||||||
1,971,199 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $1,971,211 |
1,971,199 |
|||||||||
Total Repurchase Agreements
(Cost $1,971,199) |
1,971,199 |
||||||||||
Total Investment Securities (Cost $3,970,466) �� 126.3% |
3,971,029 |
||||||||||
Liabilities in excess of
other assets �� (26.3%) |
(827,436 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
3,143,593 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $1,519,857.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
563 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
563 |
|||||
Federal income tax cost of investments |
$ |
3,970,466 |
Swap Agreements1,5
UltraShort MSCI EAFE had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(2,923,363 |
) |
11/06/15 |
Credit Suisse
International |
0.12 |
% |
iShares® MSCI
EAFE ETF |
$ |
(298,979 |
) |
$ |
298,979 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(1,853,793 |
) |
11/06/15 |
Deutsche Bank AG |
0.35 |
% |
iShares® MSCI EAFE ETF |
(259,399 |
) |
259,399 |
�� |
�� |
||||||||||||||||||||||||
(219,843 |
) |
11/06/15 |
Societe Generale |
0.42 |
% |
iShares® MSCI
EAFE ETF |
(30,580 |
) |
�� |
30,580 |
�� |
||||||||||||||||||||||||
(1,266,929 |
) |
11/06/15 |
UBS AG |
0.22 |
% |
iShares® MSCI EAFE ETF |
(249,585 |
) |
249,585 |
�� |
�� |
||||||||||||||||||||||||
$ |
(6,263,928 |
) |
$ |
(838,543 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
5 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
114 :: EFU ULTRASHORT MSCI EAFE :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 82.1% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
10,000,000 |
0.00%, due 07/02/15 |
$ |
9,999,526 |
|||||||
20,000,000 |
0.00%, due 10/15/15 |
19,998,300 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $29,992,273) |
29,997,826 |
||||||||||
Repurchase Agreements (a)(b) �� 42.9% |
|||||||||||
15,655,352 |
Repurchase Agreements with
various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $15,655,449 |
15,655,352 |
|||||||||
Total Repurchase Agreements (Cost $15,655,352) |
15,655,352 |
||||||||||
Total Investment
Securities (Cost $45,647,625) �� 125.0% |
45,653,178 |
||||||||||
Liabilities in excess of other assets �� (25.0%) |
(9,138,988 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
36,514,190 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $20,122,146.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
5,553 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
5,553 |
|||||
Federal income tax cost of investments |
$ |
45,647,625 |
Swap Agreements1,5
UltraShort MSCI Emerging Markets had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(18,380,267 |
) |
11/06/15 |
Credit Suisse
International |
0.42 |
% |
iShares® MSCI
Emerging Markets ETF |
$ |
(2,580,544 |
) |
$ |
2,580,544 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(8,576,631 |
) |
11/06/15 |
Deutsche Bank AG |
0.35 |
% |
iShares® MSCI Emerging Markets ETF |
(260,899 |
) |
260,899 |
�� |
�� |
||||||||||||||||||||||||
(32,486,904 |
) |
11/06/15 |
Goldman Sachs
International |
0.30 |
% |
iShares® MSCI
Emerging Markets ETF |
(4,854,668 |
) |
4,854,668 |
�� |
�� |
||||||||||||||||||||||||
(11,166,801 |
) |
11/07/16 |
Societe Generale |
0.57 |
% |
iShares® MSCI Emerging Markets ETF |
(461,818 |
) |
461,818 |
�� |
�� |
||||||||||||||||||||||||
(2,459,247 |
) |
11/06/15 |
UBS AG |
1.07 |
% |
iShares® MSCI
Emerging Markets ETF |
(918,056 |
) |
918,056 |
�� |
�� |
||||||||||||||||||||||||
$ |
(73,069,850 |
) |
$ |
(9,075,985 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT MSCI EMERGING MARKETS EEV :: 115
5 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
116 :: EEV ULTRASHORT MSCI EMERGING MARKETS :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 53.4% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
5,000,000 |
0.00%, due 08/13/15 |
$ |
5,000,050 |
|||||||
7,000,000 |
0.00%, due 10/15/15 |
6,999,405 |
|||||||||
2,000,000 |
0.00%, due 11/12/15 |
1,999,590 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $13,995,904) |
13,999,045 |
||||||||||
Repurchase Agreements (a)(b) �� 52.3% |
|||||||||||
13,684,223 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $13,684,309 |
13,684,223 |
|||||||||
Total Repurchase Agreements
(Cost $13,684,223) |
13,684,223 |
||||||||||
Total Investment Securities (Cost $27,680,127) �� 105.7% |
27,683,268 |
||||||||||
Liabilities in excess of
other assets �� (5.7%) |
(1,505,065 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
26,178,203 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $11,504,904.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
3,141 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
3,141 |
|||||
Federal income tax cost of investments |
$ |
27,680,127 |
Swap Agreements1,5
UltraShort FTSE Europe had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(3,020,608 |
) |
11/06/15 |
Credit Suisse
International |
2.32 |
% |
Vanguard® FTSE
Europe ETF Shares |
$ |
(2,209,115 |
) |
$ |
2,209,115 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(2,925,358 |
) |
11/06/15 |
Deutsche Bank AG |
0.55 |
% |
Vanguard® FTSE Europe ETF Shares |
(2,114,978 |
) |
2,114,978 |
�� |
�� |
||||||||||||||||||||||||
(5,456,103 |
) |
11/06/15 |
Goldman Sachs
International |
0.65 |
% |
Vanguard® FTSE
Europe ETF Shares |
(1,274,617 |
) |
�� |
1,274,617 |
�� |
||||||||||||||||||||||||
(1,113,003 |
) |
11/07/16 |
Morgan Stanley & Co. International PLC |
2.57 |
% |
Vanguard® FTSE Europe ETF Shares |
(1,215,119 |
) |
1,130,883 |
�� |
(84,236 |
) |
|||||||||||||||||||||||
(582,145 |
) |
11/07/16 |
Societe Generale |
0.82 |
% |
Vanguard® FTSE
Europe ETF Shares |
(406,961 |
) |
251,976 |
74,000 |
(80,985 |
) |
|||||||||||||||||||||||
(39,110,984 |
) |
11/07/16 |
UBS AG |
0.32 |
% |
Vanguard® FTSE Europe ETF Shares |
(1,138,666 |
) |
�� |
1,138,666 |
�� |
||||||||||||||||||||||||
$ |
(52,208,201 |
) |
$ |
(8,359,456 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT FTSE EUROPE EPV :: 117
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
5 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
118 :: EPV ULTRASHORT FTSE EUROPE :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) �� 29.8% |
|||||||||||
$ |
316,408 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $316,409 |
$ |
316,408 |
|||||||
Total Repurchase Agreements
(Cost $316,408) |
316,408 |
||||||||||
Total Investment Securities (Cost $316,408) † �� 29.8% |
316,408 |
||||||||||
Other assets less
liabilities �� 70.2% |
745,729 |
||||||||||
Net Assets �� 100.0% |
$ |
1,062,137 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1,5
UltraShort MSCI Pacific ex-Japan had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(347,847 |
) |
11/06/15 |
Credit Suisse
International |
0.57 |
% |
iShares® MSCI
Pacific ex Japan ETF |
$ |
38,122 |
$ |
�� |
$ |
�� |
$ |
38,122 |
||||||||||||||||||||
(426,721 |
) |
12/06/16 |
Deutsche Bank AG |
0.35 |
% |
iShares® MSCI Pacific ex Japan ETF |
(22,872 |
) |
�� |
22,872 |
�� |
||||||||||||||||||||||||
(967,975 |
) |
11/06/15 |
Morgan Stanley &
Co. International PLC |
0.22 |
% |
iShares® MSCI
Pacific ex Japan ETF |
(23,509 |
) |
�� |
23,509 |
�� |
||||||||||||||||||||||||
(259,998 |
) |
11/06/15 |
Societe Generale |
0.42 |
% |
iShares® MSCI Pacific ex Japan ETF |
(35,095 |
) |
�� |
20,027 |
(15,068 |
) |
|||||||||||||||||||||||
(123,262 |
) |
11/07/16 |
UBS AG |
0.57 |
% |
iShares® MSCI
Pacific ex Japan ETF |
4,184 |
�� |
�� |
4,184 |
|||||||||||||||||||||||||
$ |
(2,125,803 |
) |
$ |
(39,170 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
5 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT MSCI PACIFIC EX-JAPAN JPX :: 119
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 70.2% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
15,000,000 |
0.00%, due 07/30/15 |
$ |
14,999,463 |
|||||||
6,000,000 |
0.00%, due 10/15/15 |
5,999,490 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $20,997,287) |
20,998,953 |
||||||||||
Repurchase Agreements (a)(b) �� 20.0% |
|||||||||||
5,962,162 |
Repurchase Agreements with
various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $5,962,199 |
5,962,162 |
|||||||||
Total Repurchase Agreements (Cost $5,962,162) |
5,962,162 |
||||||||||
Total Investment
Securities (Cost $26,959,449) �� 90.2% |
26,961,115 |
||||||||||
Other assets less liabilities �� 9.8% |
2,924,221 |
||||||||||
Net Assets �� 100.0% |
$ |
29,885,336 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $8,639,412.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
1,666 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
1,666 |
|||||
Federal income tax cost of investments |
$ |
26,959,449 |
Swap Agreements1,5
UltraShort MSCI Brazil Capped had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(2,598,950 |
) |
11/06/15 |
Bank of America, N.A. |
0.27 |
% |
iShares® MSCI
Brazil Capped ETF |
$ |
1,054,340 |
$ |
(814,569 |
) |
$ |
�� |
$ |
239,771 |
|||||||||||||||||||
(14,215,262 |
) |
11/06/15 |
Credit Suisse International |
0.22 |
% |
iShares® MSCI Brazil Capped ETF |
3,012,007 |
(196,334 |
) |
(2,483,863 |
) |
331,810 |
|||||||||||||||||||||||
(38,174,323 |
) |
11/07/16 |
Deutsche Bank AG |
0.30 |
% |
iShares® MSCI
Brazil Capped ETF |
(3,506,413 |
) |
3,506,413 |
�� |
�� |
||||||||||||||||||||||||
(873,682 |
) |
12/07/15 |
Morgan Stanley & Co. International PLC |
0.27 |
% |
iShares® MSCI Brazil Capped ETF |
(469,077 |
) |
469,077 |
�� |
�� |
||||||||||||||||||||||||
(826,607 |
) |
11/06/15 |
Societe Generale |
0.82 |
% |
iShares® MSCI
Brazil Capped ETF |
634,905 |
�� |
(520,000 |
) |
114,905 |
||||||||||||||||||||||||
(2,962,412 |
) |
11/06/15 |
UBS AG |
0.32 |
% |
iShares® MSCI Brazil Capped ETF |
517,328 |
(285,779 |
) |
�� |
231,549 |
||||||||||||||||||||||||
$ |
(59,651,236 |
) |
$ |
1,243,090 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
See accompanying notes to the financial statements.
120 :: BZQ ULTRASHORT MSCI BRAZIL CAPPED :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
5 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT MSCI BRAZIL CAPPED BZQ :: 121
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 121.6% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
17,000,000 |
0.00%, due 09/10/15 |
$ |
16,999,762 |
|||||||
40,000,000 |
0.00%, due 09/17/15 |
39,998,480 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $56,991,423) |
56,998,242 |
||||||||||
Repurchase Agreements (a)(b) �� 37.8% |
|||||||||||
17,695,468 |
Repurchase Agreements with
various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $17,695,578 |
17,695,468 |
|||||||||
Total Repurchase Agreements (Cost $17,695,468) |
17,695,468 |
||||||||||
Total Investment
Securities (Cost $74,686,891) �� 159.4% |
74,693,710 |
||||||||||
Liabilities in excess of other assets �� (59.4%) |
(27,838,872 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
46,854,838 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $39,127,240.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
6,819 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
6,819 |
|||||
Federal income tax cost of investments |
$ |
74,686,891 |
Swap Agreements1,5
UltraShort FTSE China 50 had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(11,775,951 |
) |
11/07/16 |
Bank of America, N.A. |
0.82 |
% |
iShares® China
Large-Cap ETF |
$ |
(1,902,149 |
) |
$ |
1,632,149 |
$ |
270,000 |
$ |
�� |
|||||||||||||||||||
(1,388,973 |
) |
11/06/15 |
Credit Suisse International |
2.82 |
% |
iShares® China Large-Cap ETF |
(784,705 |
) |
784,705 |
�� |
�� |
||||||||||||||||||||||||
(20,963,438 |
) |
11/07/16 |
Deutsche Bank AG |
0.70 |
% |
iShares® China
Large-Cap ETF |
(1,930,174 |
) |
1,625,174 |
305,000 |
�� |
||||||||||||||||||||||||
(15,033,310 |
) |
11/07/16 |
Goldman Sachs International |
1.60 |
% |
iShares® China Large-Cap ETF |
(6,149,005 |
) |
5,597,005 |
552,000 |
�� |
||||||||||||||||||||||||
(21,454,790 |
) |
11/07/16 |
Morgan Stanley &
Co. International PLC |
0.82 |
% |
iShares® China
Large-Cap ETF |
(1,807,768 |
) |
109,768 |
1,698,000 |
�� |
||||||||||||||||||||||||
(16,491,677 |
) |
11/06/15 |
Societe Generale |
0.82 |
% |
iShares® China Large-Cap ETF |
(13,695,087 |
) |
13,390,087 |
305,000 |
�� |
||||||||||||||||||||||||
(6,201,508 |
) |
11/06/15 |
UBS AG |
1.57 |
% |
iShares® China
Large-Cap ETF |
(4,956,597 |
) |
4,616,597 |
340,000 |
�� |
||||||||||||||||||||||||
$ |
(93,309,647 |
) |
$ |
(31,225,485 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
122 :: FXP ULTRASHORT FTSE CHINA 50 :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
5 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT FTSE CHINA 50 FXP :: 123
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 64.0% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
1,000,000 |
0.00%, due 07/09/15 |
$ |
999,978 |
|||||||
2,000,000 |
0.00%, due 08/20/15 |
2,000,000 |
|||||||||
3,000,000 |
0.00%, due 10/15/15 |
2,999,745 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $5,998,864) |
5,999,723 |
||||||||||
Repurchase Agreements (a)(b) �� 63.6% |
|||||||||||
5,965,110 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $5,965,147 |
5,965,110 |
|||||||||
Total Repurchase Agreements
(Cost $5,965,110) |
5,965,110 |
||||||||||
Total Investment Securities (Cost $11,963,974) �� 127.6% |
11,964,833 |
||||||||||
Liabilities in excess of
other assets �� (27.6%) |
(2,584,960 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
9,379,873 |
|
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $3,999,712.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
859 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
859 |
|||||
Federal income tax cost of investments |
$ |
11,963,974 |
Swap Agreements1,5
UltraShort MSCI Japan had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(335,950 |
) |
11/06/15 |
Bank of America, N.A. |
2.07 |
% |
iShares® MSCI
Japan ETF |
$ |
(157,940 |
) |
$ |
�� |
$ |
�� |
$ |
(157,940 |
) |
||||||||||||||||||
(1,847,279 |
) |
11/06/15 |
Credit Suisse International |
0.57 |
% |
iShares® MSCI Japan ETF |
(625,182 |
) |
625,182 |
�� |
�� |
||||||||||||||||||||||||
(9,969,643 |
) |
11/06/15 |
Deutsche Bank AG |
0.15 |
% |
iShares® MSCI
Japan ETF |
(1,965,846 |
) |
1,665,846 |
300,000 |
�� |
||||||||||||||||||||||||
(213,710 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
1.82 |
% |
iShares® MSCI Japan ETF |
(136,628 |
) |
�� |
136,628 |
�� |
||||||||||||||||||||||||
(3,033,230 |
) |
11/06/15 |
Societe Generale |
0.42 |
% |
iShares® MSCI
Japan ETF |
(527,850 |
) |
470,850 |
57,000 |
�� |
||||||||||||||||||||||||
(3,349,460 |
) |
11/06/15 |
UBS AG |
1.32 |
% |
iShares® MSCI Japan ETF |
(399,594 |
) |
�� |
399,594 |
�� |
||||||||||||||||||||||||
$ |
(18,749,272 |
) |
$ |
(3,813,040 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
5 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
124 :: EWV ULTRASHORT MSCI JAPAN :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) �� 59.0% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
700,000 |
0.00%, due 10/15/15 |
$ |
699,941 |
|||||||
Total U.S. Government & Agency
Security (Cost $699,751) |
699,941 |
||||||||||
Repurchase Agreements (a)(b) �� 37.7% |
|||||||||||
447,296 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $447,298 |
447,296 |
|||||||||
Total Repurchase Agreements
(Cost $447,296) |
447,296 |
||||||||||
Total Investment Securities (Cost $1,147,047) �� 96.7% |
1,147,237 |
||||||||||
Other assets less
liabilities �� 3.3% |
38,655 |
||||||||||
Net Assets �� 100.0% |
$ |
1,185,892 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $213,980.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
190 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
190 |
|||||
Federal income tax cost of investments |
$ |
1,147,047 |
Swap Agreements1,5
UltraShort MSCI Mexico Capped IMI had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(134,006 |
) |
11/06/15 |
Credit Suisse
International |
1.32 |
% |
iShares® MSCI
Mexico Capped ETF |
$ |
23,501 |
$ |
�� |
$ |
�� |
$ |
23,501 |
||||||||||||||||||||
(451,252 |
) |
11/07/16 |
Deutsche Bank AG |
1.15 |
% |
iShares® MSCI Mexico Capped ETF |
13,721 |
�� |
�� |
13,721 |
|||||||||||||||||||||||||
(1,787,946 |
) |
11/06/15 |
Societe Generale |
0.82 |
% |
iShares® MSCI
Mexico Capped ETF |
27,419 |
�� |
(20,000 |
) |
7,419 |
||||||||||||||||||||||||
$ |
(2,373,204 |
) |
$ |
64,641 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
5 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT MSCI MEXICO CAPPED IMI SMK :: 125
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 76.1% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
20,000,000 |
0.00%, due 08/06/15 |
$ |
20,000,000 |
|||||||
10,000,000 |
0.00%, due 10/15/15 |
9,998,960 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $29,996,228) |
29,998,960 |
||||||||||
Repurchase Agreements (a)(b) �� 31.3% |
|||||||||||
12,364,079 |
Repurchase Agreements with
various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $12,364,156 |
12,364,079 |
|||||||||
Total Repurchase Agreements (Cost $12,364,079) |
12,364,079 |
||||||||||
Total Investment
Securities (Cost $42,360,307) �� 107.4% |
42,363,039 |
||||||||||
Liabilities in excess of other assets �� (7.4%) |
(2,923,829 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
39,439,210 |
|
|
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $1,559,953.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
2,732 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
2,732 |
|||||
Federal income tax cost of investments |
$ |
42,360,307 |
Futures Contracts Sold
Short 7-10 Year Treasury had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
U.S. 10 Year Treasury Note Futures Contracts |
2 |
09/21/15 |
$ |
255,375 |
$ |
(878 |
) |
Cash collateral in the amount of $2,970 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
Swap Agreements1
Short 7-10 Year Treasury had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(16,566,587 |
) |
11/06/15 |
Bank of America, N.A. |
0.26 |
% |
Barclays U.S.
7-10 Year Treasury Bond Index |
$ |
(901,097 |
) |
$ |
901,097 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(22,680,211 |
) |
12/06/16 |
Citibank, N.A. |
0.42 |
% |
Barclays U.S. 7-10 Year Treasury Bond Index |
50,907 |
(50,907 |
) |
�� |
�� |
||||||||||||||||||||||||
$ |
(39,246,798 |
) |
$ |
(850,190 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
126 :: TBX SHORT 7-10 YEAR TREASURY :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 78.5% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
100,000,000 |
0.00%, due 06/25/15 |
$ |
99,999,400 |
|||||||
270,000,000 |
0.00%, due 09/17/15 |
269,985,690 |
|||||||||
455,000,000 |
0.00%, due 10/15/15 |
454,952,680 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $824,768,012) |
824,937,770 |
||||||||||
Repurchase Agreements (a)(b) �� 28.2% |
|||||||||||
296,426,557 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $296,428,400 |
296,426,557 |
|||||||||
Total Repurchase Agreements
(Cost $296,426,557) |
296,426,557 |
||||||||||
Total Investment Securities (Cost $1,121,194,569) �� 106.7% |
1,121,364,327 |
||||||||||
Liabilities in excess of
other assets �� (6.7%) |
(70,212,951 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
1,051,151,376 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $78,175,620.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
169,758 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
169,758 |
|||||
Federal income tax cost of investments |
$ |
1,121,194,569 |
Futures Contracts Sold
Short 20+ Year Treasury had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
U.S. Long Bond Futures Contracts |
131 |
09/21/15 |
$ |
20,386,875 |
$ |
(64,766 |
) |
Cash collateral in the amount of $489,940 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
Swap Agreements1
Short 20+ Year Treasury had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(275,718,577 |
) |
12/06/16 |
Citibank, N.A. |
0.29 |
% |
Barclays U.S.
20+ Year Treasury Bond Index |
$ |
5,843,241 |
$ |
(5,843,241 |
) |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(192,711,358 |
) |
11/06/15 |
Deutsche Bank AG |
0.27 |
% |
Barclays U.S. 20+ Year Treasury Bond Index |
(15,516,156 |
) |
13,925,685 |
�� |
(1,590,471 |
) |
|||||||||||||||||||||||
(107,477,487 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.29 |
% |
Barclays U.S.
20+ Year Treasury Bond Index |
(22,630,143 |
) |
22,630,143 |
�� |
�� |
||||||||||||||||||||||||
(459,578,080 |
) |
11/06/15 |
Societe Generale |
0.22 |
% |
Barclays U.S. 20+ Year Treasury Bond Index |
(37,179,482 |
) |
37,179,482 |
�� |
�� |
||||||||||||||||||||||||
$ |
(1,035,485,502 |
) |
$ |
(69,482,540 |
) |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: SHORT 20+ YEAR TREASURY TBF :: 127
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
128 :: TBF SHORT 20+ YEAR TREASURY :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) �� 45.4% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
25,000,000 |
0.00%, due 10/15/15 |
$ |
24,997,875 |
|||||||
Total U.S. Government & Agency
Security (Cost $24,991,028) |
24,997,875 |
||||||||||
Repurchase Agreements (a)(b) �� 59.1% |
|||||||||||
32,530,385 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $32,530,587 |
32,530,385 |
|||||||||
Total Repurchase Agreements
(Cost $32,530,385) |
32,530,385 |
||||||||||
Total Investment Securities (Cost $57,521,413) �� 104.5% |
57,528,260 |
||||||||||
Liabilities in excess of
other assets �� (4.5%) |
(2,481,273 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
55,046,987 |
|
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $7,480,294.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
6,847 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
6,847 |
|||||
Federal income tax cost of investments |
$ |
57,521,413 |
Swap Agreements1,5
Short High Yield had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(17,983,732 |
) |
02/19/16 |
Citibank, N.A. |
1.47 |
% |
iShares® iBoxx $
High Yield Corporate Bond ETF |
$ |
(744,490 |
) |
$ |
�� |
$ |
744,490 |
$ |
�� |
|||||||||||||||||||
(17,300,708 |
) |
12/07/15 |
Credit Suisse International |
1.82 |
% |
iShares® iBoxx $ High Yield Corporate Bond ETF |
(1,746,613 |
) |
1,746,613 |
�� |
�� |
||||||||||||||||||||||||
(19,658,860 |
) |
11/07/16 |
Goldman Sachs
International |
1.50 |
% |
iShares® iBoxx $
High Yield Corporate Bond ETF |
(692,791 |
) |
692,791 |
�� |
�� |
||||||||||||||||||||||||
$ |
(54,943,300 |
) |
$ |
(3,183,894 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
5 In order to facilitate the daily valuation and final settlement of these swap transactions as of the time the Fund calculates its NAV, which differs from the time the Fund's underlying index is calculated, one or more exchange-traded financial products are used as the reference entity, as a surrogate for the respective underlying index.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: SHORT HIGH YIELD SJB :: 129
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) �� 97.9% |
|||||||||||
$ |
2,776,522 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $2,776,539 |
$ |
2,776,522 |
|||||||
Total Repurchase Agreements
(Cost $2,776,522) |
2,776,522 |
||||||||||
Total Investment Securities (Cost $2,776,522) † �� 97.9% |
2,776,522 |
||||||||||
Other assets less liabilities�� 2.1% |
58,563 |
||||||||||
Net Assets �� 100.0% |
$ |
2,835,085 |
|
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1,5
Short Investment Grade Corporate had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(1,228,186 |
) |
02/09/16 |
Citibank, N.A. |
1.07 |
% |
iShares® iBoxx $
Investment Grade Corporate Bond ETF |
$ |
(16,246 |
) |
$ |
�� |
$ |
16,246 |
$ |
�� |
|||||||||||||||||||
(625,741 |
) |
12/07/15 |
Credit Suisse International |
1.32 |
% |
iShares® iBoxx $ Investment Grade Corporate Bond ETF |
(118,381 |
) |
�� |
�� |
(118,381 |
) |
|||||||||||||||||||||||
(978,691 |
) |
11/07/16 |
Goldman Sachs
International |
0.85 |
% |
iShares® iBoxx $
Investment Grade Corporate Bond ETF |
(45,133 |
) |
�� |
45,133 |
�� |
||||||||||||||||||||||||
$ |
(2,832,618 |
) |
$ |
(179,760 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
5 In order to facilitate the daily valuation and final settlement of these swap transactions as of the time the Fund calculates its NAV, which differs from the time the Fund's underlying index is calculated, one or more exchange-traded financial products are used as the reference entity, as a surrogate for the respective underlying index.
See accompanying notes to the financial statements.
130 :: IGS SHORT INVESTMENT GRADE CORPORATE :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) �� 120.0% |
|||||||||||
$ |
3,437,312 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $3,437,334 |
$ |
3,437,312 |
|||||||
Total Repurchase
Agreements (Cost $3,437,312) |
3,437,312 |
||||||||||
Total Investment Securities (Cost $3,437,312) † �� 120.0% |
3,437,312 |
||||||||||
Liabilities in excess of
other assets �� (20.0%) |
(574,016 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
2,863,296 |
|
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1
UltraShort 3-7 Year Treasury had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(2,220,045 |
) |
11/06/15 |
Bank of America, N.A. |
0.26 |
% |
Barclays U.S.
3-7 Year Treasury Bond Index |
$ |
(73,434 |
) |
$ |
�� |
$ |
60,001 |
$ |
(13,433 |
) |
||||||||||||||||||
(2,016,021 |
) |
12/06/16 |
Citibank, N.A. |
0.54 |
% |
Barclays U.S. 3-7 Year Treasury Bond Index |
(35,027 |
) |
�� |
35,027 |
�� |
||||||||||||||||||||||||
(1,491,414 |
) |
02/08/16 |
Deutsche Bank AG |
0.22 |
% |
Barclays U.S.
3-7 Year Treasury Bond Index |
(11,603 |
) |
�� |
11,603 |
�� |
||||||||||||||||||||||||
$ |
(5,727,480 |
) |
$ |
(120,064 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT 3-7 YEAR TREASURY TBZ :: 131
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 81.6% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
30,000,000 |
0.00%, due 06/18/15 |
$ |
29,999,306 |
|||||||
30,000,000 |
0.00%, due 06/25/15 |
29,998,890 |
|||||||||
15,000,000 |
0.00%, due 10/15/15 |
14,998,440 |
|||||||||
130,000,000 |
0.00%, due 11/12/15 |
129,970,360 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $204,924,821) |
204,966,996 |
||||||||||
Repurchase Agreements (a)(b) �� 23.4% |
|||||||||||
58,617,399 |
Repurchase Agreements with
various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $58,617,763 |
58,617,399 |
|||||||||
Total Repurchase Agreements (Cost $58,617,399) |
58,617,399 |
||||||||||
Total Investment
Securities (Cost $263,542,220) �� 105.0% |
263,584,395 |
||||||||||
Liabilities in excess of other assets �� (5.0%) |
(12,620,807 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
250,963,588 |
|
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $15,322,865.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
42,175 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
42,175 |
|||||
Federal income tax cost of investments |
$ |
263,542,220 |
Futures Contracts Sold
UltraShort 7-10 Year Treasury had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
U.S. 10 Year Treasury Note Futures Contracts |
54 |
09/21/15 |
$ |
6,895,125 |
$ |
(23,698 |
) |
Cash collateral in the amount of $80,190 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
Swap Agreements1
UltraShort 7-10 Year Treasury had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(148,546,618 |
) |
12/06/16 |
Citibank, N.A. |
0.42 |
% |
Barclays U.S.
7-10 Year Treasury Bond Index |
$ |
(718,101 |
) |
$ |
718,101 |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(57,519,612 |
) |
02/08/16 |
Deutsche Bank AG |
0.47 |
% |
Barclays U.S. 7-10 Year Treasury Bond Index |
78,947 |
�� |
(78,947 |
) |
�� |
||||||||||||||||||||||||
(177,037,634 |
) |
11/06/15 |
Goldman Sachs
International |
0.47 |
% |
Barclays U.S.
7-10 Year Treasury Bond Index |
(7,624,319 |
) |
7,624,319 |
�� |
�� |
||||||||||||||||||||||||
(113,385,927 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.47 |
% |
Barclays U.S. 7-10 Year Treasury Bond Index |
(4,134,442 |
) |
4,134,442 |
�� |
�� |
||||||||||||||||||||||||
$ |
(496,489,791 |
) |
$ |
(12,397,915 |
) |
See accompanying notes to the financial statements.
132 :: PST ULTRASHORT 7-10 YEAR TREASURY :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT 7-10 YEAR TREASURY PST :: 133
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) �� 78.1% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
315,000,000 |
0.00%, due 06/04/15 |
$ |
314,998,238 |
|||||||
150,000,000 |
0.00%, due 06/11/15 |
149,997,257 |
|||||||||
50,000,000 |
0.00%, due 06/18/15 |
49,999,174 |
|||||||||
155,000,000 |
0.00%, due 06/25/15 |
154,995,298 |
|||||||||
180,000,000 |
0.00%, due 07/02/15 |
179,990,528 |
|||||||||
130,000,000 |
0.00%, due 07/09/15 |
129,991,471 |
|||||||||
100,000,000 |
0.00%, due 07/23/15 |
99,996,967 |
|||||||||
80,000,000 |
0.00%, due 07/30/15 |
79,999,344 |
|||||||||
100,000,000 |
0.00%, due 08/20/15 |
99,998,900 |
|||||||||
100,000,000 |
0.00%, due 09/03/15 |
99,994,800 |
|||||||||
270,000,000 |
0.00%, due 09/10/15 |
269,992,440 |
|||||||||
100,000,000 |
0.00%, due 09/24/15 |
99,994,400 |
|||||||||
365,000,000 |
0.00%, due 10/08/15 |
364,963,864 |
|||||||||
240,000,000 |
0.00%, due 10/15/15 |
239,975,040 |
|||||||||
20,000,000 |
0.00%, due 11/12/15 |
19,995,440 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $2,354,808,190) |
2,354,883,161 |
||||||||||
Repurchase Agreements (a)(b) �� 30.5% |
|||||||||||
920,970,131 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $920,975,856 |
920,970,131 |
|||||||||
Total Repurchase
Agreements (Cost $920,970,131) |
920,970,131 |
||||||||||
Total Investment Securities (Cost $3,275,778,321) �� 108.6% |
3,275,853,292 |
||||||||||
Liabilities in excess of
other assets �� (8.6%) |
(258,857,420 |
) |
|||||||||
Net Assets �� 100.0% |
$ |
3,016,995,872 |
|
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $343,166,455.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
78,368 |
|||||
Aggregate gross unrealized depreciation |
(3,397 |
) |
|||||
Net unrealized appreciation |
$ |
74,971 |
|||||
Federal income tax cost of investments |
$ |
3,275,778,321 |
Futures Contracts Sold
UltraShort 20+ Year Treasury had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
U.S. Long Bond Futures Contracts |
383 |
09/21/15 |
$ |
59,604,375 |
$ |
(266,018 |
) |
Cash collateral in the amount of $1,432,420 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
See accompanying notes to the financial statements.
134 :: TBT ULTRASHORT 20+ YEAR TREASURY :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
UltraShort 20+ Year Treasury had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation/ (Depreciation)3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(1,427,553,950 |
) |
12/07/15 |
Bank of America, N.A. |
0.26 |
% |
Barclays U.S.
20+ Year Treasury Bond Index |
$ |
17,541,388 |
$ |
(17,541,388 |
) |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(658,290,676 |
) |
12/06/16 |
Citibank, N.A. |
0.29 |
% |
Barclays U.S. 20+ Year Treasury Bond Index |
31,729,204 |
(31,729,204 |
) |
�� |
�� |
||||||||||||||||||||||||
(1,176,176,015 |
) |
11/06/15 |
Deutsche Bank AG |
0.27 |
% |
Barclays U.S.
20+ Year Treasury Bond Index |
(72,028,176 |
) |
66,724,176 |
�� |
(5,304,000 |
) |
|||||||||||||||||||||||
(111,705,096 |
) |
11/06/15 |
Goldman Sachs International |
0.47 |
% |
Barclays U.S. 20+ Year Treasury Bond Index |
(6,135,748 |
) |
6,135,748 |
�� |
�� |
||||||||||||||||||||||||
(440,315,144 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.29 |
% |
Barclays U.S.
20+ Year Treasury Bond Index |
(55,014,708 |
) |
55,014,708 |
�� |
�� |
||||||||||||||||||||||||
(2,173,163,295 |
) |
11/06/15 |
Societe Generale |
0.22 |
% |
Barclays U.S. 20+ Year Treasury Bond Index |
(175,306,309 |
) |
175,306,309 |
�� |
�� |
||||||||||||||||||||||||
$ |
(5,987,204,176 |
) |
$ |
(259,214,349 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRASHORT 20+ YEAR TREASURY TBT :: 135
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) �� 37.3% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
4,000,000 |
0.00%, due 10/15/15 |
$ |
3,999,584 |
|||||||
Total U.S. Government & Agency
Security (Cost $3,998,542) |
3,999,584 |
||||||||||
Repurchase Agreements (a)(b) �� 62.6% |
|||||||||||
6,698,426 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $6,698,467 |
6,698,426 |
|||||||||
Total Repurchase
Agreements (Cost $6,698,426) |
6,698,426 |
||||||||||
Total Investment Securities (Cost $10,696,968) �� 99.9% |
10,698,010 |
||||||||||
Other assets less liabilities �� 0.1% |
5,512 |
||||||||||
Net Assets �� 100.0% |
$ |
10,703,522 |
|
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $164,984.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
1,042 |
|||||
Aggregate gross unrealized depreciation |
�� |
||||||
Net unrealized appreciation |
$ |
1,042 |
|||||
Federal income tax cost of investments |
$ |
10,696,968 |
Swap Agreements1
UltraShort TIPS had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Depreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(5,158,058 |
) |
12/06/16 |
Citibank, N.A. |
(0.08 |
)% |
Barclays U.S.
Treasury Inflation Protected Securities (TIPS) Index (Series L) |
$ |
(14,724 |
) |
$ |
�� |
$ |
14,724 |
$ |
�� |
|||||||||||||||||||
(16,269,992 |
) |
11/06/15 |
Goldman Sachs International |
(0.13 |
)% |
Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L) |
(76,507 |
) |
76,507 |
�� |
�� |
||||||||||||||||||||||||
$ |
(21,428,050 |
) |
$ |
(91,231 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
136 :: TPS ULTRASHORT TIPS :: MAY 31, 2015 :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) �� 86.7% |
|||||||||||
$ |
91,128,819 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $91,129,385 |
$ |
91,128,819 |
|||||||
Total Repurchase
Agreements (Cost $91,128,819) |
91,128,819 |
||||||||||
Total Investment Securities (Cost $91,128,819) † �� 86.7% |
91,128,819 |
||||||||||
Other assets less
liabilities �� 13.3% |
14,026,071 |
||||||||||
Net Assets �� 100.0% |
$ |
105,154,890 |
|
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
UltraPro Short 20+ Year Treasury had the following open short futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
U.S. Long Bond Futures Contracts |
33 |
09/21/15 |
$ |
5,135,625 |
$ |
(18,375 |
) |
Cash collateral in the amount of $123,420 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
Swap Agreements1
UltraPro Short 20+ Year Treasury had the following open swap agreements as of May 31, 2015:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)2 |
Underlying Instrument |
Unrealized Appreciation3 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount4 |
|||||||||||||||||||||||||||
$ |
(52,060,875 |
) |
12/07/15 |
Bank of America, N.A. |
0.26 |
% |
Barclays U.S.
20+ Year Treasury Bond Index |
$ |
183,142 |
$ |
(183,142 |
) |
$ |
�� |
$ |
�� |
|||||||||||||||||||
(105,785,430 |
) |
12/06/16 |
Citibank, N.A. |
0.29 |
% |
Barclays U.S. 20+ Year Treasury Bond Index |
6,459,827 |
(6,459,827 |
) |
�� |
�� |
||||||||||||||||||||||||
(45,030,205 |
) |
02/08/16 |
Morgan Stanley & Co. International PLC |
0.29 |
% |
Barclays U.S.
20+ Year Treasury Bond Index |
2,324,694 |
(2,324,694 |
) |
�� |
�� |
||||||||||||||||||||||||
(108,633,778 |
) |
02/08/16 |
Societe Generale |
0.22 |
% |
Barclays U.S. 20+ Year Treasury Bond Index |
1,014,486 |
�� |
(1,014,486 |
) |
�� |
||||||||||||||||||||||||
$ |
(311,510,288 |
) |
$ |
9,982,149 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 Reflects the floating financing rate, as of May 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
3 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
4 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRAPRO SHORT 20+ YEAR TREASURY TTT :: 137
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) �� 83.1% |
|||||||||||||||
54,335 |
3M Co. (Industrials) |
0.5 |
% |
$ |
8,643,612 |
||||||||||
147,210 |
AbbVie, Inc. (Health Care) |
0.5 |
% |
9,802,714 |
|||||||||||
33,426 |
Actavis PLC* (Health Care) |
0.5 |
% |
10,255,431 |
|||||||||||
168,576 |
Altria Group, Inc.
(Consumer Staples) |
0.5 |
% |
8,631,091 |
|||||||||||
32,597 |
Amazon.com, Inc.* (Consumer Discretionary) |
0.7 |
% |
13,991,610 |
|||||||||||
64,959 |
Amgen, Inc. (Health Care) |
0.5 |
% |
10,150,493 |
|||||||||||
498,606 |
Apple, Inc. (Information Technology) |
3.4 |
% |
64,958,390 |
|||||||||||
444,285 |
AT&T, Inc.
(Telecommunication Services) |
0.8 |
% |
15,345,604 |
|||||||||||
900,488 |
Bank of America Corp. (Financials) |
0.8 |
% |
14,858,052 |
|||||||||||
156,110 |
Berkshire Hathaway, Inc.,
Class B* (Financials) |
1.2 |
% |
22,323,730 |
|||||||||||
20,083 |
Biogen, Inc.* (Health Care) |
0.4 |
% |
7,972,750 |
|||||||||||
56,076 |
Boeing Co. (The)
(Industrials) |
0.4 |
% |
7,879,800 |
|||||||||||
142,279 |
Bristol-Myers Squibb Co. (Health Care) |
0.5 |
% |
9,191,223 |
|||||||||||
68,532 |
Celgene Corp.*
(Health Care) |
0.4 |
% |
7,842,802 |
|||||||||||
160,946 |
Chevron Corp. (Energy) |
0.9 |
% |
16,577,438 |
|||||||||||
436,972 |
Cisco Systems, Inc.
(Information Technology) |
0.7 |
% |
12,807,649 |
|||||||||||
259,701 |
Citigroup, Inc. (Financials) |
0.7 |
% |
14,044,630 |
|||||||||||
336,380 |
Coca-Cola Co. (The)
(Consumer Staples) |
0.7 |
% |
13,778,125 |
|||||||||||
217,519 |
Comcast Corp., Class A (Consumer Discretionary) |
0.7 |
% |
12,716,161 |
|||||||||||
96,323 |
CVS Health Corp.
(Consumer Staples) |
0.5 |
% |
9,861,549 |
|||||||||||
359,071 |
Exxon Mobil Corp. (Energy) |
1.6 |
% |
30,592,849 |
|||||||||||
179,699 |
Facebook, Inc., Class A*
(Information Technology) |
0.7 |
% |
14,230,364 |
|||||||||||
861,569 |
General Electric Co. (Industrials) |
1.2 |
% |
23,494,987 |
|||||||||||
127,495 |
Gilead Sciences, Inc.*
(Health Care) |
0.7 |
% |
14,313,864 |
|||||||||||
24,445 |
Google, Inc., Class A* (Information Technology) |
0.7 |
% |
13,330,347 |
|||||||||||
24,563 |
Google, Inc., Class C*
(Information Technology) |
0.7 |
% |
13,070,218 |
|||||||||||
112,808 |
Home Depot, Inc. (The) (Consumer Discretionary) |
0.7 |
% |
12,569,067 |
|||||||||||
405,408 |
Intel Corp. (Information
Technology) |
0.7 |
% |
13,970,360 |
|||||||||||
78,688 |
International Business Machines Corp. (Information Technology) |
0.7 |
% |
13,349,419 |
|||||||||||
238,013 |
Johnson & Johnson
(Health Care) |
1.2 |
% |
23,834,622 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
319,148 |
JPMorgan Chase & Co. (Financials) |
1.1 |
% |
$ |
20,993,555 |
||||||||||
82,273 |
McDonald's Corp.
(Consumer Discretionary) |
0.4 |
% |
7,892,449 |
|||||||||||
121,988 |
Medtronic PLC (Health Care) |
0.5 |
% |
9,310,124 |
|||||||||||
242,953 |
Merck & Co., Inc.
(Health Care) |
0.8 |
% |
14,793,408 |
|||||||||||
702,254 |
Microsoft Corp. (Information Technology) |
1.7 |
% |
32,907,622 |
|||||||||||
274,412 |
Oracle Corp. (Information
Technology) |
0.6 |
% |
11,934,178 |
|||||||||||
126,893 |
PepsiCo, Inc. (Consumer Staples) |
0.7 |
% |
12,236,292 |
|||||||||||
524,638 |
Pfizer, Inc. (Health Care) |
0.9 |
% |
18,231,171 |
|||||||||||
132,419 |
Philip Morris International, Inc. (Consumer Staples) |
0.6 |
% |
11,000,046 |
|||||||||||
231,167 |
Procter & Gamble Co.
(The) (Consumer Staples) |
0.9 |
% |
18,121,181 |
|||||||||||
141,204 |
QUALCOMM, Inc. (Information Technology) |
0.5 |
% |
9,839,095 |
|||||||||||
109,168 |
Schlumberger Ltd. (Energy) |
0.5 |
% |
9,909,179 |
|||||||||||
70,738 |
United Technologies Corp. (Industrials) |
0.4 |
% |
8,288,371 |
|||||||||||
81,637 |
UnitedHealth Group, Inc.
(Health Care) |
0.5 |
% |
9,813,584 |
|||||||||||
355,708 |
Verizon Communications, Inc. (Telecommunication Services) |
0.9 |
% |
17,586,203 |
|||||||||||
166,060 |
Visa, Inc., Class A
(Information Technology) |
0.6 |
% |
11,405,001 |
|||||||||||
135,195 |
Wal-Mart Stores, Inc. (Consumer Staples) |
0.5 |
% |
10,040,933 |
|||||||||||
133,846 |
Walt Disney Co. (The)
(Consumer Discretionary) |
0.8 |
% |
14,772,583 |
|||||||||||
401,348 |
Wells Fargo & Co. (Financials) |
1.2 |
% |
22,459,434 |
|||||||||||
14,416,694 |
Other Common Stocks |
44.8 |
% |
862,606,553 |
|||||||||||
Total Common Stocks (Cost $1,575,189,065) |
1,598,529,913 |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government &
Agency Securities (a) �� 2.8% |
|||||||||||||||
U.S. Treasury Bills |
|||||||||||||||
$ |
30,000,000 |
0.00%, due 06/11/15 |
29,999,290 |
||||||||||||
24,115,000 |
0.00%, due 09/17/15 |
24,114,083 |
|||||||||||||
Total U.S. Government &
Agency Securities (Cost $ 54,108,683) |
54,113,373 |
See accompanying notes to the financial statements.
138 :: SSO ULTRA S&P500® :: MAY 31, 2015 :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||||||
Repurchase Agreements (a)(b) �� 5.8% |
|||||||||||||||
$ |
111,832,287 |
Repurchase Agreements with various counterparties, rates 0.06% - 0.10%, dated 05/29/15, due 06/01/15, total to be received $111,832,982 |
$ |
111,832,287 |
|||||||||||
Total Repurchase Agreements
(Cost $111,832,287) |
111,832,287 |
||||||||||||||
Total Investment Securities (Cost $1,741,130,035) �� 91.7% |
1,764,475,573 |
||||||||||||||
Other assets less liabilities �� 8.3% |
159,302,963 |
||||||||||||||
Net Assets �� 100.0% |
$ |
1,923,778,536 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At May 31, 2015, the aggregate value of segregated securities was $171,917,915.
|
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of May 31, 2015, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
92,622,992 |
|||||
Aggregate gross unrealized depreciation |
(74,536,817 |
) |
|||||
Net unrealized appreciation |
$ |
18,086,175 |
|||||
Federal income tax cost of investments |
$ |
1,746,389,398 |
Futures Contracts Purchased
Ultra S&P500® had the following open long futures contracts as of May 31, 2015:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini S&P 500 Futures Contracts |
916 |
06/19/15 |
$ |
96,409,000 |
$ |
2,388,144 |
Cash collateral in the amount of $4,634,960 was pledged to cover margin requirements for open futures contracts as of May 31, 2015.
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: MAY 31, 2015 :: ULTRA S&P500® SSO :: 139