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Item 1. |
Business. |
Index
|
Bloomberg
Ticker Symbol | |
S&P
500 VIX Short-Term Futures Index |
SPVXSP
| |
S&P
500 VIX
Mid-Term Futures
Index |
SPVXMPID
|
Underlying
Benchmark |
Create/Redeem
Cutoff |
NAV
Calculation Time | ||
Silver
|
1:00
p.m. (Eastern Time) |
1:25
p.m. (Eastern Time) | ||
Gold |
1:00
p.m. (Eastern Time) |
1:30
p.m. (Eastern Time) | ||
S&P
500 VIX Short-Term Futures Index |
2:00
p.m. (Eastern Time) |
4:15
p.m. (Eastern Time) | ||
S&P
500 VIX
Mid-Term Futures
Index |
2:00
p.m. (Eastern Time) |
4:15
p.m. (Eastern Time) | ||
Bloomberg
WTI Crude Oil Subindex
SM |
2:00
p.m. (Eastern Time) |
2:30
p.m. (Eastern Time) | ||
Bloomberg
Natural Gas Subindex
SM |
2:00
p.m. (Eastern Time) |
2:30
p.m. (Eastern Time) | ||
Australian
dollar |
3:00
p.m. (Eastern Time) |
4:00
p.m. (Eastern Time) | ||
Euro
|
3:00
p.m. (Eastern Time) |
4:00
p.m. (Eastern Time) | ||
Yen
|
3:00
p.m. (Eastern Time) |
4:00
p.m. (Eastern Time) |
• | it determines that the purchase order is not in proper form; |
• | the Sponsor believes that the purchase order would have adverse tax consequences to a Fund or its shareholders; |
• | the order would be illegal; or |
• | circumstances outside the control of the Sponsor make it, for all practical purposes, not feasible to process creations of Creation Units. |
Fund
|
NAV
Calculation Time |
| ||
ProShares
UltraShort Silver and ProShares Ultra Silver |
1:25 p.m. (Eastern Time) |
* | ||
ProShares
UltraShort Gold and ProShares Ultra Gold |
1:30 p.m. (Eastern Time) |
* | ||
ProShares
UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil
|
2:30
p.m. (Eastern Time) |
|||
ProShares
UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF
|
2:30
p.m. (Eastern Time) |
|||
ProShares
UltraShort Bloomberg Natural Gas and ProShares Ultra Bloomberg Natural Gas
|
2:30
p.m. (Eastern Time) |
|||
ProShares
Short Euro, ProShares UltraShort Euro and ProShares Ultra Euro
|
4:00
p.m. (Eastern Time) |
|||
ProShares
UltraShort Australian Dollar |
4:00
p.m. (Eastern Time) |
|||
ProShares
UltraShort Yen and ProShares Ultra Yen |
4:00
p.m. (Eastern Time) |
|||
ProShares
VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and
|
||||
ProShares
Short VIX Short-Term Futures ETF |
4:15
p.m. (Eastern Time) |
|||
ProShares
VIX
Mid-Term Futures
ETF |
4:15 p.m. (Eastern Time)
|
* | For silver and gold, this time may vary due to differences in when daylight savings time is effective between London and New York. The actual times equate to noon London time for silver and 3:00 p.m. London time for gold. |
• | initial SEC registration fees and SEC and FINRA filing fees; |
• | costs of preparing, printing (including typesetting), amending, supplementing, mailing and distributing the Trust’s Registration Statements, the exhibits thereto and the related prospectuses; |
• | the costs of qualifying, printing (including typesetting), amending, supplementing and mailing sales materials used in connection with the offering and issuance of the Shares; and |
• | accounting, auditing and legal fees (including disbursements related thereto) incurred in connection therewith. |
• |
The term “Matching VIX
Fund” refers to ProShares VIX Short-Term Futures ETF and ProShares VIX
Mid-Term Futures ETF; |
• |
The term “Geared VIX
Fund” refers to ProShares Ultra VIX Short-Term Futures ETF and ProShares
Short VIX Short-Term Futures ETF; |
• |
The term “VIX Fund”
refers to each Geared VIX Fund and each Matching VIX
Fund; |
• |
The term “Geared Fund”
refers to ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro
Short 3x Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas,
ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares Short
Euro, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro,
ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares
UltraPro 3x Crude Oil ETF, ProShares Ultra Bloomberg Natural Gas,
ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and
ProShares Ultra Yen, and each Geared VIX
Fund; |
• |
The term “Natural Gas
Fund” refers to ProShares UltraShort Bloomberg Natural Gas and ProShares
Ultra Bloomberg Natural Gas ; |
• |
The term “Oil Fund”
refers to ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x
Crude Oil ETF, ProShares UltraPro 3x Short Crude Oil ETF, and ProShares
Ultra Bloomberg Crude Oil; |
• |
The term “Precious Metal
Fund” refers to ProShares UltraShort Gold, ProShares UltraShort Silver,
ProShares Ultra Gold and ProShares Ultra Silver;
and |
• |
The term “Currency Fund”
refers to ProShares Short Euro, ProShares UltraShort Australian Dollar,
ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Euro
and ProShares Ultra Yen. |
Benchmark
XYZ |
Fund
XYZ |
|||||||||||||||
Level
|
|
Daily Performance |
|
Daily Performance |
|
Net
Asset Value |
| |||||||||
Start
|
100.00
|
$ |
100.00
|
|||||||||||||
Day
1 |
97.00
|
-3.00 |
% |
-6.00 |
% |
94.00
|
||||||||||
Day
2 |
99.91
|
3.00 |
% |
6.00 |
% |
99.64
|
||||||||||
Day
3 |
96.91
|
-3.00 |
% |
-6.00 |
% |
93.66
|
||||||||||
Day
4 |
99.82
|
3.00 |
% |
6.00 |
% |
99.28
|
||||||||||
Day
5 |
96.83
|
-3.00 |
% |
-6.00 |
% |
93.32
|
||||||||||
Day
6 |
99.73
|
3.00 |
% |
6.00 |
% |
98.92
|
||||||||||
Day
7 |
96.74
|
-3.00 |
% |
-6.00 |
% |
92.99
|
||||||||||
Total
Return |
|
|
|
-3.26 |
% |
|
-7.01 |
% |
|
| ||||||
Benchmark
XYZ |
Fund
XYZ |
|||||||||||||||
Level
|
|
Daily Performance |
|
Daily Performance |
|
Net
Asset Value |
| |||||||||
Start
|
100.00
|
$ |
100.00
|
|||||||||||||
Day
1 |
103.00
|
3.00 |
% |
6.00 |
% |
106.00
|
||||||||||
Day
2 |
99.91
|
-3.00 |
% |
-6.00 |
% |
99.64
|
||||||||||
Day
3 |
102.91
|
3.00 |
% |
6.00 |
% |
105.62
|
||||||||||
Day
4 |
99.82
|
-3.00 |
% |
-6.00 |
% |
99.28
|
||||||||||
Day
5 |
102.81
|
3.00 |
% |
6.00 |
% |
105.24
|
||||||||||
Day
6 |
99.73
|
-3.00 |
% |
-6.00 |
% |
98.92
|
||||||||||
Day
7 |
102.72
|
3.00 |
% |
6.00 |
% |
104.86
|
||||||||||
Total
Return |
|
|
|
2.72 |
% |
|
4.86 |
% |
|
| ||||||
Index
|
Identifier
|
|
Historical
Five-Year AverageVolatility Rate As of December 31, 2019 |
| ||||
S&P
500 VIX Short-Term Futures Index |
SPVXSP
|
79.27 |
% | |||||
S&P
500 VIX
Mid-Term Futures
Index |
SPVXMPID
|
32.42 |
% | |||||
Bloomberg
WTI Crude Oil Subindex
SM |
BCOMCL
|
36.72 |
% | |||||
Bloomberg
Natural Gas Subindex
SM |
BCOMNG
|
39.81 |
% | |||||
Bloomberg
Gold Subindex
SM |
BCOMGC
|
12.86 |
% | |||||
Bloomberg
Silver Subindex
SM |
BCOMSI
|
22.00 |
% | |||||
The
US dollar price of the euro |
USDEUR
|
8.23 |
% | |||||
The
US dollar price of the Japanese yen |
USDJPY
|
8.46 |
% | |||||
The
US dollar price of the Australian dollar |
USDAUD
|
9.37 |
% |
Index Volatility
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One
Year Index
Performance
|
One-Half theInvers (-0.5x) One Year Index Performance |
0%
|
5%
|
10%
|
15%
|
20%
|
25%
|
30%
|
35%
|
40%
|
45%
|
50%
|
55%
|
60%
|
65%
|
70%
|
75%
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
-60%
|
30.0 |
% |
58.1 |
% |
58.0 |
% |
57.5 |
% |
56.8 |
% |
55.8 |
% |
54.5 |
% |
52.9 |
% |
51.0 |
% |
48.9 |
% |
46.6 |
% |
44.0 |
% |
41.2 |
% |
38.1 |
% |
34.9 |
% |
31.6 |
% |
28.0 |
% | ||||||||||||||||||||||||||||||||||
-55%
|
27.5 |
% |
49.1 |
% |
48.9 |
% |
48.5 |
% |
47.8 |
% |
46.9 |
% |
45.6 |
% |
44.1 |
% |
42.4 |
% |
40.4 |
% |
38.2 |
% |
35.7 |
% |
33.1 |
% |
30.2 |
% |
27.2 |
% |
24.0 |
% |
20.7 |
% | ||||||||||||||||||||||||||||||||||
-50%
|
25.0 |
% |
41.4 |
% |
41.3 |
% |
40.9 |
% |
40.2 |
% |
39.3 |
% |
38.1 |
% |
36.7 |
% |
35.1 |
% |
33.2 |
% |
31.1 |
% |
28.8 |
% |
26.3 |
% |
23.6 |
% |
20.7 |
% |
17.7 |
% |
14.5 |
% | ||||||||||||||||||||||||||||||||||
-45%
|
22.5 |
% |
34.8 |
% |
34.7 |
% |
34.3 |
% |
33.7 |
% |
32.8 |
% |
31.7 |
% |
30.4 |
% |
28.8 |
% |
27.0 |
% |
25.0 |
% |
22.8 |
% |
20.4 |
% |
17.8 |
% |
15.1 |
% |
12.2 |
% |
9.2 |
% | ||||||||||||||||||||||||||||||||||
-40%
|
20.0 |
% |
29.1 |
% |
29.0 |
% |
28.6 |
% |
28.0 |
% |
27.2 |
% |
26.1 |
% |
24.8 |
% |
23.3 |
% |
21.6 |
% |
19.7 |
% |
17.5 |
% |
15.3 |
% |
12.8 |
% |
10.2 |
% |
7.4 |
% |
4.5 |
% | ||||||||||||||||||||||||||||||||||
-35%
|
17.5 |
% |
24.0 |
% |
23.9 |
% |
23.6 |
% |
23.0 |
% |
22.2 |
% |
21.2 |
% |
19.9 |
% |
18.5 |
% |
16.8 |
% |
15.0 |
% |
12.9 |
% |
10.7 |
% |
8.4 |
% |
5.9 |
% |
3.2 |
% |
0.4 |
% | ||||||||||||||||||||||||||||||||||
-30%
|
15.0 |
% |
19.5 |
% |
19.4 |
% |
19.1 |
% |
18.5 |
% |
17.7 |
% |
16.8 |
% |
15.6 |
% |
14.2 |
% |
12.6 |
% |
10.8 |
% |
8.8 |
% |
6.7 |
% |
4.4 |
% |
2.0 |
% |
-0.5 |
% |
-3.2 |
% | ||||||||||||||||||||||||||||||||||
-25%
|
12.5 |
% |
15.5 |
% |
15.4 |
% |
15.0 |
% |
14.5 |
% |
13.8 |
% |
12.8 |
% |
11.6 |
% |
10.3 |
% |
8.7 |
% |
7.0 |
% |
5.1 |
% |
3.1 |
% |
0.9 |
% |
-1.4 |
% |
-3.9 |
% |
-6.5 |
% | ||||||||||||||||||||||||||||||||||
-20%
|
10.0 |
% |
11.8 |
% |
11.7 |
% |
11.4 |
% |
10.9 |
% |
10.1 |
% |
9.2 |
% |
8.1 |
% |
6.8 |
% |
5.3 |
% |
3.6 |
% |
1.8 |
% |
-0.2 |
% |
-2.3 |
% |
-4.6 |
% |
-7.0 |
% |
-9.5 |
% | ||||||||||||||||||||||||||||||||||
-15%
|
7.5 |
% |
8.5 |
% |
8.4 |
% |
8.1 |
% |
7.6 |
% |
6.9 |
% |
6.0 |
% |
4.9 |
% |
3.6 |
% |
2.1 |
% |
0.5 |
% |
-1.2 |
% |
-3.2 |
% |
-5.2 |
% |
-7.4 |
% |
-9.7 |
% |
-12.2 |
% | ||||||||||||||||||||||||||||||||||
-10%
|
5.0 |
% |
5.4 |
% |
5.3 |
% |
5.0 |
% |
4.5 |
% |
3.8 |
% |
3.0 |
% |
1.9 |
% |
0.7 |
% |
-0.7 |
% |
-2.3 |
% |
-4.0 |
% |
-5.9 |
% |
-7.9 |
% |
-10.0 |
% |
-12.3 |
% |
-14.6 |
% | ||||||||||||||||||||||||||||||||||
-5%
|
2.5 |
% |
2.6 |
% |
2.5 |
% |
2.2 |
% |
1.7 |
% |
1.1 |
% |
0.2 |
% |
-0.8 |
% |
-2.0 |
% |
-3.4 |
% |
-4.9 |
% |
-6.6 |
% |
-8.4 |
% |
-10.4 |
% |
-12.4 |
% |
-14.6 |
% |
-16.9 |
% | ||||||||||||||||||||||||||||||||||
0%
|
0.0 |
% |
0.0 |
% |
-0.1 |
% |
-0.4 |
% |
-0.8 |
% |
-1.5 |
% |
-2.3 |
% |
-3.3 |
% |
-4.5 |
% |
-5.8 |
% |
-7.3 |
% |
-8.9 |
% |
-10.7 |
% |
-12.6 |
% |
-14.7 |
% |
-16.8 |
% |
-19.0 |
% | ||||||||||||||||||||||||||||||||||
5%
|
-2.5 |
% |
-2.4 |
% |
-2.5 |
% |
-2.8 |
% |
-3.2 |
% |
-3.9 |
% |
-4.7 |
% |
-5.6 |
% |
-6.8 |
% |
-8.1 |
% |
-9.5 |
% |
-11.1 |
% |
-12.9 |
% |
-14.7 |
% |
-16.7 |
% |
-18.8 |
% |
-21.0 |
% | ||||||||||||||||||||||||||||||||||
10%
|
-5.0 |
% |
-4.7 |
% |
-4.7 |
% |
-5.0 |
% |
-5.5 |
% |
-6.1 |
% |
-6.9 |
% |
-7.8 |
% |
-8.9 |
% |
-10.2 |
% |
-11.6 |
% |
-13.2 |
% |
-14.9 |
% |
-16.7 |
% |
-18.6 |
% |
-20.7 |
% |
-22.8 |
% | ||||||||||||||||||||||||||||||||||
15%
|
-7.5 |
% |
-6.7 |
% |
-6.8 |
% |
-7.1 |
% |
-7.5 |
% |
-8.1 |
% |
-8.9 |
% |
-9.8 |
% |
-10.9 |
% |
-12.2 |
% |
-13.6 |
% |
-15.1 |
% |
-16.7 |
% |
-18.5 |
% |
-20.4 |
% |
-22.4 |
% |
-24.5 |
% | ||||||||||||||||||||||||||||||||||
20%
|
-10.0 |
% |
-8.7 |
% |
-8.8 |
% |
-9.1 |
% |
-9.5 |
% |
-10.1 |
% |
-10.8 |
% |
-11.7 |
% |
-12.8 |
% |
-14.0 |
% |
-15.4 |
% |
-16.9 |
% |
-18.5 |
% |
-20.2 |
% |
-22.1 |
% |
-24.0 |
% |
-26.1 |
% | ||||||||||||||||||||||||||||||||||
25%
|
-12.5 |
% |
-10.6 |
% |
-10.6 |
% |
-10.9 |
% |
-11.3 |
% |
-11.9 |
% |
-12.6 |
% |
-13.5 |
% |
-14.6 |
% |
-15.8 |
% |
-17.1 |
% |
-18.6 |
% |
-20.1 |
% |
-21.9 |
% |
-23.7 |
% |
-25.6 |
% |
-27.6 |
% | ||||||||||||||||||||||||||||||||||
30%
|
-15.0 |
% |
-12.3 |
% |
-12.4 |
% |
-12.6 |
% |
-13.0 |
% |
-13.6 |
% |
-14.3 |
% |
-15.2 |
% |
-16.2 |
% |
-17.4 |
% |
-18.7 |
% |
-20.1 |
% |
-21.7 |
% |
-23.4 |
% |
-25.1 |
% |
-27.0 |
% |
-29.0 |
% | ||||||||||||||||||||||||||||||||||
35%
|
-17.5 |
% |
-13.9 |
% |
-14.0 |
% |
-14.3 |
% |
-14.7 |
% |
-15.2 |
% |
-15.9 |
% |
-16.8 |
% |
-17.8 |
% |
-18.9 |
% |
-20.2 |
% |
-21.6 |
% |
-23.2 |
% |
-24.8 |
% |
-26.5 |
% |
-28.4 |
% |
-30.3 |
% | ||||||||||||||||||||||||||||||||||
40%
|
-20.0 |
% |
-15.5 |
% |
-15.6 |
% |
-15.8 |
% |
-16.2 |
% |
-16.7 |
% |
-17.4 |
% |
-18.3 |
% |
-19.3 |
% |
-20.4 |
% |
-21.7 |
% |
-23.0 |
% |
-24.5 |
% |
-26.2 |
% |
-27.9 |
% |
-29.7 |
% |
-31.6 |
% | ||||||||||||||||||||||||||||||||||
45%
|
-22.5 |
% |
-17.0 |
% |
-17.0 |
% |
-17.3 |
% |
-17.7 |
% |
-18.2 |
% |
-18.9 |
% |
-19.7 |
% |
-20.7 |
% |
-21.8 |
% |
-23.0 |
% |
-24.4 |
% |
-25.9 |
% |
-27.4 |
% |
-29.1 |
% |
-30.9 |
% |
-32.7 |
% | ||||||||||||||||||||||||||||||||||
50%
|
-25.0 |
% |
-18.4 |
% |
-18.4 |
% |
-18.7 |
% |
-19.0 |
% |
-19.6 |
% |
-20.2 |
% |
-21.1 |
% |
-22.0 |
% |
-23.1 |
% |
-24.3 |
% |
-25.7 |
% |
-27.1 |
% |
-28.7 |
% |
-30.3 |
% |
-32.1 |
% |
-33.9 |
% | ||||||||||||||||||||||||||||||||||
55%
|
-27.5 |
% |
-19.7 |
% |
-19.8 |
% |
-20.0 |
% |
-20.4 |
% |
-20.9 |
% |
-21.5 |
% |
-22.3 |
% |
-23.3 |
% |
-24.4 |
% |
-25.6 |
% |
-26.9 |
% |
-28.3 |
% |
-29.8 |
% |
-31.4 |
% |
-33.2 |
% |
-35.0 |
% | ||||||||||||||||||||||||||||||||||
60%
|
-30.0 |
% |
-20.9 |
% |
-21.0 |
% |
-21.2 |
% |
-21.6 |
% |
-22.1 |
% |
-22.8 |
% |
-23.6 |
% |
-24.5 |
% |
-25.5 |
% |
-26.7 |
% |
-28.0 |
% |
-29.4 |
% |
-30.9 |
% |
-32.5 |
% |
-34.2 |
% |
-36.0 |
% |
Benchmark Volatility
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year
Benchmark
Performance
|
Inverse(-1x)
of One Year Benchmark Performance |
0%
|
5%
|
10%
|
15%
|
20%
|
25%
|
30%
|
35%
|
40%
|
45%
|
50%
|
55%
|
60%
|
65%
|
70%
|
||||||||||||||||||||||||||||||||||||||||||||||||
-60%
|
60 |
% |
150.0 |
% |
149.4 |
% |
147.5 |
% |
144.4 |
% |
140.2 |
% |
134.9 |
% |
128.5 |
% |
121.2 |
% |
113.0 |
% |
104.2 |
% |
94.7 |
% |
84.7 |
% |
74.4 |
% |
63.9 |
% |
53.2 |
% | ||||||||||||||||||||||||||||||||
-55%
|
55 |
% |
122.2 |
% |
121.7 |
% |
120.0 |
% |
117.3 |
% |
113.5 |
% |
108.8 |
% |
103.1 |
% |
96.6 |
% |
89.4 |
% |
81.5 |
% |
73.1 |
% |
64.2 |
% |
55.0 |
% |
45.6 |
% |
36.1 |
% | ||||||||||||||||||||||||||||||||
-50%
|
50 |
% |
100.0 |
% |
99.5 |
% |
98.0 |
% |
95.6 |
% |
92.2 |
% |
87.9 |
% |
82.8 |
% |
76.9 |
% |
70.4 |
% |
63.3 |
% |
55.8 |
% |
47.8 |
% |
39.5 |
% |
31.1 |
% |
22.5 |
% | ||||||||||||||||||||||||||||||||
-45%
|
45 |
% |
81.8 |
% |
81.4 |
% |
80.0 |
% |
77.8 |
% |
74.7 |
% |
70.8 |
% |
66.2 |
% |
60.9 |
% |
54.9 |
% |
48.5 |
% |
41.6 |
% |
34.4 |
% |
26.9 |
% |
19.2 |
% |
11.4 |
% | ||||||||||||||||||||||||||||||||
-40%
|
40 |
% |
66.7 |
% |
66.3 |
% |
65.0 |
% |
63.0 |
% |
60.1 |
% |
56.6 |
% |
52.3 |
% |
47.5 |
% |
42.0 |
% |
36.1 |
% |
29.8 |
% |
23.2 |
% |
16.3 |
% |
9.2 |
% |
2.1 |
% | ||||||||||||||||||||||||||||||||
-35%
|
35 |
% |
53.8 |
% |
53.5 |
% |
52.3 |
% |
50.4 |
% |
47.8 |
% |
44.5 |
% |
40.6 |
% |
36.1 |
% |
31.1 |
% |
25.6 |
% |
19.8 |
% |
13.7 |
% |
7.3 |
% |
0.8 |
% |
-5.7 |
% | ||||||||||||||||||||||||||||||||
-30%
|
30 |
% |
42.9 |
% |
42.5 |
% |
41.4 |
% |
39.7 |
% |
37.3 |
% |
34.2 |
% |
30.6 |
% |
26.4 |
% |
21.7 |
% |
16.7 |
% |
11.3 |
% |
5.6 |
% |
-0.3 |
% |
-6.4 |
% |
-12.5 |
% | ||||||||||||||||||||||||||||||||
-25%
|
25 |
% |
33.3 |
% |
33.0 |
% |
32.0 |
% |
30.4 |
% |
28.1 |
% |
25.3 |
% |
21.9 |
% |
18.0 |
% |
13.6 |
% |
8.9 |
% |
3.8 |
% |
-1.5 |
% |
-7.0 |
% |
-12.6 |
% |
-18.3 |
% | ||||||||||||||||||||||||||||||||
-20%
|
20 |
% |
25.0 |
% |
24.7 |
% |
23.8 |
% |
22.2 |
% |
20.1 |
% |
17.4 |
% |
14.2 |
% |
10.6 |
% |
6.5 |
% |
2.1 |
% |
-2.6 |
% |
-7.6 |
% |
-12.8 |
% |
-18.1 |
% |
-23.4 |
% | ||||||||||||||||||||||||||||||||
-15%
|
15 |
% |
17.6 |
% |
17.4 |
% |
16.5 |
% |
15.0 |
% |
13.0 |
% |
10.5 |
% |
7.5 |
% |
4.1 |
% |
0.3 |
% |
-3.9 |
% |
-8.4 |
% |
-13.1 |
% |
-17.9 |
% |
-22.9 |
% |
-27.9 |
% | ||||||||||||||||||||||||||||||||
-10%
|
10 |
% |
11.1 |
% |
10.8 |
% |
10.0 |
% |
8.6 |
% |
6.8 |
% |
4.4 |
% |
1.5 |
% |
-1.7 |
% |
-5.3 |
% |
-9.3 |
% |
-13.5 |
% |
-17.9 |
% |
-22.5 |
% |
-27.2 |
% |
-31.9 |
% | ||||||||||||||||||||||||||||||||
-5%
|
5 |
% |
5.3 |
% |
5.0 |
% |
4.2 |
% |
2.9 |
% |
1.1 |
% |
-1.1 |
% |
-3.8 |
% |
-6.9 |
% |
-10.3 |
% |
-14.0 |
% |
-18.0 |
% |
-22.2 |
% |
-26.6 |
% |
-31.0 |
% |
-35.5 |
% | ||||||||||||||||||||||||||||||||
0%
|
0 |
% |
0.0 |
% |
-0.2 |
% |
-1.0 |
% |
-2.2 |
% |
-3.9 |
% |
-6.1 |
% |
-8.6 |
% |
-11.5 |
% |
-14.8 |
% |
-18.3 |
% |
-22.1 |
% |
-26.1 |
% |
-30.2 |
% |
-34.5 |
% |
-38.7 |
% | ||||||||||||||||||||||||||||||||
5%
|
-5 |
% |
-4.8 |
% |
-5.0 |
% |
-5.7 |
% |
-6.9 |
% |
-8.5 |
% |
-10.5 |
% |
-13.0 |
% |
-15.7 |
% |
-18.8 |
% |
-22.2 |
% |
-25.8 |
% |
-29.6 |
% |
-33.6 |
% |
-37.6 |
% |
-41.7 |
% | ||||||||||||||||||||||||||||||||
10%
|
-10 |
% |
-9.1 |
% |
-9.3 |
% |
-10.0 |
% |
-11.1 |
% |
-12.7 |
% |
-14.6 |
% |
-16.9 |
% |
-19.6 |
% |
-22.5 |
% |
-25.8 |
% |
-29.2 |
% |
-32.8 |
% |
-36.6 |
% |
-40.4 |
% |
-44.3 |
% | ||||||||||||||||||||||||||||||||
15%
|
-15 |
% |
-13.0 |
% |
-13.3 |
% |
-13.9 |
% |
-15.0 |
% |
-16.5 |
% |
-18.3 |
% |
-20.5 |
% |
-23.1 |
% |
-25.9 |
% |
-29.0 |
% |
-32.3 |
% |
-35.7 |
% |
-39.3 |
% |
-43.0 |
% |
-46.7 |
% | ||||||||||||||||||||||||||||||||
20%
|
-20 |
% |
-16.7 |
% |
-16.9 |
% |
-17.5 |
% |
-18.5 |
% |
-19.9 |
% |
-21.7 |
% |
-23.8 |
% |
-26.3 |
% |
-29.0 |
% |
-31.9 |
% |
-35.1 |
% |
-38.4 |
% |
-41.9 |
% |
-45.4 |
% |
-48.9 |
% | ||||||||||||||||||||||||||||||||
25%
|
-25 |
% |
-20.0 |
% |
-20.2 |
% |
-20.8 |
% |
-21.8 |
% |
-23.1 |
% |
-24.8 |
% |
-26.9 |
% |
-29.2 |
% |
-31.8 |
% |
-34.7 |
% |
-37.7 |
% |
-40.9 |
% |
-44.2 |
% |
-47.6 |
% |
-51.0 |
% | ||||||||||||||||||||||||||||||||
30%
|
-30 |
% |
-23.1 |
% |
-23.3 |
% |
-23.8 |
% |
-24.8 |
% |
-26.1 |
% |
-27.7 |
% |
-29.7 |
% |
-31.9 |
% |
-34.5 |
% |
-37.2 |
% |
-40.1 |
% |
-43.2 |
% |
-46.3 |
% |
-49.6 |
% |
-52.9 |
% | ||||||||||||||||||||||||||||||||
35%
|
-35 |
% |
-25.9 |
% |
-26.1 |
% |
-26.7 |
% |
-27.6 |
% |
-28.8 |
% |
-30.4 |
% |
-32.3 |
% |
-34.5 |
% |
-36.9 |
% |
-39.5 |
% |
-42.3 |
% |
-45.3 |
% |
-48.3 |
% |
-51.5 |
% |
-54.6 |
% | ||||||||||||||||||||||||||||||||
40%
|
-40 |
% |
-28.6 |
% |
-28.7 |
% |
-29.3 |
% |
-30.2 |
% |
-31.4 |
% |
-32.9 |
% |
-34.7 |
% |
-36.8 |
% |
-39.1 |
% |
-41.7 |
% |
-44.4 |
% |
-47.2 |
% |
-50.2 |
% |
-53.2 |
% |
-56.2 |
% | ||||||||||||||||||||||||||||||||
45%
|
-45 |
% |
-31.0 |
% |
-31.2 |
% |
-31.7 |
% |
-32.6 |
% |
-33.7 |
% |
-35.2 |
% |
-37.0 |
% |
-39.0 |
% |
-41.2 |
% |
-43.7 |
% |
-46.3 |
% |
-49.0 |
% |
-51.9 |
% |
-54.8 |
% |
-57.7 |
% | ||||||||||||||||||||||||||||||||
50%
|
-50 |
% |
-33.3 |
% |
-33.5 |
% |
-34.0 |
% |
-34.8 |
% |
-35.9 |
% |
-37.4 |
% |
-39.1 |
% |
-41.0 |
% |
-43.2 |
% |
-45.6 |
% |
-48.1 |
% |
-50.7 |
% |
-53.5 |
% |
-56.3 |
% |
-59.2 |
% | ||||||||||||||||||||||||||||||||
55%
|
-55 |
% |
-35.5 |
% |
-35.6 |
% |
-36.1 |
% |
-36.9 |
% |
-38.0 |
% |
-39.4 |
% |
-41.0 |
% |
-42.9 |
% |
-45.0 |
% |
-47.3 |
% |
-49.8 |
% |
-52.3 |
% |
-55.0 |
% |
-57.7 |
% |
-60.5 |
% | ||||||||||||||||||||||||||||||||
60%
|
-60 |
% |
-37.5 |
% |
-37.7 |
% |
-38.1 |
% |
-38.9 |
% |
-40.0 |
% |
-41.3 |
% |
-42.9 |
% |
-44.7 |
% |
-46.7 |
% |
-49.0 |
% |
-51.3 |
% |
-53.8 |
% |
-56.4 |
% |
-59.0 |
% |
-61.7 |
% |
Benchmark Volatility
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year
Benchmark
Performance
|
Two Times
Inverse(-2x)
of One Year
Benchmark
Performance
|
0%
|
5%
|
10%
|
15%
|
20%
|
25%
|
30%
|
35%
|
40%
|
45%
|
50%
|
55%
|
60%
|
65%
|
70%
|
||||||||||||||||||||||||||||||||||||||||||||||||
-60%
|
120 |
% |
525.0 |
% |
520.3 |
% |
506.5 |
% |
484.2 |
% |
454.3 |
% |
418.1 |
% |
377.1 |
% |
332.8 |
% |
286.7 |
% |
240.4 |
% |
195.2 |
% |
152.2 |
% |
112.2 |
% |
76.0 |
% |
43.7 |
% | ||||||||||||||||||||||||||||||||
-55%
|
110 |
% |
393.8 |
% |
390.1 |
% |
379.2 |
% |
361.6 |
% |
338.0 |
% |
309.4 |
% |
277.0 |
% |
242.0 |
% |
205.6 |
% |
169.0 |
% |
133.3 |
% |
99.3 |
% |
67.7 |
% |
39.0 |
% |
13.5 |
% | ||||||||||||||||||||||||||||||||
-50%
|
100 |
% |
300.0 |
% |
297.0 |
% |
288.2 |
% |
273.9 |
% |
254.8 |
% |
231.6 |
% |
205.4 |
% |
177.0 |
% |
147.5 |
% |
117.9 |
% |
88.9 |
% |
61.4 |
% |
35.8 |
% |
12.6 |
% |
-8.0 |
% | ||||||||||||||||||||||||||||||||
-45%
|
90 |
% |
230.6 |
% |
228.1 |
% |
220.8 |
% |
209.0 |
% |
193.2 |
% |
174.1 |
% |
152.4 |
% |
128.9 |
% |
104.6 |
% |
80.1 |
% |
56.2 |
% |
33.4 |
% |
12.3 |
% |
-6.9 |
% |
-24.0 |
% | ||||||||||||||||||||||||||||||||
-40%
|
80 |
% |
177.8 |
% |
175.7 |
% |
169.6 |
% |
159.6 |
% |
146.4 |
% |
130.3 |
% |
112.0 |
% |
92.4 |
% |
71.9 |
% |
51.3 |
% |
31.2 |
% |
12.1 |
% |
-5.7 |
% |
-21.8 |
% |
-36.1 |
% | ||||||||||||||||||||||||||||||||
-35%
|
70 |
% |
136.7 |
% |
134.9 |
% |
129.7 |
% |
121.2 |
% |
109.9 |
% |
96.2 |
% |
80.7 |
% |
63.9 |
% |
46.5 |
% |
28.9 |
% |
11.8 |
% |
-4.5 |
% |
-19.6 |
% |
-33.4 |
% |
-45.6 |
% | ||||||||||||||||||||||||||||||||
-30%
|
60 |
% |
104.1 |
% |
102.6 |
% |
98.1 |
% |
90.8 |
% |
81.0 |
% |
69.2 |
% |
55.8 |
% |
41.3 |
% |
26.3 |
% |
11.2 |
% |
-3.6 |
% |
-17.6 |
% |
-30.7 |
% |
-42.5 |
% |
-53.1 |
% | ||||||||||||||||||||||||||||||||
-25%
|
50 |
% |
77.8 |
% |
76.4 |
% |
72.5 |
% |
66.2 |
% |
57.7 |
% |
47.4 |
% |
35.7 |
% |
23.1 |
% |
10.0 |
% |
-3.2 |
% |
-16.0 |
% |
-28.3 |
% |
-39.6 |
% |
-49.9 |
% |
-59.1 |
% | ||||||||||||||||||||||||||||||||
-20%
|
40 |
% |
56.3 |
% |
55.1 |
% |
51.6 |
% |
46.1 |
% |
38.6 |
% |
29.5 |
% |
19.3 |
% |
8.2 |
% |
-3.3 |
% |
-14.9 |
% |
-26.2 |
% |
-36.9 |
% |
-46.9 |
% |
-56.0 |
% |
-64.1 |
% | ||||||||||||||||||||||||||||||||
-15%
|
30 |
% |
38.4 |
% |
37.4 |
% |
34.3 |
% |
29.4 |
% |
22.8 |
% |
14.7 |
% |
5.7 |
% |
-4.2 |
% |
-14.4 |
% |
-24.6 |
% |
-34.6 |
% |
-44.1 |
% |
-53.0 |
% |
-61.0 |
% |
-68.2 |
% | ||||||||||||||||||||||||||||||||
-10%
|
20 |
% |
23.5 |
% |
22.5 |
% |
19.8 |
% |
15.4 |
% |
9.5 |
% |
2.3 |
% |
-5.8 |
% |
-14.5 |
% |
-23.6 |
% |
-32.8 |
% |
-41.7 |
% |
-50.2 |
% |
-58.1 |
% |
-65.2 |
% |
-71.6 |
% | ||||||||||||||||||||||||||||||||
-5%
|
10 |
% |
10.8 |
% |
10.0 |
% |
7.5 |
% |
3.6 |
% |
-1.7 |
% |
-8.1 |
% |
-15.4 |
% |
-23.3 |
% |
-31.4 |
% |
-39.6 |
% |
-47.7 |
% |
-55.3 |
% |
-62.4 |
% |
-68.8 |
% |
-74.5 |
% | ||||||||||||||||||||||||||||||||
0%
|
0 |
% |
0.0 |
% |
-0.7 |
% |
-3.0 |
% |
-6.5 |
% |
-11.3 |
% |
-17.1 |
% |
-23.7 |
% |
-30.8 |
% |
-38.1 |
% |
-45.5 |
% |
-52.8 |
% |
-59.6 |
% |
-66.0 |
% |
-71.8 |
% |
-77.0 |
% | ||||||||||||||||||||||||||||||||
5%
|
-10 |
% |
-9.3 |
% |
-10.0 |
% |
-12.0 |
% |
-15.2 |
% |
-19.6 |
% |
-24.8 |
% |
-30.8 |
% |
-37.2 |
% |
-43.9 |
% |
-50.6 |
% |
-57.2 |
% |
-63.4 |
% |
-69.2 |
% |
-74.5 |
% |
-79.1 |
% | ||||||||||||||||||||||||||||||||
10%
|
-20 |
% |
-17.4 |
% |
-18.0 |
% |
-19.8 |
% |
-22.7 |
% |
-26.7 |
% |
-31.5 |
% |
-36.9 |
% |
-42.8 |
% |
-48.9 |
% |
-55.0 |
% |
-61.0 |
% |
-66.7 |
% |
-71.9 |
% |
-76.7 |
% |
-81.0 |
% | ||||||||||||||||||||||||||||||||
15%
|
-30 |
% |
-24.4 |
% |
-25.0 |
% |
-26.6 |
% |
-29.3 |
% |
-32.9 |
% |
-37.3 |
% |
-42.3 |
% |
-47.6 |
% |
-53.2 |
% |
-58.8 |
% |
-64.3 |
% |
-69.5 |
% |
-74.3 |
% |
-78.7 |
% |
-82.6 |
% | ||||||||||||||||||||||||||||||||
20%
|
-40 |
% |
-30.6 |
% |
-31.1 |
% |
-32.6 |
% |
-35.1 |
% |
-38.4 |
% |
-42.4 |
% |
-47.0 |
% |
-51.9 |
% |
-57.0 |
% |
-62.2 |
% |
-67.2 |
% |
-72.0 |
% |
-76.4 |
% |
-80.4 |
% |
-84.0 |
% | ||||||||||||||||||||||||||||||||
25%
|
-50 |
% |
-36.0 |
% |
-36.5 |
% |
-37.9 |
% |
-40.2 |
% |
-43.2 |
% |
-46.9 |
% |
-51.1 |
% |
-55.7 |
% |
-60.4 |
% |
-65.1 |
% |
-69.8 |
% |
-74.2 |
% |
-78.3 |
% |
-82.0 |
% |
-85.3 |
% | ||||||||||||||||||||||||||||||||
30%
|
-60 |
% |
-40.8 |
% |
-41.3 |
% |
-42.6 |
% |
-44.7 |
% |
-47.5 |
% |
-50.9 |
% |
-54.8 |
% |
-59.0 |
% |
-63.4 |
% |
-67.8 |
% |
-72.0 |
% |
-76.1 |
% |
-79.9 |
% |
-83.3 |
% |
-86.4 |
% | ||||||||||||||||||||||||||||||||
35%
|
-70 |
% |
-45.1 |
% |
-45.5 |
% |
-46.8 |
% |
-48.7 |
% |
-51.3 |
% |
-54.5 |
% |
-58.1 |
% |
-62.0 |
% |
-66.0 |
% |
-70.1 |
% |
-74.1 |
% |
-77.9 |
% |
-81.4 |
% |
-84.6 |
% |
-87.4 |
% | ||||||||||||||||||||||||||||||||
40%
|
-80 |
% |
-49.0 |
% |
-49.4 |
% |
-50.5 |
% |
-52.3 |
% |
-54.7 |
% |
-57.7 |
% |
-61.1 |
% |
-64.7 |
% |
-68.4 |
% |
-72.2 |
% |
-75.9 |
% |
-79.4 |
% |
-82.7 |
% |
-85.6 |
% |
-88.3 |
% | ||||||||||||||||||||||||||||||||
45%
|
-90 |
% |
-52.4 |
% |
-52.8 |
% |
-53.8 |
% |
-55.5 |
% |
-57.8 |
% |
-60.6 |
% |
-63.7 |
% |
-67.1 |
% |
-70.6 |
% |
-74.1 |
% |
-77.5 |
% |
-80.8 |
% |
-83.8 |
% |
-86.6 |
% |
-89.1 |
% | ||||||||||||||||||||||||||||||||
50%
|
-100 |
% |
-55.6 |
% |
-55.9 |
% |
-56.9 |
% |
-58.5 |
% |
-60.6 |
% |
-63.2 |
% |
-66.1 |
% |
-69.2 |
% |
-72.5 |
% |
-75.8 |
% |
-79.0 |
% |
-82.1 |
% |
-84.9 |
% |
-87.5 |
% |
-89.8 |
% | ||||||||||||||||||||||||||||||||
55%
|
-110 |
% |
-58.4 |
% |
-58.7 |
% |
-59.6 |
% |
-61.1 |
% |
-63.1 |
% |
-65.5 |
% |
-68.2 |
% |
-71.2 |
% |
-74.2 |
% |
-77.3 |
% |
-80.3 |
% |
-83.2 |
% |
-85.9 |
% |
-88.3 |
% |
-90.4 |
% | ||||||||||||||||||||||||||||||||
60%
|
-120 |
% |
-60.9 |
% |
-61.2 |
% |
-62.1 |
% |
-63.5 |
% |
-65.4 |
% |
-67.6 |
% |
-70.2 |
% |
-73.0 |
% |
-75.8 |
% |
-78.7 |
% |
-81.5 |
% |
-84.2 |
% |
-86.7 |
% |
-89.0 |
% |
-91.0 |
% |
Benchmark Volatility
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One
Year Benchmark
Performance
|
Three
Times
Inverse (-3x) One Year
Benchmark Performance |
0%
|
5%
|
10%
|
15%
|
20%
|
25%
|
30%
|
35%
|
40%
|
45%
|
50%
|
55%
|
60%
|
65%
|
70%
|
||||||||||||||||||||||||||||||||||||||||||||||||
-60%
|
180 |
% |
1462.5 |
% |
1439.2 |
% |
1371.5 |
% |
1265.2 |
% |
1129.1 |
% |
973.9 |
% |
810.5 |
% |
649.2 |
% |
498.3 |
% |
363.6 |
% |
248.6 |
% |
154.4 |
% |
80.2 |
% |
23.8 |
% |
-17.4 |
% | ||||||||||||||||||||||||||||||||
-55%
|
165 |
% |
997.4 |
% |
981.1 |
% |
933.5 |
% |
858.8 |
% |
763.2 |
% |
654.2 |
% |
539.5 |
% |
426.2 |
% |
320.2 |
% |
225.6 |
% |
144.9 |
% |
78.7 |
% |
26.6 |
% |
-13.0 |
% |
-42.0 |
% | ||||||||||||||||||||||||||||||||
-50%
|
150 |
% |
700.0 |
% |
688.1 |
% |
653.4 |
% |
599.0 |
% |
529.3 |
% |
449.8 |
% |
366.2 |
% |
283.6 |
% |
206.3 |
% |
137.4 |
% |
78.5 |
% |
30.3 |
% |
-7.7 |
% |
-36.6 |
% |
-57.7 |
% | ||||||||||||||||||||||||||||||||
-45%
|
135 |
% |
501.1 |
% |
492.1 |
% |
466.0 |
% |
425.1 |
% |
372.8 |
% |
313.1 |
% |
250.3 |
% |
188.2 |
% |
130.1 |
% |
78.3 |
% |
34.1 |
% |
-2.1 |
% |
-30.7 |
% |
-52.4 |
% |
-68.2 |
% | ||||||||||||||||||||||||||||||||
-40%
|
120 |
% |
363.0 |
% |
356.1 |
% |
336.0 |
% |
304.5 |
% |
264.2 |
% |
218.2 |
% |
169.8 |
% |
122.0 |
% |
77.3 |
% |
37.4 |
% |
3.3 |
% |
-24.6 |
% |
-46.6 |
% |
-63.3 |
% |
-75.5 |
% | ||||||||||||||||||||||||||||||||
-35%
|
105 |
% |
264.1 |
% |
258.7 |
% |
242.9 |
% |
218.1 |
% |
186.4 |
% |
150.3 |
% |
112.2 |
% |
74.6 |
% |
39.4 |
% |
8.0 |
% |
-18.8 |
% |
-40.7 |
% |
-58.0 |
% |
-71.1 |
% |
-80.7 |
% | ||||||||||||||||||||||||||||||||
-30%
|
90 |
% |
191.5 |
% |
187.2 |
% |
174.6 |
% |
154.7 |
% |
129.3 |
% |
100.4 |
% |
69.9 |
% |
39.8 |
% |
11.6 |
% |
-13.5 |
% |
-34.9 |
% |
-52.5 |
% |
-66.4 |
% |
-76.9 |
% |
-84.6 |
% | ||||||||||||||||||||||||||||||||
-25%
|
75 |
% |
137.0 |
% |
133.5 |
% |
123.2 |
% |
107.1 |
% |
86.5 |
% |
62.9 |
% |
38.1 |
% |
13.7 |
% |
-9.2 |
% |
-29.7 |
% |
-47.1 |
% |
-61.4 |
% |
-72.7 |
% |
-81.2 |
% |
-87.5 |
% | ||||||||||||||||||||||||||||||||
-20%
|
60 |
% |
95.3 |
% |
92.4 |
% |
83.9 |
% |
70.6 |
% |
53.6 |
% |
34.2 |
% |
13.8 |
% |
-6.3 |
% |
-25.2 |
% |
-42.0 |
% |
-56.4 |
% |
-68.2 |
% |
-77.5 |
% |
-84.5 |
% |
-89.7 |
% | ||||||||||||||||||||||||||||||||
-15%
|
45 |
% |
62.8 |
% |
60.4 |
% |
53.4 |
% |
42.3 |
% |
28.1 |
% |
11.9 |
% |
-5.1 |
% |
-21.9 |
% |
-37.7 |
% |
-51.7 |
% |
-63.7 |
% |
-73.5 |
% |
-81.2 |
% |
-87.1 |
% |
-91.4 |
% | ||||||||||||||||||||||||||||||||
-10%
|
30 |
% |
37.2 |
% |
35.1 |
% |
29.2 |
% |
19.9 |
% |
7.9 |
% |
-5.7 |
% |
-20.1 |
% |
-34.2 |
% |
-47.5 |
% |
-59.3 |
% |
-69.4 |
% |
-77.7 |
% |
-84.2 |
% |
-89.1 |
% |
-92.7 |
% | ||||||||||||||||||||||||||||||||
-5%
|
15 |
% |
16.6 |
% |
14.9 |
% |
9.8 |
% |
1.9 |
% |
-8.3 |
% |
-19.8 |
% |
-32.0 |
% |
-44.1 |
% |
-55.3 |
% |
-65.4 |
% |
-74.0 |
% |
-81.0 |
% |
-86.5 |
% |
-90.8 |
% |
-93.8 |
% | ||||||||||||||||||||||||||||||||
0%
|
0 |
% |
0.0 |
% |
-1.5 |
% |
-5.8 |
% |
-12.6 |
% |
-21.3 |
% |
-31.3 |
% |
-41.7 |
% |
-52.0 |
% |
-61.7 |
% |
-70.3 |
% |
-77.7 |
% |
-83.7 |
% |
-88.5 |
% |
-92.1 |
% |
-94.7 |
% | ||||||||||||||||||||||||||||||||
5%
|
-15 |
% |
-13.6 |
% |
-14.9 |
% |
-18.6 |
% |
-24.5 |
% |
-32.0 |
% |
-40.6 |
% |
-49.7 |
% |
-58.6 |
% |
-66.9 |
% |
-74.4 |
% |
-80.7 |
% |
-85.9 |
% |
-90.0 |
% |
-93.2 |
% |
-95.4 |
% | ||||||||||||||||||||||||||||||||
10%
|
-30 |
% |
-24.9 |
% |
-26.0 |
% |
-29.2 |
% |
-34.4 |
% |
-40.9 |
% |
-48.4 |
% |
-56.2 |
% |
-64.0 |
% |
-71.2 |
% |
-77.7 |
% |
-83.2 |
% |
-87.8 |
% |
-91.3 |
% |
-94.0 |
% |
-96.0 |
% | ||||||||||||||||||||||||||||||||
15%
|
-45 |
% |
-34.2 |
% |
-35.2 |
% |
-38.1 |
% |
-42.6 |
% |
-48.3 |
% |
-54.8 |
% |
-61.7 |
% |
-68.5 |
% |
-74.8 |
% |
-80.5 |
% |
-85.3 |
% |
-89.3 |
% |
-92.4 |
% |
-94.8 |
% |
-96.5 |
% | ||||||||||||||||||||||||||||||||
20%
|
-60 |
% |
-42.1 |
% |
-43.0 |
% |
-45.5 |
% |
-49.4 |
% |
-54.5 |
% |
-60.2 |
% |
-66.3 |
% |
-72.3 |
% |
-77.8 |
% |
-82.8 |
% |
-87.1 |
% |
-90.6 |
% |
-93.3 |
% |
-95.4 |
% |
-96.9 |
% | ||||||||||||||||||||||||||||||||
25%
|
-75 |
% |
-48.8 |
% |
-49.6 |
% |
-51.8 |
% |
-55.3 |
% |
-59.7 |
% |
-64.8 |
% |
-70.2 |
% |
-75.4 |
% |
-80.4 |
% |
-84.8 |
% |
-88.6 |
% |
-91.7 |
% |
-94.1 |
% |
-95.9 |
% |
-97.3 |
% | ||||||||||||||||||||||||||||||||
30%
|
-90 |
% |
-54.5 |
% |
-55.2 |
% |
-57.1 |
% |
-60.2 |
% |
-64.2 |
% |
-68.7 |
% |
-73.5 |
% |
-78.2 |
% |
-82.6 |
% |
-86.5 |
% |
-89.8 |
% |
-92.6 |
% |
-94.8 |
% |
-96.4 |
% |
-97.6 |
% | ||||||||||||||||||||||||||||||||
35%
|
-105 |
% |
-59.4 |
% |
-60.0 |
% |
-61.7 |
% |
-64.5 |
% |
-68.0 |
% |
-72.1 |
% |
-76.3 |
% |
-80.5 |
% |
-84.4 |
% |
-87.9 |
% |
-90.9 |
% |
-93.4 |
% |
-95.3 |
% |
-96.8 |
% |
-97.9 |
% | ||||||||||||||||||||||||||||||||
40%
|
-120 |
% |
-63.6 |
% |
-64.1 |
% |
-65.7 |
% |
-68.2 |
% |
-71.3 |
% |
-75.0 |
% |
-78.8 |
% |
-82.5 |
% |
-86.0 |
% |
-89.2 |
% |
-91.9 |
% |
-94.1 |
% |
-95.8 |
% |
-97.1 |
% |
-98.1 |
% | ||||||||||||||||||||||||||||||||
45%
|
-135 |
% |
-67.2 |
% |
-67.7 |
% |
-69.1 |
% |
-71.3 |
% |
-74.2 |
% |
-77.5 |
% |
-80.9 |
% |
-84.3 |
% |
-87.4 |
% |
-90.3 |
% |
-92.7 |
% |
-94.7 |
% |
-96.2 |
% |
-97.4 |
% |
-98.3 |
% | ||||||||||||||||||||||||||||||||
50%
|
-150 |
% |
-70.4 |
% |
-70.8 |
% |
-72.1 |
% |
-74.1 |
% |
-76.7 |
% |
-79.6 |
% |
-82.7 |
% |
-85.8 |
% |
-88.7 |
% |
-91.2 |
% |
-93.4 |
% |
-95.2 |
% |
-96.6 |
% |
-97.7 |
% |
-98.4 |
% | ||||||||||||||||||||||||||||||||
55%
|
-165 |
% |
-73.1 |
% |
-73.5 |
% |
-74.7 |
% |
-76.5 |
% |
-78.9 |
% |
-81.5 |
% |
-84.4 |
% |
-87.1 |
% |
-89.7 |
% |
-92.0 |
% |
-94.0 |
% |
-95.6 |
% |
-96.9 |
% |
-97.9 |
% |
-98.6 |
% | ||||||||||||||||||||||||||||||||
60%
|
-180 |
% |
-75.6 |
% |
-75.9 |
% |
-77.0 |
% |
-78.7 |
% |
-80.8 |
% |
-83.2 |
% |
-85.8 |
% |
-88.3 |
% |
-90.7 |
% |
-92.8 |
% |
-94.6 |
% |
-96.0 |
% |
-97.2 |
% |
-98.1 |
% |
-98.7 |
% |
Index
Volatility |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One
Year Index
Performance
|
One
and One-Half Times (1.5x) One Year Index Performance |
0%
|
5%
|
10%
|
15%
|
20%
|
25%
|
30%
|
35%
|
40%
|
45%
|
50%
|
55%
|
60%
|
65%
|
70%
|
75%
|
|||||||||||||||||||||||||||||||||||||||||||||||||||
-60%
|
-90.0 |
% |
-74.7 |
% |
-74.7 |
% |
-74.8 |
% |
-74.9 |
% |
-75.1 |
% |
-75.3 |
% |
-75.5 |
% |
-75.8 |
% |
-76.2 |
% |
-76.6 |
% |
-77.0 |
% |
-77.4 |
% |
-77.9 |
% |
-78.4 |
% |
-78.9 |
% |
-79.5 |
% | ||||||||||||||||||||||||||||||||||
-55%
|
-82.5 |
% |
-69.8 |
% |
-69.8 |
% |
-69.9 |
% |
-70.1 |
% |
-70.3 |
% |
-70.5 |
% |
-70.8 |
% |
-71.2 |
% |
-71.6 |
% |
-72.0 |
% |
-72.5 |
% |
-73.1 |
% |
-73.6 |
% |
-74.2 |
% |
-74.9 |
% |
-75.6 |
% | ||||||||||||||||||||||||||||||||||
-50%
|
-75.0 |
% |
-64.6 |
% |
-64.7 |
% |
-64.8 |
% |
-64.9 |
% |
-65.2 |
% |
-65.5 |
% |
-65.8 |
% |
-66.2 |
% |
-66.7 |
% |
-67.2 |
% |
-67.8 |
% |
-68.4 |
% |
-69.1 |
% |
-69.8 |
% |
-70.6 |
% |
-71.4 |
% | ||||||||||||||||||||||||||||||||||
-45%
|
-67.5 |
% |
-59.2 |
% |
-59.2 |
% |
-59.4 |
% |
-59.6 |
% |
-59.8 |
% |
-60.2 |
% |
-60.6 |
% |
-61.0 |
% |
-61.6 |
% |
-62.2 |
% |
-62.9 |
% |
-63.6 |
% |
-64.4 |
% |
-65.2 |
% |
-66.1 |
% |
-67.0 |
% | ||||||||||||||||||||||||||||||||||
-40%
|
-60.0 |
% |
-53.5 |
% |
-53.6 |
% |
-53.7 |
% |
-53.9 |
% |
-54.2 |
% |
-54.6 |
% |
-55.1 |
% |
-55.6 |
% |
-56.2 |
% |
-56.9 |
% |
-57.7 |
% |
-58.5 |
% |
-59.4 |
% |
-60.3 |
% |
-61.3 |
% |
-62.4 |
% | ||||||||||||||||||||||||||||||||||
-35%
|
-52.5 |
% |
-47.6 |
% |
-47.6 |
% |
-47.8 |
% |
-48.0 |
% |
-48.4 |
% |
-48.8 |
% |
-49.3 |
% |
-49.9 |
% |
-50.6 |
% |
-51.4 |
% |
-52.3 |
% |
-53.2 |
% |
-54.2 |
% |
-55.3 |
% |
-56.4 |
% |
-57.6 |
% | ||||||||||||||||||||||||||||||||||
-30%
|
-45.0 |
% |
-41.4 |
% |
-41.5 |
% |
-41.7 |
% |
-41.9 |
% |
-42.3 |
% |
-42.8 |
% |
-43.4 |
% |
-44.1 |
% |
-44.8 |
% |
-45.7 |
% |
-46.7 |
% |
-47.7 |
% |
-48.8 |
% |
-50.0 |
% |
-51.3 |
% |
-52.6 |
% | ||||||||||||||||||||||||||||||||||
-25%
|
-37.5 |
% |
-35.0 |
% |
-35.1 |
% |
-35.3 |
% |
-35.6 |
% |
-36.0 |
% |
-36.6 |
% |
-37.2 |
% |
-38.0 |
% |
-38.8 |
% |
-39.8 |
% |
-40.9 |
% |
-42.0 |
% |
-43.3 |
% |
-44.6 |
% |
-46.0 |
% |
-47.4 |
% | ||||||||||||||||||||||||||||||||||
-20%
|
-30.0 |
% |
-28.4 |
% |
-28.5 |
% |
-28.7 |
% |
-29.0 |
% |
-29.5 |
% |
-30.1 |
% |
-30.8 |
% |
-31.7 |
% |
-32.6 |
% |
-33.7 |
% |
-34.8 |
% |
-36.1 |
% |
-37.5 |
% |
-38.9 |
% |
-40.5 |
% |
-42.1 |
% | ||||||||||||||||||||||||||||||||||
-15%
|
-22.5 |
% |
-21.6 |
% |
-21.7 |
% |
-21.9 |
% |
-22.3 |
% |
-22.8 |
% |
-23.4 |
% |
-24.2 |
% |
-25.2 |
% |
-26.2 |
% |
-27.4 |
% |
-28.6 |
% |
-30.0 |
% |
-31.5 |
% |
-33.1 |
% |
-34.8 |
% |
-36.5 |
% | ||||||||||||||||||||||||||||||||||
-10%
|
-15.0 |
% |
-14.6 |
% |
-14.7 |
% |
-14.9 |
% |
-15.3 |
% |
-15.9 |
% |
-16.6 |
% |
-17.5 |
% |
-18.5 |
% |
-19.6 |
% |
-20.9 |
% |
-22.3 |
% |
-23.8 |
% |
-25.4 |
% |
-27.1 |
% |
-29.0 |
% |
-30.9 |
% | ||||||||||||||||||||||||||||||||||
-5%
|
-7.5 |
% |
-7.4 |
% |
-7.5 |
% |
-7.8 |
% |
-8.2 |
% |
-8.8 |
% |
-9.6 |
% |
-10.5 |
% |
-11.6 |
% |
-12.8 |
% |
-14.2 |
% |
-15.7 |
% |
-17.3 |
% |
-19.1 |
% |
-21.0 |
% |
-22.9 |
% |
-25.0 |
% | ||||||||||||||||||||||||||||||||||
0%
|
0.0 |
% |
0.0 |
% |
-0.1 |
% |
-0.4 |
% |
-0.8 |
% |
-1.5 |
% |
-2.3 |
% |
-3.3 |
% |
-4.5 |
% |
-5.8 |
% |
-7.3 |
% |
-8.9 |
% |
-10.7 |
% |
-12.6 |
% |
-14.7 |
% |
-16.8 |
% |
-19.0 |
% | ||||||||||||||||||||||||||||||||||
5%
|
7.5 |
% |
7.6 |
% |
7.5 |
% |
7.2 |
% |
6.7 |
% |
6.0 |
% |
5.1 |
% |
4.0 |
% |
2.8 |
% |
1.3 |
% |
-0.3 |
% |
-2.0 |
% |
-3.9 |
% |
-6.0 |
% |
-8.2 |
% |
-10.5 |
% |
-12.9 |
% | ||||||||||||||||||||||||||||||||||
10%
|
15.0 |
% |
15.4 |
% |
15.3 |
% |
14.9 |
% |
14.4 |
% |
13.7 |
% |
12.7 |
% |
11.5 |
% |
10.2 |
% |
8.7 |
% |
6.9 |
% |
5.0 |
% |
3.0 |
% |
0.8 |
% |
-1.5 |
% |
-4.0 |
% |
-6.6 |
% | ||||||||||||||||||||||||||||||||||
15%
|
22.5 |
% |
23.3 |
% |
23.2 |
% |
22.9 |
% |
22.3 |
% |
21.5 |
% |
20.5 |
% |
19.2 |
% |
17.8 |
% |
16.1 |
% |
14.3 |
% |
12.3 |
% |
10.1 |
% |
7.7 |
% |
5.3 |
% |
2.6 |
% |
-0.1 |
% | ||||||||||||||||||||||||||||||||||
20%
|
30.0 |
% |
31.5 |
% |
31.3 |
% |
31.0 |
% |
30.3 |
% |
29.5 |
% |
28.4 |
% |
27.1 |
% |
25.6 |
% |
23.8 |
% |
21.8 |
% |
19.7 |
% |
17.4 |
% |
14.9 |
% |
12.2 |
% |
9.4 |
% |
6.5 |
% | ||||||||||||||||||||||||||||||||||
25%
|
37.5 |
% |
39.8 |
% |
39.6 |
% |
39.2 |
% |
38.6 |
% |
37.7 |
% |
36.5 |
% |
35.1 |
% |
33.5 |
% |
31.6 |
% |
29.5 |
% |
27.2 |
% |
24.8 |
% |
22.1 |
% |
19.3 |
% |
16.3 |
% |
13.2 |
% | ||||||||||||||||||||||||||||||||||
30%
|
45.0 |
% |
48.2 |
% |
48.1 |
% |
47.7 |
% |
47.0 |
% |
46.0 |
% |
44.8 |
% |
43.3 |
% |
41.6 |
% |
39.6 |
% |
37.4 |
% |
35.0 |
% |
32.3 |
% |
29.5 |
% |
26.5 |
% |
23.3 |
% |
20.0 |
% | ||||||||||||||||||||||||||||||||||
35%
|
52.5 |
% |
56.9 |
% |
56.7 |
% |
56.3 |
% |
55.5 |
% |
54.5 |
% |
53.2 |
% |
51.7 |
% |
49.8 |
% |
47.7 |
% |
45.4 |
% |
42.8 |
% |
40.0 |
% |
37.0 |
% |
33.9 |
% |
30.5 |
% |
27.0 |
% | ||||||||||||||||||||||||||||||||||
40%
|
60.0 |
% |
65.7 |
% |
65.5 |
% |
65.0 |
% |
64.3 |
% |
63.2 |
% |
61.8 |
% |
60.2 |
% |
58.2 |
% |
56.0 |
% |
53.5 |
% |
50.8 |
% |
47.9 |
% |
44.7 |
% |
41.4 |
% |
37.8 |
% |
34.1 |
% | ||||||||||||||||||||||||||||||||||
45%
|
67.5 |
% |
74.6 |
% |
74.4 |
% |
73.9 |
% |
73.1 |
% |
72.0 |
% |
70.6 |
% |
68.8 |
% |
66.8 |
% |
64.4 |
% |
61.8 |
% |
59.0 |
% |
55.9 |
% |
52.6 |
% |
49.0 |
% |
45.3 |
% |
41.4 |
% | ||||||||||||||||||||||||||||||||||
50%
|
75.0 |
% |
83.7 |
% |
83.5 |
% |
83.0 |
% |
82.2 |
% |
81.0 |
% |
79.5 |
% |
77.6 |
% |
75.5 |
% |
73.0 |
% |
70.3 |
% |
67.3 |
% |
64.0 |
% |
60.5 |
% |
56.8 |
% |
52.9 |
% |
48.8 |
% | ||||||||||||||||||||||||||||||||||
55%
|
82.5 |
% |
93.0 |
% |
92.8 |
% |
92.3 |
% |
91.4 |
% |
90.1 |
% |
88.5 |
% |
86.6 |
% |
84.3 |
% |
81.7 |
% |
78.9 |
% |
75.7 |
% |
72.3 |
% |
68.6 |
% |
64.7 |
% |
60.6 |
% |
56.3 |
% | ||||||||||||||||||||||||||||||||||
60%
|
90.0 |
% |
102.4 |
% |
102.2 |
% |
101.6 |
% |
100.7 |
% |
99.4 |
% |
97.7 |
% |
95.7 |
% |
93.3 |
% |
90.6 |
% |
87.6 |
% |
84.3 |
% |
80.7 |
% |
76.8 |
% |
72.7 |
% |
68.4 |
% |
63.9 |
% |
Benchmark
Volatility |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One Year
Benchmark
Performance
|
Two
Times (2x)
One Year
Benchmark
Performance
|
0%
|
5%
|
10%
|
15%
|
20%
|
25%
|
30%
|
35%
|
40%
|
45%
|
50%
|
55%
|
60%
|
65%
|
70%
|
||||||||||||||||||||||||||||||||||||||||||||||||
-60%
|
-120 |
% |
-84.0 |
% |
-84.0 |
% |
-84.2 |
% |
-84.4 |
% |
-84.6 |
% |
-85.0 |
% |
-85.4 |
% |
-85.8 |
% |
-86.4 |
% |
-86.9 |
% |
-87.5 |
% |
-88.2 |
% |
-88.8 |
% |
-89.5 |
% |
-90.2 |
% | ||||||||||||||||||||||||||||||||
-55%
|
-110 |
% |
-79.8 |
% |
-79.8 |
% |
-80.0 |
% |
-80.2 |
% |
-80.5 |
% |
-81.0 |
% |
-81.5 |
% |
-82.1 |
% |
-82.7 |
% |
-83.5 |
% |
-84.2 |
% |
-85.0 |
% |
-85.9 |
% |
-86.7 |
% |
-87.6 |
% | ||||||||||||||||||||||||||||||||
-50%
|
-100 |
% |
-75.0 |
% |
-75.1 |
% |
-75.2 |
% |
-75.6 |
% |
-76.0 |
% |
-76.5 |
% |
-77.2 |
% |
-77.9 |
% |
-78.7 |
% |
-79.6 |
% |
-80.5 |
% |
-81.5 |
% |
-82.6 |
% |
-83.6 |
% |
-84.7 |
% | ||||||||||||||||||||||||||||||||
-45%
|
-90 |
% |
-69.8 |
% |
-69.8 |
% |
-70.1 |
% |
-70.4 |
% |
-70.9 |
% |
-71.6 |
% |
-72.4 |
% |
-73.2 |
% |
-74.2 |
% |
-75.3 |
% |
-76.4 |
% |
-77.6 |
% |
-78.9 |
% |
-80.2 |
% |
-81.5 |
% | ||||||||||||||||||||||||||||||||
-40%
|
-80 |
% |
-64.0 |
% |
-64.1 |
% |
-64.4 |
% |
-64.8 |
% |
-65.4 |
% |
-66.2 |
% |
-67.1 |
% |
-68.2 |
% |
-69.3 |
% |
-70.6 |
% |
-72.0 |
% |
-73.4 |
% |
-74.9 |
% |
-76.4 |
% |
-77.9 |
% | ||||||||||||||||||||||||||||||||
-35%
|
-70 |
% |
-57.8 |
% |
-57.9 |
% |
-58.2 |
% |
-58.7 |
% |
-59.4 |
% |
-60.3 |
% |
-61.4 |
% |
-62.6 |
% |
-64.0 |
% |
-65.5 |
% |
-67.1 |
% |
-68.8 |
% |
-70.5 |
% |
-72.3 |
% |
-74.1 |
% | ||||||||||||||||||||||||||||||||
-30%
|
-60 |
% |
-51.0 |
% |
-51.1 |
% |
-51.5 |
% |
-52.1 |
% |
-52.9 |
% |
-54.0 |
% |
-55.2 |
% |
-56.6 |
% |
-58.2 |
% |
-60.0 |
% |
-61.8 |
% |
-63.8 |
% |
-65.8 |
% |
-67.9 |
% |
-70.0 |
% | ||||||||||||||||||||||||||||||||
-25%
|
-50 |
% |
-43.8 |
% |
-43.9 |
% |
-44.3 |
% |
-45.0 |
% |
-46.0 |
% |
-47.2 |
% |
-48.6 |
% |
-50.2 |
% |
-52.1 |
% |
-54.1 |
% |
-56.2 |
% |
-58.4 |
% |
-60.8 |
% |
-63.1 |
% |
-65.5 |
% | ||||||||||||||||||||||||||||||||
-20%
|
-40 |
% |
-36.0 |
% |
-36.2 |
% |
-36.6 |
% |
-37.4 |
% |
-38.5 |
% |
-39.9 |
% |
-41.5 |
% |
-43.4 |
% |
-45.5 |
% |
-47.7 |
% |
-50.2 |
% |
-52.7 |
% |
-55.3 |
% |
-58.1 |
% |
-60.8 |
% | ||||||||||||||||||||||||||||||||
-15%
|
-30 |
% |
-27.8 |
% |
-27.9 |
% |
-28.5 |
% |
-29.4 |
% |
-30.6 |
% |
-32.1 |
% |
-34.0 |
% |
-36.1 |
% |
-38.4 |
% |
-41.0 |
% |
-43.7 |
% |
-46.6 |
% |
-49.6 |
% |
-52.6 |
% |
-55.7 |
% | ||||||||||||||||||||||||||||||||
-10%
|
-20 |
% |
-19.0 |
% |
-19.2 |
% |
-19.8 |
% |
-20.8 |
% |
-22.2 |
% |
-23.9 |
% |
-26.0 |
% |
-28.3 |
% |
-31.0 |
% |
-33.8 |
% |
-36.9 |
% |
-40.1 |
% |
-43.5 |
% |
-46.9 |
% |
-50.4 |
% | ||||||||||||||||||||||||||||||||
-5%
|
-10 |
% |
-9.8 |
% |
-10.0 |
% |
-10.6 |
% |
-11.8 |
% |
-13.3 |
% |
-15.2 |
% |
-17.5 |
% |
-20.2 |
% |
-23.1 |
% |
-26.3 |
% |
-29.7 |
% |
-33.3 |
% |
-37.0 |
% |
-40.8 |
% |
-44.7 |
% | ||||||||||||||||||||||||||||||||
0%
|
0 |
% |
0.0 |
% |
-0.2 |
% |
-1.0 |
% |
-2.2 |
% |
-3.9 |
% |
-6.1 |
% |
-8.6 |
% |
-11.5 |
% |
-14.8 |
% |
-18.3 |
% |
-22.1 |
% |
-26.1 |
% |
-30.2 |
% |
-34.5 |
% |
-38.7 |
% | ||||||||||||||||||||||||||||||||
5%
|
10 |
% |
10.3 |
% |
10.0 |
% |
9.2 |
% |
7.8 |
% |
5.9 |
% |
3.6 |
% |
0.8 |
% |
-2.5 |
% |
-6.1 |
% |
-10.0 |
% |
-14.1 |
% |
-18.5 |
% |
-23.1 |
% |
-27.7 |
% |
-32.5 |
% | ||||||||||||||||||||||||||||||||
10%
|
20 |
% |
21.0 |
% |
20.7 |
% |
19.8 |
% |
18.3 |
% |
16.3 |
% |
13.7 |
% |
10.6 |
% |
7.0 |
% |
3.1 |
% |
-1.2 |
% |
-5.8 |
% |
-10.6 |
% |
-15.6 |
% |
-20.7 |
% |
-25.9 |
% | ||||||||||||||||||||||||||||||||
15%
|
30 |
% |
32.3 |
% |
31.9 |
% |
30.9 |
% |
29.3 |
% |
27.1 |
% |
24.2 |
% |
20.9 |
% |
17.0 |
% |
12.7 |
% |
8.0 |
% |
3.0 |
% |
-2.3 |
% |
-7.7 |
% |
-13.3 |
% |
-19.0 |
% | ||||||||||||||||||||||||||||||||
20%
|
40 |
% |
44.0 |
% |
43.6 |
% |
42.6 |
% |
40.8 |
% |
38.4 |
% |
35.3 |
% |
31.6 |
% |
27.4 |
% |
22.7 |
% |
17.6 |
% |
12.1 |
% |
6.4 |
% |
0.5 |
% |
-5.6 |
% |
-11.8 |
% | ||||||||||||||||||||||||||||||||
25%
|
50 |
% |
56.3 |
% |
55.9 |
% |
54.7 |
% |
52.8 |
% |
50.1 |
% |
46.8 |
% |
42.8 |
% |
38.2 |
% |
33.1 |
% |
27.6 |
% |
21.7 |
% |
15.5 |
% |
9.0 |
% |
2.4 |
% |
-4.3 |
% | ||||||||||||||||||||||||||||||||
30%
|
60 |
% |
69.0 |
% |
68.6 |
% |
67.3 |
% |
65.2 |
% |
62.4 |
% |
58.8 |
% |
54.5 |
% |
49.5 |
% |
44.0 |
% |
38.0 |
% |
31.6 |
% |
24.9 |
% |
17.9 |
% |
10.8 |
% |
3.5 |
% | ||||||||||||||||||||||||||||||||
35%
|
70 |
% |
82.3 |
% |
81.8 |
% |
80.4 |
% |
78.2 |
% |
75.1 |
% |
71.2 |
% |
66.6 |
% |
61.2 |
% |
55.3 |
% |
48.8 |
% |
41.9 |
% |
34.7 |
% |
27.2 |
% |
19.4 |
% |
11.7 |
% | ||||||||||||||||||||||||||||||||
40%
|
80 |
% |
96.0 |
% |
95.5 |
% |
94.0 |
% |
91.6 |
% |
88.3 |
% |
84.1 |
% |
79.1 |
% |
73.4 |
% |
67.0 |
% |
60.1 |
% |
52.6 |
% |
44.8 |
% |
36.7 |
% |
28.5 |
% |
20.1 |
% | ||||||||||||||||||||||||||||||||
45%
|
90 |
% |
110.3 |
% |
109.7 |
% |
108.2 |
% |
105.6 |
% |
102.0 |
% |
97.5 |
% |
92.2 |
% |
86.0 |
% |
79.2 |
% |
71.7 |
% |
63.7 |
% |
55.4 |
% |
46.7 |
% |
37.8 |
% |
28.8 |
% | ||||||||||||||||||||||||||||||||
50%
|
100 |
% |
125.0 |
% |
124.4 |
% |
122.8 |
% |
120.0 |
% |
116.2 |
% |
111.4 |
% |
105.6 |
% |
99.1 |
% |
91.7 |
% |
83.8 |
% |
75.2 |
% |
66.3 |
% |
57.0 |
% |
47.5 |
% |
37.8 |
% | ||||||||||||||||||||||||||||||||
55%
|
110 |
% |
140.3 |
% |
139.7 |
% |
137.9 |
% |
134.9 |
% |
130.8 |
% |
125.7 |
% |
119.6 |
% |
112.6 |
% |
104.7 |
% |
96.2 |
% |
87.1 |
% |
77.5 |
% |
67.6 |
% |
57.5 |
% |
47.2 |
% | ||||||||||||||||||||||||||||||||
60%
|
120 |
% |
156.0 |
% |
155.4 |
% |
153.5 |
% |
150.3 |
% |
146.0 |
% |
140.5 |
% |
134.0 |
% |
126.5 |
% |
118.1 |
% |
109.1 |
% |
99.4 |
% |
89.2 |
% |
78.6 |
% |
67.8 |
% |
56.8 |
% |
Benchmark
Volatility |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
One
Year Benchmark
Performance
|
Three
Times (3x) One Year Benchmark Performance |
0%
|
5%
|
10%
|
15%
|
20%
|
25%
|
30%
|
35%
|
40%
|
45%
|
50%
|
55%
|
60%
|
65%
|
70%
|
||||||||||||||||||||||||||||||||||||||||||||||||
-60%
|
-180 |
% |
-93.6 |
% |
-93.6 |
% |
-93.8 |
% |
-94.0 |
% |
-94.3 |
% |
-94.7 |
% |
-95.1 |
% |
-95.6 |
% |
-96.0 |
% |
-96.5 |
% |
-97.0 |
% |
-97.4 |
% |
-97.8 |
% |
-98.2 |
% |
-98.5 |
% | ||||||||||||||||||||||||||||||||
-55%
|
-165 |
% |
-90.9 |
% |
-91.0 |
% |
-91.2 |
% |
-91.5 |
% |
-91.9 |
% |
-92.4 |
% |
-93.0 |
% |
-93.7 |
% |
-94.4 |
% |
-95.0 |
% |
-95.7 |
% |
-96.3 |
% |
-96.9 |
% |
-97.4 |
% |
-97.9 |
% | ||||||||||||||||||||||||||||||||
-50%
|
-150 |
% |
-87.5 |
% |
-87.6 |
% |
-87.9 |
% |
-88.3 |
% |
-88.9 |
% |
-89.6 |
% |
-90.5 |
% |
-91.3 |
% |
-92.3 |
% |
-93.2 |
% |
-94.1 |
% |
-95.0 |
% |
-95.8 |
% |
-96.5 |
% |
-97.1 |
% | ||||||||||||||||||||||||||||||||
-45%
|
-135 |
% |
-83.4 |
% |
-83.5 |
% |
-83.9 |
% |
-84.4 |
% |
-85.2 |
% |
-86.2 |
% |
-87.3 |
% |
-88.5 |
% |
-89.7 |
% |
-90.9 |
% |
-92.1 |
% |
-93.3 |
% |
-94.3 |
% |
-95.3 |
% |
-96.2 |
% | ||||||||||||||||||||||||||||||||
-40%
|
-120 |
% |
-78.4 |
% |
-78.6 |
% |
-79.0 |
% |
-79.8 |
% |
-80.8 |
% |
-82.1 |
% |
-83.5 |
% |
-85.0 |
% |
-86.6 |
% |
-88.2 |
% |
-89.8 |
% |
-91.3 |
% |
-92.7 |
% |
-93.9 |
% |
-95.0 |
% | ||||||||||||||||||||||||||||||||
-35%
|
-105 |
% |
-72.5 |
% |
-72.7 |
% |
-73.3 |
% |
-74.3 |
% |
-75.6 |
% |
-77.2 |
% |
-79.0 |
% |
-81.0 |
% |
-83.0 |
% |
-85.0 |
% |
-87.0 |
% |
-88.9 |
% |
-90.7 |
% |
-92.3 |
% |
-93.7 |
% | ||||||||||||||||||||||||||||||||
-30%
|
-90 |
% |
-65.7 |
% |
-66.0 |
% |
-66.7 |
% |
-67.9 |
% |
-69.6 |
% |
-71.6 |
% |
-73.8 |
% |
-76.2 |
% |
-78.8 |
% |
-81.3 |
% |
-83.8 |
% |
-86.2 |
% |
-88.4 |
% |
-90.3 |
% |
-92.1 |
% | ||||||||||||||||||||||||||||||||
-25%
|
-75 |
% |
-57.8 |
% |
-58.1 |
% |
-59.1 |
% |
-60.6 |
% |
-62.6 |
% |
-65.0 |
% |
-67.8 |
% |
-70.8 |
% |
-73.9 |
% |
-77.0 |
% |
-80.1 |
% |
-83.0 |
% |
-85.7 |
% |
-88.1 |
% |
-90.3 |
% | ||||||||||||||||||||||||||||||||
-20%
|
-60 |
% |
-48.8 |
% |
-49.2 |
% |
-50.3 |
% |
-52.1 |
% |
-54.6 |
% |
-57.6 |
% |
-60.9 |
% |
-64.5 |
% |
-68.3 |
% |
-72.1 |
% |
-75.8 |
% |
-79.3 |
% |
-82.6 |
% |
-85.6 |
% |
-88.2 |
% | ||||||||||||||||||||||||||||||||
-15%
|
-45 |
% |
-38.6 |
% |
-39.0 |
% |
-40.4 |
% |
-42.6 |
% |
-45.5 |
% |
-49.1 |
% |
-53.1 |
% |
-57.5 |
% |
-62.0 |
% |
-66.5 |
% |
-71.0 |
% |
-75.2 |
% |
-79.1 |
% |
-82.7 |
% |
-85.9 |
% | ||||||||||||||||||||||||||||||||
-10%
|
-30 |
% |
-27.1 |
% |
-27.6 |
% |
-29.3 |
% |
-31.9 |
% |
-35.3 |
% |
-39.6 |
% |
-44.3 |
% |
-49.5 |
% |
-54.9 |
% |
-60.3 |
% |
-65.6 |
% |
-70.6 |
% |
-75.2 |
% |
-79.5 |
% |
-83.2 |
% | ||||||||||||||||||||||||||||||||
-5%
|
-15 |
% |
-14.3 |
% |
-14.9 |
% |
-16.8 |
% |
-19.9 |
% |
-24.0 |
% |
-28.9 |
% |
-34.5 |
% |
-40.6 |
% |
-46.9 |
% |
-53.3 |
% |
-59.5 |
% |
-65.4 |
% |
-70.9 |
% |
-75.9 |
% |
-80.3 |
% | ||||||||||||||||||||||||||||||||
0%
|
0 |
% |
0.0 |
% |
-0.7 |
% |
-3.0 |
% |
-6.5 |
% |
-11.3 |
% |
-17.1 |
% |
-23.7 |
% |
-30.8 |
% |
-38.1 |
% |
-45.5 |
% |
-52.8 |
% |
-59.6 |
% |
-66.0 |
% |
-71.8 |
% |
-77.0 |
% | ||||||||||||||||||||||||||||||||
5%
|
15 |
% |
15.8 |
% |
14.9 |
% |
12.3 |
% |
8.2 |
% |
2.7 |
% |
-4.0 |
% |
-11.6 |
% |
-19.8 |
% |
-28.4 |
% |
-36.9 |
% |
-45.3 |
% |
-53.3 |
% |
-60.7 |
% |
-67.4 |
% |
-73.4 |
% | ||||||||||||||||||||||||||||||||
10%
|
30 |
% |
33.1 |
% |
32.1 |
% |
29.2 |
% |
24.4 |
% |
18.0 |
% |
10.3 |
% |
1.6 |
% |
-7.8 |
% |
-17.6 |
% |
-27.5 |
% |
-37.1 |
% |
-46.3 |
% |
-54.8 |
% |
-62.5 |
% |
-69.4 |
% | ||||||||||||||||||||||||||||||||
15%
|
45 |
% |
52.1 |
% |
51.0 |
% |
47.6 |
% |
42.2 |
% |
34.9 |
% |
26.1 |
% |
16.1 |
% |
5.3 |
% |
-5.9 |
% |
-17.2 |
% |
-28.2 |
% |
-38.6 |
% |
-48.4 |
% |
-57.2 |
% |
-65.0 |
% | ||||||||||||||||||||||||||||||||
20%
|
60 |
% |
72.8 |
% |
71.5 |
% |
67.7 |
% |
61.5 |
% |
53.3 |
% |
43.3 |
% |
31.9 |
% |
19.7 |
% |
6.9 |
% |
-5.9 |
% |
-18.4 |
% |
-30.3 |
% |
-41.3 |
% |
-51.4 |
% |
-60.3 |
% | ||||||||||||||||||||||||||||||||
25%
|
75 |
% |
95.3 |
% |
93.9 |
% |
89.5 |
% |
82.6 |
% |
73.2 |
% |
61.9 |
% |
49.1 |
% |
35.2 |
% |
20.9 |
% |
6.4 |
% |
-7.7 |
% |
-21.2 |
% |
-33.7 |
% |
-45.0 |
% |
-55.1 |
% | ||||||||||||||||||||||||||||||||
30%
|
90 |
% |
119.7 |
% |
118.1 |
% |
113.2 |
% |
105.4 |
% |
94.9 |
% |
82.1 |
% |
67.7 |
% |
52.1 |
% |
35.9 |
% |
19.7 |
% |
3.8 |
% |
-11.3 |
% |
-25.4 |
% |
-38.1 |
% |
-49.5 |
% | ||||||||||||||||||||||||||||||||
35%
|
105 |
% |
146.0 |
% |
144.2 |
% |
138.8 |
% |
130.0 |
% |
118.2 |
% |
104.0 |
% |
87.8 |
% |
70.4 |
% |
52.2 |
% |
34.0 |
% |
16.2 |
% |
-0.7 |
% |
-16.4 |
% |
-30.7 |
% |
-43.4 |
% | ||||||||||||||||||||||||||||||||
40%
|
120 |
% |
174.4 |
% |
172.3 |
% |
166.3 |
% |
156.5 |
% |
143.4 |
% |
127.5 |
% |
109.5 |
% |
90.0 |
% |
69.8 |
% |
49.5 |
% |
29.6 |
% |
10.7 |
% |
-6.8 |
% |
-22.7 |
% |
-36.9 |
% | ||||||||||||||||||||||||||||||||
45%
|
135 |
% |
204.9 |
% |
202.6 |
% |
195.9 |
% |
185.0 |
% |
170.4 |
% |
152.7 |
% |
132.7 |
% |
111.1 |
% |
88.6 |
% |
66.1 |
% |
44.0 |
% |
23.0 |
% |
3.5 |
% |
-14.2 |
% |
-29.9 |
% | ||||||||||||||||||||||||||||||||
50%
|
150 |
% |
237.5 |
% |
235.0 |
% |
227.5 |
% |
215.5 |
% |
199.3 |
% |
179.8 |
% |
157.6 |
% |
133.7 |
% |
108.8 |
% |
83.8 |
% |
59.4 |
% |
36.2 |
% |
14.6 |
% |
-5.0 |
% |
-22.4 |
% | ||||||||||||||||||||||||||||||||
55%
|
165 |
% |
272.4 |
% |
269.6 |
% |
261.4 |
% |
248.1 |
% |
230.3 |
% |
208.7 |
% |
184.3 |
% |
157.9 |
% |
130.4 |
% |
102.8 |
% |
75.9 |
% |
50.3 |
% |
26.5 |
% |
4.8 |
% |
-14.4 |
% | ||||||||||||||||||||||||||||||||
60%
|
180 |
% |
309.6 |
% |
306.5 |
% |
297.5 |
% |
282.9 |
% |
263.3 |
% |
239.6 |
% |
212.7 |
% |
183.6 |
% |
153.5 |
% |
123.1 |
% |
93.5 |
% |
65.3 |
% |
39.1 |
% |
15.3 |
% |
-5.8 |
% |
• | Significant increases or decreases in the available supply of a physical commodity due to natural or technological factors. Natural factors would include depletion of known cost-effective sources for natural gas, silver, gold or oil or the impact of severe weather or other natural events on the ability to produce or distribute the commodity. Technological factors, such as increases in availability created by new or improved extraction, refining and processing equipment and methods or decreases caused by failure or unavailability of major refining and processing equipment (for example, shutting down or constructing natural gas processing plants), also materially influence the supply of the commodity. General economic conditions in the world or in a major region, such as population growth rates, periods of civil unrest, government austerity programs, or currency exchange rate fluctuations may affect prices of underlying commodities. |
• | In regard to the Oil Funds, the exploration and production of crude oil are uncertain processes with many risks. The cost of drilling, completing and operating wells for crude oil is often uncertain, and a number of factors can delay or prevent operations or production of crude oil, including (1) unexpected drilling conditions, (2) pressure or irregularities in formations, (3) equipment failures or repairs, (4) fires or other accidents, (5) adverse weather conditions, (6) pipeline ruptures, spills or other supply disruptions, and (7) shortages or delays in the availability of extraction or delivery equipment. |
• | Significant increases or decreases in the demand for natural gas, silver, gold or oil due to natural or technological factors. Natural factors would include such events as unusual climatological conditions impacting the demand for natural gas, silver, gold or oil. Technological factors may include such developments as substitutes or new uses for particular commodities. |
• | A significant change in the attitude of speculators and investors towards natural gas, silver, gold or oil or in the hedging activities of commodity producers. Should the speculative community take a negative or positive view towards natural gas, silver, gold or oil, or if there is an increase or decrease in the level of hedge activity of commodity producing companies, countries and/or organizations, such action could cause a change in world prices of any given commodity. |
• | Large purchases or sales of physical commodities by the official sector. Governments and large institutions have large commodities holdings or may establish major commodities positions. For example, a significant portion of the aggregate world precious metals holdings is owned by governments, central banks and related institutions. Similarly, nations with centralized or nationalized energy production organizations may control large physical quantities of certain commodities. The purchase or sale by one of these institutions in large amounts could potentially cause a change in prices for that commodity. |
• | With regard to the Oil Funds, nations with centralized or nationalized oil production and organizations such as the Organization of Petroleum Exporting Countries (OPEC) control large physical qualities of crude oil. The purchase or sale by one of these institutions in large amounts could potentially cause a change in prices for that commodity. Tension between the governments of the United States and oil exporting nations, civil unrest and sabotage, the ability of members of OPEC to agree upon and maintain oil prices and production levels, and fluctuations in the reserve capacity of crude oil could impact future oil prices. |
• | Political activity such as imposition of regulations or entry into trade treaties, as well as political disruptions caused by societal breakdown, insurrection, terrorism, sabotage and/or war may greatly influence prices of particular commodities. |
• | With regard to the Natural Gas Funds, the demand for natural gas correlates closely with general economic growth rates. The occurrence of recessions or other periods of low or negative economic growth will typically have a direct adverse impact on natural gas demand and natural gas prices. The supply and demand for natural gas may also be impacted by changes in interest rates, inflation, and other local or regional market conditions, as well as by the development of alternative energy sources. |
• | The recent proliferation of commodity-linked products and their unknown effect on the commodity markets. |
• | With regard to the Oil and Natural Gas Funds, competition from clean power companies, fluctuations in the supply and demand of alternative energy fuels, energy conservation, changes in consumer preferences regarding the use of renewable energy sources to replace fossil fuels, and tax and other government regulations can significantly affect the prices of oil and natural gas. |
• | Debt level and trade deficit of the relevant foreign countries; |
• | Inflation rates of the United States and the relevant foreign countries and investors’ expectations concerning inflation rates; |
• | Interest rates of the United States and the relevant foreign countries and investors’ expectations concerning interest rates; |
• | Investment and trading activities of mutual funds, hedge funds and other market participants; |
• | Global or regional political, economic or financial events and situations; |
• | Sovereign action to set or restrict currency conversion; |
• | Monetary
policies and other related activities of central banks within the U.S. and
other relevant
non-U.S. markets; |
• | Overall growth and performance of the economies of the relevant countries; and |
• |
Non-U.S. financial
markets may be closed on a day when U.S. domestic markets are open for
trading. As a result, liquidity and/or pricing may be affected by the
absence of trading in a specific currency. |
• | Prevailing market prices and forward volatility levels of the U.S. stock markets, the S&P 500, the equity securities included in the S&P 500 and prevailing market prices of options on the S&P 500, the VIX, options on the VIX, the relevant VIX futures contracts, or any other financial instruments related to the S&P 500 and the VIX or VIX futures contracts; |
• | Interest rates, and investors’ expectations concerning interest rates; |
• | Inflation rates and investors’ expectations concerning inflation rates; |
• | Economic,
financial, political, regulatory, geographical, judicial and other events
that affect the level of the
Mid-Term
VIX Futures Index or the market price or forward volatility of the
U.S. stock markets, the equity securities included in the S&P 500, the
S&P 500, the VIX or the relevant futures or option contracts on the
VIX; |
• | Supply and demand as well as hedging activities in the listed and OTC equity derivatives markets; |
• | The level of margin requirements; |
• | The position limits imposed by futures exchanges and any position or risk limits imposed by FCMs and swap counterparties; |
• | Disruptions in trading of the S&P 500, futures contracts on the S&P 500 or options on the S&P 500; and |
• | The level of contango or backwardation in the VIX futures contract market. |
• | Prevailing market prices and forward volatility levels of the U.S. stock markets, the S&P 500, the equity securities included in the S&P 500 and prevailing market prices of options on the S&P 500, the VIX, options on the VIX, the relevant VIX futures contracts, or any other financial instruments related to the S&P 500 and the VIX or VIX futures contracts; |
• | Interest rates, and investors’ expectations concerning interest rates; |
• | Inflation rates and investors’ expectations concerning inflation rates; |
• | Economic, financial, political, regulatory, geographical, biological or judicial events that affect the level of the Mid-Term VIX Index or the market price or forward volatility of the U.S. stock markets, the equity securities included in the S&P 500, the S&P 500, the VIX or the relevant futures or option contracts on the VIX; |
• | Supply and demand as well as hedging activities in the listed and OTC equity derivatives markets; |
• | Disruptions in trading of the S&P 500, futures contracts on the S&P 500 or options on the S&P 500; |
• | The level of contango or backwardation in the VIX futures contract market; |
• | The position limits imposed by FCMs; and |
• | The level of margin requirements. |
Item 5. |
Market for Registrant’s
Common Equity, Related Stockholder Matters and Issuer Purchases of Equity
Securities. |
a) |
The Shares of each Fund that has commenced investment operations are listed on the NYSE Arca. The dates the Shares of each Fund began trading on the NYSE Arca and their symbols are indicated below: |
Fund
|
Commencement
of Operations |
Ticker
Symbol | ||
ProShares
Short Euro |
June 26,
2012 |
EUFX
| ||
ProShares
Short VIX Short-Term Futures ETF |
October 3,
2011 |
SVXY
| ||
ProShares
Ultra Bloomberg Crude Oil |
November 25,
2008 |
UCO
| ||
ProShares
Ultra Bloomberg Natural Gas |
October 4,
2011 |
BOIL
| ||
ProShares
Ultra Euro |
November 25,
2008 |
ULE
| ||
ProShares
Ultra Gold |
December 3,
2008 |
UGL
| ||
ProShares
Ultra Silver |
December 3,
2008 |
AGQ
| ||
ProShares
Ultra VIX Short-Term Futures ETF |
October 3,
2011 |
UVXY
| ||
ProShares
Ultra Yen |
November 25,
2008 |
YCL
| ||
ProShares
UltraPro 3x Crude Oil ETF |
March 24,
2017 |
OILU
| ||
ProShares
UltraPro 3x Short Crude Oil ETF |
March 24,
2017 |
OILD
| ||
ProShares
UltraShort Australian Dollar |
July 17,
2012 |
CROC
| ||
ProShares
UltraShort Bloomberg Crude Oil |
November 25,
2008 |
SCO
| ||
ProShares
UltraShort Bloomberg Natural Gas |
October 4,
2011 |
KOLD
| ||
ProShares
UltraShort Euro |
November 25,
2008 |
EUO
| ||
ProShares
UltraShort Gold |
December 3,
2008 |
GLL
| ||
ProShares
UltraShort Silver |
December 3,
2008 |
ZSL
| ||
ProShares
UltraShort Yen |
November 25,
2008 |
YCS
| ||
ProShares
VIX
Mid-Term Futures
ETF |
January 3,
2011 |
VIXM
| ||
ProShares
VIX Short-Term Futures ETF |
January 3,
2011 |
VIXY
|
Fund
|
Number of Holders
|
| ||
ProShares
Short Euro |
262 |
|||
ProShares
Short VIX Short-Term Futures ETF |
11,794 |
|||
ProShares
Ultra Bloomberg Crude Oil |
27,384 |
|||
ProShares
Ultra Bloomberg Natural Gas |
3,935 |
|||
ProShares
Ultra Euro |
796 |
|||
ProShares
Ultra Gold |
5,703 |
|||
ProShares
Ultra Silver |
19,106 |
|||
ProShares
Ultra VIX Short-Term Futures ETF |
40,762 |
|||
ProShares
Ultra Yen |
220 |
|||
ProShares
UltraPro 3x Crude Oil ETF |
4,101 |
|||
ProShares
UltraPro 3x Short Crude Oil ETF |
2,521 |
|||
ProShares
UltraShort Australian Dollar |
195 |
|||
ProShares
UltraShort Bloomberg Crude Oil |
5,571 |
|||
ProShares
UltraShort Bloomberg Natural Gas |
981 |
|||
ProShares
UltraShort Euro |
5,387 |
|||
ProShares
UltraShort Gold |
1,476 |
|||
ProShares
UltraShort Silver |
1,496 |
|||
ProShares
UltraShort Yen |
1,701 |
|||
ProShares
VIX
Mid-Term Futures
ETF |
3,124 |
|||
ProShares
VIX Short-Term Futures ETF |
15,912 |
|||
Total
Trust: |
|
152,427 |
|
b) |
Not applicable. |
Title
of Securities Registered
|
Amount Registered as of December 31, 2019 |
|
Shares Sold For the Three Months Ended December 31, 2019 |
|
Sale Price of Shares Sold For the Three Months Ended December 31, 2019 |
|
Shares Sold For the Year Ended December 31, 2019 |
|
Sale Price of Shares Sold For the Year Ended December 31, 2019 |
| ||||||||||
ProShares
Short Euro |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ |
140,213,786
|
— |
$ |
— |
300,000
|
$ |
13,205,150
|
||||||||||||
ProShares
Short VIX Short-Term Futures ETF |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ |
8,945,616,566
|
350,000
|
$ |
22,279,185
|
1,500,000
|
$ |
84,372,594
|
||||||||||||
ProShares
Ultra Bloomberg Crude Oil |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ |
3,767,599,303
|
8,400,000
|
$ |
132,246,531
|
34,050,000
|
$ |
569,843,253
|
||||||||||||
ProShares
Ultra Bloomberg Natural Gas |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ |
353,205,850
|
4,600,000
|
$ |
50,401,495
|
8,250,000
|
$ |
115,544,309
|
||||||||||||
ProShares
Ultra Euro |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ |
90,976,566
|
50,000
|
$ |
678,115
|
100,000
|
$ |
1,422,682
|
||||||||||||
ProShares
Ultra Gold |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ |
246,598,845
|
50,000
|
$ |
2,448,525
|
900,000
|
$ |
38,466,355
|
||||||||||||
ProShares
Ultra Silver |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ |
1,200,576,548
|
250,000
|
$ |
7,276,965
|
2,300,000
|
$ |
62,741,459
|
||||||||||||
ProShares
Ultra VIX Short-Term Futures ETF |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ |
6,661,218,948
|
27,900,000
|
$ |
504,882,722 |
83,750,000
|
$ |
2,454,259,697 |
||||||||||||
ProShares
Ultra Yen |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ |
132,956,903
|
100,000
|
$ |
5,563,743
|
200,000
|
$ |
11,322,305
|
Title
of Securities Registered
|
Amount Registered as of December 31, 2019 |
|
Shares Sold For the Three Months Ended December 31, 2019 |
|
Sale Price of Shares Sold For the Three Months Ended December 31, 2019 |
|
Shares Sold For the Year Ended December 31, 2019 |
|
Sale Price of Shares Sold For the Year Ended December 31, 2019 |
| ||||||||||
ProShares
UltraPro 3x Crude Oil ETF |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ |
829,485,301
|
6,050,000
|
$ |
91,792,208
|
15,150,000
|
$ |
251,308,636
|
||||||||||||
ProShares
UltraPro 3x Short Crude Oil ETF |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ |
908,565,729
|
10,850,000
|
$ |
145,081,783
|
20,600,000
|
$ |
304,935,397
|
||||||||||||
ProShares
UltraShort Australian Dollar |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ |
162,940,781
|
— |
$ |
— |
50,000
|
$ |
3,004,977
|
||||||||||||
ProShares
UltraShort Bloomberg Crude Oil |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ |
1,353,775,887
|
9,250,000
|
$ |
126,711,618
|
25,950,000
|
$ |
397,696,425
|
||||||||||||
ProShares
UltraShort Bloomberg Natural Gas |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ |
663,864,980
|
400,000
|
$ |
11,096,468
|
1,200,000
|
$ |
30,089,484
|
||||||||||||
ProShares
UltraShort Euro |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ |
1,857,267,878
|
600,000
|
$ |
16,398,643
|
1,050,000
|
$ |
27,861,560
|
||||||||||||
ProShares
UltraShort Gold |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ |
197,613,808
|
50,000
|
$ |
2,867,682
|
600,000
|
$ |
39,522,691
|
||||||||||||
ProShares
UltraShort Silver |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ |
887,571,447
|
150,000
|
$ |
4,694,420
|
1,000,000
|
$ |
35,269,175
|
||||||||||||
ProShares
UltraShort Yen |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ |
906,315,192
|
— |
$ |
— |
450,000
|
$ |
34,403,213
|
||||||||||||
ProShares
VIX
Mid-Term
Futures ETF |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ |
471,970,126
|
275,000
|
$ |
6,458,915 |
1,400,000
|
$ |
31,405,087 |
||||||||||||
ProShares
VIX Short-Term Futures ETF |
||||||||||||||||||||
Common
Units of Beneficial Interest |
$ |
1,157,471,315
|
9,800,000
|
$ |
150,212,946
|
30,800,000
|
$ |
623,530,990
|
||||||||||||
Total
Trust: |
|
79,125,000
|
|
$ |
1,281,091,964 |
|
|
229,600,000
|
|
$ |
5,130,205,439 |
|
c) |
From October 1, 2019 through December 31, 2019, the number of Shares redeemed and average price per Share for each Fund were as follows: |
Fund
|
Total Number of Shares Redeemed |
|
Average Price Per Share
|
| ||||
ProShares
Short Euro |
||||||||
10/01/19
to 10/31/19 |
350,000
|
$ |
46.31
|
|||||
11/01/19
to 11/30/19 |
— |
$ |
— |
|||||
12/01/19
to 12/31/19 |
— |
$ |
— |
|||||
ProShares
Short VIX Short-Term Futures ETF |
||||||||
10/01/19
to 10/31/19 |
1,450,000
|
$ |
57.00
|
|||||
11/01/19
to 11/30/19 |
850,000
|
$ |
59.90
|
|||||
12/01/19
to 12/31/19 |
— |
$ |
— |
|||||
ProShares
Ultra Bloomberg Crude Oil |
||||||||
10/01/19
to 10/31/19 |
5,400,000
|
$ |
16.82
|
|||||
11/01/19
to 11/30/19 |
3,350,000
|
$ |
18.06
|
|||||
12/01/19
to 12/31/19 |
3,550,000
|
$ |
19.52
|
|||||
ProShares
Ultra Bloomberg Natural Gas |
||||||||
10/01/19
to 10/31/19 |
350,000
|
$ |
13.47
|
|||||
11/01/19
to 11/30/19 |
550,000
|
$ |
14.99
|
|||||
12/01/19
to 12/31/19 |
250,000
|
$ |
9.88
|
|||||
ProShares
Ultra Euro |
||||||||
10/01/19
to 10/31/19 |
— |
$ |
— |
|||||
11/01/19
to 11/30/19 |
— |
$ |
— |
|||||
12/01/19
to 12/31/19 |
— |
$ |
— |
|||||
ProShares
Ultra Gold |
||||||||
10/01/19
to 10/31/19 |
150,000
|
$ |
48.29
|
|||||
11/01/19
to 11/30/19 |
— |
$ |
— |
|||||
12/01/19
to 12/31/19 |
— |
$ |
— |
|||||
ProShares
Ultra Silver |
||||||||
10/01/19
to 10/31/19 |
100,000
|
$ |
31.19
|
|||||
11/01/19
to 11/30/19 |
— |
$ |
— |
|||||
12/01/19
to 12/31/19 |
— |
$ |
— |
|||||
ProShares
Ultra VIX Short-Term Futures ETF |
||||||||
10/01/19
to 10/31/19 |
5,400,000
|
$ |
28.50
|
|||||
11/01/19
to 11/30/19 |
— |
$ |
— |
|||||
12/01/19
to 12/31/19 |
4,400,000
|
$ |
17.38
|
|||||
ProShares
Ultra Yen |
||||||||
10/01/19
to 10/31/19 |
— |
$ |
— |
|||||
11/01/19
to 11/30/19 |
50,000
|
$ |
55.68
|
|||||
12/01/19
to 12/31/19 |
— |
$ |
— |
|||||
ProShares
UltraPro 3x Crude Oil ETF |
||||||||
10/01/19
to 10/31/19 |
3,600,000
|
$ |
16.34
|
|||||
11/01/19
to 11/30/19 |
2,750,000
|
$ |
18.28
|
|||||
12/01/19
to 12/31/19 |
2,050,000
|
$ |
20.15
|
|||||
ProShares
UltraPro 3x Short Crude Oil ETF |
||||||||
10/01/19
to 10/31/19 |
2,750,000
|
$ |
17.87
|
|||||
11/01/19
to 11/30/19 |
1,650,000
|
$ |
13.61
|
|||||
12/01/19
to 12/31/19 |
1,750,000
|
$ |
12.94
|
Fund
|
Total Number of Shares Redeemed |
|
Average Price Per Share
|
| ||||
ProShares
UltraShort Australian Dollar |
||||||||
10/01/19
to 10/31/19 |
50,000
|
$ |
60.98
|
|||||
11/01/19
to 11/30/19 |
— |
$ |
— |
|||||
12/01/19
to 12/31/19 |
— |
$ |
— |
|||||
ProShares
UltraShort Bloomberg Crude Oil |
||||||||
10/01/19
to 10/31/19 |
2,550,000
|
$ |
16.63
|
|||||
11/01/19
to 11/30/19 |
500,000
|
$ |
14.78
|
|||||
12/01/19
to 12/31/19 |
1,550,000
|
$ |
14.70
|
|||||
ProShares
UltraShort Bloomberg Natural Gas |
||||||||
10/01/19
to 10/31/19 |
100,000
|
$ |
28.30
|
|||||
11/01/19
to 11/30/19 |
200,000
|
$ |
31.22
|
|||||
12/01/19
to 12/31/19 |
50,000
|
$ |
35.31
|
|||||
ProShares
UltraShort Euro |
||||||||
10/01/19
to 10/31/19 |
150,000
|
$ |
27.35
|
|||||
11/01/19
to 11/30/19 |
700,000
|
$ |
27.59
|
|||||
12/01/19
to 12/31/19 |
100,000
|
$ |
27.19
|
|||||
ProShares
UltraShort Gold |
||||||||
10/01/19
to 10/31/19 |
— |
$ |
— |
|||||
11/01/19
to 11/30/19 |
50,000
|
$ |
57.78
|
|||||
12/01/19
to 12/31/19 |
— |
$ |
— |
|||||
ProShares
UltraShort Silver |
||||||||
10/01/19
to 10/31/19 |
100,000
|
$ |
27.55
|
|||||
11/01/19
to 11/30/19 |
— |
$ |
— |
|||||
12/01/19
to 12/31/19 |
50,000
|
$ |
30.20
|
|||||
ProShares
UltraShort Yen |
||||||||
10/01/19
to 10/31/19 |
— |
$ |
— |
|||||
11/01/19
to 11/30/19 |
— |
$ |
— |
|||||
12/01/19
to 12/31/19 |
50,000
|
$ |
77.03
|
|||||
ProShares
VIX
Mid-Term Futures
ETF |
||||||||
10/01/19
to 10/31/19 |
25,000
|
$ |
22.92
|
|||||
11/01/19
to 11/30/19 |
— |
$ |
— |
|||||
12/01/19
to 12/31/19 |
— |
$ |
— |
|||||
ProShares
VIX Short-Term Futures ETF |
||||||||
10/01/19
to 10/31/19 |
1,075,000
|
$ |
21.85
|
|||||
11/01/19
to 11/30/19 |
— |
$ |
— |
|||||
12/01/19
to 12/31/19 |
1,575,000
|
$ |
13.81
|
Item 6. |
Selected Financial
Data. |
PROSHARES
SHORT EURO |
||||||||||||||||||||
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
|
Year
Ended December 31, 2017 |
|
Year
Ended December 31, 2016 |
|
Year
Ended December 31, 2015 |
| |||||||||||
Total
assets |
$ |
2,289,155
|
$ |
8,631,926
|
$ |
8,041,728
|
$ |
15,859,440
|
$ |
17,524,993
|
||||||||||
Total
shareholders’ equity at end of period |
2,282,195
|
8,619,686
|
7,991,880
|
15,770,088
|
17,510,898
|
|||||||||||||||
Net
investment income (loss) |
176,251
|
44,457
|
(37,627 |
) |
(122,728 |
) |
(178,761 |
) | ||||||||||||
Net
realized and unrealized gain (loss) |
1,002,978
|
583,349
|
(1,461,940 |
) |
553,281
|
1,417,580
|
||||||||||||||
Net
income (loss) |
1,179,229
|
627,806
|
(1,499,567 |
) |
430,553
|
1,238,819
|
||||||||||||||
Net
increase (decrease) in net asset value per share |
2.54
|
3.14
|
(5.10 |
) |
1.28
|
3.72
|
||||||||||||||
PROSHARES
SHORT VIX SHORT-TERM FUTURES ETF |
||||||||||||||||||||
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
|
Year
Ended December 31, 2017 |
|
Year
Ended December 31, 2016 |
|
Year
Ended December 31, 2015 |
| |||||||||||
Total
assets |
$ |
284,649,062
|
$ |
360,341,566
|
$ |
816,337,770
|
$ |
228,630,598
|
$ |
674,236,256
|
||||||||||
Total
shareholders’ equity at end of period |
284,437,179
|
344,596,263
|
770,163,871
|
228,075,387
|
642,811,361
|
|||||||||||||||
Net
investment income (loss) |
1,162,163
|
(2,209,355 |
) |
(5,373,544 |
) |
(5,396,850 |
) |
(5,798,200 |
) | |||||||||||
Net
realized and unrealized gain (loss) |
150,375,598
|
(1,917,289,617 |
) |
924,694,573
|
419,316,869
|
96,936,157
|
||||||||||||||
Net
income (loss) |
151,537,761
|
(1,919,498,972 |
) |
919,321,029
|
413,920,019
|
91,137,957
|
||||||||||||||
Net
increase (decrease) in net asset value per share |
23.26
|
(466.84 |
) |
326.74
|
80.83
|
(21.16 |
) | |||||||||||||
PROSHARES
ULTRA BLOOMBERG CRUDE OIL |
||||||||||||||||||||
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
|
Year
Ended December 31, 2017 |
|
Year
Ended December 31, 2016 |
|
Year
Ended December 31, 2015 |
| |||||||||||
Total
assets |
$ |
310,368,837
|
$ |
441,765,830
|
$ |
534,325,767
|
$ |
962,419,733
|
$ |
859,276,004
|
||||||||||
Total
shareholders’ equity at end of period |
309,844,582
|
368,399,654
|
524,445,526
|
933,731,860
|
783,922,475
|
|||||||||||||||
Net
investment income (loss) |
3,864,584
|
3,022,808
|
(1,379,461 |
) |
(6,631,380 |
) |
(8,473,155 |
) | ||||||||||||
Net
realized and unrealized gain (loss) |
253,585,147
|
(139,204,737 |
) |
35,389,465
|
225,050,768
|
(863,611,244 |
) | |||||||||||||
Net
income (loss) |
257,449,731
|
(136,181,929 |
) |
34,010,004
|
218,419,388
|
(872,084,399 |
) | |||||||||||||
Net
increase (decrease) in net asset value per share |
7.31
|
(10.60 |
) |
0.32
|
(1.81 |
) |
(76.33 |
) |
PROSHARES
ULTRA BLOOMBERG NATURAL GAS |
||||||||||||||||||||
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
|
Year
Ended December 31, 2017 |
|
Year
Ended December 31, 2016 |
|
Year
Ended December 31, 2015 |
| |||||||||||
Total
assets |
$ |
45,196,991
|
$ |
17,951,294
|
$ |
67,524,849
|
$ |
44,767,860
|
$ |
38,879,917
|
||||||||||
Total
shareholders’ equity at end of period |
45,160,205
|
14,617,440
|
63,268,950
|
43,203,386
|
38,851,184
|
|||||||||||||||
Net
investment income (loss) |
162,388
|
96,319
|
(233,762 |
) |
(384,486 |
) |
(761,335 |
) | ||||||||||||
Net
realized and unrealized gain (loss) |
(24,707,604 |
) |
3,545,801
|
(36,107,690 |
) |
13,794,133
|
(59,570,610 |
) | ||||||||||||
Net
income (loss) |
(24,545,216 |
) |
3,642,120
|
(36,341,452 |
) |
13,409,647
|
(60,331,945 |
) | ||||||||||||
Net
increase (decrease) in net asset value per share |
(16.88 |
) |
(7.36 |
) |
(61.60 |
) |
1.39
|
(215.40 |
) | |||||||||||
PROSHARES
ULTRA EURO |
||||||||||||||||||||
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
|
Year
Ended December 31, 2017 |
|
Year
Ended December 31, 2016 |
|
Year
Ended December 31, 2015 |
| |||||||||||
Total
assets |
$ |
6,209,342
|
$ |
7,554,617
|
$ |
9,656,271
|
$ |
12,500,772
|
$ |
12,437,492
|
||||||||||
Total
shareholders’ equity at end of period |
6,204,424
|
7,544,569
|
9,591,516
|
11,914,585
|
10,857,730
|
|||||||||||||||
Net
investment income (loss) |
58,528
|
30,823
|
(29,782 |
) |
(74,522 |
) |
(104,071 |
) | ||||||||||||
Net
realized and unrealized gain (loss) |
(670,417 |
) |
(1,269,677 |
) |
3,049,926
|
(1,039,312 |
) |
(1,274,395 |
) | |||||||||||
Net
income (loss) |
(611,889 |
) |
(1,238,854 |
) |
3,020,144
|
(1,113,834 |
) |
(1,378,466 |
) | |||||||||||
Net
increase (decrease) in net asset value per share |
(1.30 |
) |
(2.35 |
) |
3.42
|
(1.49 |
) |
(4.36 |
) | |||||||||||
PROSHARES
ULTRA GOLD |
||||||||||||||||||||
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
|
Year
Ended December 31, 2017 |
|
Year
Ended December 31, 2016 |
|
Year
Ended December 31, 2015 |
| |||||||||||
Total
assets |
$ |
110,810,975
|
$ |
87,308,381
|
$ |
93,779,522
|
$ |
96,632,172
|
$ |
72,172,441
|
||||||||||
Total
shareholders’ equity at end of period |
110,726,032
|
83,523,294
|
93,708,748
|
92,127,200
|
69,864,815
|
|||||||||||||||
Net
investment income (loss) |
902,937
|
625,631
|
(136,329 |
) |
(650,951 |
) |
(796,424 |
) | ||||||||||||
Net
realized and unrealized gain (loss) |
23,404,029
|
(6,664,992 |
) |
19,581,562
|
3,617,098
|
(22,915,651 |
) | |||||||||||||
Net
income (loss) |
24,306,966 |
(6,039,361 |
) |
19,445,233
|
2,966,147
|
(23,712,075 |
) | |||||||||||||
Net
increase (decrease) in net asset value per share |
12.09
|
(2.76 |
) |
6.98
|
3.17
|
(10.27 |
) | |||||||||||||
PROSHARES
ULTRA SILVER |
||||||||||||||||||||
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
|
Year
Ended December 31, 2017 |
|
Year
Ended December 31, 2016 |
|
Year
Ended December 31, 2015 |
| |||||||||||
Total
assets |
$ |
239,830,381
|
$ |
202,021,571
|
$ |
261,786,204
|
$ |
296,979,700
|
$ |
239,160,686
|
||||||||||
Total
shareholders’ equity at end of period |
239,254,842
|
201,824,376
|
258,244,696
|
275,779,940
|
216,416,642
|
|||||||||||||||
Net
investment income (loss) |
1,856,270
|
1,469,179
|
(409,752 |
) |
(2,179,392 |
) |
(2,507,859 |
) | ||||||||||||
Net
realized and unrealized gain (loss) |
38,597,244
|
(52,558,544 |
) |
10,949,744
|
63,914,077
|
(88,492,326 |
) | |||||||||||||
Net
income (loss) |
40,453,514
|
(51,089,365 |
) |
10,539,992
|
61,734,685
|
(91,000,185 |
) | |||||||||||||
Net
increase (decrease) in net asset value per share |
5.31
|
(7.16 |
) |
0.11
|
6.38
|
(12.31 |
) |
PROSHARES
ULTRA VIX SHORT-TERM FUTURES ETF |
||||||||||||||||||||
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
|
Year
Ended December 31, 2017 |
|
Year
Ended December 31, 2016 |
|
Year
Ended December 31, 2015 |
| |||||||||||
Total
assets |
$ |
562,277,336
|
$ |
222,583,868
|
$ |
394,379,433
|
$ |
552,972,566
|
$ |
560,771,363
|
||||||||||
Total
shareholders’ equity at end of period |
527,636,003
|
214,304,871
|
394,035,141
|
515,758,754
|
547,708,740
|
|||||||||||||||
Net
investment income (loss) |
95,052
|
(3,145,671 |
) |
(4,896,061 |
) |
(8,936,777 |
) |
(7,410,148 |
) | |||||||||||
Net
realized and unrealized gain (loss) |
(690,606,892 |
) |
455,645,412
|
(1,047,275,669 |
) |
(1,587,220,286 |
) |
(419,888,086 |
) | |||||||||||
Net
income (loss) |
(690,511,840 |
) |
452,499,741
|
(1,052,171,730 |
) |
(1,596,157,063 |
) |
(427,298,234 |
) | |||||||||||
Net
increase (decrease) in net asset value per share |
(68.79 |
) |
29.79
|
(817.96 |
) |
(13,172.38 |
) |
(48,688.01 |
) | |||||||||||
PROSHARES
ULTRA YEN |
||||||||||||||||||||
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
|
Year
Ended December 31, 2017 |
|
Year
Ended December 31, 2016 |
|
Year
Ended December 31, 2015 |
| |||||||||||
Total
assets |
$ |
5,595,968
|
$ |
5,756,235
|
$ |
2,901,405
|
$ |
5,887,949
|
$ |
5,483,876
|
||||||||||
Total
shareholders’ equity at end of period |
5,580,964
|
5,751,716
|
2,864,269
|
5,540,957
|
5,473,848
|
|||||||||||||||
Net
investment income (loss) |
38,514
|
(983 |
) |
(21,882 |
) |
(45,847 |
) |
(44,423 |
) | |||||||||||
Net
realized and unrealized gain (loss) |
(129,576 |
) |
41,854
|
260,916
|
113,155
|
(196,091 |
) | |||||||||||||
Net
income (loss) |
(91,062 |
) |
40,871
|
239,034
|
67,308
|
(240,514 |
) | |||||||||||||
Net
increase (decrease) in net asset value per share |
(1.70 |
) |
0.21
|
1.89
|
0.68
|
(1.72 |
) |
PROSHARES
ULTRAPRO 3X CRUDE OIL ETF |
||||||||||||
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
|
January 13, 2017 (Inception) through December 31,
2017 |
| |||||||
Total
assets |
$ |
73,000,005
|
$ |
87,728,540
|
$ |
11,335,483
|
||||||
Total
shareholders’ equity at end of period |
70,859,329
|
87,667,042
|
11,335,483
|
|||||||||
Net
investment income (loss) |
730,081
|
(38,284 |
) |
(119,518 |
) | |||||||
Net
realized and unrealized gain (loss) |
99,897,682
|
(62,304,155 |
) |
7,436,616
|
||||||||
Net
income (loss) |
100,627,763
|
(62,342,439 |
) |
7,317,098
|
||||||||
Net
increase (decrease) in net asset value per share |
8.39
|
(24.70 |
) |
12.78
|
||||||||
PROSHARES
ULTRAPRO 3X SHORT CRUDE OIL ETF |
||||||||||||
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
|
January 13,
2017 (Inception) through December 31, 2017 |
| |||||||
Total
assets |
$ |
91,463,267
|
$ |
18,772,977
|
$ |
21,688,274
|
||||||
Total
shareholders’ equity at end of period |
91,389,147
|
18,665,099
|
21,161,176
|
|||||||||
Net
investment income (loss) |
103,397
|
(108,691 |
) |
(110,590 |
) | |||||||
Net
realized and unrealized gain (loss) |
(17,779,115 |
) |
17,384,911
|
(10,034,783 |
) | |||||||
Net
income (loss) |
(17,675,718 |
) |
17,276,220
|
(10,145,373 |
) | |||||||
Net
increase (decrease) in net asset value per share |
(39.13 |
) |
7.47
|
(57.68 |
) |
PROSHARES
ULTRASHORT AUSTRALIAN DOLLAR |
||||||||||||||||||||
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
|
Year
Ended December 31, 2017 |
|
Year
Ended December 31, 2016 |
|
Year
Ended December 31, 2015 |
| |||||||||||
Total
assets |
$ |
5,651,054
|
$ |
11,068,693
|
$ |
13,766,301
|
$ |
16,658,768
|
$ |
20,477,446
|
||||||||||
Total
shareholders’ equity at end of period |
5,608,612
|
11,060,333
|
13,702,102
|
16,613,473
|
20,460,679
|
|||||||||||||||
Net
investment income (loss) |
80,325
|
36,746
|
(46,774 |
) |
(145,652 |
) |
(209,987 |
) | ||||||||||||
Net
realized and unrealized gain (loss) |
97,591
|
1,534,232
|
(2,943,227 |
) |
(1,183,820 |
) |
3,166,384
|
|||||||||||||
Net
income (loss) |
177,916
|
1,570,978
|
(2,990,001 |
) |
(1,329,472 |
) |
2,956,397
|
|||||||||||||
Net
increase (decrease) in net asset value per share |
0.79
|
9.63
|
(9.71 |
) |
(3.08 |
) |
7.08
|
|||||||||||||
PROSHARES
ULTRASHORT BLOOMBERG CRUDE OIL |
||||||||||||||||||||
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
|
Year
Ended December 31, 2017 |
|
Year
Ended December 31, 2016 |
|
Year
Ended December 31, 2015 |
| |||||||||||
Total
assets |
$ |
129,574,044
|
$ |
114,514,333
|
$ |
257,334,914
|
$ |
213,341,677
|
$ |
96,858,373
|
||||||||||
Total
shareholders’ equity at end of period |
125,451,681
|
114,377,311
|
225,843,284
|
200,958,303
|
95,897,894
|
|||||||||||||||
Net
investment income (loss) |
709,799
|
1,038,630
|
(355,651 |
) |
(1,408,964 |
) |
(2,166,211 |
) | ||||||||||||
Net
realized and unrealized gain (loss) |
(45,316,202 |
) |
16,471,427
|
(27,449,491 |
) |
(90,265,381 |
) |
57,732,875
|
||||||||||||
Net
income (loss) |
(44,606,403 |
) |
17,510,057
|
(27,805,142 |
) |
(91,674,345 |
) |
55,566,664
|
||||||||||||
Net
increase (decrease) in net asset value per share |
(17.60 |
) |
5.48
|
(7.39 |
) |
(34.90 |
) |
27.61
|
||||||||||||
PROSHARES
ULTRASHORT BLOOMBERG NATURAL GAS |
||||||||||||||||||||
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
|
Year
Ended December 31, 2017 |
|
Year
Ended December 31, 2016 |
|
Year
Ended December 31, 2015 |
| |||||||||||
Total
assets |
$ |
12,532,289
|
$ |
22,163,554
|
$ |
7,009,957
|
$ |
4,042,309
|
$ |
11,260,804
|
||||||||||
Total
shareholders’ equity at end of period |
12,515,603
|
17,825,441
|
6,902,743
|
4,038,794
|
10,462,856
|
|||||||||||||||
Net
investment income (loss) |
29,417
|
(4,454 |
) |
(54,451 |
) |
(122,172 |
) |
(177,124 |
) | |||||||||||
Net
realized and unrealized gain (loss) |
9,121,181
|
(2,213,011 |
) |
4,146,852
|
2,578,744
|
8,800,372
|
||||||||||||||
Net
income (loss) |
9,150,598
|
(2,217,465 |
) |
4,092,401
|
2,456,572
|
8,623,248
|
||||||||||||||
Net
increase (decrease) in net asset value per share |
16.92
|
(17.87 |
) |
16.38
|
(23.43 |
) |
18.54
|
|||||||||||||
PROSHARES
ULTRASHORT EURO |
||||||||||||||||||||
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
|
Year
Ended December 31, 2017 |
|
Year
Ended December 31, 2016 |
|
Year
Ended December 31, 2015 |
| |||||||||||
Total
assets |
$ |
123,046,852
|
$ |
158,275,753
|
$ |
209,513,363
|
$ |
356,811,359
|
$ |
556,539,359
|
||||||||||
Total
shareholders’ equity at end of period |
120,581,173
|
154,120,159
|
202,548,197
|
349,392,650
|
522,306,518
|
|||||||||||||||
Net
investment income (loss) |
1,528,830
|
1,324,494
|
(396,715 |
) |
(2,764,657 |
) |
(5,000,587 |
) | ||||||||||||
Net
realized and unrealized gain (loss) |
12,993,771
|
23,822,591
|
(62,222,928 |
) |
19,174,666
|
86,176,969
|
||||||||||||||
Net
income (loss) |
14,522,601
|
25,147,085
|
(62,619,643 |
) |
16,410,009
|
81,176,382
|
||||||||||||||
Net
increase (decrease) in net asset value per share |
2.53
|
3.06
|
(5.87 |
) |
1.54
|
3.95
|
PROSHARES
ULTRASHORT GOLD |
||||||||||||||||||||
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
|
Year
Ended December 31, 2017 |
|
Year
Ended December 31, 2016 |
|
Year
Ended December 31, 2015 |
| |||||||||||
Total
assets |
$ |
22,262,798
|
$ |
19,105,095
|
$ |
33,013,345
|
$ |
63,709,441
|
$ |
75,031,735
|
||||||||||
Total
shareholders’ equity at end of period |
21,047,560
|
18,098,997
|
31,497,410
|
63,653,647
|
74,971,764
|
|||||||||||||||
Net
investment income (loss) |
186,714
|
171,341
|
(60,865 |
) |
(461,423 |
) |
(703,582 |
) | ||||||||||||
Net
realized and unrealized gain (loss) |
(5,733,559 |
) |
1,796,398
|
(11,543,036 |
) |
(11,000,717 |
) |
16,807,446
|
||||||||||||
Net
income (loss) |
(5,546,845 |
) |
1,967,739
|
(11,603,901 |
) |
(11,462,140 |
) |
16,103,864
|
||||||||||||
Net
increase (decrease) in net asset value per share |
(20.26 |
) |
2.81
|
(20.86 |
) |
(24.55 |
) |
19.23
|
||||||||||||
PROSHARES
ULTRASHORT SILVER |
||||||||||||||||||||
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
|
Year
Ended December 31, 2017 |
|
Year
Ended December 31, 2016 |
|
Year
Ended December 31, 2015 |
| |||||||||||
Total
assets |
$ |
15,813,405
|
$ |
13,578,709
|
$ |
19,713,505
|
$ |
23,037,206
|
$ |
56,035,123
|
||||||||||
Total
shareholders’ equity at end of period |
13,834,163
|
11,768,863
|
14,806,259
|
23,017,656
|
55,987,938
|
|||||||||||||||
Net
investment income (loss) |
131,913
|
112,472
|
(36,600 |
) |
(255,853 |
) |
(516,464 |
) | ||||||||||||
Net
realized and unrealized gain (loss) |
(4,741,974 |
) |
4,905,754
|
(1,980,408 |
) |
(20,928,956 |
) |
14,943,700
|
||||||||||||
Net
income (loss) |
(4,610,061 |
) |
5,018,226
|
(2,017,008 |
) |
(21,184,809 |
) |
14,427,236
|
||||||||||||
Net
increase (decrease) in net asset value per share |
(10.37 |
) |
5.42
|
(5.60 |
) |
(27.27 |
) |
6.77
|
||||||||||||
PROSHARES
ULTRASHORT YEN |
||||||||||||||||||||
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
|
Year
Ended December 31, 2017 |
|
Year
Ended December 31, 2016 |
|
Year
Ended December 31, 2015 |
| |||||||||||
Total
assets |
$ |
38,165,164
|
$ |
59,214,608
|
$ |
134,986,033
|
$ |
277,139,658
|
$ |
261,207,696
|
||||||||||
Total
shareholders’ equity at end of period |
38,132,320
|
55,363,675
|
131,077,453
|
276,781,747
|
237,372,900
|
|||||||||||||||
Net
investment income (loss) |
555,474
|
607,874
|
(355,974 |
) |
(1,609,562 |
) |
(3,623,678 |
) | ||||||||||||
Net
realized and unrealized gain (loss) |
1,240,842
|
(2,528,655 |
) |
(23,960,625 |
) |
8,431,035
|
(3,541,134 |
) | ||||||||||||
Net
income (loss) |
1,796,316
|
(1,920,781 |
) |
(24,316,599 |
) |
6,821,473
|
(7,164,812 |
) | ||||||||||||
Net
increase (decrease) in net asset value per share |
2.48
|
(1.04 |
) |
(5.31 |
) |
(7.70 |
) |
(1.39 |
) |
PROSHARES VIX
MID-TERM FUTURES
ETF |
||||||||||||||||||||
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
|
Year
Ended December 31, 2017 |
|
Year
Ended December 31, 2016 |
|
Year
Ended December 31, 2015 |
| |||||||||||
Total
assets |
$ |
47,145,739
|
$ |
57,571,528
|
$ |
27,429,888
|
$ |
47,936,506
|
$ |
27,671,016
|
||||||||||
Total
shareholders’ equity at end of period |
45,986,584
|
56,299,121
|
26,347,948
|
45,818,914
|
27,650,638
|
|||||||||||||||
Net
investment income (loss) |
493,213
|
116,328
|
(81,807 |
) |
(294,491 |
) |
(240,600 |
) | ||||||||||||
Net
realized and unrealized gain (loss) |
(12,266,525 |
) |
10,305,853
|
(26,246,741 |
) |
(12,029,971 |
) |
(3,939,933 |
) | |||||||||||
Net
income (loss) |
(11,773,312 |
) |
10,422,181
|
(26,328,548 |
) |
(12,324,462 |
) |
(4,180,533 |
) | |||||||||||
Net
increase (decrease) in net asset value per share |
(5.38 |
) |
5.36
|
(20.85 |
) |
(11.82 |
) |
(9.64 |
) | |||||||||||
PROSHARES
VIX SHORT-TERM FUTURES ETF |
||||||||||||||||||||
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
|
Year
Ended December 31, 2017 |
|
Year
Ended December 31, 2016 |
|
Year
Ended December 31, 2015 |
| |||||||||||
Total
assets |
$ |
292,836,738
|
$ |
155,107,403
|
$ |
141,228,210
|
$ |
174,247,783
|
$ |
105,350,240
|
||||||||||
Total
shareholders’ equity at end of period |
279,792,503
|
149,547,115
|
137,741,560
|
174,160,146
|
105,272,823
|
|||||||||||||||
Net
investment income (loss) |
2,153,399
|
366,665
|
(293,186 |
) |
(1,436,647 |
) |
(1,150,794 |
) | ||||||||||||
Net
realized and unrealized gain (loss) |
(227,121,451 |
) |
112,056,276
|
(198,310,919 |
) |
(194,856,158 |
) |
(26,753,742 |
) | |||||||||||
Net
income (loss) |
(224,968,052 |
) |
112,422,941
|
(198,604,105 |
) |
(196,292,805 |
) |
(27,904,536 |
) | |||||||||||
Net
increase (decrease) in net asset value per share |
(26.28 |
) |
15.24
|
(61.52 |
) |
(179.98 |
) |
(153.80 |
) |
Item 7. |
Management’s Discussion
and Analysis of Financial Condition and Results of
Operations. |
Fund
|
Interest Income Year Ended December 31, 2019 |
|
Interest
Income Year Ended December 31, 2018 |
| ||||
ProShares
Short Euro |
$ |
314,021
|
$ |
123,954
|
||||
ProShares
Short VIX Short-Term Futures ETF |
5,618,666 |
5,721,966
|
||||||
ProShares
Ultra Bloomberg Crude Oil |
7,627,706
|
7,041,517
|
||||||
ProShares
Ultra Bloomberg Natural Gas |
589,183
|
489,924
|
||||||
ProShares
Ultra Euro |
121,071
|
112,904
|
||||||
ProShares
Ultra Gold |
1,798,692
|
1,437,347
|
||||||
ProShares
Ultra Silver |
3,823,565
|
3,490,072
|
||||||
ProShares
Ultra VIX Short-Term Futures ETF |
7,903,309 |
3,853,146
|
||||||
ProShares
Ultra Yen |
78,463
|
26,930
|
||||||
ProShares
UltraPro 3x Crude Oil ETF* |
2,114,130
|
351,928
|
||||||
ProShares
UltraPro 3x Short Crude Oil ETF* |
562,435
|
190,658
|
||||||
ProShares
UltraShort Australian Dollar |
159,039
|
119,098
|
||||||
ProShares
UltraShort Bloomberg Crude Oil |
1,570,676
|
2,758,399
|
||||||
ProShares
UltraShort Bloomberg Natural Gas |
167,939
|
121,027
|
||||||
ProShares
UltraShort Euro |
2,822,207
|
3,045,321
|
||||||
ProShares
UltraShort Gold |
380,158
|
423,926
|
||||||
ProShares
UltraShort Silver |
279,294
|
309,090
|
||||||
ProShares
UltraShort Yen |
1,007,112
|
1,399,342
|
||||||
ProShares
VIX
Mid-Term Futures
ETF |
903,643 |
368,351
|
||||||
ProShares
VIX Short-Term Futures ETF |
4,458,270 |
1,594,294
|
• | executing and clearing trades with creditworthy counterparties, as determined by the Sponsor; |
• | limiting the outstanding amounts due from counterparties to the Funds; |
• | not posting margin directly with a counterparty; |
• | requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds; |
• | limiting the amount of margin or premium posted at a FCM; and |
• | ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for. |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
NAV
beginning of period |
$ |
8,619,686
|
$ |
7,991,880
|
||||
NAV
end of period |
$ |
2,282,195
|
$ |
8,619,686
|
||||
Percentage
change in NAV |
(73.5 |
)% |
7.9 |
% | ||||
Shares
outstanding beginning of period |
200,000
|
200,000
|
||||||
Shares
outstanding end of period |
50,000
|
200,000
|
||||||
Percentage
change in shares outstanding |
(75.0 |
)% |
— |
|||||
Shares
created |
300,000
|
— |
||||||
Shares
redeemed |
450,000
|
— |
||||||
Per
share NAV beginning of period |
$ |
43.10
|
$ |
39.96
|
||||
Per
share NAV end of period |
$ |
45.64
|
$ |
43.10
|
||||
Percentage
change in per share NAV |
5.9 |
% |
7.9 |
% | ||||
Percentage
change in benchmark |
(2.1 |
)% |
(4.5 |
)% | ||||
Benchmark
annualized volatility |
5.1 |
% |
7.2 |
% |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
Net
investment income (loss) |
$ |
176,251
|
$ |
44,457
|
||||
Management
fee |
135,292
|
78,253
|
||||||
Brokerage
commissions |
2,478
|
1,244
|
||||||
Net
realized gain (loss) |
973,665
|
459,984
|
||||||
Change
in net unrealized appreciation (depreciation) |
29,313
|
123,365
|
||||||
Net
income (loss) |
$ |
1,179,229
|
$ |
627,806
|
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
NAV
beginning of period |
$ |
344,596,263
|
$ |
770,163,871
|
||||
NAV
end of period |
$ |
284,437,179
|
$ |
344,596,263
|
||||
Percentage
change in NAV |
(17.5 |
)% |
(55.3 |
)% | ||||
Shares
outstanding beginning of period |
8,134,307
|
1,512,500
|
||||||
Shares
outstanding end of period |
4,334,307
|
8,134,307
|
||||||
Percentage
change in shares outstanding |
(46.7 |
)% |
437.8 |
% | ||||
Shares
created |
1,500,000
|
19,000,000
|
||||||
Shares
redeemed |
5,300,000
|
12,378,193
|
||||||
Per
share NAV beginning of period |
$ |
42.36
|
$ |
509.20
|
||||
Per
share NAV end of period |
$ |
65.62
|
$ |
42.36
|
||||
Percentage
change in per share NAV |
54.9 |
% |
(91.7 |
)% | ||||
Percentage
change in benchmark |
(67.8 |
)% |
68.1 |
% | ||||
Benchmark
annualized volatility |
60.4 |
% |
118.0 |
% |
Year
Ended December 31, 2019
|
|
Year
Ended December 31,
2018 |
| |||||
Net
investment income (loss) |
$ |
1,162,163
|
$ |
(2,209,355 |
) | |||
Management
fee |
3,333,950
|
5,617,477
|
||||||
Brokerage
commissions |
723,282
|
2,162,086
|
||||||
Non-recurring fees
and expenses |
398,550
|
— |
||||||
Net
realized gain (loss) |
125,641,839
|
(1,885,823,832 |
) | |||||
Change
in net unrealized appreciation (depreciation) |
24,733,759
|
(31,465,785 |
) | |||||
Net
income (loss) |
$ |
151,537,761
|
$ |
(1,919,498,972 |
) |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
NAV
beginning of period |
$ |
368,399,654
|
$ |
524,445,526
|
||||
NAV
end of period |
$ |
309,844,582
|
$ |
368,399,654
|
||||
Percentage
change in NAV |
(15.9 |
)% |
(29.8 |
)% | ||||
Shares
outstanding beginning of period |
28,211,317
|
22,161,317
|
||||||
Shares
outstanding end of period |
15,211,317
|
28,211,317
|
||||||
Percentage
change in shares outstanding |
(46.1 |
)% |
27.3 |
% | ||||
Shares
created |
34,050,000
|
24,600,000
|
||||||
Shares
redeemed |
47,050,000
|
18,550,000
|
||||||
Per
share NAV beginning of period |
$ |
13.06
|
$ |
23.66
|
||||
Per
share NAV end of period |
$ |
20.37
|
$ |
13.06
|
||||
Percentage
change in per share NAV |
56.0 |
% |
(44.8 |
)% | ||||
Percentage
change in benchmark |
34.4 |
% |
(20.5 |
)% | ||||
Benchmark
annualized volatility |
33.7 |
% |
31.1 |
% |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
Net
investment income (loss) |
$ |
3,864,584
|
$ |
3,022,808
|
||||
Management
fee |
3,612,580
|
3,918,014
|
||||||
Brokerage
commissions |
150,542
|
100,695
|
||||||
Net
realized gain (loss) |
144,188,809
|
21,754,687
|
||||||
Change
in net unrealized appreciation (depreciation) |
109,396,338
|
(160,959,424 |
) | |||||
Net
income (loss) |
$ |
257,449,731
|
$ |
(136,181,929 |
) |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
NAV
beginning of period |
$ |
14,617,440
|
$ |
63,268,950
|
||||
NAV
end of period |
$ |
45,160,205
|
$ |
14,617,440
|
||||
Percentage
change in NAV |
208.9 |
% |
(76.9 |
)% | ||||
Shares
outstanding beginning of period |
578,150
|
1,938,434
|
||||||
Shares
outstanding end of period |
5,378,150
|
578,150
|
||||||
Percentage
change in shares outstanding |
830.2 |
% |
(70.2 |
)% | ||||
Shares
created |
8,250,000
|
1,600,000
|
||||||
Shares
redeemed |
3,450,000
|
2,960,284
|
||||||
Per
share NAV beginning of period |
$ |
25.28
|
$ |
32.64
|
||||
Per
share NAV end of period |
$ |
8.40
|
$ |
25.28
|
||||
Percentage
change in per share NAV |
(66.8 |
)% |
(22.5 |
)% | ||||
Percentage
change in benchmark |
(37.2 |
)% |
(0.1 |
)% | ||||
Benchmark
annualized volatility |
36.1 |
% |
45.8 |
% |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
Net
investment income (loss) |
$ |
162,388
|
$ |
96,319
|
||||
Management
fee |
297,043
|
305,706
|
||||||
Brokerage
commissions |
129,752
|
87,899
|
||||||
Net
realized gain (loss) |
(32,380,218 |
) |
21,092,833
|
|||||
Change
in net unrealized appreciation (depreciation) |
7,672,614
|
(17,547,032 |
) | |||||
Net
income (loss) |
$ |
(24,545,216 |
) | $ |
3,642,120
|
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
NAV
beginning of period |
$ |
7,544,569
|
$ |
9,591,516
|
||||
NAV
end of period |
$ |
6,204,424
|
$ |
7,544,569
|
||||
Percentage
change in NAV |
(17.8 |
)% |
(21.3 |
)% | ||||
Shares
outstanding beginning of period |
500,000
|
550,000
|
||||||
Shares
outstanding end of period |
450,000
|
500,000
|
||||||
Percentage
change in shares outstanding |
(10.0 |
)% |
(9.1 |
)% | ||||
Shares
created |
100,000
|
150,000
|
||||||
Shares
redeemed |
150,000
|
200,000
|
||||||
Per
share NAV beginning of period |
$ |
15.09
|
$ |
17.44
|
||||
Per
share NAV end of period |
$ |
13.79
|
$ |
15.09
|
||||
Percentage
change in per share NAV |
(8.6 |
)% |
(13.5 |
)% | ||||
Percentage
change in benchmark |
(2.1 |
)% |
(4.5 |
)% | ||||
Benchmark
annualized volatility |
5.1 |
% |
7.2 |
% |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
Net
investment income (loss) |
$ |
58,528
|
$ |
30,823
|
||||
Management
fee |
62,543
|
82,081
|
||||||
Net
realized gain (loss) |
(722,691 |
) |
(1,063,816 |
) | ||||
Change
in net unrealized appreciation (depreciation) |
52,274
|
(205,861 |
) | |||||
Net
income (loss) |
$ |
(611,889 |
) | $ |
(1,238,854 |
) |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
NAV
beginning of period |
$ |
83,523,294
|
$ |
93,708,748
|
||||
NAV
end of period |
$ |
110,726,032
|
$ |
83,523,294
|
||||
Percentage
change in NAV |
32.6 |
% |
(10.9 |
)% | ||||
Shares
outstanding beginning of period |
2,250,000
|
2,350,000
|
||||||
Shares
outstanding end of period |
2,250,000
|
2,250,000
|
||||||
Percentage
change in shares outstanding |
— |
(4.3 |
)% | |||||
Shares
created |
900,000
|
550,000
|
||||||
Shares
redeemed |
900,000
|
650,000
|
||||||
Per
share NAV beginning of period |
$ |
37.12
|
$ |
39.88
|
||||
Per
share NAV end of period |
$ |
49.21
|
$ |
37.12
|
||||
Percentage
change in per share NAV |
32.6 |
% |
(6.9 |
)% | ||||
Percentage
change in benchmark |
18.0 |
% |
(0.9 |
)% | ||||
Benchmark
annualized volatility |
11.5 |
% |
9.0 |
% |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
Net
investment income (loss) |
$ |
902,937
|
$ |
625,631
|
||||
Management
fee |
884,410
|
811,581
|
||||||
Brokerage
commissions |
11,345
|
135
|
||||||
Net
realized gain (loss) |
19,588,339
|
(7,345,178 |
) | |||||
Change
in net unrealized appreciation (depreciation) |
3,815,690
|
680,186
|
||||||
Net
income (loss) |
$ |
24,306,966
|
$ |
(6,039,361 |
) |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
NAV
beginning of period |
$ |
201,824,376
|
$ |
258,244,696
|
||||
NAV
end of period |
$ |
239,254,842
|
$ |
201,824,376
|
||||
Percentage
change in NAV |
18.5 |
% |
(21.8 |
)% | ||||
Shares
outstanding beginning of period |
7,646,526
|
7,696,526
|
||||||
Shares
outstanding end of period |
7,546,526
|
7,646,526
|
||||||
Percentage
change in shares outstanding |
(1.3 |
)% |
(0.6 |
)% | ||||
Shares
created |
2,300,000
|
2,100,000
|
||||||
Shares
redeemed |
2,400,000
|
2,150,000
|
||||||
Per
share NAV beginning of period |
$ |
26.39
|
$ |
33.55
|
||||
Per
share NAV end of period |
$ |
31.70
|
$ |
26.39
|
||||
Percentage
change in per share NAV |
20.1 |
% |
(21.3 |
)% | ||||
Percentage
change in benchmark |
13.9 |
% |
(8.3 |
)% | ||||
Benchmark
annualized volatility |
19.6 |
% |
13.8 |
% |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
Net
investment income (loss) |
$ |
1,856,270
|
$ |
1,469,179
|
||||
Management
fee |
1,928,478
|
2,020,586
|
||||||
Brokerage
commissions |
38,814
|
307
|
||||||
Net
realized gain (loss) |
34,374,143
|
(57,489,729 |
) | |||||
Change
in net unrealized appreciation (depreciation) |
4,223,101
|
4,931,185
|
||||||
Net
income (loss) |
$ |
40,453,514
|
$ |
(51,089,365 |
) |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
NAV
beginning of period |
$ |
214,304,871
|
$ |
394,035,141
|
||||
NAV
end of period |
$ |
527,636,003
|
$ |
214,304,871
|
||||
Percentage
change in NAV |
146.2 |
% |
(45.6 |
)% | ||||
Shares
outstanding beginning of period |
2,630,912
|
7,625,448
|
||||||
Shares
outstanding end of period |
41,630,912
|
2,630,912
|
||||||
Percentage
change in shares outstanding |
1,482.4 |
% |
(65.5 |
)% | ||||
Shares
created |
83,750,000
|
38,280,000
|
||||||
Shares
redeemed |
44,750,000
|
43,274,536
|
||||||
Per
share NAV beginning of period |
$ |
81.46
|
$ |
51.67
|
||||
Per
share NAV end of period |
$ |
12.67
|
$ |
81.46
|
||||
Percentage
change in per share NAV |
(84.4 |
)% |
57.7 |
% | ||||
Percentage
change in benchmark |
(67.8 |
)% |
68.1 |
% | ||||
Benchmark
annualized volatility |
60.4 |
% |
118.0 |
% |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
Net
investment income (loss) |
$ |
95,052
|
$ |
(3,145,671 |
) | |||
Management
fee |
4,819,171
|
3,966,185
|
||||||
Brokerage
commissions |
2,936,813
|
3,032,632
|
||||||
Non-recurring fees
and expenses |
27,508
|
— |
||||||
Net
realized gain (loss) |
(612,840,041 |
) |
389,993,011
|
|||||
Change
in net unrealized appreciation (depreciation) |
(77,766,851 |
) |
65,652,401
|
|||||
Net
income (loss) |
$ |
(690,511,840 |
) | $ |
452,499,741
|
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
NAV
beginning of period |
$ |
5,751,716
|
$ |
2,864,269
|
||||
NAV
end of period |
$ |
5,580,964
|
$ |
5,751,716
|
||||
Percentage
change in NAV |
(3.0 |
)% |
100.8 |
% | ||||
Shares
outstanding beginning of period |
99,970
|
49,970
|
||||||
Shares
outstanding end of period |
99,970
|
99,970
|
||||||
Percentage
change in shares outstanding |
— |
100.1 |
% | |||||
Shares
created |
200,000
|
50,000
|
||||||
Shares
redeemed |
200,000
|
— |
||||||
Per
share NAV beginning of period |
$ |
57.53
|
$ |
57.32
|
||||
Per
share NAV end of period |
$ |
55.83
|
$ |
57.53
|
||||
Percentage
change in per share NAV |
(3.0 |
)% |
0.4 |
% | ||||
Percentage
change in benchmark |
0.9 |
% |
2.8 |
% | ||||
Benchmark
annualized volatility |
5.7 |
% |
6.6 |
% |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
Net
investment income (loss) |
$ |
38,514
|
$ |
(983 |
) | |||
Management
fee |
39,949
|
27,913
|
||||||
Net
realized gain (loss) |
57,990
|
(170,364 |
) | |||||
Change
in net unrealized appreciation (depreciation) |
(187,566 |
) |
212,218
|
|||||
Net
income (loss) |
$ |
(91,062 |
) | $ |
40,871
|
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
NAV
beginning of period |
$ |
87,667,042
|
$ |
11,335,483
|
||||
NAV
end of period |
$ |
70,859,329
|
$ |
87,667,042
|
||||
Percentage
change in NAV |
(19.2 |
)% |
673.4 |
% | ||||
Shares
outstanding beginning of period |
6,700,000
|
300,008
|
||||||
Shares
outstanding end of period |
3,300,000
|
6,700,000
|
||||||
Percentage
change in shares outstanding |
(50.7 |
)% |
2,133.3 |
% | ||||
Shares
created |
15,150,000
|
7,250,000
|
||||||
Shares
redeemed |
18,550,000
|
850,008
|
||||||
Per
share NAV beginning of period |
$ |
13.08
|
$ |
37.78
|
||||
Per
share NAV end of period |
$ |
21.47
|
$ |
13.08
|
||||
Percentage
change in per share NAV |
64.1 |
% |
(65.4 |
)% | ||||
Percentage
change in benchmark |
34.4 |
% |
(20.5 |
)% | ||||
Benchmark
annualized volatility |
33.7 |
% |
31.1 |
% |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
Net
investment income (loss) |
$ |
730,081
|
$ |
(38,284 |
) | |||
Management
fee |
1,049,564
|
277,762
|
||||||
Brokerage
commissions |
334,485
|
86,561
|
||||||
Offering
costs |
— |
52,846
|
||||||
Limitation
by Sponsor |
— |
(26,957 |
) | |||||
Net
realized gain (loss) |
69,178,251
|
(37,435,672 |
) | |||||
Change
in net unrealized appreciation (depreciation) |
30,719,431
|
(24,868,483 |
) | |||||
Net
income (loss) |
$ |
100,627,763
|
$ |
(62,342,439 |
) |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
NAV
beginning of period |
$ |
18,665,099
|
$ |
21,161,176
|
||||
NAV
end of period |
$ |
91,389,147
|
$ |
18,665,099
|
||||
Percentage
change in NAV |
389.6 |
% |
(11.8 |
)% | ||||
Shares
outstanding beginning of period |
374,906
|
500,002
|
||||||
Shares
outstanding end of period |
8,574,906
|
374,906
|
||||||
Percentage
change in shares outstanding |
2,187.2 |
% |
(25.0 |
)% | ||||
Shares
created |
20,600,000
|
2,637,500
|
||||||
Shares
redeemed |
12,400,000
|
2,762,596
|
||||||
Per
share NAV beginning of period |
$ |
49.79
|
$ |
42.32
|
||||
Per
share NAV end of period |
$ |
10.66
|
$ |
49.79
|
||||
Percentage
change in per share NAV |
(78.6 |
)% |
17.7 |
% | ||||
Percentage
change in benchmark |
34.4 |
% |
(20.5 |
)% | ||||
Benchmark
annualized volatility |
33.7 |
% |
31.1 |
% |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
Net
investment income (loss) |
$ |
103,397
|
$ |
(108,691 |
) | |||
Management
fee |
312,430
|
176,390
|
||||||
Brokerage
commissions |
146,608
|
70,338
|
||||||
Offering
costs |
— |
52,797
|
||||||
Limitation
by Sponsor |
— |
(176 |
) | |||||
Net
realized gain (loss) |
(2,404,520 |
) |
7,377,281
|
|||||
Change
in net unrealized appreciation (depreciation) |
(15,374,595 |
) |
10,007,630
|
|||||
Net
income (loss) |
$ |
(17,675,718 |
) | $ |
17,276,220
|
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
NAV
beginning of period |
$ |
11,060,333
|
$ |
13,702,102
|
||||
NAV
end of period |
$ |
5,608,612
|
$ |
11,060,333
|
||||
Percentage
change in NAV |
(49.3 |
)% |
(19.3 |
)% | ||||
Shares
outstanding beginning of period |
200,000
|
300,000
|
||||||
Shares
outstanding end of period |
100,000
|
200,000
|
||||||
Percentage
change in shares outstanding |
(50.0 |
)% |
(33.3 |
)% | ||||
Shares
created |
50,000
|
100,000
|
||||||
Shares
redeemed |
150,000
|
200,000
|
||||||
Per
share NAV beginning of period |
$ |
55.30
|
$ |
45.67
|
||||
Per
share NAV end of period |
$ |
56.09
|
$ |
55.30
|
||||
Percentage
change in per share NAV |
1.4 |
% |
21.1 |
% | ||||
Percentage
change in benchmark |
(0.4 |
)% |
(9.7 |
)% | ||||
Benchmark
annualized volatility |
6.9 |
% |
8.7 |
% |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
Net
investment income (loss) |
$ |
80,325
|
$ |
36,746
|
||||
Management
fee |
72,858
|
75,944
|
||||||
Brokerage
commissions |
5,856
|
6,408
|
||||||
Net
realized gain (loss) |
833,199
|
128,204
|
||||||
Change
in net unrealized appreciation (depreciation) |
(735,608 |
) |
1,406,028
|
|||||
Net
income (loss) |
$ |
177,916
|
$ |
1,570,978
|
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
NAV
beginning of period |
$ |
114,377,311
|
$ |
225,843,284
|
||||
NAV
end of period |
$ |
125,451,681
|
$ |
114,377,311
|
||||
Percentage
change in NAV |
9.7 |
% |
(49.4 |
)% | ||||
Shares
outstanding beginning of period |
3,839,884
|
9,289,884
|
||||||
Shares
outstanding end of period |
10,289,884
|
3,839,884
|
||||||
Percentage
change in shares outstanding |
168.0 |
% |
(58.7 |
)% | ||||
Shares
created |
25,950,000
|
13,300,000
|
||||||
Shares
redeemed |
19,500,000
|
18,750,000
|
||||||
Per
share NAV beginning of period |
$ |
29.79
|
$ |
24.31
|
||||
Per
share NAV end of period |
$ |
12.19
|
$ |
29.79
|
||||
Percentage
change in per share NAV |
(59.1 |
)% |
22.5 |
% | ||||
Percentage
change in benchmark |
34.4 |
% |
(20.5 |
)% | ||||
Benchmark
annualized volatility |
33.7 |
% |
31.1 |
% |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
Net
investment income (loss) |
$ |
709,799
|
$ |
1,038,630
|
||||
Management
fee |
769,401
|
1,663,576
|
||||||
Brokerage
commissions |
91,476
|
56,193
|
||||||
Net
realized gain (loss) |
(14,247,456 |
) |
(42,039,983 |
) | ||||
Change
in net unrealized appreciation (depreciation) |
(31,068,746 |
) |
58,511,410
|
|||||
Net
income (loss) |
$ |
(44,606,403 |
) | $ |
17,510,057
|
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
NAV
beginning of period |
$ |
17,825,441
|
$ |
6,902,743
|
||||
NAV
end of period |
$ |
12,515,603
|
$ |
17,825,441
|
||||
Percentage
change in NAV |
(29.8 |
)% |
158.2 |
% | ||||
Shares
outstanding beginning of period |
824,832
|
174,832
|
||||||
Shares
outstanding end of period |
324,832
|
824,832
|
||||||
Percentage
change in shares outstanding |
(60.6 |
)% |
371.8 |
% | ||||
Shares
created |
1,200,000
|
2,500,000
|
||||||
Shares
redeemed |
1,700,000
|
1,850,000
|
||||||
Per
share NAV beginning of period |
$ |
21.61
|
$ |
39.48
|
||||
Per
share NAV end of period |
$ |
38.53
|
$ |
21.61
|
||||
Percentage
change in per share NAV |
78.3 |
% |
(45.3 |
)% | ||||
Percentage
change in benchmark |
(37.2 |
)% |
(0.1 |
)% | ||||
Benchmark
annualized volatility |
36.1 |
% |
45.8 |
% |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
Net
investment income (loss) |
$ |
29,417
|
$ |
(4,454 |
) | |||
Management
fee |
83,978
|
84,418
|
||||||
Brokerage
commissions |
54,544
|
41,063
|
||||||
Net
realized gain (loss) |
19,286,567
|
(14,147,964 |
) | |||||
Change
in net unrealized appreciation (depreciation) |
(10,165,386 |
) |
11,934,953
|
|||||
Net
income (loss) |
$ |
9,150,598
|
$ |
(2,217,465 |
) |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
NAV
beginning of period |
$ |
154,120,159
|
$ |
202,548,197
|
||||
NAV
end of period |
$ |
120,581,173
|
$ |
154,120,159
|
||||
Percentage
change in NAV |
(21.8 |
)% |
(23.9 |
)% | ||||
Shares
outstanding beginning of period |
6,350,000
|
9,550,000
|
||||||
Shares
outstanding end of period |
4,500,000
|
6,350,000
|
||||||
Percentage
change in shares outstanding |
(29.1 |
)% |
(33.5 |
)% | ||||
Shares
created |
1,050,000
|
1,700,000
|
||||||
Shares
redeemed |
2,900,000
|
4,900,000
|
||||||
Per
share NAV beginning of period |
$ |
24.27
|
$ |
21.21
|
||||
Per
share NAV end of period |
$ |
26.80
|
$ |
24.27
|
||||
Percentage
change in per share NAV |
10.4 |
% |
14.4 |
% | ||||
Percentage
change in benchmark |
(2.1 |
)% |
(4.5 |
)% | ||||
Benchmark
annualized volatility |
5.1 |
% |
7.2 |
% |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
Net
investment income (loss) |
$ |
1,528,830
|
$ |
1,324,494
|
||||
Management
fee |
1,293,377
|
1,720,827
|
||||||
Net
realized gain (loss) |
13,747,208
|
18,953,236
|
||||||
Change
in net unrealized appreciation (depreciation) |
(753,437 |
) |
4,869,355
|
|||||
Net
income (loss) |
$ |
14,522,601
|
$ |
25,147,085
|
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
NAV
beginning of period |
$ |
18,098,997
|
$ |
31,497,410
|
||||
NAV
end of period |
$ |
21,047,560
|
$ |
18,098,997
|
||||
Percentage
change in NAV |
16.3 |
% |
(42.5 |
)% | ||||
Shares
outstanding beginning of period |
246,978
|
446,978
|
||||||
Shares
outstanding end of period |
396,977
|
246,978
|
||||||
Percentage
change in shares outstanding |
60.7 |
% |
(44.7 |
)% | ||||
Shares
created |
600,000
|
250,000
|
||||||
Shares
redeemed |
450,001
|
450,000
|
||||||
Per
share NAV beginning of period |
$ |
73.28
|
$ |
70.47
|
||||
Per
share NAV end of period |
$ |
53.02
|
$ |
73.28
|
||||
Percentage
change in per share NAV |
(27.6 |
)% |
4.0 |
% | ||||
Percentage
change in benchmark |
18.0 |
% |
(0.9 |
)% | ||||
Benchmark
annualized volatility |
11.5 |
% |
9.0 |
% |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
Net
investment income (loss) |
$ |
186,714
|
$ |
171,341
|
||||
Management
fee |
188,089
|
252,524
|
||||||
Brokerage
commissions |
5,355
|
61
|
||||||
Net
realized gain (loss) |
(5,192,568 |
) |
1,323,731
|
|||||
Change
in net unrealized appreciation (depreciation) |
(540,991 |
) |
472,667
|
|||||
Net
income (loss) |
$ |
(5,546,845 |
) | $ |
1,967,739
|
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
NAV
beginning of period |
$ |
11,768,863
|
$ |
14,806,259
|
||||
NAV
end of period |
$ |
13,834,163
|
$ |
11,768,863
|
||||
Percentage
change in NAV |
17.5 |
% |
(20.5 |
)% | ||||
Shares
outstanding beginning of period |
316,976
|
466,976
|
||||||
Shares
outstanding end of period |
516,976
|
316,976
|
||||||
Percentage
change in shares outstanding |
63.1 |
% |
(32.1 |
)% | ||||
Shares
created |
1,000,000
|
800,000
|
||||||
Shares
redeemed |
800,000
|
950,000
|
||||||
Per
share NAV beginning of period |
$ |
37.13
|
$ |
31.71
|
||||
Per
share NAV end of period |
$ |
26.76
|
$ |
37.13
|
||||
Percentage
change in per share NAV |
(27.9 |
)% |
17.1 |
% | ||||
Percentage
change in benchmark |
13.9 |
% |
(8.3 |
)% | ||||
Benchmark
annualized volatility |
19.6 |
% |
13.8 |
% |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
Net
investment income (loss) |
$ |
131,913
|
$ |
112,472
|
||||
Management
fee |
139,668
|
196,546
|
||||||
Brokerage
commissions |
7,713
|
72
|
||||||
Net
realized gain (loss) |
(4,544,543 |
) |
5,022,945
|
|||||
Change
in net unrealized appreciation (depreciation) |
(197,432 |
) |
(117,191 |
) | ||||
Net
income (loss) |
$ |
(4,610,062 |
) | $ |
5,018,226
|
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
NAV
beginning of period |
$ |
55,363,675
|
$ |
131,077,453
|
||||
NAV
end of period |
$ |
38,132,320
|
$ |
55,363,675
|
||||
Percentage
change in NAV |
(31.1 |
)% |
(57.8 |
)% | ||||
Shares
outstanding beginning of period |
749,290
|
1,749,290
|
||||||
Shares
outstanding end of period |
499,290
|
749,290
|
||||||
Percentage
change in shares outstanding |
(33.4 |
)% |
(57.2 |
)% | ||||
Shares
created |
450,000
|
100,000
|
||||||
Shares
redeemed |
700,000
|
1,100,000
|
||||||
Per
share NAV beginning of period |
$ |
73.89
|
$ |
74.93
|
||||
Per
share NAV end of period |
$ |
76.37
|
$ |
73.89
|
||||
Percentage
change in per share NAV |
3.4 |
% |
(1.4 |
)% | ||||
Percentage
change in benchmark |
0.9 |
% |
2.8 |
% | ||||
Benchmark
annualized volatility |
5.7 |
% |
6.6 |
% |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
Net
investment income (loss) |
$ |
555,474
|
$ |
607,874
|
||||
Management
fee |
451,638
|
791,468
|
||||||
Net
realized gain (loss) |
(1,979,679 |
) |
2,111,630
|
|||||
Change
in net unrealized appreciation (depreciation) |
3,220,521
|
(4,640,285 |
) | |||||
Net
income (loss) |
$ |
1,796,316
|
$ |
(1,920,781 |
) |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
NAV
beginning of period |
$ |
56,299,121
|
$ |
26,347,948
|
||||
NAV
end of period |
$ |
45,986,584
|
$ |
56,299,121
|
||||
Percentage
change in NAV |
(18.3 |
)% |
113.7 |
% | ||||
Shares
outstanding beginning of period |
2,112,403
|
1,237,403
|
||||||
Shares
outstanding end of period |
2,162,403
|
2,112,403
|
||||||
Percentage
change in shares outstanding |
2.4 |
% |
70.7 |
% | ||||
Shares
created |
1,400,000
|
2,325,000
|
||||||
Shares
redeemed |
1,350,000
|
1,450,000
|
||||||
Per
share NAV beginning of period |
$ |
26.65
|
$ |
21.29
|
||||
Per
share NAV end of period |
$ |
21.27
|
$ |
26.65
|
||||
Percentage
change in per share NAV |
(20.2 |
)% |
25.2 |
% | ||||
Percentage
change in benchmark |
(19.3 |
)% |
27.2 |
% | ||||
Benchmark
annualized volatility |
25.3 |
% |
39.8 |
% |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
Net
investment income (loss) |
$ |
493,213
|
$ |
116,328
|
||||
Management
fee |
380,474
|
221,717
|
||||||
Brokerage
commissions |
29,956
|
30,306
|
||||||
Net
realized gain (loss) |
(6,228,644 |
) |
4,332,654
|
|||||
Change
in net unrealized appreciation (depreciation) |
(6,037,881 |
) |
5,973,199
|
|||||
Net
income (loss) |
$ |
(11,773,312 |
) | $ |
10,422,181
|
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
NAV
beginning of period |
$ |
149,547,115
|
$ |
137,741,560
|
||||
NAV
end of period |
$ |
279,792,503
|
$ |
149,547,115
|
||||
Percentage
change in NAV |
87.1 |
% |
8.6 |
% | ||||
Shares
outstanding beginning of period |
3,876,317
|
5,901,317
|
||||||
Shares
outstanding end of period |
22,751,317
|
3,876,317
|
||||||
Percentage
change in shares outstanding |
486.9 |
% |
(34.3 |
)% | ||||
Shares
created |
30,800,000
|
8,275,000
|
||||||
Shares
redeemed |
11,925,000
|
10,300,000
|
||||||
Per
share NAV beginning of period |
$ |
38.58
|
$ |
23.34
|
||||
Per
share NAV end of period |
$ |
12.30
|
$ |
38.58
|
||||
Percentage
change in per share NAV |
(68.1 |
)% |
65.3 |
% | ||||
Percentage
change in benchmark |
(67.8 |
)% |
68.1 |
% | ||||
Benchmark
annualized volatility |
60.4 |
% |
118.0 |
% |
Year
Ended December 31, 2019
|
|
Year
Ended December 31, 2018
|
| |||||
Net
investment income (loss) |
$ |
2,153,399
|
$ |
366,665
|
||||
Management
fee |
2,038,850
|
1,046,876
|
||||||
Brokerage
commissions |
253,057
|
176,459
|
||||||
Net
realized gain (loss) |
(194,350,788 |
) |
89,901,119
|
|||||
Change
in net unrealized appreciation (depreciation) |
(32,770,663 |
) |
22,155,157
|
|||||
Net
income (loss) |
$ |
(224,968,052 |
) | $ |
112,422,941
|
Futures
Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract
|
Long
or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
Euro
Fx Currency Futures (CME) |
Short
|
March 2020
|
16
|
$ |
1.13
|
125,000
|
$ |
(2,256,400 |
) | |||||||||||||||
Futures
Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional
Amount
at Value
|
| ||||||||||||
Euro
Fx Currency Futures (CME) |
Short
|
March
2019 |
60
|
$ |
1.15
|
125,000
|
$ |
(8,641,875 |
) |
Futures
Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at
Value |
| ||||||||||||
VIX
Futures (Cboe) |
Short
|
January 2020
|
5,442
|
$ |
14.63
|
1,000
|
$ |
(79,589,250 |
) | |||||||||||||||
VIX
Futures (Cboe) |
Short
|
February 2020
|
3,764
|
16.63
|
1,000
|
(62,576,500 |
) | |||||||||||||||||
Futures
Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract
|
Long
or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount
at Value
|
| ||||||||||||
VIX
Futures (Cboe) |
Short
|
January 2019
|
4,103
|
$ |
24.18
|
1,000
|
$ |
(99,190,025 |
) | |||||||||||||||
VIX
Futures (Cboe) |
Short
|
February 2019
|
3,282
|
22.28
|
1,000
|
(73,106,550 |
) |
Futures
Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
WTI
Crude Oil (NYMEX) |
Long
|
March 2020
|
554
|
$ |
60.77
|
1,000
|
$ |
33,666,580
|
Swap
Agreements as of December 31, 2019 |
||||||||||||||
Reference
Index |
Counterparty
|
Long or Short |
|
Index Close
|
|
Notional Amount at Value |
| |||||||
Bloomberg
WTI Crude Oil Subindex |
Citibank,
N.A. |
Long
|
$ |
90.3776
|
$ |
172,174,920
|
||||||||
Bloomberg
WTI Crude Oil Subindex |
Goldman
Sachs International |
Long
|
90.3776
|
120,411,487
|
||||||||||
Bloomberg
WTI Crude Oil Subindex |
Royal
Bank of Canada |
Long
|
90.3776
|
115,540,626
|
||||||||||
Bloomberg
WTI Crude Oil Subindex |
Societe
Generale |
Long
|
90.3776
|
64,308,537
|
||||||||||
Bloomberg
WTI Crude Oil Subindex |
UBS
AG |
Long
|
90.3776
|
113,574,303
|
Futures
Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract
Multiplier
|
|
Notional Amount at Value |
| ||||||||||||
WTI
Crude Oil (NYMEX) |
Long
|
March 2019
|
3,121
|
$ |
45.72
|
1,000
|
$ |
142,692,120
|
Swap
Agreements as of December 31, 2018 |
||||||||||||||
Reference
Index |
Counterparty
|
Long or Short |
|
Index Close |
|
Notional Amount at Value |
| |||||||
Bloomberg
WTI Crude Oil Subindex |
Citibank
N.A. |
Long
|
$ |
68.6586
|
$ |
192,061,821
|
||||||||
Bloomberg
WTI Crude Oil Subindex |
Goldman
Sachs International |
Long
|
68.6586
|
112,179,333
|
||||||||||
Bloomberg
WTI Crude Oil Subindex |
Royal
Bank of Canada |
Long
|
68.6586
|
113,997,533
|
||||||||||
Bloomberg
WTI Crude Oil Subindex |
Societe
Generale |
Long
|
68.6586
|
38,382,074
|
||||||||||
Bloomberg
WTI Crude Oil Subindex |
UBS
AG |
Long
|
68.6586
|
137,242,162
|
Futures
Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
Natural
Gas (NYMEX) |
Long
|
March 2020
|
4,185
|
$ |
2.16
|
10,000
|
$ |
90,312,300
|
||||||||||||||||
Futures
Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional
Amount
at Value
|
| ||||||||||||
Natural
Gas (NYMEX) |
Long
|
March
2019 |
1,025
|
$ |
2.85
|
10,000
|
$ |
29,222,750
|
Foreign
Currency Forward Contracts as of December 31, 2019
|
||||||||||||||||||||||
Reference
Currency
|
Counterparty
|
Long or Short |
|
Settlement Date |
|
Local Currency
|
|
Forward Rate
|
|
Market Value USD |
| |||||||||||
Euro
|
Goldman
Sachs International |
Long
|
01/10/20
|
5,436,377
|
1.1121
|
$ |
6,045,958
|
|||||||||||||||
Euro
|
UBS
AG |
Long
|
01/10/20
|
5,589,416
|
1.1123
|
6,217,058
|
||||||||||||||||
Foreign
Currency Forward Contracts as of December 31, 2018
|
||||||||||||||||||||||
Reference
Currency
|
Counterparty
|
Long
or Short |
|
Settlement Date |
|
Local
Currency |
|
Forward
Rate
|
|
Market
Value USD |
| |||||||||||
Euro
|
Goldman
Sachs International |
Long
|
01/11/19
|
7,046,525
|
1.1425
|
$ |
8,050,889
|
|||||||||||||||
Euro
|
UBS
AG |
Long
|
01/11/19
|
6,507,700
|
1.1414
|
7,427,758
|
||||||||||||||||
Euro
|
Goldman
Sachs International |
Short
|
01/11/19
|
(206,300 |
) |
1.1363
|
(234,428 |
) | ||||||||||||||
Euro
|
UBS
AG |
Short
|
01/11/19
|
(203,200 |
) |
1.1371
|
(231,052 |
) |
Futures
Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
Gold
Futures (COMEX) |
Long
|
February 2020
|
438
|
$ |
1,523.10
|
100
|
$ |
66,711,780
|
Swap
Agreements as of December 31, 2019 |
||||||||||||||
Reference
Index |
Counterparty
|
Long or Short |
|
Index
Close |
|
Notional Amount at Value |
| |||||||
Bloomberg
Gold Subindex |
Citibank, N.A.
|
Long
|
$ |
174.6300
|
$ |
60,437,683
|
||||||||
Bloomberg
Gold Subindex |
Goldman Sachs
International |
Long
|
174.6300
|
44,172,192
|
||||||||||
Bloomberg
Gold Subindex |
UBS
AG |
Long
|
174.6300
|
50,125,199
|
Futures
Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount
at Value |
| ||||||||||||
Gold
Futures (COMEX) |
Long
|
February 2019
|
47
|
$ |
1,282.70
|
100
|
$ |
6,022,110
|
Forward
Agreements as of December 31, 2018 |
||||||||||||||
Reference
Index |
Counterparty
|
Long or Short |
|
Valuation Price |
|
Notional Amount at Value |
| |||||||
0.995
Fine Troy Ounce Gold |
Citibank
N.A. |
Long
|
$ |
1,279.65
|
$ |
64,366,395
|
||||||||
0.995
Fine Troy Ounce Gold |
Goldman
Sachs International |
Long
|
1,279.71
|
48,862,980
|
||||||||||
0.995
Fine Troy Ounce Gold |
Societe
Generale |
Long
|
1,279.64
|
1,279,640
|
||||||||||
0.995
Fine Troy Ounce Gold |
UBS
AG |
Long
|
1,279.62
|
48,497,598
|
Futures
Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
Silver
Futures (COMEX) |
Long
|
March 2020
|
1,316
|
$ |
17.92
|
5,000
|
$ |
117,920,180
|
Swap
Agreements as of December 31, 2019 |
||||||||||||||
Reference
Index |
Counterparty
|
Long or Short |
|
Index
Close |
|
Notional Amount at Value |
| |||||||
Bloomberg
Silver Subindex |
Citibank,
N.A. |
Long
|
$ |
170.1072
|
$ |
152,640,569
|
||||||||
Bloomberg
Silver Subindex |
Goldman
Sachs International |
Long
|
170.1072
|
83,225,484
|
||||||||||
Bloomberg
Silver Subindex |
UBS
AG |
Long
|
170.1072
|
124,680,616
|
Futures
Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
Silver
Futures (COMEX) |
Long
|
March 2019
|
129
|
$ |
15.55
|
5,000
|
$ |
10,023,300
|
Reference
Index |
Counterparty
|
Long or Short |
|
Valuation Price |
|
Notional Amount at Value |
| |||||||
0.999
Fine Troy Ounce Silver |
Citibank
N.A. |
Long
|
$ |
15.4734
|
$ |
146,687,832
|
||||||||
0.999
Fine Troy Ounce Silver |
Goldman
Sachs International |
Long
|
15.4746
|
124,892,402
|
||||||||||
0.999
Fine Troy Ounce Silver |
Societe
Generale |
Long
|
15.4732
|
1,547,320
|
||||||||||
0.999
Fine Troy Ounce Silver |
UBS
AG |
Long
|
15.4747
|
120,486,014
|
Futures
Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
VIX
Futures (Cboe) |
Long
|
January 2020
|
29,402
|
$ |
14.63
|
1,000
|
$ |
430,004,250
|
||||||||||||||||
VIX
Futures (Cboe) |
Long
|
February 2020
|
20,358
|
16.63
|
1,000
|
338,451,750
|
Swap
Agreements as of December 31, 2019 |
||||||||||||||
Reference
Index |
Counterparty
|
Long or Short |
|
Index Close
|
|
Notional Amount at Value |
| |||||||
iPath
Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
|
Goldman
Sachs & Co. |
Long
|
$ |
14.9650
|
$ |
23,078,793
|
Futures
Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
VIX
Futures (Cboe) |
Long
|
January 2019
|
5,932
|
$ |
24.18
|
1,000
|
$ |
143,406,100
|
||||||||||||||||
VIX
Futures (Cboe) |
Long
|
February 2019
|
4,746
|
22.28
|
1,000
|
105,717,150
|
Swap
Agreements as of December 31, 2018 |
||||||||||||||
Reference
Index |
Counterparty
|
Long or Short |
|
Index Close
|
|
Notional Amount at Value |
| |||||||
iPath
S&P 500 VIX Short-Term Futures ETN IOPV |
Goldman
Sachs International |
Long
|
$ |
46.8826
|
$ |
72,301,516
|
Foreign
Currency Forward Contracts as of December 31, 2019
|
||||||||||||||||||||||
Reference
Currency
|
Counterparty
|
Long or Short |
|
Settlement Date |
|
Local Currency
|
|
Forward Rate
|
|
Market Value USD |
| |||||||||||
Yen
|
Goldman
Sachs International |
Long
|
01/10/20
|
325,804,302
|
0.009213
|
$ |
3,001,477
|
|||||||||||||||
Yen
|
UBS
AG |
Long
|
01/10/20
|
888,782,738
|
0.009214
|
8,189,206
|
||||||||||||||||
Yen
|
UBS
AG |
Short
|
01/10/20
|
(6,892,531 |
) |
0.009164
|
(63,163 |
) |
Foreign
Currency Forward Contracts as of December 31, 2018
|
||||||||||||||||||||||
Reference
Currency
|
Counterparty
|
Long or Short |
|
Settlement Date |
|
Local Currency
|
|
Forward Rate |
|
Market Value USD |
| |||||||||||
Yen
|
Goldman
Sachs International |
Long
|
01/11/19
|
314,867,300
|
0.008893
|
$ |
2,800,074
|
|||||||||||||||
Yen
|
UBS
AG |
Long
|
01/11/19
|
955,546,600
|
0.009017
|
8,615,742
|
||||||||||||||||
Yen
|
UBS
AG |
Short
|
01/11/19
|
(10,055,200 |
) |
0.008921
|
(89,698 |
) |
Futures
Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
WTI
Crude Oil (NYMEX) |
Long
|
March
2020 |
3,498
|
$ |
60.77
|
1,000
|
$ |
212,573,460
|
||||||||||||||||
Futures
Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional
Amount
at Value
|
| ||||||||||||
WTI
Crude Oil (NYMEX) |
Long
|
March 2019
|
5,751
|
$ |
45.72
|
1,000
|
$ |
262,935,720
|
Futures
Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
WTI
Crude Oil (NYMEX) |
Short
|
March 2020
|
4,511
|
$ |
60.77
|
1,000
|
$ |
(274,133,470 |
) |
Futures
Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
WTI
Crude Oil (NYMEX) |
Short
|
March 2019
|
1,225
|
$ |
45.72
|
1,000
|
$ |
(56,007,000 |
) |
Futures
Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
Australian
Dollar Fx Currency Futures (CME) |
Short
|
March 2020
|
160
|
$ |
70.31
|
1,000
|
$ |
(11,260,800 |
) |
Futures
Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
Australian
Dollar Fx Currency Futures (CME) |
Short
|
March 2019
|
315
|
$ |
70.54
|
1,000
|
$ |
(22,313,800 |
) |
Futures
Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
WTI
Crude Oil (NYMEX) |
Short
|
March 2020
|
1,864
|
$ |
60.77
|
1,000
|
$ |
(113,275,280 |
) |
Swap
Agreements as of December 31, 2019 |
||||||||||||||
Reference
Index |
Counterparty
|
Long or Short |
|
Index Close
|
|
Notional Amount at Value |
| |||||||
Bloomberg
WTI Crude Oil Subindex |
Citibank,
N.A. |
Short
|
$ |
90.3776
|
$ |
(39,727,981 |
) | |||||||
Bloomberg
WTI Crude Oil Subindex |
Goldman
Sachs International |
Short
|
90.3776
|
(37,407,865 |
) | |||||||||
Bloomberg
WTI Crude Oil Subindex |
Royal
Bank of Canada |
Short
|
90.3776
|
(31,487,418 |
) | |||||||||
Bloomberg
WTI Crude Oil Subindex |
Societe
Generale |
Short
|
90.3776
|
(9,213,127 |
) | |||||||||
Bloomberg
WTI Crude Oil Subindex |
UBS
AG |
Short
|
90.3776
|
(19,757,339 |
) |
Futures
Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
WTI
Crude Oil (NYMEX) |
Short
|
March 2019
|
641
|
$ |
45.72
|
1,000
|
$ |
(29,306,520 |
) | |||||||||||||||
Swap
Agreements as of December 31, 2018 |
Reference
Index |
Counterparty
|
Long or Short |
|
Index
Close
|
|
Notional
Amount
at Value
|
||||||||||||
Bloomberg
WTI Crude Oil Subindex |
Citibank
N.A. |
Short
|
$ |
68.6586
|
$ |
(67,986,223 |
) | |||||||||||
Bloomberg
WTI Crude Oil Subindex |
Goldman
Sachs International |
Short
|
68.6586
|
(43,744,157 |
) | |||||||||||||
Bloomberg
WTI Crude Oil Subindex |
Royal
Bank of Canada |
Short
|
68.6586
|
(31,327,722 |
) | |||||||||||||
Bloomberg
WTI Crude Oil Subindex |
Societe
Generale |
Short
|
68.6586
|
(13,980,566 |
) | |||||||||||||
Bloomberg
WTI Crude Oil Subindex |
UBS
AG |
Short
|
68.6586
|
(42,493,832 |
Futures
Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
Natural
Gas (NYMEX) |
Short
|
March 2020
|
1,160
|
$ |
2.16
|
10,000
|
$ |
(25,032,800 |
) |
Futures
Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
Natural
Gas (NYMEX) |
Short
|
March 2019
|
1,250
|
$ |
2.85
|
10,000
|
$ |
(35,637,500 |
) |
Foreign
Currency Forward Contracts as of December 31, 2019
|
||||||||||||||||||||||
Reference
Currency
|
Counterparty
|
Long or Short |
|
Settlement Date |
|
Local Currency
|
|
Forward Rate
|
|
Market
Value USD |
| |||||||||||
Euro
|
UBS
AG |
Long
|
01/10/20
|
19,396,955
|
1.1162
|
$ |
21,651,280
|
|||||||||||||||
Euro
|
Goldman
Sachs International |
Short
|
01/10/20
|
(112,762,143 |
) |
1.1121
|
(125,406,162 |
) | ||||||||||||||
Euro
|
UBS
AG |
Short
|
01/10/20
|
(122,358,446 |
) |
1.1121
|
(136,077,171 |
) | ||||||||||||||
Foreign
Currency Forward Contracts as of December 31, 2018
|
||||||||||||||||||||||
Reference
Currency
|
Counterparty
|
Long
or Short |
|
Settlement Date |
|
Local
Currency |
|
Forward
Rate
|
|
Market
Value USD |
| |||||||||||
Euro
|
Goldman
Sachs International |
Long
|
01/11/19
|
11,497,100
|
1.1418
|
$ |
13,127,174
|
|||||||||||||||
Euro
|
UBS
AG |
Long
|
01/11/19
|
33,071,100
|
1.1451
|
37,868,488
|
||||||||||||||||
Euro
|
Goldman
Sachs International |
Short
|
01/11/19
|
(152,127,525 |
) |
1.1422
|
(173,757,198 |
) | ||||||||||||||
Euro
|
UBS
AG |
Short
|
01/11/19
|
(161,054,700 |
) |
1.1407
|
(183,722,475 |
) |
Futures
Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
Gold
Futures (COMEX) |
Short
|
February 2020
|
76
|
$ |
1,523.10
|
100
|
$ |
(11,575,560 |
) |
Swap
Agreements as of December 31, 2019 |
||||||||||||||||
Reference
Index |
Counterparty
|
|
Long or Short |
|
Index
Close |
|
Notional Amount at Value |
| ||||||||
Bloomberg
Gold Subindex |
Citibank, N.A.
|
Short
|
$ |
174.6300
|
$ |
(13,940,590 |
) | |||||||||
Bloomberg
Gold Subindex |
Goldman Sachs International
|
Short
|
174.6300
|
(6,884,579 |
) | |||||||||||
Bloomberg
Gold Subindex |
UBS
AG |
Short
|
174.6300
|
(9,756,431 |
) |
Futures
Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
Gold
Futures (COMEX) |
Short
|
February 2019
|
10
|
$ |
1,282.70
|
100
|
$ |
(1,281,300 |
) |
Forward
Agreements as of December 31, 2018 |
||||||||||||||||
Reference
Index |
Counterparty
|
|
Long or Short |
|
Valuation Price |
|
Notional Amount at Value |
| ||||||||
0.995
Fine Troy Ounce Gold |
Citibank N.A
|
Short
|
$ |
1,279.65
|
$ |
(14,332,080 |
) | |||||||||
0.995
Fine Troy Ounce Gold |
Goldman Sachs International
|
Short
|
1,279.71
|
(9,723,237 |
) | |||||||||||
0.995
Fine Troy Ounce Gold |
Societe
Generale |
Short
|
1,279.64
|
(1,279,640 |
) | |||||||||||
0.995
Fine Troy Ounce Gold |
UBS
AG |
Short
|
1,279.62
|
(9,533,169 |
) |
Futures
Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
Silver
Futures (COMEX) |
Short
|
March 2020
|
27
|
$ |
17.92
|
5,000
|
$ |
(2,419,335 |
) |
Swap
Agreements as of December 31, 2019 |
||||||||||||||||
Reference
Index |
Counterparty
|
|
Long or Short |
|
Index
Close |
|
Notional Amount at Value |
| ||||||||
Bloomberg
Silver Subindex |
Citibank, N.A.
|
Short
|
$ |
170.1072
|
$ |
(9,595,700 |
) | |||||||||
Bloomberg
Silver Subindex |
Goldman Sachs International
|
Short
|
170.1072
|
(4,926,137 |
) | |||||||||||
Bloomberg
Silver Subindex |
UBS
AG |
Short
|
170.1072
|
(10,687,683 |
) |
Futures
Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
Silver
Futures (COMEX) |
Short
|
March 2019
|
11
|
$ |
15.55
|
5,000
|
$ |
(854,700 |
) |
Forward
Agreements as of December 31, 2018 |
||||||||||||||||
Reference
Index |
Counterparty
|
|
Long or Short |
|
Valuation Price |
|
Notional Amount at Value |
| ||||||||
0.999
Fine Troy Ounce Silver |
Citibank N.A.
|
Short
|
$ |
15.4734
|
$ |
(6,173,887 |
) | |||||||||
0.999
Fine Troy Ounce Silver |
Goldman Sachs International
|
Short
|
15.4746
|
(8,658,038 |
) | |||||||||||
0.999
Fine Troy Ounce Silver |
Societe
Generale |
Short
|
15.4732
|
(1,547,320 |
) | |||||||||||
0.999
Fine Troy Ounce Silver |
UBS
AG |
Short
|
15.4747
|
(6,298,203 |
) |
Foreign
Currency Forward Contracts as of December 31, 2019
|
||||||||||||||||||||||||
Reference
Currency
|
Counterparty
|
|
Long or Short |
|
Settlement Date |
|
Local
Currency |
|
Forward Rate
|
|
Market
Value USD |
| ||||||||||||
Yen
|
UBS
AG |
Long
|
01/10/20
|
1,025,624,482
|
0.009170
|
$ |
9,404,720
|
|||||||||||||||||
Yen
|
Goldman Sachs International
|
Short
|
01/10/20
|
(4,448,656,033 |
) |
0.009213
|
(40,983,307 |
) | ||||||||||||||||
Yen
|
UBS
AG |
Short
|
01/10/20
|
(4,893,578,348 |
) |
0.009211
|
(45,072,829 |
) |
Foreign
Currency Forward Contracts as of December 31, 2018
|
||||||||||||||||||||||||
Counterparty
|
|
Long or Short |
|
Settlement Date |
|
Yen
|
|
Forward Rate
|
|
Market
Value USD |
| |||||||||||||
Yen
|
Goldman Sachs International
|
Long
|
01/11/19
|
1,459,634,700
|
0.008901
|
$ |
12,991,545
|
|||||||||||||||||
Yen
|
UBS
AG |
Long
|
01/11/19
|
2,446,453,800
|
0.008985
|
21,980,969
|
||||||||||||||||||
Yen
|
Goldman
Sachs International |
Short
|
01/11/19
|
(7,490,711,300 |
) |
0.008893
|
(66,611,796 |
) | ||||||||||||||||
Yen
|
UBS
AG |
Short
|
01/11/19
|
(8,547,990,500 |
) |
0.008888
|
(75,970,705 |
) |
Futures
Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
VIX
Futures (Cboe) |
Long
|
April 2020
|
511
|
$ |
17.43
|
1,000
|
$ |
8,904,175
|
||||||||||||||||
VIX
Futures (Cboe) |
Long
|
May
2020 |
865
|
17.58
|
1,000
|
15,202,375
|
||||||||||||||||||
VIX
Futures (Cboe) |
Long
|
June
2020 |
865
|
17.88
|
1,000
|
15,461,875
|
||||||||||||||||||
VIX
Futures (Cboe) |
Long
|
July
2020 |
354
|
18.13
|
1,000
|
6,416,250
|
Futures
Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount
at Value |
| ||||||||||||
VIX
Futures (Cboe) |
Long
|
April 2019
|
503
|
$ |
20.98
|
1,000
|
$ |
10,550,425
|
||||||||||||||||
VIX
Futures (Cboe) |
Long
|
May
2019 |
906
|
20.75
|
1,000
|
18,799,500
|
||||||||||||||||||
VIX
Futures (Cboe) |
Long
|
June
2019 |
906
|
20.55
|
1,000
|
18,618,300
|
||||||||||||||||||
VIX
Futures (Cboe) |
Long
|
July
2019 |
403
|
20.68
|
1,000
|
8,332,025
|
Futures
Positions as of December 31, 2019 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount at Value |
| ||||||||||||
VIX
Futures (Cboe) |
Long
|
January 2020
|
10,706
|
$ |
14.63
|
1,000
|
$ |
156,575,250
|
||||||||||||||||
VIX
Futures (Cboe) |
Long
|
February 2020
|
7,415
|
16.63
|
1,000
|
123,274,375
|
Futures
Positions as of December 31, 2018 |
||||||||||||||||||||||||
Contract
|
Long or Short |
|
Expiration
|
|
Contracts
|
|
Valuation Price |
|
Contract Multiplier |
|
Notional Amount
at Value |
| ||||||||||||
VIX
Futures (Cboe) |
Long
|
January 2019
|
3,561
|
$ |
24.18
|
1,000
|
$ |
86,087,175
|
||||||||||||||||
VIX
Futures (Cboe) |
Long
|
February 2019
|
2,849
|
22.28
|
1,000
|
63,461,475
|
Three
Months Ended (unaudited) |
Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net
investment income (loss) |
$ |
37,625
|
$ |
71,866
|
$ |
60,251
|
$ |
6,509
|
$ |
176,251
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
350,977
|
$ |
(157,901 |
) | $ |
963,281
|
$ |
(153,379 |
) | $ |
1,002,978
|
||||||||
Net
income (loss) |
$ |
388,602
|
$ |
(86,035 |
) | $ |
1,023,532
|
$ |
(146,870 |
) | $ |
1,179,229
|
||||||||
Net
increase (decrease) in net asset value per share |
$ |
1.33
|
$ |
(0.18 |
) | $ |
2.38
|
$ |
(0.99 |
) | $ |
2.54
|
||||||||
Three
Months Ended (unaudited) |
Year
Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net
investment income (loss) |
$ |
934
|
$ |
7,908
|
$ |
11,261
|
$ |
24,354
|
$ |
44,457
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
(142,252 |
) | $ |
460,859
|
$ |
87,653
|
$ |
177,089
|
$ |
583,349
|
|||||||||
Net
income (loss) |
$ |
(141,318 |
) | $ |
468,767
|
$ |
98,914
|
$ |
201,443
|
$ |
627,806
|
|||||||||
Net
increase (decrease) in net asset value per share |
$ |
(0.71 |
) | $ |
2.35
|
$ |
0.49
|
$ |
1.01
|
$ |
3.14
|
Three
Months Ended (unaudited) |
Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019
|
June 30,
2019 |
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net
investment income (loss) |
$ |
45,436
|
$ |
725,505
|
$ |
366,033
|
$ |
25,189
|
$ |
1,162,163
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
81,676,814
|
$ |
15,996,074
|
$ |
(4,250,833 |
) | $ |
56,953,543
|
$ |
150,375,598
|
|||||||||
Net
income (loss) |
$ |
81,722,250
|
$ |
16,721,579
|
$ |
(3,884,800 |
) | $ |
56,978,732
|
$ |
151,537,761
|
|||||||||
Net
increase (decrease) in net asset value per share |
$ |
9.95
|
$ |
2.20
|
$ |
(0.58 |
) | $ |
11.69
|
$ |
23.26
|
|||||||||
Three
Months Ended (unaudited) |
Year
Ended December 31, 2018 |
|||||||||||||||||||
March 31,
2018 |
June 30,
2018 |
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net
investment income (loss) |
$ |
(1,750,599 |
) | $ |
(645,154 |
) | $ |
(101,161 |
) | $ |
287,559
|
$ |
(2,209,355 |
) | ||||||
Net
realized and unrealized gain (loss) |
$ |
(1,937,523,391 |
) | $ |
70,228,943
|
$ |
71,756,231
|
$ |
(121,751,400 |
) | $ |
(1,917,289,617 |
) | |||||||
Net
income (loss) |
$ |
(1,939,273,990 |
) | $ |
69,583,789
|
$ |
71,655,070
|
$ |
(121,463,841 |
) | $ |
(1,919,498,972 |
) | |||||||
Net
increase (decrease) in net asset value per share |
$ |
(462.82 |
) | $ |
4.72
|
$ |
8.00
|
$ |
(16.74 |
) | $ |
(466.84 |
) |
Three
Months Ended (unaudited) |
Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31,
2019 |
June 30,
2019 |
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net
investment income (loss) |
$ |
1,095,944
|
$ |
1,231,167
|
$ |
964,368
|
$ |
573,105
|
$ |
3,864,584
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
219,922,437
|
$ |
(11,746,328 |
) | $ |
(44,341,886 |
) | $ |
89,750,924
|
$ |
253,585,147
|
||||||||
Net
income (loss) |
$ |
221,018,381
|
$ |
(10,515,161 |
) | $ |
(43,377,518 |
) | $ |
90,324,029
|
$ |
257,449,731
|
||||||||
Net
increase (decrease) in net asset value per share |
$ |
8.46
|
$ |
(1.89 |
) | $ |
(3.55 |
) | $ |
4.29
|
$ |
7.31
|
Three
Months Ended (unaudited) |
Year
Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018
|
June 30,
2018 |
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net
investment income (loss) |
$ |
334,994
|
$ |
650,229
|
$ |
907,471
|
$ |
1,130,114
|
$ |
3,022,808
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
74,009,930
|
$ |
103,315,781
|
$ |
17,868,429
|
$ |
(334,398,877 |
) | $ |
(139,204,737 |
) | ||||||||
Net
income (loss) |
$ |
74,344,924
|
$ |
103,966,010
|
$ |
18,775,900
|
$ |
(333,268,763 |
) | $ |
(136,181,929 |
) | ||||||||
Net
increase (decrease) in net asset value per share |
$ |
3.82
|
$ |
6.85
|
$ |
1.43
|
$ |
(22.70 |
) | $ |
(10.60 |
) |
Three
Months Ended (unaudited) |
Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31,
2019 |
June 30,
2019 |
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net
investment income (loss) |
$ |
44,045
|
$ |
49,884
|
$ |
64,345
|
$ |
4,114
|
$ |
162,388
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
(2,956,899 |
) | $ |
(8,646,662 |
) | $ |
1,504,321 |
$ |
(14,608,364 |
) | $ |
(24,707,604 |
) | ||||||
Net
income (loss) |
$ |
(2,912,854 |
) | $ |
(8,596,778 |
) | $ |
1,568,666
|
$ |
(14,604,250 |
) | $ |
(24,545,216 |
) | ||||||
Net
increase (decrease) in net asset value per share |
$ |
(4.95 |
) | $ |
(6.48 |
) | $ |
(0.98 |
) | $ |
(4.47 |
) | $ |
(16.88 |
) | |||||
Three
Months Ended (unaudited) |
Year
Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018
|
June 30,
2018 |
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net
investment income (loss) |
$ |
7,455
|
$ |
21,771
|
$ |
30,444
|
$ |
36,649
|
$ |
96,319
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
(3,836,207 |
) | $ |
1,576,734
|
$ |
1,494,408
|
$ |
4,310,866
|
$ |
3,545,801
|
|||||||||
Net
income (loss) |
$ |
(3,828,752 |
) | $ |
1,598,505
|
$ |
1,524,852
|
$ |
4,347,515
|
$ |
3,642,120
|
|||||||||
Net
increase (decrease) in net asset value per share |
$ |
(5.16 |
) | $ |
1.80
|
$ |
1.06
|
$ |
(5.06 |
) | $ |
(7.36 |
) |
Three
Months Ended (unaudited) |
Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net
investment income (loss) |
$ |
20,829
|
$ |
18,923
|
$ |
12,333
|
$ |
6,443
|
$ |
58,528
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
(452,758 |
) | $ |
75,978
|
$ |
(546,620 |
) | $ |
252,983
|
$ |
(670,417 |
) | |||||||
Net
income (loss) |
$ |
(431,929 |
) | $ |
94,901
|
$ |
(534,287 |
) | $ |
259,426 |
$ |
(611,889 |
) | |||||||
Net
increase (decrease) in net asset value per share |
$ |
(0.80 |
) | $ |
0.21
|
$ |
(1.33 |
) | $ |
0.62
|
$ |
(1.30 |
) | |||||||
Three
Months Ended (unaudited) |
Year
Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018
|
June 30,
2018 |
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net
investment income (loss) |
$ |
1,487
|
$ |
3,336
|
$ |
8,290
|
$ |
17,710
|
$ |
30,823
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
318,529
|
$ |
(1,063,679 |
) | $ |
(199,010 |
) | $ |
(325,517 |
) | $ |
(1,269,677 |
) | ||||||
Net
income (loss) |
$ |
320,016
|
$ |
(1,060,343 |
) | $ |
(190,720 |
) | $ |
(307,807 |
) | $ |
(1,238,854 |
) | ||||||
Net
increase (decrease) in net asset value per share |
$ |
0.66
|
$ |
(2.01 |
) | $ |
(0.39 |
) | $ |
(0.61 |
) | $ |
(2.35 |
) |
Three
Months Ended (unaudited) |
Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019
|
June 30,
2019 |
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net
investment income (loss) |
$ |
212,786
|
$ |
228,086
|
$ |
254,636
|
$ |
207,429
|
$ |
902,937
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
279,826
|
$ |
12,185,406
|
$ |
4,937,206
|
$ |
6,001,591
|
$ |
23,404,029
|
||||||||||
Net
income (loss) |
$ |
492,612
|
$ |
12,413,492
|
$ |
5,191,842
|
$ |
6,209,020 |
$ |
24,306,966 |
||||||||||
Net
increase (decrease) in net asset value per share |
$ |
0.20
|
$ |
6.46
|
$ |
2.75
|
$ |
2.68
|
$ |
12.09
|
Three
Months Ended (unaudited) |
Year
Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018
|
June 30,
2018 |
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net
investment income (loss) |
$ |
87,511
|
$ |
174,419
|
$ |
187,472
|
$ |
176,229
|
$ |
625,631
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
3,647,616
|
$ |
(11,510,819 |
) | $ |
(9,205,070 |
) | $ |
10,403,281
|
$ |
(6,664,992 |
) | |||||||
Net
income (loss) |
$ |
3,735,127
|
$ |
(11,336,400 |
) | $ |
(9,017,598 |
) | $ |
10,579,510
|
$ |
(6,039,361 |
) | |||||||
Net
increase (decrease) in net asset value per share |
$ |
1.56
|
$ |
(4.95 |
) | $ |
(4.00 |
) | $ |
4.63
|
$ |
(2.76 |
) |
Three
Months Ended (unaudited) |
Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31,
2019 |
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net
investment income (loss) |
$ |
445,559
|
$ |
512,068
|
$ |
489,406
|
$ |
409,237
|
$ |
1,856,270
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
(13,588,404 |
) | $ |
485,637
|
$ |
33,071,129
|
$ |
18,628,882
|
$ |
38,597,244
|
|||||||||
Net
income (loss) |
$ |
(13,142,845 |
) | $ |
997,705
|
$ |
33,560,535
|
$ |
19,038,119
|
$ |
40,453,514
|
|||||||||
Net
increase (decrease) in net asset value per share |
$ |
(1.87 |
) | $ |
.10
|
$ |
4.59
|
$ |
2.49
|
$ |
5.31
|
|||||||||
Three
Months Ended (unaudited) |
Year
Ended December 31, 2018 |
|||||||||||||||||||
March 31,
2018 |
June 30,
2018 |
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net
investment income (loss) |
$ |
214,408
|
$ |
386,411
|
$ |
489,197
|
$ |
379,163
|
$ |
1,469,179
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
(19,015,679 |
) | $ |
(9,668,809 |
) | $ |
(50,021,707 |
) | $ |
26,147,651
|
$ |
(52,558,544 |
) | ||||||
Net
income (loss) |
$ |
(18,801,271 |
) | $ |
(9,282,398 |
) | $ |
(49,532,510 |
) | $ |
26,526,814
|
$ |
(51,089,365 |
) | ||||||
Net
increase (decrease) in net asset value per share |
$ |
(2.72 |
) | $ |
(1.45 |
) | $ |
(6.36 |
) | $ |
3.37
|
$ |
(7.16 |
) |
Three
Months Ended (unaudited) |
Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31,
2019 |
June 30,
2019 |
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net
investment income (loss) |
$ |
(150,629 |
) | $ |
507,125
|
$ |
128,125
|
$ |
(389,569 |
) | $ |
95,052
|
||||||||
Net
realized and unrealized gain (loss) |
$ |
(234,281,324 |
) | $ |
(94,539,260 |
) | $ |
(10,108,464 |
) | $ |
(351,677,844 |
) | $ |
(690,606,892 |
) | |||||
Net
income (loss) |
$ |
(234,431,953 |
) | $ |
(94,032,135 |
) | $ |
(9,980,339 |
) | $ |
(352,067,413 |
) | $ |
(690,511,840 |
) | |||||
Net
increase (decrease) in net asset value per share |
$ |
(42.46 |
) | $ |
(8.63 |
) | $ |
(4.99 |
) | $ |
(12.71 |
) | $ |
(68.79 |
) | |||||
Three
Months Ended (unaudited) |
Year
Ended December 31, 2018 |
|||||||||||||||||||
March 31,
2018 |
June 30,
2018 |
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net
investment income (loss) |
$ |
(1,067,496 |
) | $ |
(1,082,646 |
) | $ |
(1,124,013 |
) | $ |
128,484
|
$ |
(3,145,671 |
) | ||||||
Net
realized and unrealized gain (loss) |
$ |
484,076,554
|
$ |
(148,750,315 |
) | $ |
(230,179,281 |
) | $ |
350,498,454
|
$ |
455,645,412
|
||||||||
Net
income (loss) |
$ |
483,009,058
|
$ |
(149,832,961 |
) | $ |
(231,303,294 |
) | $ |
350,626,938
|
$ |
452,499,741
|
||||||||
Net
increase (decrease) in net asset value per share |
$ |
43.35
|
$ |
(33.76 |
) | $ |
(24.76 |
) | $ |
44.96
|
$ |
29.79
|
Three
Months Ended (unaudited) |
Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net
investment income (loss) |
$ |
14,571
|
$ |
9,668
|
$ |
8,446
|
$ |
5,829
|
$ |
38,514
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
(189,904 |
) | $ |
154,832
|
$ |
(38,615 |
) | $ |
(55,889 |
) | $ |
(129,576 |
) | ||||||
Net
income (loss) |
$ |
(175,333 |
) | $ |
164,500
|
$ |
(30,169 |
) | $ |
(50,060 |
) | $ |
(91,062 |
) | ||||||
Net
increase (decrease) in net asset value per share |
$ |
(1.88 |
) | $ |
2.44
|
$ |
(1.03 |
) | $ |
(1.23 |
) | $ |
(1.70 |
) |
Three
Months Ended (unaudited) |
Year
Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net
investment income (loss) |
$ |
(3,069 |
) | $ |
(2,527 |
) | $ |
(1,364 |
) | $ |
5,977
|
$ |
(983 |
) | ||||||
Net
realized and unrealized gain (loss) |
$ |
310,931
|
$ |
(277,136 |
) | $ |
(177,347 |
) | $ |
185,406
|
$ |
41,854
|
||||||||
Net
income (loss) |
$ |
307,862
|
$ |
(279,663 |
) | $ |
(178,711 |
) | $ |
191,383
|
$ |
40,871
|
||||||||
Net
increase (decrease) in net asset value per share |
$ |
6.16
|
$ |
(5.60 |
) | $ |
(3.57 |
) | $ |
3.22
|
$ |
0.21
|
Three
Months Ended (unaudited) |
Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31,
2019 |
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net
investment income (loss) |
$ |
252,849 |
$ |
260,997 |
$ |
166,187 |
$ |
50,048 |
$ |
730,081 |
||||||||||
Net
realized and unrealized gain (loss) |
$ |
86,429,677 |
$ |
(9,317,208 |
) | $ |
(20,140,427 |
) | $ |
42,925,640 |
$ |
99,897,682 |
||||||||
Net
income (loss) |
$ |
86,682,526 |
$ |
(9,056,211 |
) | $ |
(19,974,240 |
) | $ |
42,975,688 |
$ |
100,627,763 |
||||||||
Net
increase (decrease) in net asset value per share |
$ |
13.87 |
$ |
(4.41 |
) | $ |
(7.12 |
) | $ |
6.05 |
$ |
8.39 |
||||||||
Three
Months Ended (unaudited) |
Year
Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018
|
June 30,
2018 |
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net
investment income (loss) |
$ |
(31,115 |
) | $ |
(64,951 |
) | $ |
3,898
|
$ |
53,884
|
$ |
(38,284 |
) | |||||||
Net
realized and unrealized gain (loss) |
$ |
3,206,782
|
$ |
8,642,480
|
$ |
4,526,787
|
$ |
(78,680,204 |
) | $ |
(62,304,155 |
) | ||||||||
Net
income (loss) |
$ |
3,175,667
|
$ |
8,577,529
|
$ |
4,530,685
|
$ |
(78,626,320 |
) | $ |
(62,342,439 |
) | ||||||||
Net
increase (decrease) in net asset value per share |
$ |
8.52
|
$ |
16.48
|
$ |
2.36
|
$ |
(52.06 |
) | $ |
(24.70 |
) |
Three
Months Ended (unaudited) |
Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31,
2019 |
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net
investment income (loss) |
$ |
24,014
|
$ |
37,229
|
$ |
36,261
|
$ |
5,893
|
$ |
103,397
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
(11,765,350 |
) | $ |
112,611
|
$ |
17,342,394
|
$ |
(23,468,770 |
) | $ |
(17,779,115 |
) | |||||||
Net
income (loss) |
$ |
(11,741,336 |
) | $ |
149,840
|
$ |
17,378,655
|
$ |
(23,462,877 |
) | $ |
(17,675,718 |
) | |||||||
Net
increase (decrease) in net asset value per share |
$ |
(29.17 |
) | $ |
(0.82 |
) | $ |
(2.77 |
) | $ |
(6.37 |
) | $ |
(39.13 |
) | |||||
Three
Months Ended (unaudited) |
Year
Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018
|
June 30,
2018 |
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net
investment income (loss) |
$ |
(67,214 |
) | $ |
(65,455 |
) | $ |
(8,035 |
) | $ |
32,013
|
$ |
(108,691 |
) | ||||||
Net
realized and unrealized gain (loss) |
$ |
(5,422,950 |
) | $ |
(8,500,464 |
) | $ |
(2,905,992 |
) | $ |
34,214,317
|
$ |
17,384,911
|
|||||||
Net
income (loss) |
$ |
(5,490,164 |
) | $ |
(8,565,919 |
) | $ |
(2,914,027 |
) | $ |
34,246,330
|
$ |
17,276,220
|
|||||||
Net
increase (decrease) in net asset value per share |
$ |
(11.52 |
) | $ |
(11.49 |
) | $ |
(2.90 |
) | $ |
33.38
|
$ |
7.47
|
Three
Months Ended (unaudited) |
Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net
investment income (loss) |
$ |
25,789
|
$ |
25,895
|
$ |
19,953
|
$ |
8,688
|
$ |
80,325
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
(314,459 |
) | $ |
175,523
|
$ |
663,547
|
$ |
(427,020 |
) | $ |
97,591
|
||||||||
Net
income (loss) |
$ |
(288,670 |
) | $ |
201,418
|
$ |
683,500
|
$ |
(418,332 |
) | $ |
177,916
|
||||||||
Net
increase (decrease) in net asset value per share |
$ |
(0.88 |
) | $ |
1.34
|
$ |
4.75
|
$ |
(4.42 |
) | $ |
0.79
|
Three
Months Ended (unaudited) |
Year
Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net
investment income (loss) |
$ |
135
|
$ |
4,750
|
$ |
9,501
|
$ |
22,360
|
$ |
36,746
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
71,892
|
$ |
509,518
|
$ |
371,946
|
$ |
580,876
|
$ |
1,534,232
|
||||||||||
Net
income (loss) |
$ |
72,027
|
$ |
514,268
|
$ |
381,447
|
$ |
603,236
|
$ |
1,570,978
|
||||||||||
Net
increase (decrease) in net asset value per share |
$ |
1.42
|
$ |
3.43
|
$ |
2.19
|
$ |
2.59
|
$ |
9.63
|
Three
Months Ended (unaudited) |
Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31,
2019 |
June 30,
2019 |
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net
investment income (loss) |
$ |
185,815
|
$ |
215,797
|
$ |
200,283
|
$ |
107,904
|
$ |
709,799
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
(42,073,393 |
) | $ |
7,580,828
|
$ |
10,965,855
|
$ |
(21,789,492 |
) | $ |
(45,316,202 |
) | |||||||
Net
income (loss) |
$ |
(41,887,578 |
) | $ |
7,796,625
|
$ |
11,166,138
|
$ |
(21,681,588 |
) | $ |
(44,606,403 |
) | |||||||
Net
increase (decrease) in net asset value per share |
$ |
(12.90 |
) | $ |
(0.03 |
) | $ |
(0.46 |
) | $ |
(4.21 |
) | $ |
(17.60 |
) | |||||
Three
Months Ended (unaudited) |
Year
Ended December 31, 2018 |
|||||||||||||||||||
March 31,
2018 |
June 30,
2018 |
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net
investment income (loss) |
$ |
189,482
|
$ |
343,498
|
$ |
350,275
|
$ |
155,375
|
$ |
1,038,630
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
(32,789,044 |
) | $ |
(49,301,579 |
) | $ |
(9,315,729 |
) | $ |
107,877,779
|
$ |
16,471,427
|
|||||||
Net
income (loss) |
$ |
(32,599,562 |
) | $ |
(48,958,081 |
) | $ |
(8,965,454 |
) | $ |
108,033,154
|
$ |
17,510,057
|
|||||||
Net
increase (decrease) in net asset value per share |
$ |
(4.35 |
) | $ |
(5.03 |
) | $ |
(1.34 |
) | $ |
16.20
|
$ |
5.48
|
Three
Months Ended (unaudited) |
Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019
|
June 30,
2019 |
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net
investment income (loss) |
$ |
19,484
|
$ |
11,719
|
$ |
4,656
|
$ |
(6,442 |
) | $ |
29,417
|
|||||||||
Net
realized and unrealized gain (loss) |
$ |
1,002,714
|
$ |
2,903,656
|
$ |
723,285
|
$ |
4,491,526
|
$ |
9,121,181
|
||||||||||
Net
income (loss) |
$ |
1,022,198
|
$ |
2,915,375
|
$ |
727,941
|
$ |
4,485,084
|
$ |
9,150,598
|
||||||||||
Net
increase (decrease) in net asset value per share |
$ |
1.04
|
$ |
8.10
|
$ |
(1.33 |
) | $ |
9.11
|
$ |
16.92
|
|||||||||
Three
Months Ended (unaudited) |
Year
Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net
investment income (loss) |
$ |
(9,587 |
) | $ |
(2,564 |
) | $ |
1,662
|
$ |
6,035
|
$ |
(4,454 |
) | |||||||
Net
realized and unrealized gain (loss) |
$ |
1,678,891
|
$ |
(587,894 |
) | $ |
(278,829 |
) | $ |
(3,025,179 |
) | $ |
(2,213,011 |
) | ||||||
Net
income (loss) |
$ |
1,669,304
|
$ |
(590,458 |
) | $ |
(277,167 |
) | $ |
(3,019,144 |
) | $ |
(2,217,465 |
) | ||||||
Net
increase (decrease) in net asset value per share |
$ |
3.40
|
$ |
(4.29 |
) | $ |
(2.99 |
) | $ |
(13.99 |
) | $ |
(17.87 |
) |
Three
Months Ended (unaudited) |
Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019 |
June 30,
2019 |
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net
investment income (loss) |
$ |
434,473
|
$ |
471,256
|
$ |
371,679
|
$ |
251,422
|
$ |
1,528,830
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
7,754,055
|
$ |
(1,896,379 |
) | $ |
12,977,337
|
$ |
(5,841,242 |
) | $ |
12,993,771
|
||||||||
Net
income (loss) |
$ |
8,188,528
|
$ |
(1,425,123 |
) | $ |
13,349,016
|
$ |
(5,589,820 |
) | $ |
14,522,601
|
||||||||
Net
increase (decrease) in net asset value per share |
$ |
1.40
|
$ |
(0.28 |
) | $ |
2.63
|
$ |
(1.22 |
) | $ |
2.53
|
Three
Months Ended (unaudited) |
Year
Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018
|
June 30,
2018 |
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net
investment income (loss) |
$ |
168,129
|
$ |
322,447
|
$ |
376,603
|
$ |
457,315
|
$ |
1,324,494
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
(8,816,475 |
) | $ |
22,599,812
|
$ |
3,375,847
|
$ |
6,663,407
|
$ |
23,822,591
|
|||||||||
Net
income (loss) |
$ |
(8,648,346 |
) | $ |
22,922,259
|
$ |
3,752,450
|
$ |
7,120,722
|
$ |
25,147,085
|
|||||||||
Net
increase (decrease) in net asset value per share |
$ |
(0.88 |
) | $ |
2.46
|
$ |
0.51
|
$ |
0.97
|
$ |
3.06
|
Three
Months Ended (unaudited) |
Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019
|
June 30,
2019 |
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net
investment income (loss) |
$ |
47,471
|
$ |
52,582
|
$ |
53,681
|
$ |
32,980
|
$ |
186,714
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
(290,878 |
) | $ |
(3,257,747 |
) | $ |
(767,290 |
) | $ |
(1,417,644 |
) | $ |
(5,733,559 |
) | |||||
Net
income (loss) |
$ |
(243,407 |
) | $ |
(3,205,165 |
) | $ |
(713,609 |
) | $ |
(1,384,664 |
) | $ |
(5,546,845 |
) | |||||
Net
increase (decrease) in net asset value per share |
$ |
(0.86 |
) | $ |
(11.28 |
) | $ |
(4.58 |
) | $ |
(3.54 |
) | $ |
(20.26 |
) | |||||
Three
Months Ended (unaudited) |
Year
Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018
|
June 30,
2018 |
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net
investment income (loss) |
$ |
22,378
|
$ |
47,828
|
$ |
51,360
|
$ |
49,775
|
$ |
171,341
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
(1,361,639 |
) | $ |
3,454,273
|
$ |
2,987,259
|
$ |
(3,283,495 |
) | $ |
1,796,398
|
||||||||
Net
income (loss) |
$ |
(1,339,261 |
) | $ |
3,502,101
|
$ |
3,038,619
|
$ |
(3,233,720 |
) | $ |
1,967,739
|
||||||||
Net
increase (decrease) in net asset value per share |
$ |
(3.33 |
) | $ |
8.51
|
$ |
8.75
|
$ |
(11.12 |
) | $ |
2.81
|
Three
Months Ended (unaudited) |
Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019
|
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net
investment income (loss) |
$ |
31,554
|
$ |
42,177
|
$ |
40,671
|
$ |
17,511
|
$ |
131,913
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
745,325
|
$ |
(596,758 |
) | $ |
(2,836,930 |
) | $ |
(2,053,612 |
) | $ |
(4,741,975 |
) | ||||||
Net
income (loss) |
$ |
776,879
|
$ |
(554,581 |
) | $ |
(2,796,259 |
) | $ |
(2,036,100 |
) | $ |
(4,610,061 |
) | ||||||
Net
increase (decrease) in net asset value per share |
$ |
2.05
|
$ |
(0.96 |
) | $ |
(8.35 |
) | $ |
(3.11 |
) | $ |
(10.37 |
) | ||||||
Three
Months Ended (unaudited) |
Year
Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018
|
June 30, 2018
|
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net
investment income (loss) |
$ |
13,187
|
$ |
33,075
|
$ |
41,266
|
$ |
24,944
|
$ |
112,472
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
1,107,177
|
$ |
811,275
|
$ |
5,482,203
|
$ |
(2,494,901 |
) | $ |
4,905,754
|
|||||||||
Net
income (loss) |
$ |
1,120,364
|
$ |
844,350
|
$ |
5,523,469
|
$ |
(2,469,957 |
) | $ |
5,018,226
|
|||||||||
Net
increase (decrease) in net asset value per share |
$ |
2.22
|
$ |
0.84
|
$ |
8.79
|
$ |
(6.43 |
) | $ |
5.42
|
Three
Months Ended (unaudited) |
Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31, 2019
|
June 30,
2019 |
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net
investment income (loss) |
$ |
167,574
|
$ |
175,443
|
$ |
137,637
|
$ |
74,820
|
$ |
555,474
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
2,090,200
|
$ |
(2,316,880 |
) | $ |
605,022
|
$ |
862,500
|
$ |
1,240,842
|
|||||||||
Net
income (loss) |
$ |
2,257,774
|
$ |
(2,141,437 |
) | $ |
742,659
|
$ |
937,320
|
$ |
1,796,316
|
|||||||||
Net
increase (decrease) in net asset value per share |
$ |
2.58
|
$ |
(3.01 |
) | $ |
1.27
|
$ |
1.64
|
$ |
2.48
|
Three
Months Ended (unaudited) |
Year
Ended December 31, 2018 |
|||||||||||||||||||
March 31,
2018 |
June 30,
2018 |
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net
investment income (loss) |
$ |
81,401
|
$ |
151,662
|
$ |
178,878
|
$ |
195,933
|
$ |
607,874
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
(11,656,244 |
) | $ |
7,918,559
|
$ |
4,795,653
|
$ |
(3,586,623 |
) | $ |
(2,528,655 |
) | |||||||
Net
income (loss) |
$ |
(11,574,843 |
) | $ |
8,070,221
|
$ |
4,974,531
|
$ |
(3,390,690 |
) | $ |
(1,920,781 |
) | |||||||
Net
increase (decrease) in net asset value per share |
$ |
(7.73 |
) | $ |
6.29
|
$ |
4.72
|
$ |
(4.32 |
) | $ |
(1.04 |
) |
Three
Months Ended (unaudited) |
Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31,
2019 |
June 30, 2019
|
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net
investment income (loss) |
$ |
149,266
|
$ |
133,606
|
$ |
129,497
|
$ |
80,844
|
$ |
493,213
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
(10,628,469 |
) | $ |
(852,138 |
) | $ |
4,127,635
|
$ |
(4,913,553 |
) | $ |
(12,266,525 |
) | ||||||
Net
income (loss) |
$ |
(10,479,203 |
) | $ |
(718,532 |
) | $ |
4,257,132
|
$ |
(4,832,709 |
) | $ |
(11,773,312 |
) | ||||||
Net
increase (decrease) in net asset value per share |
$ |
(5.01 |
) | $ |
(0.22 |
) | $ |
2.08
|
$ |
(2.23 |
) | $ |
(5.38 |
) | ||||||
Three
Months Ended (unaudited) |
Year
Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018
|
June 30,
2018 |
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net
investment income (loss) |
$ |
(4,487 |
) | $ |
2,771
|
$ |
20,539
|
$ |
97,505
|
$ |
116,328
|
|||||||||
Net
realized and unrealized gain (loss) |
$ |
8,636,903
|
$ |
(2,832,596 |
) | $ |
(2,176,011 |
) | $ |
6,677,557
|
$ |
10,305,853
|
||||||||
Net
income (loss) |
$ |
8,632,416
|
$ |
(2,829,825 |
) | $ |
(2,155,472 |
) | $ |
6,775,062
|
$ |
10,422,181
|
||||||||
Net
increase (decrease) in net asset value per share |
$ |
5.32
|
$ |
(3.58 |
) | $ |
(2.46 |
) | $ |
6.08
|
$ |
5.36
|
Three
Months Ended (unaudited) |
Year
Ended December 31, 2019 |
|||||||||||||||||||
March 31,
2019 |
June 30,
2019 |
September 30, 2019
|
December 31, 2019
|
|||||||||||||||||
Net
investment income (loss) |
$ |
476,702
|
$ |
724,602
|
$ |
615,421
|
$ |
336,674
|
$ |
2,153,399
|
||||||||||
Net
realized and unrealized gain (loss) |
$ |
(76,190,815 |
) | $ |
(23,082,821 |
) | $ |
(2,496,651 |
) | $ |
(125,351,164 |
) | $ |
(227,121,451 |
) | |||||
Net
income (loss) |
$ |
(75,714,113 |
) | $ |
(22,358,219 |
) | $ |
(1,881,230 |
) | $ |
(125,014,490 |
) | $ |
(224,968,052 |
) | |||||
Net
increase (decrease) in net asset value per share |
$ |
(14.50 |
) | $ |
(3.22 |
) | $ |
(1.67 |
) | $ |
(6.89 |
) | $ |
(26.28 |
) | |||||
Three
Months Ended (unaudited) |
Year
Ended December 31, 2018 |
|||||||||||||||||||
March 31, 2018
|
June 30,
2018 |
September 30, 2018
|
December 31, 2018
|
|||||||||||||||||
Net
investment income (loss) |
$ |
(47,426 |
) | $ |
(16,991 |
) | $ |
50,013
|
$ |
381,069
|
$ |
366,665
|
||||||||
Net
realized and unrealized gain (loss) |
$ |
91,294,868
|
$ |
(23,350,906 |
) | $ |
(41,230,299 |
) | $ |
85,342,613
|
$ |
112,056,276
|
||||||||
Net
income (loss) |
$ |
91,247,442
|
$ |
(23,367,897 |
) | $ |
(41,180,286 |
) | $ |
85,723,682
|
$ |
112,422,941
|
||||||||
Net
increase (decrease) in net asset value per share |
$ |
16.42
|
$ |
(9.34 |
) | $ |
(8.57 |
) | $ |
16.73
|
$ |
15.24
|
• | selects the Funds’ service providers; |
• | negotiates various agreements and fees; |
• | performs such other services as the Sponsor believes that the Trust may require from time to time; |
• | selects the FCM and Financial Instrument counterparties; |
• | manages each Fund’s portfolio of other assets, including cash equivalents; and |
• | manages the Funds with a view toward achieving the Funds’ investment objectives. |
Name |
Position
| |
Michael
L. Sapir |
Chief
Executive Officer and Principal of the Sponsor | |
Louis
M. Mayberg |
Principal
of the Sponsor | |
William
E. Seale |
Principal
of the Sponsor | |
Sapir
Family Trust |
Principal
of the Sponsor | |
Northstar
Trust |
Principal
of the Sponsor | |
Timothy
N. Coakley |
Chief
Financial Officer and Principal of the Sponsor | |
Edward
J. Karpowicz |
Principal
Financial Officer of the Trust and Principal of the Sponsor
| |
Todd
B. Johnson* |
Principal
Executive Officer of the Trust and Chief Investment Officer and Principal
of the Sponsor | |
Hratch
Najarian |
Director,
Portfolio Management and Principal of the Sponsor | |
Alexander
Ilyasov |
Senior
Portfolio Manager of the Sponsor | |
Ryan
Dofflemeyer |
Portfolio
Manager and Associated Person of the Sponsor | |
Benjamin
McAbee |
Portfolio
Manager of the Sponsor | |
Victor
M. Frye |
Principal
of the Sponsor |
* | Denotes principal of the Sponsor who supervises persons who participate in making trading decisions for the Funds. |
Fund
|
Amount
|
| ||
ProShares
Short Euro |
$ |
135,292
|
||
ProShares
Short VIX Short-Term Futures ETF |
3,333,950
|
|||
ProShares
Ultra Bloomberg Crude Oil |
3,612,580
|
|||
ProShares
Ultra Bloomberg Natural Gas |
297,043
|
|||
ProShares
Ultra Euro |
62,543
|
|||
ProShares
Ultra Gold |
884,410
|
|||
ProShares
Ultra Silver |
1,928,478
|
|||
ProShares
Ultra VIX Short-Term Futures ETF |
4,819,171
|
|||
ProShares
Ultra Yen |
39,949
|
|||
ProShares
UltraPro 3x Crude Oil ETF |
1,049,564
|
|||
ProShares
UltraPro 3x Short Crude Oil ETF |
312,430
|
|||
ProShares
UltraShort Australian Dollar |
72,858
|
|||
ProShares
UltraShort Bloomberg Crude Oil |
769,401
|
|||
ProShares
UltraShort Bloomberg Natural Gas |
83,978
|
|||
ProShares
UltraShort Euro |
1,293,377
|
|||
ProShares
UltraShort Gold |
188,089
|
|||
ProShares
UltraShort Silver |
139,668
|
|||
ProShares
UltraShort Yen |
451,638
|
|||
ProShares
VIX Mid-Term Futures ETF |
380,474
|
|||
ProShares
VIX Short-Term Futures ETF |
2,038,850
|
(1) to (4). | Fees for services performed by PricewaterhouseCoopers LLP (“PwC”) for the years ended December 31, 2019 and 2018 were as follows: |
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
| |||||
Audit
Fees |
$ |
730,400 |
$ |
810,400
|
||||
Audit-Related
Fees |
— |
34,000
|
||||||
Tax
Fees |
3,158,000 |
3,207,930
|
||||||
All
Other Fees |
— |
— |
||||||
Total
Trust: |
$ |
3,888,400 |
|
$ |
4,052,330
|
| ||
(5) | The Sponsor approved all of the services provided by PwC described above. The Sponsor pre-approves all audit and allowed non-audit services of the Trust’s independent registered public accounting firm, including all engagement fees and terms. |
Exhibit No. |
|
Description
of Document | ||
4.1
|
||||
4.2
|
||||
4.2.1
|
||||
4.3
|
||||
10.1
|
||||
10.2
|
||||
10.3
|
||||
10.4
|
||||
10.5
|
||||
23.1
|
||||
31.1
|
||||
31.2
|
||||
32.1
|
||||
32.2
|
||||
101.INS
|
XBRL
Instance Document | |||
101.SCH
|
XBRL
Taxonomy Extension Schema | |||
101.CAL
|
XBRL
Taxonomy Extension Calculation Linkbase | |||
101.DEF
|
XBRL
Taxonomy Extension Definition Linkbase | |||
101.LAB
|
XBRL
Taxonomy Extension Label Linkbase | |||
101.PRE
|
XBRL
Taxonomy Extension Presentation Linkbase | |||
104.1
|
Cover
Page Interactive Data File - The cover page interactive data file does not
appear in the interactive data file because its XBRL tags are embedded
within the inline XBRL document. |
(1) | Incorporated by reference to the Trust’s Registration Statement, filed on October 18, 2007. |
(2) | Incorporated by reference to the Trust’s Registration Statement, filed on August 15, 2008. |
(3) | Incorporated by reference to the Trust’s Registration Statement, filed on September 18, 2008. |
(4) | Incorporated by reference to the Trust’s Registration Statement, filed on November 17, 2008. |
(5) | Incorporated by reference to the Trust’s Registration Statement, filed on October 22, 2008. |
(6) | Filed herewith. |
Documents
|
Page
|
| ||
131 |
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134 |
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140 |
||||
146 |
||||
152 |
||||
158 |
||||
164 |
||||
170 |
||||
176 |
||||
182 |
||||
188 |
||||
194 |
||||
200 |
||||
206 |
||||
212 |
||||
218 |
||||
224 |
||||
230 |
||||
236 |
||||
242 |
||||
248 |
||||
254 |
||||
258 |
ProShares
Short Euro (a) |
ProShares
UltraShort Australian Dollar (a) | |
ProShares
Short VIX Short-Term Futures ETF (a) |
ProShares
UltraShort Bloomberg Crude Oil (a) | |
ProShares
Ultra Bloomberg Crude Oil (a) |
ProShares
UltraShort Bloomberg Natural Gas (a) | |
ProShares
Ultra Bloomberg Natural Gas (a) |
ProShares
UltraShort Euro (a) | |
ProShares
Ultra Euro (a) |
ProShares
UltraShort Gold (a) | |
ProShares
Ultra Gold (a) |
ProShares
UltraShort Silver (a) | |
ProShares
Ultra Silver (a) |
ProShares
UltraShort Yen (a) | |
ProShares
Ultra VIX Short-Term Futures ETF (a) |
ProShares
VIX Mid-Term Futures ETF (a) | |
ProShares
Ultra Yen (a) |
ProShares
VIX Short-Term Futures ETF (a) | |
ProShares
UltraPro 3x Crude Oil ETF (b) |
| |
ProShares
UltraPro 3x Short Crude Oil ETF (b) |
ProShares
Trust II (“combined”) (c) |
(a) | Statements of financial condition, including the schedules of investments, as of December 31, 2019 and 2018, and the related statements of operations, of changes in shareholders’ equity and of cash flows for each of the three years in the period ended December 31, 2019 |
(b) | Statements of financial condition, including the schedules of investments, as of December 31, 2019 and 2018, and the related statements of operations, of changes in shareholders’ equity and of cash flows for each of the two years in the period ended December 31, 2019 and for the period January 13, 2017 (inception) through December 31, 2017 |
(c) | Combined statements of financial condition as of December 31, 2019 and 2018, and the related combined statements of operations, of changes in shareholders’ equity and of cash flows for each of the three years in the period ended December 31, 2019 |
December 31, 2019
|
|
December 31, 2018
|
| |||||
Assets
|
|
|
|
| ||||
Short-term
U.S. government and agency obligations (Note 3) (cost $ |
$ |
|
$ |
|
||||
Cash
|
|
|
||||||
Segregated
cash balances with brokers for futures contracts |
|
|
||||||
Interest
receivable |
|
|
||||||
Total assets
|
|
|
||||||
Liabilities
and shareholders’ equity |
|
|
|
| ||||
Liabilities
|
|
|
|
| ||||
Payable on
open futures contracts |
|
|
||||||
Payable to
Sponsor |
|
|
||||||
Total
liabilities |
|
|
||||||
Commitments
and Contingencies (Note 2) |
|
|
||||||
Shareholders’
equity |
|
|
|
| ||||
Shareholders’
equity |
|
|
||||||
Total
liabilities and shareholders’ equity |
$ |
|
$ |
|
||||
Shares
outstanding |
|
|
||||||
Net asset
value per share |
$ |
|
$ |
|
||||
Market value
per share (Note 2) |
$ |
|
$ |
|
||||
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
|
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
Euro Fx
Currency Futures - CME, expires March 2020 |
|
$ |
|
$ |
( |
) |
^^ |
|
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
|
|
|
||||||
|
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
Euro Fx
Currency Futures - CME, expires March 2019 |
|
$ |
|
$ |
( |
) |
^^ |
|
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Investment
Income |
|
|
|
|
|
| ||||||
Interest
|
$ |
|
$ |
|
$ |
|
||||||
Expenses
|
||||||||||||
Management fee
|
|
|
|
|||||||||
Brokerage
commissions |
|
|
|
|||||||||
Total expenses
|
|
|
|
|||||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Realized and
unrealized gain (loss) on investment activity |
||||||||||||
Net realized
gain (loss) on |
|
|
|
|
|
| ||||||
Futures
contracts |
|
|
( |
) | ||||||||
Short-term
U.S. government and agency obligations |
|
— |
( |
) | ||||||||
Net realized
gain (loss) |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
|
|
( |
) | ||||||||
Short-term
U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) |
|
|
( |
) | ||||||||
Net realized
and unrealized gain (loss) |
|
|
( |
) | ||||||||
Net income
(loss) |
$ |
|
$ |
|
$ |
( |
) | |||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Shareholders’
equity, beginning of period |
$ |
|
$ |
|
$ |
|
||||||
Addition of
|
|
— |
— |
|||||||||
Redemption of
|
( |
) |
— |
( |
) | |||||||
Net addition
(redemption) of ( |
( |
) |
— |
( |
) | |||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Net realized
gain (loss) |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) |
|
|
( |
) | ||||||||
Net income
(loss) |
|
|
( |
) | ||||||||
Shareholders’
equity, end of period |
$ |
|
$ |
|
$ |
|
||||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Cash flow from
operating activities |
|
|
|
|
|
| ||||||
Net income
(loss) |
$ |
|
$ |
|
$ |
( |
) | |||||
Adjustments to
reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases of
short-term U.S. government and agency obligations |
( |
) |
( |
) |
( |
) | ||||||
Proceeds from
sales or maturities of short-term U.S. government and agency obligations
|
|
|
|
|||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) |
( |
) |
( |
) | ||||||
Net realized
gain (loss) on investments |
( |
) |
— |
|
||||||||
Change in
unrealized appreciation (depreciation) on investments |
( |
) |
( |
) |
|
|||||||
Decrease
(Increase) in interest receivable |
|
( |
) |
— |
||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) |
|
( |
) | |||||||
Increase
(Decrease) in payable on futures contracts |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) operating activities |
|
|
|
|||||||||
Cash flow from
financing activities |
|
|
|
|
|
| ||||||
Proceeds from
addition of shares |
|
— |
— |
|||||||||
Payment on
shares redeemed |
( |
) |
— |
( |
) | |||||||
Net cash
provided by (used in) financing activities |
( |
) |
— |
( |
) | |||||||
Net increase
(decrease) in cash |
( |
) |
|
( |
) | |||||||
Cash,
beginning of period |
|
|
|
|||||||||
Cash, end of
period |
$ |
|
$ |
|
$ |
|
||||||
December 31, 2019
|
|
December 31, 2018
|
| |||||
Assets
|
|
|
|
| ||||
Short-term
U.S. government and agency obligations (Note 3) (cost $ |
$ |
|
$ |
— |
||||
Cash
|
|
|
||||||
Segregated
cash balances with brokers for futures contracts |
|
|
||||||
Receivable on
open futures contracts |
|
|
||||||
Interest
receivable |
|
|
||||||
Total assets
|
|
|
||||||
Liabilities
and shareholders’ equity |
|
|
|
| ||||
Liabilities
|
|
|
|
| ||||
Payable on
open futures contracts |
— |
|
||||||
Payable to
Sponsor |
|
|
||||||
Total
liabilities |
|
|
||||||
Commitments
and Contingencies (Note 2) |
|
|
||||||
Shareholders’
equity |
|
|
|
| ||||
Shareholders’
equity |
|
|
||||||
Total
liabilities and shareholders’ equity |
$ |
|
$ |
|
||||
Shares
outstanding |
|
|
||||||
Net asset
value per share |
$ |
|
$ |
|
||||
Market value
per share (Note 2) |
$ |
|
$ |
|
||||
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
† |
$ |
|
$ |
|
||||
† |
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
VIX Futures -
Cboe ,
expires January 2020 |
|
$ |
|
$ |
|
|||||||
VIX Futures -
Cboe ,
expires February 2020 |
|
|
( |
) | ||||||||
$ |
|
|||||||||||
^^ |
|
† |
All or partial
amount pledged as collateral for futures
contracts. |
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
VIX Futures -
Cboe ,
expires January 2019 |
|
$ |
|
$ |
( |
) | ||||||
VIX Futures -
Cboe ,
expires February 2019 |
|
|
|
|||||||||
$ |
( |
) | ||||||||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Investment
Income |
|
|
|
|
|
| ||||||
Interest
|
$ |
|
$ |
|
$ |
|
||||||
Expenses
|
||||||||||||
Management fee
|
|
|
|
|||||||||
Brokerage
commissions |
|
|
|
|||||||||
Brokerage fees
|
|
|
|
|||||||||
Non-recurring fees
and expenses |
|
— |
— |
|||||||||
Total expenses
|
|
|
|
|||||||||
Net investment
income (loss) |
|
( |
) |
( |
) | |||||||
Realized and
unrealized gain (loss) on investment activity |
||||||||||||
Net realized
gain (loss) on |
|
|
|
|
|
| ||||||
Futures
contracts |
|
( |
) |
|
||||||||
Short-term
U.S. government and agency obligations |
|
( |
) |
( |
) | |||||||
Net realized
gain (loss) |
|
( |
) |
|
||||||||
Change in net
unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
|
( |
) |
|
||||||||
Short-term
U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) |
|
( |
) |
|
||||||||
Net realized
and unrealized gain (loss) |
|
( |
) |
|
||||||||
Net income
(loss) |
$ |
|
$ |
( |
) | $ |
|
|||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Shareholders’
equity, beginning of period |
$ |
|
$ |
|
$ |
|
||||||
Addition of
|
|
|
|
|||||||||
Redemption of
|
( |
) |
( |
) |
( |
) | ||||||
Net addition
(redemption) of ( |
( |
) |
|
( |
) | |||||||
Net investment
income (loss) |
|
( |
) |
( |
) | |||||||
Net realized
gain (loss) |
|
( |
) |
|
||||||||
Change in net
unrealized appreciation (depreciation) |
|
( |
) |
|
||||||||
Net income
(loss) |
|
( |
) |
|
||||||||
Shareholders’
equity, end of period |
$ |
|
$ |
|
$ |
|
||||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Cash flow from
operating activities |
|
|
|
|
|
| ||||||
Net income
(loss) |
$ |
|
$ |
( |
) | $ |
|
|||||
Adjustments to
reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases of
short-term U.S. government and agency obligations |
( |
) |
( |
) |
( |
) | ||||||
Proceeds from
sales or maturities of short-term U.S. government and agency obligations
|
|
|
|
|||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) |
( |
) |
( |
) | ||||||
Net realized
gain (loss) on investments |
( |
) |
|
|
||||||||
Change in
unrealized appreciation (depreciation) on investments |
( |
) |
( |
) |
|
|||||||
Decrease
(Increase) in receivable on futures contracts |
|
( |
) |
( |
) | |||||||
Decrease
(Increase) in interest receivable |
|
( |
) |
— |
||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) |
( |
) |
|
|||||||
Increase
(Decrease) in payable on futures contracts |
( |
) |
|
|
||||||||
Net cash
provided by (used in) operating activities |
|
( |
) |
|
||||||||
Cash flow from
financing activities |
|
|
|
|
|
| ||||||
Proceeds from
addition of shares |
|
|
|
|||||||||
Payment on
shares redeemed |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) financing activities |
( |
) |
|
( |
) | |||||||
Net increase
(decrease) in cash |
( |
) |
( |
) |
|
|||||||
Cash,
beginning of period |
|
|
|
|||||||||
Cash, end of
period |
$ |
|
$ |
|
$ |
|
||||||
December 31, 2019
|
|
December 31, 2018
|
| |||||
Assets
|
|
|
|
| ||||
Short-term
U.S. government and agency obligations (Note 3) (cost $
|
$ |
|
$ |
|
||||
Cash
|
|
|
||||||
Segregated
cash balances with brokers for futures contracts |
|
|
||||||
Segregated
cash balances with brokers for swap agreements |
— |
|
||||||
Unrealized
appreciation on swap agreements |
|
— |
||||||
Receivable
from capital shares sold |
— |
|
||||||
Receivable on
open futures contracts |
— |
|
||||||
Interest
receivable |
|
|
||||||
Total assets
|
|
|
||||||
Liabilities
and shareholders’ equity |
|
|
|
| ||||
Liabilities
|
|
|
|
| ||||
Payable on
open futures contracts |
|
|
||||||
Payable to
Sponsor |
|
|
||||||
Unrealized
depreciation on swap agreements |
— |
|
||||||
Total
liabilities |
|
|
||||||
Commitments
and Contingencies (Note 2) |
|
|
||||||
Shareholders’
equity |
|
|
|
| ||||
Shareholders’
equity |
|
|
||||||
Total
liabilities and shareholders’ equity |
$ |
|
$ |
|
||||
Shares
outstanding |
|
|
||||||
Net asset
value per share |
$ |
|
$ |
|
||||
Market value
per share (Note 2) |
$ |
|
$ |
|
||||
Principal Amount |
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
† |
$ |
|
$ |
|
||||
† |
|
|
||||||
|
|
|
||||||
† |
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
WTI Crude Oil
- NYMEX, expires March 2020 |
|
$ |
|
$ |
|
Rate
Paid (Received) * |
|
Termination Date |
|
Notional Amount at Value ** |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||||
Swap agreement
with Citibank, N.A. based on Bloomberg WTI Crude Oil Subindex
|
|
% |
|
$ |
|
$ |
|
|||||||||
Swap agreement
with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex
|
|
|
|
|
||||||||||||
Swap agreement
with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex
|
|
|
|
|
||||||||||||
Swap agreement
with Societe Generale based on Bloomberg WTI Crude Oil Subindex
|
|
|
|
|
||||||||||||
Swap agreement
with UBS AG based on Bloomberg WTI Crude Oil Subindex |
|
|
|
|
||||||||||||
Total Unrealized Appreciation |
$ |
|
||||||||||||||
†
All or partial
amount pledged as collateral for swap agreements. ^
The positions and counterparties herein are as of December 31,
2019. The Fund continually evaluates different counterparties for their
transactions and counterparties are subject to change. New counterparties
can be added at any time.^^
*
Reflects the floating financing rate, as of December 31, 2019,
on the notional amount of the swap agreement paid to the counterparty or
received from the counterparty, excluding any commissions. Total Return
Swap Agreements payment is due at termination/maturity.**
For swap agreements, a positive amount represents “long” exposure to
the benchmark index. A negative amount represents “short” exposure to the
benchmark index. |
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
† |
$ |
|
$ |
|
||||
† |
|
|
||||||
† |
|
|
||||||
† |
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
WTI Crude Oil
- NYMEX, expires March 2019 |
|
$ |
|
$ |
( |
) |
Rate
Paid (Received) * |
|
Termination Date |
|
Notional Amount at Value ** |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||||
Swap agreement
with Citibank, N.A. based on Bloomberg WTI Crude Oil Subindex
|
|
% |
|
$ |
|
$ |
( |
) | ||||||||
Swap agreement
with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex
|
|
|
|
( |
) | |||||||||||
Swap agreement
with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex
|
|
|
|
( |
) | |||||||||||
Swap agreement
with Societe Generale based on Bloomberg WTI Crude Oil Subindex
|
|
|
|
( |
) | |||||||||||
Swap agreement
with UBS AG based on Bloomberg WTI Crude Oil Subindex |
|
|
|
( |
) | |||||||||||
Total Unrealized Depreciation |
$ |
( |
) | |||||||||||||
† |
All or partial
amount pledged as collateral for swap agreements. | |
^
|
The positions
and counterparties herein are as of December 31, 2018. The Fund
continually evaluates different counterparties for their transactions and
counterparties are subject to change. New counterparties can be added at
any time. | |
^^
|
| |
*
|
Reflects the
floating financing rate, as of December 31, 2018, on the notional
amount of the swap agreement paid to the counterparty or received from the
counterparty, excluding any commissions. Total Return Swap Agreements
payment is due at termination/maturity. | |
**
|
For swap
agreements, a positive amount represents “long” exposure to the benchmark
index. A negative amount represents “short” exposure to the benchmark
index. |
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Investment
Income |
|
|
|
|
|
| ||||||
Interest
|
$ |
|
$ |
|
$ |
|
||||||
Expenses
|
||||||||||||
Management fee
|
|
|
|
|||||||||
Brokerage
commissions |
|
|
|
|||||||||
Total expenses
|
|
|
|
|||||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Realized and
unrealized gain (loss) on investment activity |
||||||||||||
Net realized
gain (loss) on |
|
|
|
|
|
| ||||||
Futures
contracts |
|
( |
) |
|
||||||||
Swap
agreements |
|
|
( |
) | ||||||||
Short-term
U.S. government and agency obligations |
|
( |
) |
( |
) | |||||||
Net realized
gain (loss) |
|
|
|
|||||||||
Change in net
unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
|
( |
) |
|
||||||||
Swap
agreements |
|
( |
) |
|
||||||||
Short-term
U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) |
|
( |
) |
|
||||||||
Net realized
and unrealized gain (loss) |
|
( |
) |
|
||||||||
Net income
(loss) |
$ |
|
$ |
( |
) | $ |
|
|||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Shareholders’
equity, beginning of period |
$ |
|
$ |
|
$ |
|
||||||
Addition of
|
|
|
|
|||||||||
Redemption of
|
( |
) |
( |
) |
( |
) | ||||||
Net addition
(redemption) of ( |
( |
) |
( |
) |
( |
) | ||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Net realized
gain (loss) |
|
|
|
|||||||||
Change in net
unrealized appreciation (depreciation) |
|
( |
) |
|
||||||||
Net income
(loss) |
|
( |
) |
|
||||||||
Shareholders’
equity, end of period |
$ |
|
$ |
|
$ |
|
||||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Cash flow from
operating activities |
|
|
|
|
|
| ||||||
Net income
(loss) |
$ |
|
$ |
( |
) | $ |
|
|||||
Adjustments to
reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases of
short-term U.S. government and agency obligations |
( |
) |
( |
) |
( |
) | ||||||
Proceeds from
sales or maturities of short-term U.S. government and agency obligations
|
|
|
|
|||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) |
( |
) |
( |
) | ||||||
Net realized
gain (loss) on investments |
( |
) |
|
|
||||||||
Change in
unrealized appreciation (depreciation) on investments |
( |
) |
|
( |
) | |||||||
Decrease
(Increase) in receivable on futures contracts |
|
|
( |
) | ||||||||
Decrease
(Increase) in interest receivable |
( |
) |
( |
) |
— |
|||||||
Increase
(Decrease) in payable to Sponsor |
( |
) |
( |
) |
( |
) | ||||||
Increase
(Decrease) in brokerage commissions payable |
— |
— |
( |
) | ||||||||
Increase
(Decrease) in payable on futures contracts |
( |
) |
|
( |
) | |||||||
Net cash
provided by (used in) operating activities |
|
|
|
|||||||||
Cash flow from
financing activities |
|
|
|
|
|
| ||||||
Proceeds from
addition of shares |
|
|
|
|||||||||
Payment on
shares redeemed |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) financing activities |
( |
) |
( |
) |
( |
) | ||||||
Net increase
(decrease) in cash |
( |
) |
|
( |
) | |||||||
Cash,
beginning of period |
|
|
|
|||||||||
Cash, end of
period |
$ |
|
$ |
|
$ |
|
||||||
December 31, 2019
|
|
December 31, 2018
|
| |||||
Assets
|
|
|
|
| ||||
Short-term
U.S. government and agency obligations (Note 3) (cost $
|
$ |
|
$ |
|
||||
Cash
|
|
|
||||||
Segregated
cash balances with brokers for futures contracts |
|
|
||||||
Receivable
from capital shares sold |
— |
|
||||||
Receivable on
open futures contracts |
|
— |
||||||
Interest
receivable |
|
|
||||||
Total assets
|
|
|
||||||
Liabilities
and shareholders’ equity |
|
|
|
| ||||
Liabilities
|
|
|
|
| ||||
Payable on
open futures contracts |
— |
|
||||||
Payable to
Sponsor |
|
|
||||||
Total
liabilities |
|
|
||||||
Commitments
and Contingencies (Note 2) |
|
|
||||||
Shareholders’
equity |
|
|
|
| ||||
Shareholders’
equity |
|
|
||||||
Total
liabilities and shareholders’ equity |
$ |
|
$ |
|
||||
Shares
outstanding |
|
|
||||||
Net asset
value per share |
$ |
|
$ |
|
||||
Market value
per share (Note 2) |
$ |
|
$ |
|
||||
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
|
|
|
||||||
|
|
|
||||||
|
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
Natural Gas -
NYMEX, expires March 2020 |
|
$ |
|
$ |
( |
) |
^^ |
|
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
|
|
|
||||||
|
|
|
||||||
|
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
Natural Gas -
NYMEX, expires March 2019 |
|
$ |
|
$ |
( |
) |
^^ |
|
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Investment
Income |
|
|
|
|
|
| ||||||
Interest
|
$ |
|
$ |
|
$ |
|
||||||
Expenses
|
||||||||||||
Management fee
|
|
|
|
|||||||||
Brokerage
commissions |
|
|
|
|||||||||
Total expenses
|
|
|
|
|||||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Realized and
unrealized gain (loss) on investment activity |
||||||||||||
Net realized
gain (loss) on |
|
|
|
|
|
| ||||||
Futures
contracts |
( |
) |
|
( |
) | |||||||
Short-term
U.S. government and agency obligations |
( |
) |
( |
) |
( |
) | ||||||
Net realized
gain (loss) |
( |
) |
|
( |
) | |||||||
Change in net
unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
|
( |
) |
|
||||||||
Short-term
U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) |
|
( |
) |
|
||||||||
Net realized
and unrealized gain (loss) |
( |
) |
|
( |
) | |||||||
Net income
(loss) |
$ |
( |
) | $ |
|
$ |
( |
) | ||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Shareholders’
equity, beginning of period |
$ |
|
$ |
|
$ |
|
||||||
Addition of
|
|
|
|
|||||||||
Redemption of
|
( |
) |
( |
) |
( |
) | ||||||
Net addition
(redemption) of
( and
|
|
( |
) |
|
||||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Net realized
gain (loss) |
( |
) |
|
( |
) | |||||||
Change in net
unrealized appreciation (depreciation) |
|
( |
) |
|
||||||||
Net income
(loss) |
( |
) |
|
( |
) | |||||||
Shareholders’
equity, end of period |
$ |
|
$ |
|
$ |
|
||||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Cash flow from
operating activities |
|
|
|
|
|
| ||||||
Net income
(loss) |
$ |
( |
) | $ |
|
$ |
( |
) | ||||
Adjustments to
reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases of
short-term U.S. government and agency obligations |
( |
) |
( |
) |
( |
) | ||||||
Proceeds from
sales or maturities of short-term U.S. government and agency obligations
|
|
|
|
|||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) |
( |
) |
( |
) | ||||||
Net realized
gain (loss) on investments |
|
|
|
|||||||||
Change in
unrealized appreciation (depreciation) on investments |
( |
) |
( |
) |
|
|||||||
Decrease
(Increase) in receivable on futures contracts |
( |
) |
|
( |
) | |||||||
Decrease
(Increase) in interest receivable |
|
( |
) |
— |
||||||||
Increase
(Decrease) in payable to Sponsor |
|
( |
) |
|
||||||||
Increase
(Decrease) in brokerage commissions payable |
— |
— |
( |
) | ||||||||
Increase
(Decrease) in payable on futures contracts |
( |
) |
|
( |
) | |||||||
Net cash
provided by (used in) operating activities |
( |
) |
|
( |
) | |||||||
Cash flow from
financing activities |
|
|
|
|
|
| ||||||
Proceeds from
addition of shares |
|
|
|
|||||||||
Payment on
shares redeemed |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) financing activities |
|
( |
) |
|
||||||||
Net increase
(decrease) in cash |
|
( |
) |
|
||||||||
Cash,
beginning of period |
|
|
|
|||||||||
Cash, end of
period |
$ |
|
$ |
|
$ |
|
||||||
December 31, 2019
|
|
December 31, 2018
|
| |||||
Assets
|
|
|
|
| ||||
Short-term
U.S. government and agency obligations (Note 3) (cost $
|
$ |
|
$ |
|
||||
Cash
|
|
|
||||||
Segregated
cash balances with brokers for foreign currency forward contracts
|
|
|
||||||
Unrealized
appreciation on foreign currency forward contracts |
|
|
||||||
Interest
receivable |
|
|
||||||
Total assets
|
|
|
||||||
Liabilities
and shareholders’ equity |
|
|
|
| ||||
Liabilities
|
|
|
|
| ||||
Payable to
Sponsor |
|
|
||||||
Unrealized
depreciation on foreign currency forward contracts |
— |
|
||||||
Total
liabilities |
|
|
||||||
Commitments
and Contingencies (Note 2) |
|
|
||||||
Shareholders’
equity |
|
|
|
| ||||
Shareholders’
equity |
|
|
||||||
Total
liabilities and shareholders’ equity |
$ |
|
$ |
|
||||
Shares
outstanding |
|
|
||||||
Net asset
value per share |
$ |
|
$ |
|
||||
Market value
per share (Note 2) |
$ |
|
$ |
|
||||
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
|
|
|
||||||
|
|
|
||||||
|
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Settlement Date
|
|
Contract Amount in Local Currency |
|
Contract Amount in U.S. Dollars |
|
Unrealized Appreciation (Depreciation)/ Value |
| |||||||||
Contracts to
Purchase |
|
|
|
|
|
|
|
| ||||||||
Euro with
Goldman Sachs International |
|
|
$ |
|
$ |
|
||||||||||
Euro with UBS
AG |
|
|
|
|
||||||||||||
Total Unrealized
Appreciation |
$ |
|
||||||||||||||
^
The positions and counterparties herein are as of December 31,
2019. The Fund continually evaluates different counterparties for their
transactions and counterparties are subject to change. New counterparties
can be added at any time.^^
|
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
|
|
|
||||||
|
|
|
||||||
|
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Settlement Date
|
|
Contract Amount in Local Currency |
|
Contract Amount in U.S. Dollars |
|
Unrealized Appreciation (Depreciation)/ Value |
| |||||||||
Contracts to
Purchase |
|
|
|
|
|
|
|
| ||||||||
Euro with
Goldman Sachs International |
|
|
$ |
|
$ |
|
||||||||||
Euro with UBS
AG |
|
|
|
|
||||||||||||
Total Unrealized
Appreciation |
$ |
|
||||||||||||||
Contracts to
Sell |
|
|
|
|
|
|
|
| ||||||||
Euro with
Goldman Sachs International |
|
( |
) | $ |
( |
) | $ |
( |
) | |||||||
Euro with UBS
AG |
|
( |
) |
( |
) |
( |
) | |||||||||
Total
Unrealized Depreciation |
$ |
( |
) | |||||||||||||
^
|
The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ |
|
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Investment
Income |
|
|
|
|
|
| ||||||
Interest
|
$ |
|
$ |
|
$ |
|
||||||
Expenses
|
||||||||||||
Management fee
|
|
|
|
|||||||||
Total expenses
|
|
|
|
|||||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Realized and
unrealized gain (loss) on investment activity |
||||||||||||
Net realized
gain (loss) on |
|
|
|
|
|
| ||||||
Foreign
currency forward contracts |
( |
) |
( |
) |
|
|||||||
Short-term
U.S. government and agency obligations |
— |
|
( |
) | ||||||||
Net realized
gain (loss) |
( |
) |
( |
) |
|
|||||||
Change in net
unrealized appreciation (depreciation) on |
||||||||||||
Foreign
currency forward contracts |
|
( |
) |
|
||||||||
Short-term
U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) |
|
( |
) |
|
||||||||
Net realized
and unrealized gain (loss) |
( |
) |
( |
) |
|
|||||||
Net income
(loss) |
$ |
( |
) | $ |
( |
) | $ |
|
||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Shareholders’
equity, beginning of period |
$ |
|
$ |
|
$ |
|
||||||
Addition of
|
|
|
|
|||||||||
Redemption of
|
( |
) |
( |
) |
( |
) | ||||||
Net addition
(redemption) of ( |
( |
) |
( |
) |
( |
) | ||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Net realized
gain (loss) |
( |
) |
( |
) |
|
|||||||
Change in net
unrealized appreciation (depreciation) |
|
( |
) |
|
||||||||
Net income
(loss) |
( |
) |
( |
) |
|
|||||||
Shareholders’
equity, end of period |
$ |
|
$ |
|
$ |
|
||||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Cash flow from
operating activities |
|
|
|
|
|
| ||||||
Net income
(loss) |
$ |
( |
) | $ |
( |
) | $ |
|
||||
Adjustments to
reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases of
short-term U.S. government and agency obligations |
( |
) |
( |
) |
( |
) | ||||||
Proceeds from
sales or maturities of short-term U.S. government and agency obligations
|
|
|
|
|||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) |
( |
) |
( |
) | ||||||
Net realized
gain (loss) on investments |
— |
( |
) |
|
||||||||
Change in
unrealized appreciation (depreciation) on investments |
( |
) |
|
( |
) | |||||||
Decrease
(Increase) in interest receivable |
|
( |
) |
— |
||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) operating activities |
( |
) |
|
|
||||||||
Cash flow from
financing activities |
|
|
|
|
|
| ||||||
Proceeds from
addition of shares |
|
|
|
|||||||||
Payment on
shares redeemed |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) financing activities |
( |
) |
( |
) |
( |
) | ||||||
Net increase
(decrease) in cash |
( |
) |
|
|
||||||||
Cash,
beginning of period |
|
|
|
|||||||||
Cash, end of
period |
$ |
|
$ |
|
$ |
|
||||||
December 31, 2019
|
|
December 31, 2018
|
| |||||
Assets
|
|
|
|
| ||||
Short-term
U.S. government and agency obligations (Note 3) (cost $
|
$ |
|
$ |
|
||||
Cash
|
|
|
||||||
Segregated
cash balances with brokers for futures contracts |
|
|
||||||
Segregated
cash balances with brokers for forward agreements |
— |
|
||||||
Unrealized
appreciation on swap agreements |
|
— |
||||||
Unrealized
appreciation on forward agreements |
— |
|
||||||
Receivable on
open futures contracts |
|
— |
||||||
Interest
receivable |
|
|
||||||
Total assets
|
|
|
||||||
Liabilities
and shareholders’ equity |
|
|
|
| ||||
Liabilities
|
|
|
|
| ||||
Payable for
capital shares redeemed |
— |
|
||||||
Payable on
open futures contracts |
|
|
||||||
Payable to
Sponsor |
|
|
||||||
Total
liabilities |
|
|
||||||
Commitments
and Contingencies (Note 2) |
|
|
||||||
Shareholders’
equity |
|
|
|
| ||||
Shareholders’
equity |
|
|
||||||
Total
liabilities and shareholders’ equity |
$ |
|
$ |
|
||||
Shares
outstanding |
|
|
||||||
Net asset
value per share |
$ |
|
$ |
|
||||
Market value
per share (Note 2) |
$ |
|
$ |
|
||||
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
† |
$ |
|
$ |
|
||||
† |
|
|
||||||
|
|
|
||||||
|
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
Gold Futures -
COMEX, expires February 2020 |
|
$ |
|
$ |
|
Rate
Paid (Received) * |
|
Termination Date |
|
Notional Amount at Value ** |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||||
Swap agreement
with Citibank, N.A. based on Bloomberg Gold Subindex |
|
% |
|
$ |
|
$ |
|
|||||||||
Swap agreement
with Goldman Sachs International based on Bloomberg Gold Subindex
|
|
|
|
|
||||||||||||
Swap agreement
with UBS AG based on Bloomberg Gold Subindex |
|
|
|
|
||||||||||||
Total Unrealized Appreciation |
$ |
|
||||||||||||||
†
All or partial
amount pledged as collateral for swap agreements. ^
The positions and counterparties herein are as of December 31,
2019. The Fund continually evaluates different counterparties for their
transactions and counterparties are subject to change. New counterparties
can be added at any time.^^
*
Reflects the floating financing rate, as of December 31, 2019,
on the notional amount of the swap agreement paid to the counterparty or
received from the counterparty, excluding any commissions. Total Return
Swap Agreements payment is due at termination/maturity.**
For swap agreements, a positive amount represents “long” exposure to
the benchmark index. A negative amount represents “short” exposure to the
benchmark index. |
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
† |
$ |
|
$ |
|
||||
† |
|
|
||||||
† |
|
|
||||||
† |
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
Gold Futures -
COMEX, expires February 2019 |
|
$ |
|
$ |
|
Rate
Paid (Received) * |
|
Settlement Date
|
|
Commitment to (Deliver)/Receive |
|
Notional Amount at Value ** |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||||||
Forward
agreements with Citibank, N.A. based on
|
|
% |
|
$ |
|
$ |
|
$ |
|
|||||||||||
Forward
agreements with Goldman Sachs International based on
|
|
|
|
|
|
|||||||||||||||
Forward
agreements with Societe Generale based on
|
|
|
|
|
|
|||||||||||||||
Forward
agreements with UBS AG based on
|
|
|
|
|
|
|||||||||||||||
|
|
|
Total Unrealized Appreciation |
$ |
||||||||||||||||
†
All or partial
amount pledged as collateral for forward agreements. ^
The positions and counterparties herein are as of December 31,
2018. The Fund continually evaluates different counterparties for their
transactions and counterparties are subject to change. New counterparties
can be added at any time.^^
*
Reflects the floating financing rate, as of December 31, 2018,
on the notional amount of the forward agreement paid to the counterparty
or received from the counterparty, excluding any commissions. Total Return
Swap Agreements payment is due at termination/maturity.**
For forward agreements, a positive amount represents “long” exposure
to the benchmark index. A negative amount represents “short” exposure to
the benchmark index. |
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Investment
Income |
|
|
|
|
|
| ||||||
Interest
|
$ |
|
$ |
|
$ |
|
||||||
Expenses
|
||||||||||||
Management fee
|
|
|
|
|||||||||
Brokerage
commissions |
|
|
|
|||||||||
Total expenses
|
|
|
|
|||||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Realized and
unrealized gain (loss) on investment activity |
||||||||||||
Net realized
gain (loss) on |
|
|
|
|
|
| ||||||
Futures
contracts |
|
( |
) |
|
||||||||
Swap
agreements |
|
— |
— |
|||||||||
Forward
agreements |
|
( |
) |
|
||||||||
Short-term
U.S. government and agency obligations |
|
( |
) |
|
||||||||
Net realized
gain (loss) |
|
( |
) |
|
||||||||
Change in net
unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
|
|
|
|||||||||
Swap
agreements |
|
— |
— |
|||||||||
Forward
agreements |
( |
) |
|
|
||||||||
Short-term
U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) |
|
|
|
|||||||||
Net realized
and unrealized gain (loss) |
|
( |
) |
|
||||||||
Net income
(loss) |
$ |
|
$ |
( |
) | $ |
|
|||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Shareholders’
equity, beginning of period |
$ |
|
$ |
|
$ |
|
||||||
Addition of
|
|
|
|
|||||||||
Redemption of
|
( |
) |
( |
) |
( |
) | ||||||
Net addition
(redemption) of |
|
( |
) |
( |
) | |||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Net realized
gain (loss) |
|
( |
) |
|
||||||||
Change in net
unrealized appreciation (depreciation) |
|
|
|
|||||||||
Net income
(loss) |
|
( |
) |
|
||||||||
Shareholders’
equity, end of period |
$ |
|
$ |
|
$ |
|
||||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Cash flow from
operating activities |
|
|
|
|
|
| ||||||
Net income
(loss) |
$ |
|
$ |
( |
) | $ |
|
|||||
Adjustments to
reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases of
short-term U.S. government and agency obligations |
( |
) |
( |
) |
( |
) | ||||||
Proceeds from
sales or maturities of short-term U.S. government and agency obligations
|
|
|
|
|||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) |
( |
) |
( |
) | ||||||
Net realized
gain (loss) on investments |
( |
) |
|
( |
) | |||||||
Change in
unrealized appreciation (depreciation) on investments |
( |
) |
( |
) |
( |
) | ||||||
Decrease
(Increase) in receivable on futures contracts |
( |
) |
|
( |
) | |||||||
Decrease
(Increase) in interest receivable |
( |
) |
( |
) |
— |
|||||||
Increase
(Decrease) in payable to Sponsor |
|
( |
) |
( |
) | |||||||
Increase
(Decrease) in payable on futures contracts |
( |
) |
|
( |
) | |||||||
Net cash
provided by (used in) operating activities |
( |
) |
|
|
||||||||
Cash flow from
financing activities |
|
|
|
|
|
| ||||||
Proceeds from
addition of shares |
|
|
|
|||||||||
Payment on
shares redeemed |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) financing activities |
( |
) |
( |
) |
( |
) | ||||||
Net increase
(decrease) in cash |
( |
) |
|
( |
) | |||||||
Cash,
beginning of period |
|
|
|
|||||||||
Cash, end of
period |
$ |
|
$ |
|
$ |
|
||||||
December 31, 2019
|
|
December 31, 2018
|
| |||||
Assets
|
|
|
|
| ||||
Short-term
U.S. government and agency obligations (Note 3) (cost $
|
$ |
|
$ |
|
||||
Cash
|
|
|
||||||
Segregated
cash balances with brokers for futures contracts |
|
|
||||||
Segregated
cash balances with brokers for forward agreements |
— |
|
||||||
Unrealized
appreciation on swap agreements |
|
— |
||||||
Unrealized
appreciation on forward agreements |
— |
|
||||||
Interest
receivable |
|
|
||||||
Total assets
|
|
|
||||||
Liabilities
and shareholders’ equity |
|
|
|
| ||||
Liabilities
|
|
|
|
| ||||
Payable on
open futures contracts |
|
|
||||||
Payable to
Sponsor |
|
|
||||||
Total
liabilities |
|
|
||||||
Commitments
and Contingencies (Note 2) |
|
|
||||||
Shareholders’
equity |
|
|
|
| ||||
Shareholders’
equity |
|
|
||||||
Total
liabilities and shareholders’ equity |
$ |
|
$ |
|
||||
Shares
outstanding |
|
|
||||||
Net asset
value per share |
$ |
|
$ |
|
||||
Market value
per share (Note 2) |
$ |
|
$ |
|
||||
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
† |
$ |
|
$ |
|
||||
† |
|
|
||||||
|
|
|
||||||
|
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
Silver Futures
- COMEX, expires March 2020 |
|
$ |
|
$ |
|
Rate
Paid (Received) * |
|
Termination Date |
|
Notional Amount at Value ** |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||||
Swap agreement
with Citibank, N.A. based on Bloomberg Silver Subindex |
|
% |
|
$ |
|
$ |
|
|||||||||
Swap agreement
with Goldman Sachs International based on Bloomberg Silver Subindex
|
|
|
|
|
||||||||||||
Swap agreement
with UBS AG based on Bloomberg Silver Subindex |
|
|
|
|
||||||||||||
|
|
Total Unrealized Appreciation |
$
|
|||||||||||||
†
All or partial
amount pledged as collateral for swap agreements. ^
The positions and counterparties herein are as of December 31,
2019. The Fund continually evaluates different counterparties for their
transactions and counterparties are subject to change. New counterparties
can be added at any time.^^
*
Reflects the floating financing rate, as of December 31, 2019,
on the notional amount of the swap agreement paid to the counterparty or
received from the counterparty, excluding any commissions. Total Return
Swap Agreements payment is due at termination/maturity.**
For swap agreements, a positive amount represents “long” exposure to
the benchmark index. A negative amount represents “short” exposure to the
benchmark index. |
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
† |
$ |
|
$ |
|
||||
† |
|
|
||||||
† |
|
|
||||||
† |
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
Silver Futures
- COMEX, expires March 2019 |
|
$ |
|
$ |
|
Rate
Paid (Received) * |
|
Settlement Date
|
|
Commitment to (Deliver)/Receive |
|
Notional Amount at Value ** |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||||||
Forward
agreements with Citibank, N.A. based on
|
|
% |
|
$ |
|
$ |
|
$ |
|
|||||||||||
Forward
agreements with Goldman Sachs International based on
|
|
|
|
|
|
|||||||||||||||
Forward
agreements with Societe Generale based on
|
|
|
|
|
|
|||||||||||||||
Forward
agreements with UBS AG based on
|
|
|
|
|
|
|||||||||||||||
|
|
|
Total Unrealized Appreciation |
$
|
||||||||||||||||
†
All or partial
amount pledged as collateral for forward agreements. ^
The positions and counterparties herein are as of December 31,
2018. The Fund continually evaluates different counterparties for their
transactions and counterparties are subject to change. New counterparties
can be added at any time.^^
*
Reflects the floating financing rate, as of December 31, 2018,
on the notional amount of the forward agreement paid to the counterparty
or received from the counterparty, excluding any commissions. Forward
Agreements payment is due at termination/maturity.**
For forward agreements, a positive amount represents “long” exposure
to the underlying commodity. A negative amount represents “short” exposure
to the underlying commodity. |
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Investment
Income |
|
|
|
|
|
| ||||||
Interest
|
$ |
|
$ |
|
$ |
|
||||||
Expenses
|
||||||||||||
Management fee
|
|
|
|
|||||||||
Brokerage
commissions |
|
|
|
|||||||||
Brokerage fees
|
|
— |
— |
|||||||||
Total expenses
|
|
|
|
|||||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Realized and
unrealized gain (loss) on investment activity |
||||||||||||
Net realized
gain (loss) on |
|
|
|
|
|
| ||||||
Futures
contracts |
|
( |
) |
( |
) | |||||||
Swap
agreements |
( |
) |
— |
— |
||||||||
Forward
agreements |
|
( |
) |
( |
) | |||||||
Short-term
U.S. government and agency obligations |
|
( |
) |
|
||||||||
Net realized
gain (loss) |
|
( |
) |
( |
) | |||||||
Change in net
unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
|
|
|
|||||||||
Swap
agreements |
|
— |
— |
|||||||||
Forward
agreements |
( |
) |
|
|
||||||||
Short-term
U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) |
|
|
|
|||||||||
Net realized
and unrealized gain (loss) |
|
( |
) |
|
||||||||
Net income
(loss) |
$ |
|
$ |
( |
) | $ |
|
|||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Shareholders’
equity, beginning of period |
$ |
|
$ |
|
$ |
|
||||||
Addition of
|
|
|
|
|||||||||
Redemption of
|
( |
) |
( |
) |
( |
) | ||||||
Net addition
(redemption) of ( |
( |
) |
( |
) |
( |
) | ||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Net realized
gain (loss) |
|
( |
) |
( |
) | |||||||
Change in net
unrealized appreciation (depreciation) |
|
|
|
|||||||||
Net income
(loss) |
|
( |
) |
|
||||||||
Shareholders’
equity, end of period |
$ |
|
$ |
|
$ |
|
||||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Cash flow from
operating activities |
|
|
|
|
|
| ||||||
Net income
(loss) |
$ |
|
$ |
( |
) | $ |
|
|||||
Adjustments to
reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases of
short-term U.S. government and agency obligations |
( |
) |
( |
) |
( |
) | ||||||
Proceeds from
sales or maturities of short-term U.S. government and agency obligations
|
|
|
|
|||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) |
( |
) |
( |
) | ||||||
Net realized
gain (loss) on investments |
( |
) |
|
( |
) | |||||||
Change in
unrealized appreciation (depreciation) on investments |
|
( |
) |
( |
) | |||||||
Decrease
(Increase) in receivable on futures contracts |
— |
|
( |
) | ||||||||
Decrease
(Increase) in interest receivable |
( |
) |
( |
) |
— |
|||||||
Increase
(Decrease) in payable to Sponsor |
|
( |
) |
( |
) | |||||||
Increase
(Decrease) in payable on futures contracts |
|
|
( |
) | ||||||||
Net cash
provided by (used in) operating activities |
|
|
|
|||||||||
Cash flow from
financing activities |
|
|
|
|
|
| ||||||
Proceeds from
addition of shares |
|
|
|
|||||||||
Payment on
shares redeemed |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) financing activities |
( |
) |
( |
) |
( |
) | ||||||
Net increase
(decrease) in cash |
|
|
|
|||||||||
Cash,
beginning of period |
|
|
|
|||||||||
Cash, end of
period |
$ |
|
$ |
|
$ |
|
||||||
December 31, 2019
|
|
December 31, 2018
|
| |||||
Assets
|
|
|
|
| ||||
Short-term
U.S. government and agency obligations (Note 3) (cost $
|
$ |
|
$ |
— |
||||
Cash
|
|
|
||||||
Segregated
cash balances with brokers for futures contracts |
|
|
||||||
Segregated
cash balances with brokers for swap agreements |
|
|
||||||
Receivable
from capital shares sold |
|
|
||||||
Receivable on
open futures contracts |
|
|
||||||
Interest
receivable |
|
|
||||||
Total assets
|
|
|
||||||
Liabilities
and shareholders’ equity |
|
|
|
| ||||
Liabilities
|
|
|
|
| ||||
Payable on
open futures contracts |
|
|
||||||
Payable to
Sponsor |
|
|
||||||
Unrealized
depreciation on swap agreements |
|
|
||||||
Total
liabilities |
|
|
||||||
Commitments
and Contingencies (Note 2) |
|
|
||||||
Shareholders’
equity |
|
|
|
| ||||
Shareholders’
equity |
|
|
||||||
Total
liabilities and shareholders’ equity |
$ |
|
$ |
|
||||
Shares
outstanding |
|
|
||||||
Net asset
value per share |
$ |
|
$ |
|
||||
Market value
per share (Note 2) |
$ |
|
$ |
|
||||
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
† |
$ |
|
$ |
|
||||
† |
|
|
||||||
† |
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
VIX Futures -
C
boe , expires January 2020
|
|
$ |
|
$ |
( |
) | ||||||
VIX Futures -
C
boe
, expires
February 2020 |
|
|
( |
) | ||||||||
$ |
( |
) | ||||||||||
Rate
Paid (Received) * |
|
Termination Date |
|
Notional Amount at Value ** |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||||
Swap agreement
with Goldman Sachs & Co. based on iPath Series B S&P 500 VIX
Short-Term Futures ETN iNAV Index |
|
% |
|
$ |
|
$ |
( |
) | ||||||||
Total Unrealized Depreciation |
$ |
( |
) | |||||||||||||
†
All or partial
amount pledged as collateral for futures contracts. ^
The positions and counterparties herein are as of December 31,
2019. The Fund continually evaluates different counterparties for their
transactions and counterparties are subject to change. New counterparties
can be added at any time.^^
*
Reflects the floating financing rate, as of December 31, 2019,
on the notional amount of the swap agreement paid to the counterparty or
received from the counterparty, excluding any commissions. Total Return
Swap Agreements payment is due at termination/maturity.**
For swap agreements, a positive amount represents “long” exposure to
the benchmark index. A negative amount represents “short” exposure to the
benchmark index. |
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
VIX Futures -
C
boe , expires January 2019
|
|
$ |
|
$ |
|
|||||||
VIX Futures -
C
boe
, expires
February 2019 |
|
|
( |
) | ||||||||
$ |
|
|||||||||||
Rate
Paid (Received) * |
|
Termination Date |
|
Notional Amount at Value ** |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||||
Swap agreement
with Goldman Sachs International based on iPath S&P 500 VIX Short-Term
Futures ETN IOPV |
|
% |
|
$ |
|
$ |
( |
) | ||||||||
Total Unrealized Depreciation |
$ |
( |
) | |||||||||||||
^ | The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
* | Reflects the floating financing rate, as of December 31, 2018, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Investment
Income |
|
|
|
|
|
| ||||||
Interest
|
$ |
|
$ |
|
$ |
|
||||||
Expenses
|
||||||||||||
Management fee
|
|
|
|
|||||||||
Brokerage
commissions |
|
|
|
|||||||||
Brokerage fees
|
|
— |
|
|||||||||
Non-recurring fees
and expenses |
|
— |
— |
|||||||||
Total expenses
|
|
|
|
|||||||||
Net investment
income (loss) |
|
( |
) |
( |
) | |||||||
Realized and
unrealized gain (loss) on investment activity |
||||||||||||
Net realized
gain (loss) on |
|
|
|
|
|
| ||||||
Futures
contracts |
( |
) |
|
( |
) | |||||||
Swap
agreements |
( |
) |
|
— |
||||||||
Short-term
U.S. government and agency obligations |
|
( |
) |
( |
) | |||||||
Net realized
gain (loss) |
( |
) |
|
( |
) | |||||||
Change in net
unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
( |
) |
|
( |
) | |||||||
Swap
agreements |
|
( |
) |
— |
||||||||
Short-term
U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
|
( |
) | |||||||
Net realized
and unrealized gain (loss) |
( |
) |
|
( |
) | |||||||
Net income
(loss) |
$ |
( |
) | $ |
|
$ |
( |
) | ||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Shareholders’
equity, beginning of period |
$ |
|
$ |
|
$ |
|
||||||
Addition of
|
|
|
|
|||||||||
Redemption of
|
( |
) |
( |
) |
( |
) | ||||||
Net addition
(redemption) of |
|
( |
) |
|
||||||||
Net investment
income (loss) |
|
( |
) |
( |
) | |||||||
Net realized
gain (loss) |
( |
) |
|
( |
) | |||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
|
( |
) | |||||||
Net income
(loss) |
( |
) |
|
( |
) | |||||||
Shareholders’
equity, end of period |
$ |
|
$ |
|
$ |
|
||||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Cash flow from
operating activities |
|
|
|
|
|
| ||||||
Net income
(loss) |
$ |
( |
) | $ |
|
$ |
( |
) | ||||
Adjustments to
reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases of
short-term U.S. government and agency obligations |
( |
) |
( |
) |
( |
) | ||||||
Proceeds from
sales or maturities of short-term U.S. government and agency obligations
|
|
|
|
|||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) |
( |
) |
( |
) | ||||||
Net realized
gain (loss) on investments |
( |
) |
|
|
||||||||
Change in
unrealized appreciation (depreciation) on investments |
( |
) |
|
|
||||||||
Decrease
(Increase) in receivable on futures contracts |
( |
) |
|
|
||||||||
Decrease
(Increase) in interest receivable |
( |
) |
( |
) |
— |
|||||||
Increase
(Decrease) in payable to Sponsor |
|
( |
) |
( |
) | |||||||
Increase
(Decrease) in payable on futures contracts |
|
|
— |
|||||||||
Net cash
provided by (used in) operating activities |
( |
) |
|
( |
) | |||||||
Cash flow from
financing activities |
|
|
|
|
|
| ||||||
Proceeds from
addition of shares |
|
|
|
|||||||||
Payment on
shares redeemed |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) financing activities |
|
( |
) |
|
||||||||
Net increase
(decrease) in cash |
|
|
|
|||||||||
Cash,
beginning of period |
|
|
|
|||||||||
Cash, end of
period |
$ |
|
$ |
|
$ |
|
||||||
December 31, 2019
|
|
December 31, 2018
|
| |||||
Assets
|
|
|
|
| ||||
Short-term
U.S. government and agency obligations (Note 3) (cost $ |
$ |
|
$ |
— |
||||
Cash
|
|
|
||||||
Segregated
cash balances with brokers for foreign currency forward contracts
|
|
|
||||||
Unrealized
appreciation on foreign currency forward contracts |
— |
|
||||||
Receivable
from capital shares sold |
— |
|
||||||
Interest
receivable |
|
|
||||||
Total assets
|
|
|
||||||
Liabilities
and shareholders’ equity |
|
|
|
| ||||
Liabilities
|
|
|
|
| ||||
Payable to
Sponsor |
|
|
||||||
Unrealized
depreciation on foreign currency forward contracts |
|
|
||||||
Total
liabilities |
|
|
||||||
Commitments
and Contingencies (Note 2) |
|
|
||||||
Shareholders’
equity |
|
|
|
| ||||
Shareholders’
equity |
|
|
||||||
Total
liabilities and shareholders’ equity |
$ |
|
$ |
|
||||
Shares
outstanding |
|
|
||||||
Net asset
value per share |
$ |
|
$ |
|
||||
Market value
per share (Note 2) |
$ |
|
$ |
|
||||
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
|
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Settlement Date
|
|
Contract Amount in Local Currency |
|
Contract Amount in U.S. Dollars |
|
Unrealized Appreciation (Depreciation)/ Value |
| |||||||||
Contracts to
Purchase |
|
|
|
|
|
|
|
| ||||||||
Yen with
Goldman Sachs International |
|
|
$ |
|
$ |
( |
) | |||||||||
Yen with UBS
AG |
|
|
|
( |
) | |||||||||||
|
$ |
( |
) | |||||||||||||
Contracts to
Sell |
|
|
|
|
|
|
|
| ||||||||
Yen with UBS
AG |
|
( |
) | $ |
( |
) | $ |
( |
) | |||||||
|
$ |
( |
) | |||||||||||||
Total
Unrealized Depreciation |
$ |
( |
) | |||||||||||||
^ | The positions and counterparties herein are as of December 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
^^ |
|
Settlement Date
|
|
Contract Amount in Local Currency |
|
Contract Amount in U.S. Dollars |
|
Unrealized Appreciation (Depreciation)/ Value |
| |||||||||
Contracts to
Purchase |
|
|
|
|
|
|
|
| ||||||||
Yen with
Goldman Sachs International |
|
|
$ |
|
$ |
|
||||||||||
Yen with UBS
AG |
|
|
|
|
||||||||||||
Total Unrealized
Appreciation |
$ |
|
||||||||||||||
Contracts to
Sell |
|
|
|
|
|
|
|
| ||||||||
Yen with UBS
AG |
|
( |
) | $ |
( |
) | $ |
( |
) | |||||||
Total
Unrealized Depreciation |
$ |
( |
) | |||||||||||||
^ | The positions and counterparties herein are as of December 31, 2018. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Investment
Income |
|
|
|
|
|
| ||||||
Interest
|
$ |
|
$ |
|
$ |
|
||||||
Expenses
|
||||||||||||
Management fee
|
|
|
|
|||||||||
Total expenses
|
|
|
|
|||||||||
Net investment
income (loss) |
|
( |
) |
( |
) | |||||||
Realized and
unrealized gain (loss) on investment activity |
||||||||||||
Net realized
gain (loss) on |
|
|
|
|
|
| ||||||
Foreign
currency forward contracts |
|
( |
) |
( |
) | |||||||
Short-term
U.S. government and agency obligations |
( |
) |
— |
( |
) | |||||||
Net realized
gain (loss) |
|
( |
) |
( |
) | |||||||
Change in net
unrealized appreciation (depreciation) on |
||||||||||||
Foreign
currency forward contracts |
( |
) |
|
|
||||||||
Short-term
U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
|
|
||||||||
Net realized
and unrealized gain (loss) |
( |
) |
|
|
||||||||
Net income
(loss) |
$ |
( |
) | $ |
|
$ |
|
|||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Shareholders’
equity, beginning of period |
$ |
|
$ |
|
$ |
|
||||||
Addition of
|
|
|
— |
|||||||||
Redemption of
|
( |
) |
— |
( |
) | |||||||
Net addition
(redemption) of |
( |
) |
|
( |
) | |||||||
Net investment
income (loss) |
|
( |
) |
( |
) | |||||||
Net realized
gain (loss) |
|
( |
) |
( |
) | |||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
|
|
||||||||
Net income
(loss) |
( |
) |
|
|
||||||||
Shareholders’
equity, end of period |
$ |
|
$ |
|
$ |
|
||||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Cash flow from
operating activities |
|
|
|
|
|
| ||||||
Net income
(loss) |
$ |
( |
) | $ |
|
$ |
|
|||||
Adjustments to
reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases of
short-term U.S. government and agency obligations |
( |
) |
( |
) |
( |
) | ||||||
Proceeds from
sales or maturities of short-term U.S. government and agency obligations
|
|
|
|
|||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) |
( |
) |
( |
) | ||||||
Net realized
gain (loss) on investments |
|
— |
|
|||||||||
Change in
unrealized appreciation (depreciation) on investments |
|
( |
) |
( |
) | |||||||
Decrease
(Increase) in interest receivable |
( |
) |
( |
) |
— |
|||||||
Increase
(Decrease) in payable to Sponsor |
|
|
( |
) | ||||||||
Net cash
provided by (used in) operating activities |
( |
) |
|
|
||||||||
Cash flow from
financing activities |
|
|
|
|
|
| ||||||
Proceeds from
addition of shares |
|
— |
— |
|||||||||
Payment on
shares redeemed |
( |
) |
— |
( |
) | |||||||
Net cash
provided by (used in) financing activities |
|
— |
( |
) | ||||||||
Net increase
(decrease) in cash |
|
|
|
|||||||||
Cash,
beginning of period |
|
|
|
|||||||||
Cash, end of
period |
$ |
|
$ |
|
$ |
|
||||||
December 31, 2019
|
|
December 31, 2018
|
| |||||
Assets
|
|
|
|
| ||||
Short-term
U.S. government and agency obligations (Note 3) (cost $ |
$ |
|
$ |
|
||||
Cash
|
|
|
||||||
Segregated
cash balances with brokers for futures contracts |
|
|
||||||
Receivable
from capital shares sold |
— |
|
||||||
Receivable on
open futures contracts |
— |
|
||||||
Interest
receivable |
|
|
||||||
Total assets
|
|
|
||||||
Liabilities
and shareholders’ equity |
|
|
|
| ||||
Liabilities
|
|
|
|
| ||||
Payable on
open futures contracts |
|
— |
||||||
Payable to
Sponsor |
|
|
||||||
Total
liabilities |
|
|
||||||
Commitments
and Contingencies (Note 2) |
|
|
||||||
Shareholders’
equity |
|
|
|
| ||||
Shareholders’
equity |
|
|
||||||
Total
liabilities and shareholders’ equity |
$ |
|
$ |
|
||||
Shares
outstanding |
|
|
||||||
Net asset
value per share |
$ |
|
$ |
|
||||
Market value
per share (Note 2) |
$ |
|
$ |
|
||||
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
|
|
|
||||||
|
|
|
||||||
|
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
WTI Crude Oil
- NYMEX, expires March 2020 |
|
$ |
|
$ |
|
^^ |
|
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
WTI Crude Oil
- NYMEX, expires March 2019 |
|
$ |
|
$ |
( |
) |
^^ |
|
Year Ended
December 31, |
January 13, 2017 (Inception) through December 31, 2017 |
| ||||||||||
2019
|
|
2018
|
| |||||||||
Investment
Income |
|
|
|
|
|
| ||||||
Interest
|
$ |
|
$ |
|
$ |
|
||||||
Expenses
|
||||||||||||
Management fee
|
|
|
— |
|||||||||
Brokerage
commissions |
|
|
|
|||||||||
Brokerage fees
|
— |
— |
|
|||||||||
Offering costs
|
— |
|
|
|||||||||
Limitation by
Sponsor |
— |
( |
) |
( |
) | |||||||
Total expenses
|
|
|
|
|||||||||
Net investment
income (loss) |
|
( |
) |
( |
) | |||||||
Realized and
unrealized gain (loss) on investment activity |
||||||||||||
Net realized
gain (loss) on |
|
|
|
|
|
| ||||||
Futures
contracts |
|
( |
) |
|
||||||||
Short-term
U.S. government and agency obligations |
|
— |
— |
|||||||||
Net realized
gain (loss) |
|
( |
) |
|
||||||||
Change in net
unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
|
( |
) |
|
||||||||
Short-term
U.S. government and agency obligations |
|
|
— |
|||||||||
Change in net
unrealized appreciation (depreciation) |
|
( |
) |
|
||||||||
Net realized
and unrealized gain (loss) |
|
( |
) |
|
||||||||
Net income
(loss) |
$ |
|
$ |
( |
) | $ |
|
|||||
Year Ended
December 31, |
January 13, 2017 (Inception) through December 31, 2017 |
| ||||||||||
2019
|
|
2018
|
| |||||||||
Shareholders’
equity, beginning of period |
$ |
|
$ |
|
$ |
— |
||||||
Addition of
|
|
|
|
|||||||||
Redemption of
|
( |
) |
( |
) |
( |
) | ||||||
Net addition
(redemption) of ( |
( |
) |
|
|
||||||||
Net investment
income (loss) |
|
( |
) |
( |
) | |||||||
Net realized
gain (loss) |
|
( |
) |
|
||||||||
Change in net
unrealized appreciation (depreciation) |
|
( |
) |
|
||||||||
Net income
(loss) |
|
( |
) |
|
||||||||
Shareholders’
equity, end of period |
$ |
|
$ |
|
$ |
|
||||||
Year Ended
December 31, |
January 13, 2017 (Inception) through December 31, 2017 |
| ||||||||||
2019
|
|
2018
|
| |||||||||
Cash flow from
operating activities |
|
|
|
|
|
| ||||||
Net income
(loss) |
$ |
|
$ |
( |
) | $ |
|
|||||
Adjustments to
reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases of
short-term U.S. government and agency obligations |
( |
) |
( |
) |
— |
|||||||
Proceeds from
sales or maturities of short-term U.S. government and agency obligations
|
|
|
— |
|||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) |
( |
) |
— |
|||||||
Net realized
gain (loss) on investments |
( |
) |
— |
— |
||||||||
Change in
unrealized appreciation (depreciation) on investments |
( |
) |
( |
) |
— |
|||||||
Decrease
(Increase) in receivable on futures contracts |
|
( |
) |
( |
) | |||||||
Decrease
(Increase) in receivable in Limitation by Sponsor |
— |
|
( |
) | ||||||||
Decrease
(Increase) in interest receivable |
( |
) |
( |
) |
— |
|||||||
Cash paid for
offering costs |
— |
— |
( |
) | ||||||||
Amortization
of offering costs |
— |
|
|
|||||||||
Increase
(Decrease) in payable to Sponsor |
|
|
— |
|||||||||
Increase
(Decrease) in payable on futures contracts |
|
— |
— |
|||||||||
Net cash
provided by (used in) operating activities |
|
( |
) |
|
||||||||
Cash flow from
financing activities |
|
|
|
|
|
| ||||||
Proceeds from
addition of shares |
|
|
|
|||||||||
Payment on
shares redeemed |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) financing activities |
( |
) |
|
|
||||||||
Net increase
(decrease) in cash |
( |
) |
|
|
||||||||
Cash,
beginning of period |
|
|
— |
|||||||||
Cash, end of
period |
$ |
|
$ |
|
$ |
|
||||||
December 31, 2019
|
|
December 31, 2018
|
| |||||
Assets
|
|
|
|
| ||||
Short-term
U.S. government and agency obligations (Note 3) (cost $
|
$ |
|
$ |
— |
||||
Cash
|
|
|
||||||
Segregated
cash balances with brokers for futures contracts |
|
|
||||||
Securities
sold receivable |
|
— |
||||||
Receivable on
open futures contracts |
|
— |
||||||
Interest
receivable |
|
|
||||||
Total assets
|
|
|
||||||
Liabilities
and shareholders’ equity |
|
|
|
| ||||
Liabilities
|
|
|
|
| ||||
Payable on
open futures contracts |
— |
|
||||||
Payable to
Sponsor |
|
|
||||||
Total
liabilities |
|
|
||||||
Commitments
and Contingencies (Note 2) |
|
|
||||||
Shareholders’
equity |
|
|
|
| ||||
Shareholders’
equity |
|
|
||||||
Total
liabilities and shareholders’ equity |
$ |
|
$ |
|
||||
Shares
outstanding |
|
|
||||||
Net asset
value per share |
$ |
|
$ |
|
||||
Market value
per share (Note 2) |
$ |
|
$ |
|
||||
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
|
|
|
||||||
|
|
|
||||||
|
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Futures
Contracts Sold |
|
|
|
|
|
| ||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
WTI Crude Oil
- NYMEX, expires March 2020 |
|
$ |
|
$ |
( |
) |
^^ |
|
Futures
Contracts Sold |
|
|
|
|
|
| ||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
WTI Crude Oil
- NYMEX, expires March 2019 |
|
$ |
|
$ |
|
Year Ended
December 31, |
January 13, 2017 (Inception) through December 31, 2017 |
| ||||||||||
2019
|
|
2018
|
| |||||||||
Investment
Income |
|
|
|
|
|
| ||||||
Interest
|
$ |
|
$ |
|
$ |
|
||||||
Expenses
|
||||||||||||
Management fee
|
|
|
— |
|||||||||
Brokerage
commissions |
|
|
|
|||||||||
Brokerage fees
|
— |
— |
|
|||||||||
Offering costs
|
— |
|
|
|||||||||
Limitation by
Sponsor |
— |
( |
) |
( |
) | |||||||
Total expenses
|
|
|
|
|||||||||
Net investment
income (loss) |
|
( |
) |
( |
) | |||||||
Realized and
unrealized gain (loss) on investment activity |
||||||||||||
Net realized
gain (loss) on |
|
|
|
|
|
| ||||||
Futures
contracts |
( |
) |
|
( |
) | |||||||
Short-term
U.S. government and agency obligations |
|
— |
— |
|||||||||
Net realized
gain (loss) |
( |
) |
|
( |
) | |||||||
Change in net
unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
( |
) |
|
( |
) | |||||||
Short-term
U.S. government and agency obligations |
|
— |
— |
|||||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
|
( |
) | |||||||
Net realized
and unrealized gain (loss) |
( |
) |
|
( |
) | |||||||
Net income
(loss) |
$ |
( |
) | $ |
|
$ |
( |
) | ||||
Year Ended
December 31, |
January 13, 2017 (Inception) through December 31, 2017 |
| ||||||||||
2019
|
|
2018
|
| |||||||||
Shareholders’
equity, beginning of period |
$ |
|
$ |
|
$ |
– |
||||||
Addition of
|
|
|
|
|||||||||
Redemption of
|
( |
) |
( |
) |
( |
) | ||||||
Net addition
(redemption) of
|
|
( |
) |
|
||||||||
Net investment
income (loss) |
|
( |
) |
( |
) | |||||||
Net realized
gain (loss) |
( |
) |
|
( |
) | |||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
|
( |
) | |||||||
Net income
(loss) |
( |
) |
|
( |
) | |||||||
Shareholders’
equity, end of period |
$ |
|
$ |
|
$ |
|
||||||
Year Ended
December 31, |
January 13, 2017 (Inception) through December 31, 2017 |
| ||||||||||
2019
|
|
2018
|
| |||||||||
Cash flow from
operating activities |
|
|
|
|
|
| ||||||
Net income
(loss) |
$ |
( |
) | $ |
|
$ |
( |
) | ||||
Adjustments to
reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases of
short-term U.S. government and agency obligations |
( |
) |
( |
) |
— |
|||||||
Proceeds from
sales or maturities of short-term U.S. government and agency obligations
|
|
|
— |
|||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) |
( |
) |
— |
|||||||
Net realized
gain (loss) on investments |
( |
) |
— |
— |
||||||||
Change in
unrealized appreciation (depreciation) on investments |
( |
) |
— |
— |
||||||||
Decrease
(Increase) in securities sold receivable |
( |
) |
— |
— |
||||||||
Decrease
(Increase) in receivable on futures contracts |
( |
) |
— |
— |
||||||||
Decrease
(Increase) in receivable in Limitation by Sponsor |
— |
|
( |
) | ||||||||
Decrease
(Increase) in interest receivable |
( |
) |
( |
) |
— |
|||||||
Cash paid for
offering costs |
— |
— |
( |
) | ||||||||
Amortization
of offering costs |
— |
|
|
|||||||||
Increase
(Decrease) in payable to Sponsor |
|
|
— |
|||||||||
Increase
(Decrease) in payable on futures contracts |
( |
) |
( |
) |
|
|||||||
Net cash
provided by (used in) operating activities |
( |
) |
|
( |
) | |||||||
Cash flow from
financing activities |
|
|
|
|
|
| ||||||
Proceeds from
addition of shares |
|
|
|
|||||||||
Payment on
shares redeemed |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) financing activities |
|
( |
) |
|
||||||||
Net increase
(decrease) in cash |
|
( |
) |
|
||||||||
Cash,
beginning of period |
|
|
— |
|||||||||
Cash, end of
period |
$ |
|
$ |
|
$ |
|
||||||
December 31, 2019
|
|
December 31, 2018
|
| |||||
Assets
|
|
|
|
| ||||
Short-term
U.S. government and agency obligations (Note 3) (cost $
|
$ |
|
$ |
|
||||
Cash
|
|
|
||||||
Segregated
cash balances with brokers for futures contracts |
|
|
||||||
Receivable on
open futures contracts |
— |
|
||||||
Interest
receivable |
|
|
||||||
Total assets
|
|
|
||||||
Liabilities
and shareholders’ equity |
|
|
|
| ||||
Liabilities
|
|
|
|
| ||||
Payable on
open futures contracts |
|
— |
||||||
Payable to
Sponsor |
|
|
||||||
Total
liabilities |
|
|
||||||
Commitments
and Contingencies (Note 2) |
|
|
||||||
Shareholders’
equity |
|
|
|
| ||||
Shareholders’
equity |
|
|
||||||
Total
liabilities and shareholders’ equity |
$ |
|
$ |
|
||||
Shares
outstanding |
|
|
||||||
Net asset
value per share |
$ |
|
$ |
|
||||
Market value
per share (Note 2) |
$ |
|
$ |
|
||||
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
|
|
|
||||||
|
|
|
||||||
|
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Futures
Contracts Sold |
|
|
|
|
|
| ||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
Australian
Dollar Fx Currency Futures - CME, expires March 2020 |
|
$ |
|
$ |
( |
) |
^^ |
|
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
|
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Futures
Contracts Sold |
|
|
|
|
|
| ||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
Australian
Dollar Fx Currency Futures - CME, expires March 2019 |
|
$ |
|
$ |
|
^^ |
|
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Investment
Income |
|
|
|
|
|
| ||||||
Interest
|
$ |
|
$ |
|
$ |
|
||||||
Expenses
|
||||||||||||
Management fee
|
|
|
|
|||||||||
Brokerage
commissions |
|
|
|
|||||||||
Total expenses
|
|
|
|
|||||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Realized and
unrealized gain (loss) on investment activity |
||||||||||||
Net realized
gain (loss) on |
|
|
|
|
|
| ||||||
Futures
contracts |
|
|
( |
) | ||||||||
Short-term
U.S. government and agency obligations |
|
( |
) |
( |
) | |||||||
Net realized
gain (loss) |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
( |
) |
|
( |
) | |||||||
Short-term
U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
|
( |
) | |||||||
Net realized
and unrealized gain (loss) |
|
|
( |
) | ||||||||
Net income
(loss) |
$ |
|
$ |
|
$ |
( |
) | |||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Shareholders’
equity, beginning of period |
$ |
|
$ |
|
$ |
|
||||||
Addition of
|
|
|
|
|||||||||
Redemption of
|
( |
) |
( |
) |
( |
) | ||||||
Net addition
(redemption) of (
|
( |
) |
( |
) |
|
|||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Net realized
gain (loss) |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
|
( |
) | |||||||
Net income
(loss) |
|
|
( |
) | ||||||||
Shareholders’
equity, end of period |
$ |
|
$ |
|
$ |
|
||||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Cash flow from
operating activities |
|
|
|
|
|
| ||||||
Net income
(loss) |
$ |
|
$ |
|
$ |
( |
) | |||||
Adjustments to
reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases of
short-term U.S. government and agency obligations |
( |
) |
( |
) |
( |
) | ||||||
Proceeds from
sales or maturities of short-term U.S. government and agency obligations
|
|
|
|
|||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) |
( |
) |
( |
) | ||||||
Net realized
gain (loss) on investments |
( |
) |
|
|
||||||||
Change in
unrealized appreciation (depreciation) on investments |
( |
) |
( |
) |
|
|||||||
Decrease
(Increase) in receivable on futures contracts |
|
( |
) |
— |
||||||||
Decrease
(Increase) in interest receivable |
|
( |
) |
— |
||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) |
( |
) |
( |
) | ||||||
Increase
(Decrease) in payable on futures contracts |
|
( |
) |
|
||||||||
Net cash
provided by (used in) operating activities |
( |
) |
|
( |
) | |||||||
Cash flow from
financing activities |
|
|
|
|
|
| ||||||
Proceeds from
addition of shares |
|
|
|
|||||||||
Payment on
shares redeemed |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) financing activities |
( |
) |
( |
) |
|
|||||||
Net increase
(decrease) in cash |
( |
) |
|
( |
) | |||||||
Cash,
beginning of period |
|
|
|
|||||||||
Cash, end of
period |
$ |
|
$ |
|
$ |
|
||||||
December 31, 2019
|
|
December 31, 2018
|
| |||||
Assets
|
|
|
|
| ||||
Short-term
U.S. government and agency obligations (Note 3) (cost $
|
$ |
|
$ |
|
||||
Cash
|
|
|
||||||
Segregated
cash balances with brokers for futures contracts |
|
|
||||||
Segregated
cash balances with brokers for swap agreements |
|
|
||||||
Unrealized
appreciation on swap agreements |
— |
|
||||||
Receivable
from capital shares sold |
|
|
||||||
Receivable on
open futures contracts |
|
|
||||||
Interest
receivable |
|
|
||||||
Total assets
|
|
|
||||||
Liabilities
and shareholders’ equity |
|
|
|
| ||||
Liabilities
|
|
|
|
| ||||
Payable on
open futures contracts |
— |
|
||||||
Payable to
Sponsor |
|
|
||||||
Unrealized
depreciation on swap agreements |
|
— |
||||||
Total
liabilities |
|
|
||||||
Commitments
and Contingencies (Note 2) |
|
|
||||||
Shareholders’
equity |
|
|
|
| ||||
Shareholders’
equity |
|
|
||||||
Total
liabilities and shareholders’ equity |
$ |
|
$ |
|
||||
Shares
outstanding |
|
|
||||||
Net asset
value per share |
$ |
|
$ |
|
||||
Market value
per share (Note 2) |
$ |
|
$ |
|
||||
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
† |
|
|
||||||
|
|
|
||||||
† |
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Futures
Contracts Sold |
|
|
|
|
|
| ||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
WTI Crude Oil
- NYMEX, expires March 2020 |
|
$ |
|
$ |
( |
) |
Total Return
Swap Agreements
^ |
|
|
|
|
|
|
|
| ||||||||
Rate
Paid (Received) * |
|
Termination Date |
|
Notional Amount at Value ** |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||||
Swap agreement
with Citibank, N.A. based on Bloomberg WTI Crude Oil Subindex
|
|
% |
|
$ |
( |
) | $ |
( |
) | |||||||
Swap agreement
with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex
|
|
|
( |
) |
( |
) | ||||||||||
Swap agreement
with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex
|
|
|
( |
) |
( |
) | ||||||||||
Swap agreement
with Societe Generale based on Bloomberg WTI Crude Oil Subindex
|
|
|
( |
) |
( |
) | ||||||||||
Swap agreement
with UBS AG based on Bloomberg WTI Crude Oil Subindex |
|
|
( |
) |
( |
) | ||||||||||
Total Unrealized Depreciation |
$ |
( |
) | |||||||||||||
† All
or partial amount pledged as collateral for swap agreements.^
The positions and counterparties herein are as of December 31,
2019. The Fund continually evaluates different counterparties for their
transactions and counterparties are subject to change. New counterparties
can be added at any time.^^
*
Reflects the floating financing rate, as of December 31, 2019,
on the notional amount of the swap agreement paid to the counterparty or
received from the counterparty, excluding any commissions. Total Return
Swap Agreements payment is due at termination/maturity.**
For swap agreements, a positive amount represents “long” exposure to
the benchmark index. A negative amount represents “short” exposure to the
benchmark index. |
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
† |
$ |
|
$ |
|
||||
† |
|
|
||||||
† |
|
|
||||||
|
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Futures
Contracts Sold |
|
|
|
|
|
| ||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
WTI Crude Oil
- NYMEX, expires March 2019 |
|
$ |
|
$ |
|
Total Return
Swap Agreements
^ |
|
|
|
|
|
|
|
| ||||||||
Rate
Paid (Received) * |
|
Termination Date |
|
Notional Amount at Value ** |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||||
Swap agreement
with Citibank, N.A. based on Bloomberg WTI Crude Oil Subindex
|
|
% |
|
$ |
( |
) | $ |
|
||||||||
Swap agreement
with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex
|
|
|
( |
) |
|
|||||||||||
Swap agreement
with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex
|
|
|
( |
) |
|
|||||||||||
Swap agreement
with Societe Generale based on Bloomberg WTI Crude Oil Subindex
|
|
|
( |
) |
|
|||||||||||
Swap agreement
with UBS AG based on Bloomberg WTI Crude Oil Subindex |
|
|
( |
) |
|
|||||||||||
Total Unrealized Appreciation |
$ |
|
||||||||||||||
† All
or partial amount pledged as collateral for swap agreements.^
The positions and counterparties herein are as of December 31,
2018. The Fund continually evaluates different counterparties for their
transactions and counterparties are subject to change. New counterparties
can be added at any time.^^
*
Reflects the floating financing rate, as of December 31, 2018,
on the notional amount of the swap agreement paid to the counterparty or
received from the counterparty, excluding any commissions. Total Return
Swap Agreements payment is due at termination/maturity.**
For swap agreements, a positive amount represents “long” exposure to
the benchmark index. A negative amount represents “short” exposure to the
benchmark index. |
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Investment
Income |
|
|
|
|
|
| ||||||
Interest
|
$ |
|
$ |
|
$ |
|
||||||
Expenses
|
||||||||||||
Management fee
|
|
|
|
|||||||||
Brokerage
commissions |
|
|
|
|||||||||
Total expenses
|
|
|
|
|||||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Realized and
unrealized gain (loss) on investment activity |
||||||||||||
Net realized
gain (loss) on |
|
|
|
|
|
| ||||||
Futures
contracts |
( |
) |
( |
) |
( |
) | ||||||
Swap
agreements |
( |
) |
( |
) |
( |
) | ||||||
Short-term
U.S. government and agency obligations |
|
|
( |
) | ||||||||
Net realized
gain (loss) |
( |
) |
( |
) |
( |
) | ||||||
Change in net
unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
( |
) |
|
( |
) | |||||||
Swap
agreements |
( |
) |
|
( |
) | |||||||
Short-term
U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
|
( |
) | |||||||
Net realized
and unrealized gain (loss) |
( |
) |
|
( |
) | |||||||
Net income
(loss) |
$ |
( |
) | $ |
|
$ |
( |
) | ||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Shareholders’
equity, beginning of period |
$ |
|
$ |
|
$ |
|
||||||
Addition of
|
|
|
|
|||||||||
Redemption of
|
( |
) |
( |
) |
( |
) | ||||||
Net addition
(redemption) of |
|
( |
) |
|
||||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Net realized
gain (loss) |
( |
) |
( |
) |
( |
) | ||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
|
( |
) | |||||||
Net income
(loss) |
( |
) |
|
( |
) | |||||||
Shareholders’
equity, end of period |
$ |
|
$ |
|
$ |
|
||||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Cash flow from
operating activities |
|
|
|
|
|
| ||||||
Net income
(loss) |
$ |
( |
) | $ |
|
$ |
( |
) | ||||
Adjustments to
reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases of
short-term U.S. government and agency obligations |
( |
) |
( |
) |
( |
) | ||||||
Proceeds from
sales or maturities of short-term U.S. government and agency obligations
|
|
|
|
|||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) |
( |
) |
( |
) | ||||||
Net realized
gain (loss) on investments |
( |
) |
( |
) |
|
|||||||
Change in
unrealized appreciation (depreciation) on investments |
|
( |
) |
|
||||||||
Decrease
(Increase) in receivable on futures contracts |
( |
) |
( |
) |
— |
|||||||
Decrease
(Increase) in interest receivable |
( |
) |
( |
) |
— |
|||||||
Increase
(Decrease) in payable to Sponsor |
|
( |
) |
|
||||||||
Increase
(Decrease) in payable on futures contracts |
( |
) |
( |
) |
|
|||||||
Net cash
provided by (used in) operating activities |
( |
) |
|
( |
) | |||||||
Cash flow from
financing activities |
|
|
|
|
|
| ||||||
Proceeds from
addition of shares |
|
|
|
|||||||||
Payment on
shares redeemed |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) financing activities |
|
( |
) |
|
||||||||
Net increase
(decrease) in cash |
|
|
( |
) | ||||||||
Cash,
beginning of period |
|
|
|
|||||||||
Cash, end of
period |
$ |
|
$ |
|
$ |
|
||||||
December 31, 2019
|
|
December 31, 2018
|
| |||||
Assets
|
|
|
|
| ||||
Short-term
U.S. government and agency obligations (Note 3) (cost $
|
$ |
|
$ |
|
||||
Cash
|
|
|
||||||
Segregated
cash balances with brokers for futures contracts |
|
|
||||||
Receivable on
open futures contracts |
— |
|
||||||
Interest
receivable |
|
|
||||||
Total assets
|
|
|
||||||
Liabilities
and shareholders’ equity |
|
|
|
| ||||
Liabilities
|
|
|
|
| ||||
Payable for
capital shares redeemed |
— |
|
||||||
Payable on
open futures contracts |
|
— |
||||||
Payable to
Sponsor |
|
|
||||||
Total
liabilities |
|
|
||||||
Commitments
and Contingencies (Note 2) |
|
|
||||||
Shareholders’
equity |
|
|
|
| ||||
Shareholders’
equity |
|
|
||||||
Total
liabilities and shareholders’ equity |
$ |
|
$ |
|
||||
Shares
outstanding |
|
|
||||||
Net asset
value per share |
$ |
|
$ |
|
||||
Market value
per share (Note 2) |
$ |
|
$ |
|
||||
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
|
|
|
||||||
|
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Futures
Contracts Sold |
|
|
|
|
|
| ||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
Natural Gas -
NYMEX, expires March 2020 |
|
$ |
|
$ |
|
^^ |
|
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
|
|
|
||||||
|
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Futures
Contracts Sold |
|
|
|
|
|
| ||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
Natural Gas -
NYMEX, expires March 2019 |
|
$ |
|
$ |
|
^^ |
|
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Investment
Income |
|
|
|
|
|
| ||||||
Interest
|
$ |
|
$ |
|
$ |
|
||||||
Expenses
|
||||||||||||
Management fee
|
|
|
|
|||||||||
Brokerage
commissions |
|
|
|
|||||||||
Brokerage fees
|
— |
— |
|
|||||||||
Total expenses
|
|
|
|
|||||||||
Net investment
income (loss) |
|
( |
) |
( |
) | |||||||
Realized and
unrealized gain (loss) on investment activity |
||||||||||||
Net realized
gain (loss) on |
|
|
|
|
|
| ||||||
Futures
contracts |
|
( |
) |
|
||||||||
Short-term
U.S. government and agency obligations |
— |
— |
( |
) | ||||||||
Net realized
gain (loss) |
|
( |
) |
|
||||||||
Change in net
unrealized appreciation (depreciation) on |
||||||||||||
Futures
contracts |
( |
) |
|
( |
) | |||||||
Short-term
U.S. government and agency obligations |
|
( |
) |
|
||||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
|
( |
) | |||||||
Net realized
and unrealized gain (loss) |
|
( |
) |
|
||||||||
Net income
(loss) |
$ |
|
$ |
( |
) | $ |
|
|||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Shareholders’
equity, beginning of period |
$ |
|
$ |
|
$ |
|
||||||
Addition of
|
|
|
|
|||||||||
Redemption of
|
( |
) |
( |
) |
( |
) | ||||||
Net addition
(redemption) of (
|
( |
) |
|
( |
) | |||||||
Net investment
income (loss) |
|
( |
) |
( |
) | |||||||
Net realized
gain (loss) |
|
( |
) |
|
||||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
|
( |
) | |||||||
Net income
(loss) |
|
( |
) |
|
||||||||
Shareholders’
equity, end of period |
$ |
|
$ |
|
$ |
|
||||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Cash flow from
operating activities |
|
|
|
|
|
| ||||||
Net income
(loss) |
$ |
|
$ |
( |
) | $ |
|
|||||
Adjustments to
reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases of
short-term U.S. government and agency obligations |
( |
) |
( |
) |
( |
) | ||||||
Proceeds from
sales or maturities of short-term U.S. government and agency obligations
|
|
|
|
|||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) |
( |
) |
( |
) | ||||||
Net realized
gain (loss) on investments |
— |
— |
|
|||||||||
Change in
unrealized appreciation (depreciation) on investments |
( |
) |
|
( |
) | |||||||
Decrease
(Increase) in receivable on futures contracts |
|
( |
) |
|
||||||||
Decrease
(Increase) in interest receivable |
|
( |
) |
— |
||||||||
Increase
(Decrease) in payable to Sponsor |
( |
) |
|
( |
) | |||||||
Increase
(Decrease) in brokerage commissions and fees payable |
— |
— |
( |
) | ||||||||
Increase
(Decrease) in payable on futures contracts |
|
( |
) |
|
||||||||
Net cash
provided by (used in) operating activities |
|
( |
) |
|
||||||||
Cash flow from
financing activities |
|
|
|
|
|
| ||||||
Proceeds from
addition of shares |
|
|
|
|||||||||
Payment on
shares redeemed |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) financing activities |
( |
) |
|
( |
) | |||||||
Net increase
(decrease) in cash |
( |
) |
|
|
||||||||
Cash,
beginning of period |
|
|
|
|||||||||
Cash, end of
period |
$ |
|
$ |
|
$ |
|
||||||
December 31, 2019
|
|
December 31, 2018
|
| |||||
Assets
|
|
|
|
| ||||
Short-term
U.S. government and agency obligations (Note 3) (cost $
|
$ |
|
$ |
|
||||
Cash
|
|
|
||||||
Segregated
cash balances with brokers for foreign currency forward contracts
|
— |
|
||||||
Unrealized
appreciation on foreign currency forward contracts |
|
|
||||||
Interest
receivable |
|
|
||||||
Total assets
|
|
|
||||||
Liabilities
and shareholders’ equity |
|
|
|
| ||||
Liabilities
|
|
|
|
| ||||
Payable for
capital shares redeemed |
— |
|
||||||
Payable to
Sponsor |
|
|
||||||
Unrealized
depreciation on foreign currency forward contracts |
|
|
||||||
Total
liabilities |
|
|
||||||
Commitments
and Contingencies (Note 2) |
|
|
||||||
Shareholders’
equity |
|
|
|
| ||||
Shareholders’
equity |
|
|
||||||
Total
liabilities and shareholders’ equity |
$ |
|
$ |
|
||||
Shares
outstanding |
|
|
||||||
Net asset
value per share |
$ |
|
$ |
|
||||
Market value
per share (Note 2) |
$ |
|
$ |
|
||||
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
† |
|
|
||||||
|
|
|
||||||
† |
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Foreign
Currency Forward Contracts
^ |
|
|
|
|
|
|
|
| ||||||||
Settlement Date
|
|
Contract Amount in Local Currency |
|
Contract Amount in U.S. Dollars |
|
Unrealized Appreciation (Depreciation)/ Value |
| |||||||||
Contracts to
Purchase |
|
|
|
|
|
|
|
| ||||||||
Euro with UBS
AG |
|
|
$ |
|
$ |
|
||||||||||
Total
Unrealized Appreciation |
$ |
|
||||||||||||||
Contracts to
Sell |
|
|
|
|
|
|
|
| ||||||||
Euro with
Goldman Sachs International |
|
( |
) | $ |
( |
) | $ |
( |
) | |||||||
Euro with UBS
AG |
|
( |
) |
( |
) |
( |
) | |||||||||
Total Unrealized Depreciation |
$ |
( |
) | |||||||||||||
† All
or partial amount pledged as collateral for foreign currency forward
contracts.^
The positions and counterparties herein are as of December 31,
2019. The Fund continually evaluates different counterparties for their
transactions and counterparties are subject to change. New counterparties
can be added at any time.^^
|
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
† |
$ |
|
$ |
|
||||
† |
|
|
||||||
† |
|
|
||||||
† |
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Foreign
Currency Forward Contracts
^ |
|
|
|
|
|
|
|
| ||||||||
Settlement Date
|
|
Contract Amount in Local Currency |
|
Contract Amount in U.S. Dollars |
|
Unrealized Appreciation (Depreciation)/ Value |
| |||||||||
Contracts to
Purchase |
|
|
|
|
|
|
|
| ||||||||
Euro with
Goldman Sachs International |
|
|
$ |
|
$ |
|
||||||||||
Euro with UBS
AG |
|
|
|
|
||||||||||||
Total Unrealized
Appreciation |
$ |
|
||||||||||||||
Contracts to
Sell |
|
|
|
|
|
|
|
| ||||||||
Euro with
Goldman Sachs International |
|
( |
) | $ |
( |
) | $ |
( |
) | |||||||
Euro with UBS
AG |
|
( |
) |
( |
) |
( |
) | |||||||||
Total
Unrealized Depreciation |
$ |
( |
) | |||||||||||||
† All
or partial amount pledged as collateral for foreign currency forward
contracts.^
The positions and counterparties herein are as of December 31,
2018. The Fund continually evaluates different counterparties for their
transactions and counterparties are subject to change. New counterparties
can be added at any time.^^
|
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Investment
Income |
|
|
|
|
|
| ||||||
Interest
|
$ |
|
$ |
|
$ |
|
||||||
Expenses
|
||||||||||||
Management fee
|
|
|
|
|||||||||
Total expenses
|
|
|
|
|||||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Realized and
unrealized gain (loss) on investment activity |
||||||||||||
Net realized
gain (loss) on |
|
|
|
|
|
| ||||||
Foreign
currency forward contracts |
|
|
( |
) | ||||||||
Short-term
U.S. government and agency obligations |
|
( |
) |
( |
) | |||||||
Net realized
gain (loss) |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) on |
||||||||||||
Foreign
currency forward contracts |
( |
) |
|
( |
) | |||||||
Short-term
U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
|
( |
) | |||||||
Net realized
and unrealized gain (loss) |
|
|
( |
) | ||||||||
Net income
(loss) |
$ |
|
$ |
|
$ |
( |
) | |||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Shareholders’
equity, beginning of period |
$ |
|
$ |
|
$ |
|
||||||
Addition of
|
|
|
|
|||||||||
Redemption of
|
( |
) |
( |
) |
( |
) | ||||||
Net addition
(redemption) of (
|
( |
) |
( |
) |
( |
) | ||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Net realized
gain (loss) |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
|
( |
) | |||||||
Net income
(loss) |
|
|
( |
) | ||||||||
Shareholders’
equity, end of period |
$ |
|
$ |
|
$ |
|
||||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Cash flow from
operating activities |
|
|
|
|
|
| ||||||
Net income
(loss) |
$ |
|
$ |
|
$ |
( |
) | |||||
Adjustments to
reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases of
short-term U.S. government and agency obligations |
( |
) |
( |
) |
( |
) | ||||||
Proceeds from
sales or maturities of short-term U.S. government and agency obligations
|
|
|
|
|||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) |
( |
) |
( |
) | ||||||
Net realized
gain (loss) on investments |
( |
) |
|
|
||||||||
Change in
unrealized appreciation (depreciation) on investments |
|
( |
) |
|
||||||||
Decrease
(Increase) in interest receivable |
( |
) |
( |
) |
— |
|||||||
Increase
(Decrease) in payable to Sponsor |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) operating activities |
|
|
|
|||||||||
Cash flow from
financing activities |
|
|
|
|
|
| ||||||
Proceeds from
addition of shares |
|
|
|
|||||||||
Payment on
shares redeemed |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) financing activities |
( |
) |
( |
) |
( |
) | ||||||
Net increase
(decrease) in cash |
|
|
|
|||||||||
Cash,
beginning of period |
|
|
|
|||||||||
Cash, end of
period |
$ |
|
$ |
|
$ |
|
||||||
December 31, 2019
|
|
December 31, 2018
|
| |||||
Assets
|
|
|
|
| ||||
Short-term
U.S. government and agency obligations (Note 3) (cost $
|
$ |
|
$ |
|
||||
Cash
|
|
|
||||||
Segregated
cash balances with brokers for futures contracts |
|
|
||||||
Segregated
cash balances with brokers for forward agreements |
— |
|
||||||
Segregated
cash balances with brokers for swap agreements |
|
— |
||||||
Receivable on
open futures contracts |
— |
|
||||||
Interest
receivable |
|
|
||||||
Total assets
|
|
|
||||||
Liabilities
and shareholders’ equity |
|
|
|
| ||||
Liabilities
|
|
|
|
| ||||
Payable on
open futures contracts |
|
— |
||||||
Payable to
Sponsor |
|
|
||||||
Unrealized
depreciation on swap agreements |
|
— |
||||||
Unrealized
depreciation on forward agreements |
— |
|
||||||
Total
liabilities |
|
|
||||||
Commitments
and Contingencies (Note 2) |
|
|
||||||
Shareholders’
equity |
|
|
|
| ||||
Shareholders’
equity |
|
|
||||||
Total
liabilities and shareholders’ equity |
$ |
|
$ |
|
||||
Shares
outstanding |
|
|
||||||
Net asset
value per share |
$ |
|
$ |
|
||||
Market value
per share (Note 2) |
$ |
|
$ |
|
||||
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
† |
|
|
||||||
|
|
|
||||||
† |
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Futures
Contracts Sold |
||||||||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
Gold Futures -
COMEX, expires February 2020 |
|
$ |
|
$ |
( |
) |
Total Return
Swap Agreements
^ |
||||||||||||||||
Rate
Paid (Received) * |
|
Termination Date |
|
Notional Amount at Value ** |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||||
Swap agreement
with Citibank, N.A. based on Bloomberg Gold Subindex |
|
% |
|
$ |
( |
) | $ |
( |
) | |||||||
Swap agreement
with Goldman Sachs International based on Bloomberg Gold Subindex
|
|
|
( |
) |
( |
) | ||||||||||
Swap agreement
with UBS AG based on Bloomberg Gold Subindex |
|
|
( |
) |
( |
) | ||||||||||
Total Unrealized
Depreciation |
$ |
( |
) | |||||||||||||
† All
or partial amount pledged as collateral for swap agreements.^
The positions and counterparties herein are as of December 31,
2019. The Fund continually evaluates different counterparties for their
transactions and counterparties are subject to change. New counterparties
can be added at any time.^^
*
Reflects the floating financing rate, as of December 31, 2019,
on the notional amount of the swap agreement paid to the counterparty or
received from the counterparty, excluding any commissions. Total Return
Swap Agreements payment is due at termination/maturity.**
For swap agreements, a positive amount represents “long” exposure to
the benchmark index. A negative amount represents “short” exposure to the
benchmark index. |
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
† |
$ |
|
$ |
|
||||
† |
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Futures
Contracts Sold |
|
|
|
|
|
| ||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
Gold Futures -
COMEX, expires February 2019 |
|
$ |
|
$ |
( |
) |
Forward
Agreements
^ |
|
|
|
|
|
|
|
|
|
| ||||||||||
Rate
Paid (Received) * |
|
Settlement Date
|
|
Commitment to (Deliver)/Receive |
|
Notional Amount at Value ** |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||||||
Forward
agreements with Citibank, N.A. based on
|
( |
)% |
|
$ |
( |
) | $ |
( |
) | $ |
( |
) | ||||||||
Forward
agreements with Goldman Sachs International based on
|
( |
) |
|
( |
) |
( |
) |
( |
) | |||||||||||
Forward
agreements with Societe Generale based on
|
( |
) |
|
( |
) |
( |
) |
( |
) | |||||||||||
Forward
agreements with UBS AG based on
|
( |
) |
|
( |
) |
( |
) |
( |
) | |||||||||||
Total Unrealized
Depreciation |
$ |
( |
) | |||||||||||||||||
† All
or partial amount pledged as collateral for forward agreements.^
The positions and counterparties herein are as of December 31,
2018. The Fund continually evaluates different counterparties for their
transactions and counterparties are subject to change. New counterparties
can be added at any time.^^
*
Reflects the floating financing rate, as of December 31, 2018,
on the notional amount of the forward agreement paid to the counterparty
or received from the counterparty, excluding any commissions. Total Return
Swap Agreements payment is due at termination/maturity.**
For forward agreements, a positive amount represents “long” exposure
to the benchmark index. A negative amount represents “short” exposure to
the benchmark index. |
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Investment
Income |
|
|
|
|
|
| ||||||
Interest
|
$ |
|
$ |
|
$ |
|
||||||
Expenses
|
|
|
|
|
|
| ||||||
Management fee
|
|
|
|
|||||||||
Brokerage
commissions |
|
|
|
|||||||||
Total expenses
|
|
|
|
|||||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Realized and
unrealized gain (loss) on investment activity |
|
|
|
|
|
| ||||||
Net realized
gain (loss) on |
|
|
|
|
|
| ||||||
Futures
contracts |
( |
) |
|
( |
) | |||||||
Swap
agreements |
( |
) |
— |
— |
||||||||
Forward
agreements |
( |
) |
|
( |
) | |||||||
Short-term
U.S. government and agency obligations |
|
|
( |
) | ||||||||
Net realized
gain (loss) |
( |
) |
|
( |
) | |||||||
Change in net
unrealized appreciation (depreciation) on |
|
|
|
|
|
| ||||||
Futures
contracts |
( |
) |
( |
) |
( |
) | ||||||
Swap
agreements |
( |
) |
— |
— |
||||||||
Forward
agreements |
|
|
( |
) | ||||||||
Short-term
U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
|
( |
) | |||||||
Net realized
and unrealized gain (loss) |
( |
) |
|
( |
) | |||||||
Net income
(loss) |
$ |
( |
) | $ |
|
$ |
( |
) | ||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Shareholders’ equity,
beginning of period |
$ |
|
$ |
|
$ |
|
||||||
Addition of
|
|
|
|
|||||||||
Redemption of
|
( |
) |
( |
) |
( |
) | ||||||
Net addition
(redemption) of |
|
( |
) |
( |
) | |||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Net realized
gain (loss) |
( |
) |
|
( |
) | |||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
|
( |
) | |||||||
Net income
(loss) |
( |
) |
|
( |
) | |||||||
Shareholders’ equity, end
of period |
$ |
|
$ |
|
$ |
|
||||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Cash flow from
operating activities |
|
|
|
|
|
| ||||||
Net income
(loss) |
$ |
( |
) | $ |
|
$ |
( |
) | ||||
Adjustments to
reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases of
short-term U.S. government and agency obligations |
( |
) |
( |
) |
( |
) | ||||||
Proceeds from
sales or maturities of short-term U.S. government and agency obligations
|
|
|
|
|||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) |
( |
) |
( |
) | ||||||
Net realized
gain (loss) on investments |
( |
) |
( |
) |
|
|||||||
Change in
unrealized appreciation (depreciation) on investments |
|
( |
) |
|
||||||||
Decrease
(Increase) in receivable on futures contracts |
|
( |
) |
|
||||||||
Decrease
(Increase) in interest receivable |
( |
) |
( |
) |
–
|
|||||||
Increase
(Decrease) in payable to Sponsor |
|
( |
) |
( |
) | |||||||
Increase
(Decrease) in payable on futures contracts |
|
( |
) |
|
||||||||
Net cash
provided by (used in) operating activities |
( |
) |
|
|
||||||||
Cash flow from
financing activities |
|
|
|
|
|
| ||||||
Proceeds from
addition of shares |
|
|
|
|||||||||
Payment on
shares redeemed |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) financing activities |
|
( |
) |
( |
) | |||||||
Net increase (decrease) in
cash |
( |
) |
|
|
||||||||
Cash,
beginning of period |
|
|
|
|||||||||
Cash, end of
period |
$ |
|
$ |
|
$ |
|
||||||
December 31, 2019
|
|
December 31, 2018
|
| |||||
Assets
|
|
|
|
| ||||
Short-term
U.S. government and agency obligations (Note 3) (cost $ |
$ |
|
$ |
|
||||
Cash
|
|
|
||||||
Segregated
cash balances with brokers for futures contracts |
|
|
||||||
Segregated
cash balances with brokers for forward agreements |
— |
|
||||||
Segregated
cash balances with brokers for swap agreements |
|
— |
||||||
Receivable on
open futures contracts |
|
|
|
|
|
— |
| |
Interest
receivable |
|
|
||||||
Total assets
|
|
|
||||||
Liabilities
and shareholders’ equity |
|
|
|
| ||||
Liabilities
|
|
|
|
| ||||
Payable on
open futures contracts |
|
|
||||||
Payable to
Sponsor |
|
|
||||||
Unrealized
depreciation on swap agreements |
|
— |
||||||
Unrealized
depreciation on forward agreements |
— |
|
||||||
Total
liabilities |
|
|
||||||
Commitments
and Contingencies (Note 2) |
|
|
||||||
Shareholders’
equity |
|
|
|
| ||||
Shareholders’
equity |
|
|
||||||
Total
liabilities and shareholders’ equity |
$ |
|
$ |
|
||||
Shares
outstanding |
|
|
||||||
Net asset
value per share |
$ |
|
$ |
|
||||
Market value
per share (Note 2) |
$ |
|
$ |
|
||||
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
( |
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
|
|
|
||||||
† |
|
|
||||||
† |
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Futures
Contracts Sold |
|
|
|
|
|
| ||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
Silver Futures
- COMEX, expires March 2020 |
|
$ |
|
$ |
( |
) |
Total Return
Swap Agreements
^ |
|
|
|
|
|
|
|
| ||||||||
Rate
Paid (Received) * |
|
Termination Date |
|
Notional Amount at Value ** |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||||
Swap agreement
with Citibank, N.A. based on Bloomberg Silver Subindex |
|
% |
|
$ |
( |
) | $ |
( |
) | |||||||
Swap agreement
with Goldman Sachs International based on Bloomberg Silver Subindex
|
|
|
( |
) |
( |
) | ||||||||||
Swap agreement
with UBS AG based on Bloomberg Silver Subindex |
|
|
( |
) |
( |
) | ||||||||||
Total Unrealized
Depreciation |
$ |
( |
) | |||||||||||||
† All
or partial amount pledged as collateral for swap agreements.^
The positions and counterparties herein are as of December 31,
2019. The Fund continually evaluates different counterparties for their
transactions and counterparties are subject to change. New counterparties
can be added at any time.^^
*
Reflects the floating financing rate, as of December 31, 2019,
on the notional amount of the swap agreement paid to the counterparty or
received from the counterparty, excluding any commissions. Total Return
Swap Agreements payment is due at termination/maturity.**
For swap agreements, a positive amount represents “long” exposure to
the benchmark index. A negative amount represents “short” exposure to the
benchmark index. |
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
( |
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
|
|
|
||||||
† |
|
|
||||||
|
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Futures
Contracts Sold |
|
|
|
|
|
| ||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
Silver Futures
- COMEX, expires March 2019 |
|
$ |
|
$ |
( |
) |
Forward
Agreements
^ |
|
|
|
|
|
|
|
|
|
| ||||||||||
Rate
Paid (Received) * |
|
Settlement Date
|
|
Commitment to (Deliver)/Receive |
|
Notional Amount at Value ** |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||||||
Forward
agreements with Citibank, N.A. based on
|
( |
)% |
|
$ |
( |
) | $ |
( |
) | $ |
( |
) | ||||||||
Forward
agreements with Goldman Sachs International based on
|
( |
) |
|
( |
) |
( |
) |
( |
) | |||||||||||
Forward
agreements with Societe Generale based on
|
( |
) |
|
( |
) |
( |
) |
( |
) | |||||||||||
Forward
agreements with UBS AG based on
|
( |
) |
|
( |
) |
( |
) |
( |
) | |||||||||||
Total Unrealized
Depreciation |
$ |
( |
) | |||||||||||||||||
† All
or partial amount pledged as collateral for forward agreements.^
The positions and counterparties herein are as of December 31,
2018. The Fund continually evaluates different counterparties for their
transactions and counterparties are subject to change. New counterparties
can be added at any time.^^
*
Reflects the floating financing rate, as of December 31, 2018,
on the notional amount of the forward agreement paid to the counterparty
or received from the counterparty, excluding any commissions. Total Return
Swap Agreements payment is due at termination/maturity.**
For forward agreements, a positive amount represents “long” exposure
to the benchmark index. A negative amount represents “short” exposure to
the benchmark index. |
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Investment
Income |
|
|
|
|
|
| ||||||
Interest
|
$ |
|
$ |
|
$ |
|
||||||
Expenses
|
|
|
|
|
|
| ||||||
Management fee
|
|
|
|
|||||||||
Brokerage
commissions |
|
|
|
|||||||||
Total expenses
|
|
|
|
|||||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Realized and
unrealized gain (loss) on investment activity |
|
|
|
|
|
| ||||||
Net realized
gain (loss) on |
|
|
|
|
|
| ||||||
Futures
contracts |
( |
) |
|
|
||||||||
Swap
agreements |
( |
) |
— |
— |
||||||||
Forward
agreements |
( |
) |
|
|
||||||||
Short-term
U.S. government and agency obligations |
|
( |
) |
( |
) | |||||||
Net realized
gain (loss) |
( |
) |
|
|
||||||||
Change in net
unrealized appreciation (depreciation) on |
|
|
|
|
|
| ||||||
Futures
contracts |
( |
) |
( |
) |
( |
) | ||||||
Swap
agreements |
( |
) |
— |
— |
||||||||
Forward
agreements |
|
( |
) |
( |
) | |||||||
Short-term
U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
( |
) |
( |
) | ||||||
Net realized
and unrealized gain (loss) |
( |
) |
|
( |
) | |||||||
Net income
(loss) |
$ |
( |
) | $ |
|
$ |
( |
) | ||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Shareholders’ equity,
beginning of period |
$ |
|
$ |
|
$ |
|
||||||
Addition of
|
|
|
|
|||||||||
Redemption of
|
( |
) |
( |
) |
( |
) | ||||||
Net addition
(redemption) of |
|
( |
) |
( |
) | |||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Net realized
gain (loss) |
( |
) |
|
|
||||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
( |
) |
( |
) | ||||||
Net income
(loss) |
( |
) |
|
( |
) | |||||||
Shareholders’ equity, end
of period |
$ |
|
$ |
|
$ |
|
||||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Cash flow from
operating activities |
|
|
|
|
|
| ||||||
Net income
(loss) |
$ |
( |
) | $ |
|
$ |
( |
) | ||||
Adjustments to
reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases of
short-term U.S. government and agency obligations |
( |
) |
( |
) |
( |
) | ||||||
Proceeds from
sales or maturities of short-term U.S. government and agency obligations
|
|
|
|
|||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) |
( |
) |
( |
) | ||||||
Net realized
gain (loss) on investments |
( |
) |
|
|
||||||||
Change in
unrealized appreciation (depreciation) on investments |
|
|
|
|||||||||
Decrease
(Increase) in receivable on futures contracts |
( |
) |
— |
|
||||||||
Decrease
(Increase) in interest receivable |
|
( |
) |
— |
||||||||
Increase
(Decrease) in payable to Sponsor |
|
( |
) |
( |
) | |||||||
Increase
(Decrease) in payable on futures contracts |
|
|
|
|||||||||
Net cash
provided by (used in) operating activities |
( |
) |
|
|
||||||||
Cash flow from
financing activities |
|
|
|
|
|
| ||||||
Proceeds from
addition of shares |
|
|
|
|||||||||
Payment on
shares redeemed |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) financing activities |
|
( |
) |
( |
) | |||||||
Net increase (decrease) in
cash |
( |
) |
|
|
||||||||
Cash,
beginning of period |
|
|
|
|||||||||
Cash, end of
period |
$ |
|
$ |
|
$ |
|
||||||
December 31, 2019
|
|
December 31, 2018
|
| |||||
Assets
|
|
|
|
| ||||
Short-term
U.S. government and agency obligations (Note 3) (cost $ |
$ |
|
$ |
|
||||
Cash
|
|
|
||||||
Segregated
cash balances with brokers for foreign currency forward contracts
|
— |
|
||||||
Unrealized
appreciation on foreign currency forward contracts |
|
|
||||||
Interest
receivable |
|
|
||||||
Total assets
|
|
|
||||||
Liabilities
and shareholders’ equity |
|
|
|
| ||||
Liabilities
|
|
|
|
| ||||
Payable to
Sponsor |
|
|
||||||
Unrealized
depreciation on foreign currency forward contracts |
— |
|
||||||
Total
liabilities |
|
|
||||||
Commitments
and Contingencies (Note 2) |
|
|
||||||
Shareholders’
equity |
|
|
|
| ||||
Shareholders’
equity |
|
|
||||||
Total
liabilities and shareholders’ equity |
$ |
|
$ |
|
||||
Shares
outstanding |
|
|
||||||
Net asset
value per share |
$ |
|
$ |
|
||||
Market value
per share (Note 2) |
$ |
|
$ |
|
||||
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
( |
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
† |
|
|
||||||
|
|
|
||||||
|
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Foreign
Currency Forward Contracts
^ |
|
|
|
|
|
|
|
| ||||||||
Settlement Date
|
|
Contract
Amount in Local Currency |
|
Contract Amount in U.S. Dollars |
|
Unrealized Appreciation (Depreciation)/ Value |
| |||||||||
Contracts to
Purchase |
|
|
|
|
|
|
|
| ||||||||
Yen with UBS
AG |
|
|
$ |
|
$ |
|
||||||||||
|
$ |
|
||||||||||||||
Contracts to
Sell |
|
|
|
|
|
|
|
| ||||||||
Yen with
Goldman Sachs International |
|
( |
) | $ |
( |
) | $ |
|
||||||||
Yen with UBS
AG |
|
( |
) |
( |
) |
|
||||||||||
|
$ |
|
||||||||||||||
|
||||||||||||||||
Total
Unrealized Appreciation |
$ |
|
||||||||||||||
† All
or partial amount pledged as collateral for foreign currency forward
contracts.^
The positions and counterparties herein are as of December 31,
2019. The Fund continually evaluates different counterparties for their
transactions and counterparties are subject to change. New counterparties
can be added at any time.^^
|
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
† |
$ |
|
$ |
|
||||
† |
|
|
||||||
† |
|
|
||||||
† |
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Foreign
Currency Forward Contracts
^ |
|
|
|
|
|
|
|
| ||||||||
Settlement Date
|
|
Contract
Amount in Local Currency |
|
Contract Amount in U.S. Dollars |
|
Unrealized Appreciation (Depreciation)/ Value |
| |||||||||
Contracts to
Purchase |
|
|
|
|
|
|
|
| ||||||||
Yen with
Goldman Sachs International |
|
|
$ |
|
$ |
|
||||||||||
Yen with UBS
AG |
|
|
|
|
||||||||||||
Total Unrealized
Appreciation |
$ |
|
||||||||||||||
Contracts to
Sell |
|
|
|
|
|
|
|
| ||||||||
Yen with
Goldman Sachs International |
|
( |
) | $ |
( |
) | $ |
( |
) | |||||||
Yen with UBS
AG |
|
( |
) |
( |
) |
( |
) | |||||||||
Total
Unrealized Depreciation |
$ |
( |
) | |||||||||||||
† All
or partial amount pledged as collateral for foreign currency forward
contracts.^
The positions and counterparties herein are as of December 31,
2018. The Fund continually evaluates different counterparties for their
transactions and counterparties are subject to change. New counterparties
can be added at any time.^^
|
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Investment
Income |
|
|
|
|
|
| ||||||
Interest
|
$ |
|
$ |
|
$ |
|
||||||
Expenses
|
|
|
|
|
|
| ||||||
Management fee
|
|
|
|
|||||||||
Total expenses
|
|
|
|
|||||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Realized and
unrealized gain (loss) on investment activity |
|
|
|
|
|
| ||||||
Net realized
gain (loss) on |
|
|
|
|
|
| ||||||
Foreign
currency forward contracts |
( |
) |
|
( |
) | |||||||
Short-term
U.S. government and agency obligations |
( |
) |
|
( |
) | |||||||
Net realized
gain (loss) |
( |
) |
|
( |
) | |||||||
Change in net
unrealized appreciation (depreciation) on |
|
|
|
|
|
| ||||||
Foreign
currency forward contracts |
|
( |
) |
( |
) | |||||||
Short-term
U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) |
|
( |
) |
( |
) | |||||||
Net realized
and unrealized gain (loss) |
|
( |
) |
( |
) | |||||||
Net income
(loss) |
$ |
|
$ |
( |
) | $ |
( |
) | ||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Shareholders’ equity,
beginning of period |
$ |
|
$ |
|
$ |
|
||||||
Addition of
|
|
|
|
|||||||||
Redemption of
|
( |
) |
( |
) |
( |
) | ||||||
Net addition
(redemption) of ( |
( |
) |
( |
) |
( |
) | ||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Net realized
gain (loss) |
( |
) |
|
( |
) | |||||||
Change in net
unrealized appreciation (depreciation) |
|
( |
) |
( |
) | |||||||
Net income
(loss) |
|
( |
) |
( |
) | |||||||
Shareholders’ equity, end
of period |
$ |
|
$ |
|
$ |
|
||||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Cash flow from
operating activities |
|
|
|
|
|
| ||||||
Net income
(loss) |
$ |
|
$ |
( |
) | $ |
( |
) | ||||
Adjustments to
reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases of
short-term U.S. government and agency obligations |
( |
) |
( |
) |
( |
) | ||||||
Proceeds from
sales or maturities of short-term U.S. government and agency obligations
|
|
|
|
|||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) |
( |
) |
( |
) | ||||||
Net realized
gain (loss) on investments |
|
( |
) |
|
||||||||
Change in
unrealized appreciation (depreciation) on investments |
( |
) |
|
|
||||||||
Decrease
(Increase) in interest receivable |
( |
) |
( |
) |
— |
|||||||
Increase
(Decrease) in payable to Sponsor |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) operating activities |
|
|
|
|||||||||
Cash flow from
financing activities |
|
|
|
|
|
| ||||||
Proceeds from
addition of shares |
|
|
|
|||||||||
Payment on
shares redeemed |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) financing activities |
( |
) |
( |
) |
( |
) | ||||||
Net increase (decrease) in
cash |
( |
) |
|
( |
) | |||||||
Cash,
beginning of period |
|
|
|
|||||||||
Cash, end of
period |
$ |
|
$ |
|
$ |
|
||||||
December 31, 2019
|
|
December 31, 2018
|
| |||||
Assets
|
|
|
|
| ||||
Short-term
U.S. government and agency obligations (Note 3) (cost $ |
$ |
|
$ |
— |
||||
Cash
|
|
|
||||||
Segregated
cash balances with brokers for futures contracts |
|
|
||||||
Interest
receivable |
|
|
||||||
Total assets
|
|
|
||||||
Liabilities
and shareholders’ equity |
|
|
|
| ||||
Liabilities
|
|
|
|
| ||||
Payable for
capital shares redeemed |
— |
|
||||||
Payable on
open futures contracts |
|
|
||||||
Payable to
Sponsor |
|
|
||||||
Total
liabilities |
|
|
||||||
Commitments
and Contingencies (Note 2) |
|
|
||||||
Shareholders’
equity |
|
|
|
| ||||
Shareholders’
equity |
|
|
||||||
Total
liabilities and shareholders’ equity |
$ |
|
$ |
|
||||
Shares
outstanding |
|
|
||||||
Net asset
value per share |
$ |
|
$ |
|
||||
Market value
per share (Note 2) |
$ |
|
$ |
|
||||
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
† |
|
|
||||||
|
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Futures
Contracts Purchased |
|
|
|
|
|
| ||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
VIX Futures -
C
boe
, expires
April 2020 |
|
$ |
|
$ |
( |
) | ||||||
VIX Futures -
C
boe
, expires May
2020 |
|
|
( |
) | ||||||||
VIX Futures -
C
boe
, expires June
2020 |
|
|
( |
) | ||||||||
VIX Futures -
C
boe
, expires July
2020 |
|
|
|
|||||||||
$ |
( |
) | ||||||||||
† All
or partial amount pledged as collateral for futures contracts.^^
|
Futures
Contracts Purchased |
|
|
|
|
|
| ||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
VIX Futures -
C
boe , expires April 2019 |
|
$ |
|
$ |
|
|||||||
VIX Futures -
C
boe
, expires May
2019 |
|
|
|
|||||||||
VIX Futures -
C
boe
, expires June
2019 |
|
|
|
|||||||||
VIX Futures -
C
boe
, expires July
2019 |
|
|
( |
) | ||||||||
$ |
|
|||||||||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Investment
Income |
|
|
|
|
|
| ||||||
Interest
|
$ |
|
$ |
|
$ |
|
||||||
Expenses
|
|
|
|
|
|
| ||||||
Management fee
|
|
|
|
|||||||||
Brokerage
commissions |
|
|
|
|||||||||
Total expenses
|
|
|
|
|||||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Realized and
unrealized gain (loss) on investment activity |
|
|
|
|
|
| ||||||
Net realized
gain (loss) on |
|
|
|
|
|
| ||||||
Futures
contracts |
( |
) |
|
( |
) | |||||||
Short-term
U.S. government and agency obligations |
|
— |
( |
) | ||||||||
Net realized
gain (loss) |
( |
) |
|
( |
) | |||||||
|
|
|
|
|
| |||||||
Change in net unrealized
appreciation (depreciation) on |
||||||||||||
Futures
contracts |
( |
) |
|
( |
) | |||||||
Short-term
U.S. government and agency obligations |
|
( |
) |
|
||||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
|
( |
) | |||||||
Net realized
and unrealized gain (loss) |
( |
) |
|
( |
) | |||||||
Net income
(loss) |
$ |
( |
) | $ |
|
$ |
( |
) | ||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Shareholders’ equity,
beginning of period |
$ |
|
$ |
|
$ |
|
||||||
Addition of
|
|
|
|
|||||||||
Redemption of
|
( |
) |
( |
) |
( |
) | ||||||
Net addition
(redemption) of |
|
|
|
|||||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Net realized
gain (loss) |
( |
) |
|
( |
) | |||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
|
( |
) | |||||||
Net income
(loss) |
( |
) |
|
( |
) | |||||||
Shareholders’ equity, end
of period |
$ |
|
$ |
|
$ |
|
||||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Cash flow from
operating activities |
|
|
|
|
|
| ||||||
Net income
(loss) |
$ |
( |
) | $ |
|
$ |
( |
) | ||||
Adjustments to
reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases of
short-term U.S. government and agency obligations |
( |
) |
( |
) |
( |
) | ||||||
Proceeds from
sales or maturities of short-term U.S. government and agency obligations
|
|
|
|
|||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) |
( |
) |
( |
) | ||||||
Net realized
gain (loss) on investments |
( |
) |
— |
|
||||||||
Change in
unrealized appreciation (depreciation) on investments |
( |
) |
|
( |
) | |||||||
Decrease
(Increase) in receivable on futures contracts |
— |
|
|
|||||||||
Decrease
(Increase) in interest receivable |
( |
) |
( |
) |
— |
|||||||
Increase
(Decrease) in payable to Sponsor |
( |
) |
|
( |
) | |||||||
Increase
(Decrease) in payable on futures contracts |
|
|
— |
|||||||||
Net cash
provided by (used in) operating activities |
( |
) |
|
( |
) | |||||||
Cash flow from
financing activities |
|
|
|
|
|
| ||||||
Proceeds from
addition of shares |
|
|
|
|||||||||
Payment on
shares redeemed |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) financing activities |
|
|
|
|||||||||
Net increase (decrease) in
cash |
( |
) |
|
|
||||||||
Cash,
beginning of period |
|
|
|
|||||||||
Cash, end of
period |
$ |
|
$ |
|
$ |
|
||||||
December 31, 2019
|
|
December 31, 2018
|
| |||||
Assets
|
|
|
|
| ||||
Short-term
U.S. government and agency obligations (Note 3) (cost $ |
$ |
|
$ |
|
||||
Cash
|
|
|
||||||
Segregated
cash balances with brokers for futures contracts |
|
|
||||||
Receivable on
open futures contracts |
|
|
||||||
Interest
receivable |
|
|
||||||
Total assets
|
|
|
||||||
Liabilities
and shareholders’ equity |
|
|
|
| ||||
Liabilities
|
|
|
|
| ||||
Payable on
open futures contracts |
|
|
||||||
Payable to
Sponsor |
|
|
||||||
Total
liabilities |
|
|
||||||
Commitments
and Contingencies (Note 2) |
|
|
||||||
Shareholders’
equity |
|
|
|
| ||||
Shareholders’
equity |
|
|
||||||
Total
liabilities and shareholders’ equity |
$ |
|
$ |
|
||||
Shares
outstanding |
|
|
||||||
Net asset
value per share |
$ |
|
$ |
|
||||
Market value
per share (Note 2) |
$ |
|
$ |
|
||||
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
|
$ |
|
$ |
|
||||
† |
|
|
||||||
|
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Futures
Contracts Purchased |
|
|
|
|
|
| ||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
VIX Futures -
CBOE, expires January 2020 |
|
$ |
|
$ |
( |
) | ||||||
VIX Futures -
CBOE, expires February 2020 |
|
|
( |
) | ||||||||
$ |
( |
) | ||||||||||
† All
or partial amount pledged as collateral for futures contracts.^^
|
Principal Amount
|
|
Value
|
| |||||
Short-term
U.S. government and agency obligations |
|
|
|
| ||||
(
|
||||||||
U.S. Treasury
Bills
^^ :
|
||||||||
† |
$ |
|
$ |
|
||||
† |
|
|
||||||
|
|
|
||||||
Total
short-term U.S. government and agency obligations (cost $ |
$ |
|
||||||
Futures
Contracts Purchased |
|
|
|
|
|
| ||||||
Number of Contracts |
|
Notional Amount at Value |
|
Unrealized Appreciation (Depreciation)/Value |
| |||||||
VIX Futures -
C
boe , expires January 2019
|
|
$ |
|
$ |
|
|||||||
VIX Futures -
C
boe , expires February 2019
|
|
|
( |
) | ||||||||
$ |
|
|||||||||||
† All
or partial amount pledged as collateral for futures contracts.^^
|
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Investment
Income |
|
|
|
|
|
| ||||||
Interest
|
$ |
|
$ |
|
$ |
|
||||||
Expenses
|
|
|
|
|
|
| ||||||
Management fee
|
|
|
|
|||||||||
Brokerage
commissions |
|
|
|
|||||||||
Brokerage fees
|
|
|
|
|||||||||
Total expenses
|
|
|
|
|||||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Realized and
unrealized gain (loss) on investment activity |
|
|
|
|
|
| ||||||
Net realized
gain (loss) on |
|
|
|
|
|
| ||||||
Futures
contracts |
( |
) |
|
( |
) | |||||||
Short-term
U.S. government and agency obligations |
|
( |
) |
( |
) | |||||||
Net realized
gain (loss) |
( |
) |
|
( |
) | |||||||
Change in net
unrealized appreciation (depreciation) on |
|
|
|
|
|
| ||||||
Futures
contracts |
( |
) |
|
( |
) | |||||||
Short-term
U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
|
( |
) | |||||||
Net realized
and unrealized gain (loss) |
( |
) |
|
( |
) | |||||||
Net income
(loss) |
$ |
( |
) | $ |
|
$ |
( |
) | ||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Shareholders’
equity, beginning of period |
$ |
|
$ |
|
$ |
|
||||||
Addition of
|
|
|
|
|||||||||
Redemption of
|
( |
) |
( |
) |
( |
) | ||||||
Net addition
(redemption) of
|
|
( |
) |
|
||||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Net realized
gain (loss) |
( |
) |
|
( |
) | |||||||
Change in net
unrealized appreciation (depreciation) |
( |
) |
|
( |
) | |||||||
Net income
(loss) |
( |
) |
|
( |
) | |||||||
Shareholders’
equity, end of period |
$ |
|
$ |
|
$ |
|
||||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
|
| |||||||
Cash flow from
operating activities |
|
|
|
|
|
| ||||||
Net income
(loss) |
$ |
( |
) | $ |
|
$ |
( |
) | ||||
Adjustments to
reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases of
short-term U.S. government and agency obligations |
( |
) |
( |
) |
( |
) | ||||||
Proceeds from
sales or maturities of short-term U.S. government and agency obligations
|
|
|
|
|||||||||
Net
amortization and accretion on short-term U.S. government and agency
obligations |
( |
) |
( |
) |
( |
) | ||||||
Net realized
gain (loss) on investments |
( |
) |
|
|
||||||||
Change in
unrealized appreciation (depreciation) on investments |
( |
) |
( |
) |
|
|||||||
Decrease
(Increase) in receivable on futures contracts |
|
|
|
|||||||||
Decrease
(Increase) in interest receivable |
( |
) |
( |
) |
— |
|||||||
Increase
(Decrease) in payable to Sponsor |
|
|
( |
) | ||||||||
Increase
(Decrease) in payable on futures contracts |
|
|
— |
|||||||||
Net cash
provided by (used in) operating activities |
( |
) |
|
( |
) | |||||||
Cash flow from
financing activities |
|
|
|
|
|
| ||||||
Proceeds from
addition of shares |
|
|
|
|||||||||
Payment on
shares redeemed |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) financing activities |
|
( |
) |
|
||||||||
Net increase (decrease) in
cash |
|
|
( |
) | ||||||||
Cash,
beginning of period |
|
|
|
|||||||||
Cash, end of
period |
$ |
|
$ |
|
$ |
|
||||||
December 31, 2019
|
|
December 31, 2018
|
| |||||
Assets
|
|
|
|
| ||||
Short-term
U.S. government and agency obligations (Note 3) (cost $ |
$ |
|
$ |
|
||||
Cash
|
|
|
||||||
Segregated
cash balances with brokers for futures contracts |
|
|
||||||
Segregated
cash balances with brokers for forward agreements |
— |
|
||||||
Segregated
cash balances with brokers for foreign currency forward contracts
|
|
|
||||||
Segregated
cash balances with brokers for swap agreements |
|
|
||||||
Unrealized
appreciation on swap agreements |
|
|
||||||
Unrealized
appreciation on forward agreements |
— |
|
||||||
Unrealized
appreciation on foreign currency forward contracts |
|
|
||||||
Receivable
from capital shares sold |
|
|
||||||
Securities
sold receivable |
|
— |
||||||
Receivable on
open futures contracts |
|
|
||||||
Interest
receivable |
|
|
||||||
Total assets
|
|
|
||||||
Liabilities
and shareholders’ equity |
|
|
|
| ||||
Liabilities
|
|
|
|
| ||||
Payable for
capital shares redeemed |
— |
|
||||||
Payable on
open futures contracts |
|
|
||||||
Payable to
Sponsor |
|
|
||||||
Unrealized
depreciation on swap agreements |
|
|
||||||
Unrealized
depreciation on forward agreements |
— |
|
||||||
Unrealized
depreciation on foreign currency forward contracts |
|
|
||||||
Total
liabilities |
|
|
||||||
Commitments
and Contingencies (Note 2) |
|
|
||||||
Shareholders’
equity |
|
|
|
| ||||
Shareholders’
equity |
|
|
||||||
Total
liabilities and shareholders’ equity |
$ |
|
$ |
|
||||
Shares
outstanding |
|
|
||||||
Year Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
* |
| |||||||
Investment
Income |
|
|
|
|
|
| ||||||
Interest
|
$ |
|
$ |
|
$ |
|
||||||
Expenses
|
|
|
|
|
|
| ||||||
Management fee
|
|
|
|
|||||||||
Brokerage
commissions |
|
|
|
|||||||||
Brokerage fees
|
|
|
|
|||||||||
Offering costs
|
— |
|
|
|||||||||
Limitation by
Sponsor |
— |
( |
) |
( |
) | |||||||
Non-recurring fees
and expenses |
|
— |
— |
|||||||||
Total expenses
|
|
|
|
|||||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Realized and
unrealized gain (loss) on investment activity |
|
|
|
|
|
| ||||||
Net realized
gain (loss) on |
|
|
|
|
|
| ||||||
Futures
contracts |
( |
) |
( |
) |
( |
) | ||||||
Swap
agreements |
|
( |
) |
( |
) | |||||||
Forward
agreements |
|
( |
) |
( |
) | |||||||
Foreign
currency forward contracts |
|
|
( |
) | ||||||||
Short-term
U.S. government and agency obligations |
|
( |
) |
( |
) | |||||||
Net realized
gain (loss) |
( |
) |
( |
) |
( |
) | ||||||
Change in net
unrealized appreciation (depreciation) on |
|
|
|
|
|
| ||||||
Futures
contracts |
( |
) |
|
( |
) | |||||||
Swap
agreements |
|
( |
) |
( |
) | |||||||
Forward
agreements |
( |
) |
|
|
||||||||
Foreign
currency forward contracts |
|
|
( |
) | ||||||||
Short-term
U.S. government and agency obligations |
|
|
( |
) | ||||||||
Change in net
unrealized appreciation (depreciation) |
|
( |
) |
( |
) | |||||||
Net realized
and unrealized gain (loss) |
( |
) |
( |
) |
( |
) | ||||||
Net income
(loss) |
$ |
( |
) | $ |
( |
) | $ |
( |
) | |||
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF since January 13, 2017 (inception date). |
Years Ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017*
|
| |||||||
Shareholders’
equity, beginning of period |
$ |
|
$ |
|
$ |
|
||||||
Addition of
|
|
|
|
|||||||||
Redemption of
|
( |
) |
( |
) |
( |
) | ||||||
Net addition
(redemption) of
|
|
|
|
|||||||||
Net investment
income (loss) |
|
|
( |
) | ||||||||
Net realized
gain (loss) |
( |
) |
( |
) |
( |
) | ||||||
Change in net
unrealized appreciation (depreciation) |
|
( |
) |
( |
) | |||||||
Net income
(loss) |
( |
) |
( |
) |
( |
) | ||||||
Shareholders’
equity, end of period |
$ |
|
$ |
|
$ |
|
||||||
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF since January 13, 2017 (inception date). |
Year ended
December 31, |
||||||||||||
2019
|
|
2018
|
|
2017
* |
| |||||||
Cash flow from
operating activities |
|
|
|
|
|
| ||||||
Net income
(loss) |
$ |
( |
) | $ |
( |
) | $ |
( |
) | |||
Adjustments to
reconcile net income (loss) to net cash provided by (used in) operating
activities: |
||||||||||||
Purchases of
short-term U.S. government and agency obligations |
( |
) |
( |
) |
( |
) | ||||||
Proceeds from
sales or maturities of short-term U.S government and agency obligations
|
|
|
|
|||||||||
Net
amortization and accretion on short-term U.S government and agency
obligations |
( |
) |
( |
) |
( |
) | ||||||
Net realized
gain (loss) on investments |
( |
) |
|
|
||||||||
Change in
unrealized appreciation (depreciation) on investments |
( |
) |
|
|
||||||||
Decrease
(Increase) in securities sold receivable |
( |
) |
— |
— |
||||||||
Decrease
(Increase) in receivable on futures contracts |
( |
) |
( |
) |
( |
) | ||||||
Decrease
(Increase) in receivable in Limitation by Sponsor |
— |
|
( |
) | ||||||||
Decrease
(Increase) in interest receivable |
( |
) |
( |
) |
— |
|||||||
Cash paid for
offering costs |
— |
— |
( |
) | ||||||||
Amortization
of offering costs |
— |
|
|
|||||||||
Increase
(Decrease) in payable to Sponsor |
|
( |
) |
( |
) | |||||||
Increase
(Decrease) in brokerage commissions and fees payable |
— |
— |
( |
) | ||||||||
Increase
(Decrease) in payable on futures contracts |
|
|
( |
) | ||||||||
Increase
(Decrease) in
non-recurring fees
and expenses payable |
|
— |
— |
|||||||||
Net cash
provided by (used in) operating activities |
( |
) |
|
|
||||||||
Cash flow from
financing activities |
|
|
|
|
|
| ||||||
Proceeds from
addition of shares |
|
|
|
|||||||||
Payment on
shares redeemed |
( |
) |
( |
) |
( |
) | ||||||
Net cash
provided by (used in) financing activities |
|
|
|
|||||||||
Net increase
(decrease) in cash |
|
|
|
|||||||||
Cash,
beginning of period |
|
|
|
|||||||||
Cash, end of
period |
$ |
|
$ |
|
$ |
|
||||||
* | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF since January 13, 2017 (inception date). |
Fund
|
Execution
Date (Prior to Opening of Trading) |
Type of Split
|
Date
Trading Resumed at Post- Split Price | |||
ProShares
UltraShort Bloomberg Crude Oil |
|
|
| |||
ProShares
Ultra Bloomberg Crude Oil |
|
|
| |||
ProShares
Ultra VIX Short-Term Futures ETF |
|
|
| |||
ProShares
Short VIX Short-Term Futures ETF |
|
|
| |||
ProShares VIX
Short-Term Futures ETF |
|
|
| |||
ProShares
Ultra VIX Short-Term Futures ETF |
|
|
| |||
ProShares
Ultra Bloomberg Natural Gas |
|
|
| |||
ProShares
UltraPro 3x Short Crude Oil ETF |
|
|
| |||
ProShares
Short VIX Short-Term Futures ETF |
|
|
| |||
ProShares
Ultra VIX Short-Term Futures ETF |
|
|
|
Fund
|
Create/Redeem Cut-off*
|
NAV Calculation Time |
NAV Calculation Date | |||
ProShares
UltraShort Silver, ProShares Ultra Silver |
|
|
December 31,
2019 | |||
ProShares
UltraShort Gold, ProShares Ultra Gold |
|
|
December 31,
2019 | |||
ProShares
UltraShort Bloomberg Crude Oil, |
||||||
ProShares
Ultra Bloomberg Crude Oil, |
|
|
December 31,
2019 | |||
ProShares
UltraPro 3x Short Crude Oil ETF, |
||||||
ProShares
UltraPro 3x Crude Oil ETF |
||||||
ProShares
UltraShort Bloomberg Natural Gas, |
||||||
ProShares
Ultra Bloomberg Natural Gas |
|
|
December 31,
2019 | |||
ProShares
UltraShort Australian Dollar |
|
|
December 31,
2019 | |||
ProShares
Short Euro |
||||||
ProShares
UltraShort Euro, |
||||||
ProShares
Ultra Euro |
|
|
December 31,
2019 | |||
ProShares
UltraShort Yen, |
||||||
ProShares
Ultra Yen |
|
|
December 31,
2019 | |||
ProShares VIX
Short-Term Futures ETF, |
||||||
ProShares
Ultra VIX Short-Term Futures ETF, |
||||||
ProShares
Short VIX Short-Term Futures ETF |
|
|
December 31,
2019 | |||
ProShares
VIX
Mid-Term Futures
ETF |
|
|
December 31,
2019 |
* | Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the twelve months ended December 31, 2019. |
Level I -
Quoted Prices |
Level II
- Other Significant ObservableInputs |
| ||||||||||||||||||
Fund
|
Short-Term U.S.Government and Agencies |
|
Futures Contracts * |
|
Foreign Currency Forward Contracts |
|
Swap Agreements |
|
Total |
| ||||||||||
ProShares
Short Euro |
$ |
|
$ |
( |
) | $ |
— |
$ |
— |
$ |
|
|||||||||
ProShares
Short VIX Short-Term Futures ETF |
|
|
— |
— |
|
|||||||||||||||
ProShares
Ultra Bloomberg Crude Oil |
|
|
— |
|
|
|||||||||||||||
ProShares
Ultra Bloomberg Natural Gas |
|
( |
) |
— |
— |
|
||||||||||||||
ProShares
Ultra Euro |
|
— |
|
— |
|
|||||||||||||||
ProShares
Ultra Gold |
|
|
— |
|
|
|||||||||||||||
ProShares
Ultra Silver |
|
|
— |
|
|
|||||||||||||||
ProShares
Ultra VIX Short-Term Futures ETF |
|
( |
) |
— |
( |
) |
|
|||||||||||||
ProShares
Ultra Yen |
|
— |
( |
) |
— |
|
||||||||||||||
ProShares
UltraPro 3x Crude Oil ETF |
|
|
— |
— |
|
|||||||||||||||
ProShares
UltraPro 3x Short Crude Oil ETF |
|
( |
) |
— |
— |
|
||||||||||||||
ProShares
UltraShort Australian Dollar |
|
( |
) |
— |
— |
|
||||||||||||||
ProShares
UltraShort Bloomberg Crude Oil |
|
( |
) |
— |
( |
) |
|
|||||||||||||
ProShares
UltraShort Bloomberg Natural Gas |
|
|
— |
— |
|
|||||||||||||||
ProShares
UltraShort Euro |
|
— |
( |
) |
— |
|
||||||||||||||
ProShares
UltraShort Gold |
|
( |
) |
— |
( |
) |
|
|||||||||||||
ProShares
UltraShort Silver |
|
( |
) |
— |
( |
) |
|
|||||||||||||
ProShares
UltraShort Yen |
|
— |
|
— |
|
|||||||||||||||
ProShares
VIX
Mid-Term Futures
ETF |
|
( |
) |
— |
— |
|
||||||||||||||
ProShares VIX
Short-Term Futures ETF |
|
( |
) |
— |
— |
|
||||||||||||||
Total Trust
|
$ |
|
|
$ |
( |
) |
$ |
( |
) |
$ |
|
|
$ |
|
|
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Level I -
Quoted Prices |
Level II -
Other Significant Observable Inputs
|
| ||||||||||||||||||||||
Fund
|
Short-Term U.S.Government and Agencies |
|
Futures Contracts * |
|
Forward Agreements |
|
Foreign Currency Forward Contracts |
|
Swap Agreements |
|
Total |
| ||||||||||||
ProShares
Short Euro |
$ |
|
$ |
( |
) | $ |
— |
$ |
— |
$ |
— |
$ |
|
|||||||||||
ProShares
Short VIX Short-Term Futures ETF |
— |
( |
) |
— |
— |
— |
( |
) | ||||||||||||||||
ProShares
Ultra Bloomberg Crude Oil |
|
( |
) |
— |
— |
( |
) |
|
||||||||||||||||
ProShares
Ultra Bloomberg Natural Gas |
|
( |
) |
— |
— |
— |
( |
) | ||||||||||||||||
ProShares
Ultra Euro |
|
— |
— |
|
— |
|
||||||||||||||||||
ProShares
Ultra Gold |
|
|
|
— |
— |
|
||||||||||||||||||
ProShares
Ultra Silver |
|
|
|
— |
— |
|
||||||||||||||||||
ProShares
Ultra VIX Short-Term Futures ETF |
— |
|
— |
— |
( |
) |
|
|||||||||||||||||
ProShares
Ultra Yen |
— |
— |
— |
|
— |
|
||||||||||||||||||
ProShares
UltraPro 3x Crude Oil ETF |
|
( |
) |
— |
— |
— |
( |
) | ||||||||||||||||
ProShares
UltraPro 3x Short Crude Oil ETF |
— |
|
— |
— |
— |
|
||||||||||||||||||
ProShares
UltraShort Australian Dollar |
|
|
— |
— |
— |
|
||||||||||||||||||
ProShares
UltraShort Bloomberg Crude Oil |
|
|
— |
— |
|
|
||||||||||||||||||
ProShares
UltraShort Bloomberg Natural Gas |
|
|
— |
— |
— |
|
||||||||||||||||||
ProShares
UltraShort Euro |
|
— |
— |
( |
) |
— |
|
|||||||||||||||||
ProShares
UltraShort Gold |
|
( |
) |
( |
) |
— |
— |
|
||||||||||||||||
ProShares
UltraShort Silver |
|
( |
) |
( |
) |
— |
— |
|
||||||||||||||||
ProShares
UltraShort Yen |
|
— |
— |
( |
) |
— |
|
|||||||||||||||||
ProShares
VIX
Mid-Term Futures
ETF |
— |
|
— |
— |
— |
|
||||||||||||||||||
ProShares VIX
Short-Term Futures ETF |
|
|
— |
— |
— |
|
||||||||||||||||||
Total Trust
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
( |
) |
$ |
( |
) |
$ |
|
|
* |
Includes
cumulative appreciation (depreciation) of futures contracts as reported in
the Schedule of Investments. Only current day’s variation margin is
reported within the Statements of Financial Condition in
receivable/payable on open futures. |
Asset
Derivatives |
Liability
Derivatives |
|||||||||||||
Derivatives
Not Accounted for
as Hedging
Instruments |
Fund
|
Statements
of Financial Condition Location |
Unrealized Appreciation |
|
Statements of Financial Condition Location |
Unrealized Depreciation |
| |||||||
VIX Futures
Contracts |
Receivables
on open futures contracts and/or unrealized appreciation on swap
agreements |
Payable
on open futures contracts and/or unrealized depreciation on swap
agreements |
||||||||||||
ProShares
Short VIX
Short-Term Futures
ETF |
$ |
|
* |
$ |
|
* | ||||||||
ProShares
Ultra VIX
Short-Term Futures
ETF |
— |
|
* | |||||||||||
ProShares
VIX
Mid-Term Futures
ETF |
|
* |
|
* | ||||||||||
ProShares
VIX
Short-Term Futures
ETF |
— |
|
* | |||||||||||
Commodities
Contracts |
Receivables on
open futures contracts and/or unrealized appreciation on swap agreements
|
Payable on
open futures contracts and/or unrealized depreciation on swap agreements
|
||||||||||||
ProShares
Ultra Bloomberg Crude Oil |
|
* |
— |
|||||||||||
ProShares
Ultra Bloomberg Natural Gas |
— |
|
* | |||||||||||
ProShares
Ultra Gold |
|
* |
— |
|||||||||||
ProShares
Ultra Silver |
|
* |
— |
|||||||||||
ProShares
UltraPro 3x Crude Oil ETF |
|
* |
— |
|||||||||||
ProShares
UltraPro 3x Short Crude Oil ETF |
— |
|
* | |||||||||||
ProShares
UltraShort Bloomberg Crude Oil |
— |
|
* | |||||||||||
ProShares
UltraShort Bloomberg Natural Gas |
|
* |
— |
|||||||||||
ProShares
UltraShort Gold |
— |
|
* | |||||||||||
ProShares
UltraShort Silver |
— |
|
* | |||||||||||
Foreign
Exchange Contracts |
Unrealized
appreciation on foreign currency forward contracts, and/or receivables on
open futures contracts |
Unrealized
depreciation on foreign currency forward contracts, and/or payable on open
futures contracts |
||||||||||||
ProShares
Short Euro |
— |
|
* | |||||||||||
ProShares
Ultra Euro |
|
— |
||||||||||||
ProShares
Ultra Yen |
— |
|
||||||||||||
ProShares
UltraShort Australian Dollar |
— |
|
* | |||||||||||
ProShares
UltraShort Euro |
|
|
||||||||||||
ProShares
UltraShort Yen |
|
— |
||||||||||||
Total Trust
|
$ |
|
* |
$ |
|
* |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Asset
Derivatives |
Liability
Derivatives |
|||||||||||||
Derivatives
Not Accounted for as Hedging Instruments |
Fund
|
Statements of Financial Condition Location |
Unrealized Appreciation |
|
Statements of Financial Condition Location |
Unrealized Depreciation |
| |||||||
VIX Futures
Contracts |
Receivables on
open futures contracts, unrealized appreciation on swap agreements
|
Payable on
open futures contracts, unrealized depreciation on swap agreements
|
||||||||||||
ProShares
Short VIX
Short-Term Futures
ETF |
$ |
|
* |
$ |
|
* | ||||||||
ProShares
Ultra VIX
Short-Term Futures
ETF |
|
* |
|
* | ||||||||||
ProShares
VIX
Mid-Term Futures
ETF |
|
* |
|
* | ||||||||||
ProShares VIX
Short-Term Futures ETF |
|
* |
|
* | ||||||||||
Commodities
Contracts |
Receivables on
open futures contracts and/or unrealized appreciation on swap agreements
|
Payable on
open futures contracts and/or unrealized depreciation on swap agreements
|
||||||||||||
ProShares
Ultra Bloomberg Crude Oil |
— |
|
* | |||||||||||
ProShares
Ultra Bloomberg Natural Gas |
— |
|
* | |||||||||||
ProShares
Ultra Gold |
|
* |
— |
|||||||||||
ProShares
Ultra Silver |
|
* |
— |
|||||||||||
ProShares
UltraPro 3x Crude Oil ETF |
— |
|
* | |||||||||||
ProShares
UltraPro 3x Short Crude Oil ETF |
|
* |
— |
|||||||||||
ProShares
UltraShort Bloomberg Crude Oil |
|
* |
— |
|||||||||||
ProShares
UltraShort Bloomberg Natural Gas |
|
* |
— |
|||||||||||
ProShares
UltraShort Gold |
— |
|
* | |||||||||||
ProShares
UltraShort Silver |
— |
|
* | |||||||||||
Foreign
Exchange Contracts |
Unrealized
appreciation on foreign currency forward contracts, and/or receivables on
open futures contracts |
Unrealized
depreciation on foreign currency forward contracts, and/or payable on open
futures contracts |
||||||||||||
ProShares
Short Euro |
— |
|
* | |||||||||||
ProShares
Ultra Euro |
|
|
||||||||||||
ProShares
Ultra Yen |
|
|
||||||||||||
ProShares
UltraShort Australian Dollar |
|
* |
— |
|||||||||||
ProShares
UltraShort Euro |
|
|
||||||||||||
ProShares
UltraShort Yen |
|
|
||||||||||||
Total Trust
|
$ |
|
* |
$ |
|
* |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
Derivatives
Not Accounted for as Hedging Instruments |
Location of Gain (Loss) on Derivatives Recognized in Income |
Fund
|
Realized
Gain (Loss) on Derivatives Recognized in Income |
|
Change
in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
| ||||||
VIX Futures
Contracts |
Net realized
gain (loss) on futures contracts and/or swap agreements/ changes in
unrealized appreciation (depreciation) on futures contracts and/or swap
agreements |
|||||||||||
ProShares
Short VIX
Short-Term Futures
ETF |
$ |
|
$ |
|
||||||||
ProShares
Ultra VIX
Short-Term Futures
ETF |
( |
) |
( |
) | ||||||||
ProShares
VIX
Mid-Term
Futures ETF |
( |
) |
( |
) | ||||||||
ProShares VIX
Short-Term Futures ETF |
( |
) |
( |
) | ||||||||
Commodities
Contracts |
Net
realized gain (loss) on futures contracts, forward and/or swap agreements/
changes in unrealized appreciation (depreciation) on futures contracts,
forward and/or swap agreements |
|||||||||||
ProShares
Ultra Bloomberg Crude Oil |
|
|
||||||||||
ProShares
Ultra Bloomberg Natural Gas |
( |
) |
|
|||||||||
ProShares
Ultra Gold |
|
|
||||||||||
ProShares
Ultra Silver |
|
|
||||||||||
ProShares
UltraPro 3x Crude Oil ETF |
|
|
||||||||||
ProShares
UltraPro 3x Short Crude Oil ETF |
( |
) |
( |
) | ||||||||
ProShares
UltraShort Bloomberg Crude Oil |
( |
) |
( |
) | ||||||||
ProShares
UltraShort Bloomberg Natural Gas |
|
( |
) | |||||||||
ProShares
UltraShort Gold |
( |
) |
( |
) | ||||||||
ProShares
UltraShort Silver |
( |
) |
( |
) | ||||||||
Foreign
Exchange Contracts |
Net realized
gain (loss) on futures and/or foreign currency forward contracts/changes
in unrealized appreciation (depreciation) on futures and/or foreign
currency forward contracts |
|||||||||||
ProShares
Short Euro |
|
|
||||||||||
ProShares
Ultra Euro |
( |
) |
|
|||||||||
ProShares
Ultra Yen |
|
( |
) | |||||||||
ProShares
UltraShort Australian Dollar |
|
( |
) | |||||||||
ProShares
UltraShort Euro |
|
( |
) | |||||||||
ProShares
UltraShort Yen |
( |
) |
|
|||||||||
Total Trust
|
$ |
( |
) |
$ |
|
|
Derivatives
Not Accounted for as Hedging Instruments |
Location of
Gain (Loss) on Derivatives Recognized in Income |
Fund
|
Realized
Gain (Loss) on Derivatives Recognized in Income |
|
Change
in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
| ||||||
VIX Futures
Contracts |
Net realized
gain (loss) on futures contracts and/or swap agreements/ changes in
unrealized appreciation (depreciation) on futures contracts and/or swap
agreements |
|||||||||||
ProShares
Short VIX Short-Term Futures ETF |
$ |
( |
) | $ |
( |
) | ||||||
ProShares
Ultra VIX Short-Term Futures ETF |
|
|
||||||||||
ProShares
VIX
Mid-Term Futures
ETF |
|
|
||||||||||
ProShares VIX
Short-Term Futures ETF |
|
|
||||||||||
Commodities
Contracts |
Net
realized gain (loss) on futures contracts, swap and/or forward agreements/
changes in unrealized appreciation/ depreciation on futures contracts,
swap and/ or forward agreements |
|||||||||||
ProShares
Ultra Bloomberg Crude Oil |
|
( |
) | |||||||||
ProShares
Ultra Bloomberg Natural Gas |
|
( |
) | |||||||||
ProShares
Ultra Gold |
( |
) |
|
|||||||||
ProShares
Ultra Silver |
( |
) |
|
|||||||||
ProShares
UltraPro 3x Crude Oil ETF |
( |
) |
( |
) | ||||||||
ProShares
UltraPro 3x Short Crude Oil ETF |
|
|
||||||||||
ProShares
UltraShort Bloomberg Crude Oil |
( |
) |
|
|||||||||
ProShares
UltraShort Bloomberg Natural Gas |
( |
) |
|
|||||||||
ProShares
UltraShort Gold |
|
|
||||||||||
ProShares
UltraShort Silver |
|
( |
) | |||||||||
Foreign
Exchange Contracts |
Net realized
gain (loss) on futures and/ or foreign currency forward contracts/ changes
in unrealized appreciation (depreciation) on futures and/ or foreign
currency forward contracts |
|||||||||||
ProShares
Short Euro |
|
|
||||||||||
ProShares
Ultra Euro |
( |
) |
( |
) | ||||||||
ProShares
Ultra Yen |
( |
) |
|
|||||||||
ProShares
UltraShort Australian Dollar |
|
|
||||||||||
ProShares
UltraShort Euro |
|
|
||||||||||
ProShares
UltraShort Yen |
|
( |
) | |||||||||
Total Trust
|
$ |
( |
) |
$ |
( |
)
|
Derivatives
Not Accounted for as Hedging Instruments |
Location of Gain
(Loss) on
Derivatives Recognized in Income |
Fund
|
Realized Gain (Loss) on Derivatives Recognized in Income |
|
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
| ||||||
VIX Futures
Contracts |
Net realized
gain (loss) on futures contracts/ changes in unrealized appreciation
(depreciation) on futures contracts |
ProShares
Short VIX Short-Term Futures ETF |
$ |
|
$ |
|
||||||
ProShares
Ultra VIX Short-Term Futures ETF |
( |
) |
( |
) | ||||||||
ProShares
VIX
Mid-Term
Futures ETF |
( |
) |
( |
) | ||||||||
ProShares VIX
Short-Term Futures ETF |
( |
) |
( |
) | ||||||||
Commodity
Contracts |
Net realized
gain (loss) on futures contracts, swap and/or forward agreements/changes
in unrealized appreciation (depreciation) on futures contracts, swap
and/or forward agreements |
ProShares
Ultra Bloomberg Crude Oil |
|
|
||||||||
ProShares
Ultra Bloomberg Natural Gas |
( |
) |
|
|||||||||
ProShares
Ultra Gold |
|
|
||||||||||
ProShares
Ultra Silver |
( |
) |
|
|||||||||
ProShares
UltraPro 3x Crude Oil ETF |
|
|
||||||||||
ProShares
UltraPro 3x Short Crude Oil ETF |
( |
) |
( |
) | ||||||||
ProShares
UltraShort Bloomberg Crude Oil |
( |
) |
( |
) | ||||||||
ProShares
UltraShort Bloomberg Natural Gas |
|
( |
) | |||||||||
ProShares
UltraShort Gold |
( |
) |
( |
) | ||||||||
ProShares
UltraShort Silver |
|
( |
) | |||||||||
Foreign
Exchange Contracts |
Net realized
gain (loss) on futures and/or foreign currency forward contracts/changes
in unrealized appreciation (depreciation) on futures and/or foreign
currency forward contracts |
ProShares
Short Euro |
( |
) |
( |
) | ||||||
ProShares
Ultra Euro |
|
|
||||||||||
ProShares
Ultra Yen |
( |
) |
|
|||||||||
ProShares
UltraShort Australian Dollar |
( |
) |
( |
) | ||||||||
ProShares
UltraShort Euro |
( |
) |
( |
) | ||||||||
ProShares
UltraShort Yen |
( |
) |
( |
) | ||||||||
Total Trust
|
$ |
( |
) | $ |
( |
) |
Fair Values of
Derivative Instruments as of December 31, 2019 |
||||||||||||||||||||||||
Assets
|
Liabilities
|
|||||||||||||||||||||||
Fund
|
Gross Amounts of Recognized Assets presented in the Statements of Financial Condition |
|
Gross Amounts Offset in the Statements of Financial Condition |
|
Net Amounts of Assets presented in the Statements of Financial Condition |
|
Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition |
|
Gross Amounts Offset in the Statements of Financial Condition |
|
Net Amounts of Liabilities presented in the Statements of Financial Condition |
| ||||||||||||
ProShares
Ultra Bloomberg Crude Oil |
||||||||||||||||||||||||
Swap
agreements |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
ProShares
Ultra Euro |
||||||||||||||||||||||||
Foreign
currency forward contracts |
|
|
|
|
|
|
||||||||||||||||||
ProShares
Ultra Gold |
||||||||||||||||||||||||
Swap
agreements |
|
|
|
|
|
|
||||||||||||||||||
ProShares
Ultra Silver |
||||||||||||||||||||||||
Swap
agreements |
|
|
|
|
|
|
||||||||||||||||||
ProShares
Ultra VIX Short-Term Futures ETF |
||||||||||||||||||||||||
Swap
agreements |
|
|
|
|
|
|
||||||||||||||||||
ProShares
Ultra Yen |
||||||||||||||||||||||||
Foreign
currency forward contracts |
|
|
|
|
|
|
||||||||||||||||||
ProShares
UltraShort Bloomberg Crude Oil |
||||||||||||||||||||||||
Swap
agreements |
|
|
|
|
|
|
||||||||||||||||||
ProShares
UltraShort Euro |
||||||||||||||||||||||||
Foreign
currency forward contracts |
|
|
|
|
|
|
||||||||||||||||||
ProShares
UltraShort Gold |
||||||||||||||||||||||||
Swap
agreements |
|
|
|
|
|
|
||||||||||||||||||
ProShares
UltraShort Silver |
||||||||||||||||||||||||
Swap
agreements |
|
|
|
|
|
|
||||||||||||||||||
ProShares
UltraShort Yen |
||||||||||||||||||||||||
Foreign
currency forward contracts |
|
|
|
|
|
|
Gross Amounts
Not Offset in the Statements of Financial Condition as of
December 31, 2019 |
||||||||||||||||
Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition |
|
Financial Instruments for the Benefit of (the Funds) / the Counterparties |
|
Cash Collateral for the Benefit of (the Funds) / the Counterparties |
|
Net Amount
|
| |||||||||
ProShares
Ultra Bloomberg Crude Oil |
||||||||||||||||
Citibank, N.A.
|
$ |
|
$ |
— |
$ |
( |
) | $ |
— |
|||||||
Goldman Sachs
International |
|
( |
) |
— |
— |
|||||||||||
Royal Bank of
Canada |
|
— |
( |
) |
— |
|||||||||||
Societe
Generale |
|
( |
) |
— |
— |
|||||||||||
UBS AG
|
|
( |
) |
— |
— |
|||||||||||
ProShares
Ultra Euro |
||||||||||||||||
Goldman Sachs
International |
|
— |
— |
|
||||||||||||
UBS AG
|
|
— |
— |
|
||||||||||||
ProShares
Ultra Gold |
||||||||||||||||
Citibank, N.A.
|
|
— |
( |
) |
|
|||||||||||
Goldman Sachs
International |
|
( |
) |
— |
|
|||||||||||
UBS AG
|
|
( |
) |
— |
|
|||||||||||
ProShares
Ultra Silver |
||||||||||||||||
Citibank, N.A.
|
|
— |
( |
) |
— |
|||||||||||
Goldman Sachs
International |
|
( |
) |
— |
— |
|||||||||||
UBS AG
|
|
( |
) |
— |
— |
|||||||||||
ProShares
Ultra VIX Short-Term Futures ETF |
||||||||||||||||
Goldman
Sachs & Co. |
( |
) |
— |
|
— |
|||||||||||
ProShares
Ultra Yen |
||||||||||||||||
Goldman Sachs
International |
( |
) |
— |
|
— |
|||||||||||
UBS AG
|
( |
) |
— |
|
— |
|||||||||||
ProShares
UltraShort Bloomberg Crude Oil |
||||||||||||||||
Citibank, N.A.
|
( |
) |
|
|
— |
|||||||||||
Goldman Sachs
International |
( |
) |
|
— |
— |
|||||||||||
Royal Bank of
Canada |
( |
) |
|
|
— |
|||||||||||
Societe
Generale |
( |
) |
|
|
— |
|||||||||||
UBS AG
|
( |
) |
|
|
— |
|||||||||||
ProShares
UltraShort Euro |
||||||||||||||||
Goldman Sachs
International |
( |
) |
|
— |
— |
|||||||||||
UBS AG
|
( |
) |
|
— |
— |
|||||||||||
ProShares
UltraShort Gold |
||||||||||||||||
Citibank, N.A.
|
( |
) |
|
— |
— |
|||||||||||
Goldman Sachs
International |
( |
) |
|
— |
— |
|||||||||||
UBS AG
|
( |
) |
— |
|
— |
|||||||||||
ProShares
UltraShort Silver |
||||||||||||||||
Citibank, N.A.
|
( |
) |
|
— |
— |
|||||||||||
Goldman Sachs
International |
( |
) |
|
|
— |
|||||||||||
UBS AG
|
( |
) |
|
— |
— |
|||||||||||
ProShares
UltraShort Yen |
||||||||||||||||
Goldman Sachs
International |
|
( |
) |
— |
— |
|||||||||||
UBS AG
|
|
( |
) |
— |
— |
Fair Values of
Derivative Instruments as of December 31, 2018 |
||||||||||||||||||||||||
Assets
|
Liabilities
|
|||||||||||||||||||||||
Gross Amounts of Recognized Assets presented in the Statements of Financial Condition |
|
Gross Amounts Offset in the Statements of Financial Condition |
|
Net Amounts of Assets presented in the Statements of Financial Condition |
|
Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition |
|
Gross Amounts Offset in the Statements of Financial Condition |
|
Net Amounts of Liabilities presented in the Statements of Financial Condition |
| |||||||||||||
ProShares
Ultra Bloomberg Crude Oil |
||||||||||||||||||||||||
Swap
agreements |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
ProShares
Ultra Euro |
||||||||||||||||||||||||
Foreign
currency forward contracts |
|
|
|
|
|
|
||||||||||||||||||
ProShares
Ultra Gold |
||||||||||||||||||||||||
Forward
agreements |
|
|
|
|
|
|
||||||||||||||||||
ProShares
Ultra Silver |
||||||||||||||||||||||||
Forward
agreements |
|
|
|
|
|
|
||||||||||||||||||
ProShares
Ultra VIX Short-Term Futures ETF |
||||||||||||||||||||||||
Swap
agreements |
|
|
|
|
|
|
||||||||||||||||||
ProShares
Ultra Yen |
||||||||||||||||||||||||
Foreign
currency forward contracts |
|
|
|
|
|
|
||||||||||||||||||
ProShares
UltraShort Bloomberg Crude Oil |
||||||||||||||||||||||||
Swap
agreements |
|
|
|
|
|
|
||||||||||||||||||
ProShares
UltraShort Euro |
||||||||||||||||||||||||
Foreign
currency forward contracts |
|
|
|
|
|
|
||||||||||||||||||
ProShares
UltraShort Gold |
||||||||||||||||||||||||
Forward
agreements |
|
|
|
|
|
|
||||||||||||||||||
ProShares
UltraShort Silver |
||||||||||||||||||||||||
Forward
agreements |
|
|
|
|
|
|
||||||||||||||||||
ProShares
UltraShort Yen |
||||||||||||||||||||||||
Foreign
currency forward contracts |
|
|
|
|
|
|
Gross Amounts
Not Offset in the Statements of Financial Condition as of
December 31, 2018 |
||||||||||||||||
Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition |
|
Financial Instruments for the Benefit of (the Funds) / the Counterparties |
|
Cash Collateral for the Benefit of (the Funds) / the Counterparties |
|
Net Amount
|
| |||||||||
ProShares
Ultra Bloomberg Crude Oil |
||||||||||||||||
Citibank, N.A.
|
$ |
( |
) | $ |
|
$ |
|
$ |
— |
|||||||
Goldman Sachs
International |
( |
) |
|
|
— |
|||||||||||
Royal Bank of
Canada |
( |
) |
|
— |
— |
|||||||||||
Societe
Generale |
( |
) |
|
|
— |
|||||||||||
UBS AG
|
( |
) |
|
|
— |
|||||||||||
ProShares
Ultra Euro |
||||||||||||||||
Goldman Sachs
International |
|
— |
— |
|
||||||||||||
UBS AG
|
|
— |
— |
|
||||||||||||
ProShares
Ultra Gold |
||||||||||||||||
Citibank, N.A.
|
|
( |
) |
— |
— |
|||||||||||
Goldman Sachs
International |
|
( |
) |
— |
— |
|||||||||||
Societe
Generale |
|
— |
— |
|
||||||||||||
UBS AG
|
|
( |
) |
— |
— |
|||||||||||
ProShares
Ultra Silver |
||||||||||||||||
Citibank, N.A.
|
|
( |
) |
— |
|
|||||||||||
Goldman Sachs
International |
|
( |
) |
— |
|
|||||||||||
Societe
Generale |
|
— |
— |
|
||||||||||||
UBS AG
|
|
( |
) |
— |
|
|||||||||||
ProShares
Ultra VIX Short-Term Futures ETF |
||||||||||||||||
Goldman Sachs
International |
( |
) |
— |
|
— |
|||||||||||
ProShares
Ultra Yen |
||||||||||||||||
Goldman Sachs
International |
|
— |
— |
|
||||||||||||
UBS AG
|
|
— |
— |
|
||||||||||||
ProShares
UltraShort Bloomberg Crude Oil |
||||||||||||||||
Citibank, N.A.
|
|
( |
) |
— |
— |
|||||||||||
Goldman Sachs
International |
|
( |
) |
— |
— |
|||||||||||
Royal Bank of
Canada |
|
— |
( |
) |
— |
|||||||||||
Societe
Generale |
|
( |
) |
— |
— |
|||||||||||
UBS AG
|
|
( |
) |
— |
— |
|||||||||||
ProShares
UltraShort Euro |
||||||||||||||||
Goldman Sachs
International |
( |
) |
|
— |
— |
|||||||||||
UBS AG
|
( |
) |
— |
|
— |
|||||||||||
ProShares
UltraShort Gold |
||||||||||||||||
Citibank, N.A.
|
( |
) |
|
|
— |
|||||||||||
Goldman Sachs
International |
( |
) |
— |
|
— |
|||||||||||
Societe
Generale |
( |
) |
— |
|
— |
|||||||||||
UBS AG
|
( |
) |
— |
|
— |
|||||||||||
ProShares
UltraShort Silver |
||||||||||||||||
Citibank, N.A.
|
( |
) |
— |
|
— |
|||||||||||
Goldman Sachs
International |
( |
) |
— |
|
— |
|||||||||||
Societe
Generale |
( |
) |
— |
|
— |
|||||||||||
UBS AG
|
( |
) |
— |
|
— |
|||||||||||
ProShares
UltraShort Yen |
||||||||||||||||
Goldman Sachs
International |
( |
) |
— |
|
— |
|||||||||||
UBS AG
|
( |
) |
|
|
— |
Fund
|
Year
Ended December 31, 2019 |
|
Year
Ended December 31, 2018 |
|
Year
Ended December 31, 2017 |
| ||||||
ProShares
Short Euro |
$ |
— |
$ |
— |
$ |
— |
||||||
ProShares
Short VIX Short-Term Futures ETF |
|
|
|
|||||||||
ProShares
Ultra Bloomberg Crude Oil |
|
|
|
|||||||||
ProShares
Ultra Bloomberg Natural Gas |
|
|
|
|||||||||
ProShares
Ultra Euro |
— |
— |
— |
|||||||||
ProShares
Ultra Gold |
|
|
|
|||||||||
ProShares
Ultra Silver |
|
|
|
|||||||||
ProShares
Ultra VIX Short-Term Futures ETF |
|
|
|
|||||||||
ProShares
Ultra Yen |
— |
— |
— |
|||||||||
ProShares
UltraPro 3x Crude Oil ETF |
|
|
|
|||||||||
ProShares
UltraPro 3x Short Crude Oil ETF |
|
|
|
|||||||||
ProShares
UltraShort Australian Dollar |
— |
— |
— |
|||||||||
ProShares
UltraShort Bloomberg Crude Oil |
|
|
|
|||||||||
ProShares
UltraShort Bloomberg Natural Gas |
|
|
|
|||||||||
ProShares
UltraShort Euro |
— |
— |
— |
|||||||||
ProShares
UltraShort Gold |
|
|
|
|||||||||
ProShares
UltraShort Silver |
— |
— |
— |
|||||||||
ProShares
UltraShort Yen |
— |
— |
— |
|||||||||
ProShares
VIX
Mid-Term Futures
ETF |
|
|
|
|||||||||
ProShares VIX
Short-Term Futures ETF |
|
|
|
|||||||||
Total Trust
|
$ |
|
|
$ |
|
|
$ |
|
|
Per Share
Operating Performance |
Short Euro
|
|
Short VIX Short-Term
Futures ETF |
|
Ultra Bloomberg Crude Oil |
|
Ultra Bloomberg Natural Gas |
|
Ultra Euro
|
|
Ultra Gold
|
| ||||||||||||
Net asset
value, at December 31, 2018 |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Net investment
income (loss) |
|
|
|
|
|
|
||||||||||||||||||
Net realized
and unrealized gain (loss)# |
|
|
|
( |
) |
( |
) |
|
||||||||||||||||
Change in net
asset value from operations |
|
|
|
( |
) |
( |
) |
|
||||||||||||||||
Net asset
value, at December 31, 2019 |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Market value
per share, at December 31, 2018
† |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Market value
per share, at December 31, 2019
† |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Total Return,
at net asset value |
|
% |
|
% |
|
% |
( |
)% |
( |
)% |
|
% | ||||||||||||
Total Return,
at market value |
|
% |
|
% |
|
% |
( |
)% |
( |
)% |
|
% | ||||||||||||
Ratios to
Average Net Assets |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Expense ratio
|
|
% |
|
%^^ |
|
% |
|
% |
|
% |
|
% | ||||||||||||
Expense
ratio, excluding
non-recurring fees
and expenses, and brokerage commissions and fees |
|
% |
|
% |
|
% |
|
% |
|
% |
|
% | ||||||||||||
Net investment
income gain (loss) |
|
% |
|
% |
|
% |
|
% |
|
% |
|
% |
#
The amount shown for a share outstanding throughout the period may
not accord with the change in aggregate gains and losses during the period
because of timing of creation and redemption units in relation to
fluctuating net asset value during the period.† Market
values are determined at the close of the NYSE Arca, which may be later
than when the Funds’ net asset value is calculated.^^
Expense ratio, excluding
non-recurring fees
and expense is
|
Per Share
Operating Performance |
Ultra Silver
|
|
Ultra VIX Short-Term
Futures ETF |
|
Ultra Yen
|
|
UltraPro 3x Crude Oil ETF |
|
UltraPro 3x Short Crude Oil ETF |
|
UltraShort Australian Dollar |
| ||||||||||||
Net asset
value, at December 31, 2018 |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Net investment
income (loss) |
|
|
|
|
|
|
||||||||||||||||||
Net realized
and unrealized gain (loss)# |
|
( |
) |
( |
) |
|
( |
) |
|
|||||||||||||||
Change in net
asset value from operations |
|
( |
) |
( |
) |
|
( |
) |
|
|||||||||||||||
Net asset
value, at December 31, 2019 |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Market value
per share, at December 31, 2018
† |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Market value
per share, at December 31, 2019
† |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Total Return,
at net asset value |
|
% |
( |
)% |
( |
)% |
|
% |
( |
)% |
|
% | ||||||||||||
Total Return,
at market value |
|
% |
( |
)% |
( |
)% |
|
% |
( |
)% |
|
% | ||||||||||||
Ratios to
Average Net Assets |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Expense ratio
|
|
% |
|
%^^ |
|
% |
|
% |
|
% |
|
% | ||||||||||||
Expense
ratio, excluding
non-recurring fees
and expenses, and brokerage commissions and fees |
|
% |
|
% |
|
% |
|
% |
|
% |
|
% | ||||||||||||
Net investment
income gain (loss) |
|
% |
|
% |
|
% |
|
% |
|
% |
|
% |
#
The amount shown for a share outstanding throughout the period may
not accord with the change in aggregate gains and losses during the period
because of timing of creation and redemption units in relation to
fluctuating net asset value during the period.† Market
values are determined at the close of the NYSE Arca, which may be later
than when the Funds’ net asset value is calculated.^^
Expense ratio, excluding
non-recurring fees
and expense is
|
Per Share
Operating Performance |
UltraShort Bloomberg Crude Oil |
|
UltraShort Bloomberg Natural Gas |
|
UltraShort Euro |
|
UltraShort Gold |
|
UltraShort Silver |
|
UltraShort Yen |
| ||||||||||||
Net asset
value, at December 31, 2018 |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Net investment
income (loss) |
|
|
|
|
|
|
||||||||||||||||||
Net realized
and unrealized gain (loss)# |
( |
) |
|
|
( |
) |
( |
) |
|
|||||||||||||||
Change in net
asset value from operations |
( |
) |
|
|
( |
) |
( |
) |
|
|||||||||||||||
Net asset
value, at December 31, 2019 |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Market value
per share, at December 31, 2018
† |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Market value
per share, at December 31, 2019
† |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Total Return,
at net asset value |
( |
)% |
|
% |
|
% |
( |
)% |
( |
)% |
|
% | ||||||||||||
Total Return,
at market value |
( |
)% |
|
% |
|
% |
( |
)% |
( |
)% |
|
% | ||||||||||||
Ratios to
Average Net Assets |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Expense ratio
|
|
% |
|
% |
|
% |
|
% |
|
% |
|
% | ||||||||||||
Expense
ratio, excluding
non-recurring fees
and expenses, and brokerage commissions and fees |
|
% |
|
% |
|
% |
|
% |
|
% |
|
% | ||||||||||||
Net investment
income gain (loss) |
|
% |
|
% |
|
% |
|
% |
|
% |
|
% |
#
The amount shown for a share outstanding throughout the period may
not accord with the change in aggregate gains and losses during the period
because of timing of creation and redemption units in relation to
fluctuating net asset value during the period.† Market
values are determined at the close of the NYSE Arca, which may be later
than when the Funds’ net asset value is calculated. |
Per Share
Operating Performance |
VIX
Mid-
Term Futures ETF |
|
VIX Short- Term Futures ETF |
| ||||
Net asset
value, at December 31, 2018 |
$ |
|
$ |
|
||||
Net investment
income (loss) |
|
|
||||||
Net realized
and unrealized gain (loss)# |
( |
) |
( |
) | ||||
Change in net
asset value from operations |
( |
) |
( |
) | ||||
Net asset
value, at December 31, 2019 |
$ |
|
$ |
|
||||
Market value
per share, at December 31, 2018
† |
$ |
|
$ |
|
||||
Market value
per share, at December 31, 2019
† |
$ |
|
$ |
|
||||
Total Return,
at net asset value |
( |
)% |
( |
)% | ||||
Total Return,
at market value |
( |
)% |
( |
)% | ||||
Ratios to
Average Net Assets |
|
|
|
| ||||
Expense ratio
|
|
% |
|
% | ||||
Expense
ratio, excluding
non-recurring fees
and expenses, and brokerage commissions and fees |
|
% |
|
% | ||||
Net investment
income gain (loss) |
|
% |
|
% |
#
The amount shown for a share outstanding throughout the period may
not accord with the change in aggregate gains and losses during the period
because of timing of creation and redemption units in relation to
fluctuating net asset value during the period.† Market
values are determined at the close of the NYSE Arca, which may be later
than when the Funds’ net asset value is
calculated. |
Per Share
Operating Performance |
Short Euro
|
|
Short VIX Short-Term
Futures ETF * |
|
Ultra Bloomberg Crude Oil |
|
Ultra Bloomberg Natural Gas * |
|
Ultra Euro
|
|
Ultra Gold
|
| ||||||||||||
Net asset
value, at December 31, 2017 |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Net investment
income (loss) |
|
( |
) |
|
|
|
|
|||||||||||||||||
Net realized
and unrealized gain (loss)# |
|
( |
) |
( |
) |
( |
) |
( |
) |
( |
) | |||||||||||||
Change in net
asset value from operations |
|
( |
) |
( |
) |
( |
) |
( |
) |
( |
) | |||||||||||||
Net asset
value, at December 31, 2018 |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Market value
per share, at December 31, 2017
† |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Market value
per share, at December 31, 2018
† |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Total Return,
at net asset value |
|
% |
( |
)% |
( |
)% |
( |
)% |
( |
)% |
( |
)% | ||||||||||||
Total Return,
at market value |
|
% |
( |
)% |
( |
)% |
( |
)% |
( |
)% |
( |
)% | ||||||||||||
Ratios to
Average Net Assets |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Expense ratio
|
|
% |
|
% |
|
% |
|
% |
|
% |
|
% | ||||||||||||
Expense
ratio, excluding
non-recurring fees
and expenses, and brokerage commissions and fees |
|
% |
|
% |
|
% |
|
% |
|
% |
|
% | ||||||||||||
Net investment
income gain (loss) |
|
% |
( |
)% |
|
% |
|
% |
|
% |
|
% |
*
See Note 1 of these Notes to Financial Statements.#
The amount shown for a share outstanding throughout the period may
not accord with the change in aggregate gains and losses during the period
because of timing of creation and redemption units in relation to
fluctuating net asset value during the period.† Market
values are determined at the close of the NYSE Arca, which may be later
than when the Funds’ net asset value is
calculated. |
Per Share
Operating Performance |
Ultra Silver
|
|
Ultra VIX Short-Term
Futures ETF * |
|
Ultra Yen
|
|
UltraPro 3x Crude Oil ETF |
|
UltraPro 3x Short Crude Oil ETF * |
|
UltraShort Australian Dollar |
| ||||||||||||
Net asset
value, at December 31, 2017 |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Net investment
income (loss) |
|
( |
) |
( |
) |
( |
) |
( |
) |
|
||||||||||||||
Net realized
and unrealized gain (loss)# |
( |
) |
|
|
( |
) |
|
|
||||||||||||||||
Change in net
asset value from operations |
( |
) |
|
|
( |
) |
|
|
||||||||||||||||
Net asset
value, at December 31, 2018 |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Market value
per share, at December 31, 2017
† |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Market value
per share, at December 31, 2018
† |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Total Return,
at net asset value |
( |
)% |
|
% |
|
% |
( |
)% |
|
% |
|
% | ||||||||||||
Total Return,
at market value |
( |
)% |
|
% |
|
% |
( |
)% |
|
% |
|
% | ||||||||||||
Ratios to
Average Net Assets |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Expense ratio
|
|
% |
|
% |
|
% |
|
% |
|
% |
|
% | ||||||||||||
Expense
ratio, excluding
non-recurring fees
and expenses, and brokerage commissions and fees |
|
% |
|
% |
|
% |
|
% |
|
% |
|
% | ||||||||||||
Net investment
income gain (loss) |
|
% |
( |
)% |
( |
)% |
( |
)% |
( |
)% |
|
% |
*
See Note 1 of these Notes to Financial Statements.#
The amount shown for a share outstanding throughout the period may
not accord with the change in aggregate gains and losses during the period
because of timing of creation and redemption units in relation to
fluctuating net asset value during the period.† Market
values are determined at the close of the NYSE Arca, which may be later
than when the Funds’ net asset value is
calculated. |
Per Share
Operating Performance |
UltraShort Bloomberg Crude Oil |
|
UltraShort Bloomberg Natural Gas |
|
UltraShort Euro |
|
UltraShort Gold |
|
UltraShort Silver |
|
UltraShort Yen |
| ||||||||||||
Net asset
value, at December 31, 2017 |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Net investment
income (loss) |
|
( |
) |
|
|
|
|
|||||||||||||||||
Net realized
and unrealized gain (loss)# |
|
( |
) |
|
|
|
( |
) | ||||||||||||||||
Change in net
asset value from operations |
|
( |
) |
|
|
|
( |
) | ||||||||||||||||
Net asset
value, at December 31, 2018 |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Market value
per share, at December 31, 2017
† |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Market value
per share, at December 31, 2018
† |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Total Return,
at net asset value |
|
% |
( |
)% |
|
% |
|
% |
|
% |
( |
)% | ||||||||||||
Total Return,
at market value |
|
% |
( |
)% |
|
% |
|
% |
|
% |
( |
)% | ||||||||||||
Ratios to
Average Net Assets |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Expense ratio
|
|
% |
|
% |
|
% |
|
% |
|
% |
|
% | ||||||||||||
Expense
ratio, excluding
non-recurring fees
and expenses, and brokerage commissions and fees |
|
% |
|
% |
|
% |
|
% |
|
% |
|
% | ||||||||||||
Net investment
income gain (loss) |
|
% |
( |
)% |
|
% |
|
% |
|
% |
|
% |
#
The amount shown for a share outstanding throughout the period may
not accord with the change in aggregate gains and losses during the period
because of timing of creation and redemption units in relation to
fluctuating net asset value during the period.† Market
values are determined at the close of the NYSE Arca, which may be later
than when the Funds’ net asset value is
calculated. |
Per Share
Operating Performance |
VIX
Mid-
Term Futures ETF |
|
VIX Short- Term Futures ETF |
| ||||
Net asset
value, at December 31, 2017 |
$ |
|
$ |
|
||||
Net investment
income (loss) |
|
|
||||||
Net realized
and unrealized gain (loss)# |
|
|
||||||
Change in net
asset value from operations |
|
|
||||||
Net asset
value, at December 31, 2018 |
$ |
|
$ |
|
||||
Market value
per share, at December 31, 2017
† |
$ |
|
$ |
|
||||
Market value
per share, at December 31, 2018
† |
$ |
|
$ |
|
||||
Total Return,
at net asset value |
|
% |
|
% | ||||
Total Return,
at market value |
|
% |
|
% | ||||
Ratios to
Average Net Assets |
|
|
|
| ||||
Expense ratio
|
|
% |
|
% | ||||
Expense
ratio, excluding
non-recurring fees
and expenses, and brokerage commissions and fees |
|
% |
|
% | ||||
Net investment
income gain (loss) |
|
% |
|
% |
#
The amount shown for a share outstanding throughout the period may
not accord with the change in aggregate gains and losses during the period
because of timing of creation and redemption units in relation to
fluctuating net asset value during the period.† Market
values are determined at the close of the NYSE Arca, which may be later
than when the Funds’ net asset value is
calculated. |
Per Share
Operating Performance |
Short Euro
|
|
Short VIX Short-Term
Futures ETF * |
|
Ultra Bloomberg Crude Oil |
|
Ultra Bloomberg Natural Gas * |
|
Ultra Euro
|
|
Ultra Gold
|
| ||||||||||||
Net asset
value, at December 31, 2016 |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Net investment
income (loss) |
( |
) |
( |
) |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||||
Net realized
and unrealized gain (loss)# |
( |
) |
|
|
( |
) |
|
|
||||||||||||||||
Change in net
asset value from operations |
( |
) |
|
|
( |
) |
|
|
||||||||||||||||
Net asset
value, at December 31, 2017 |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Market value
per share, at December 31, 2016
† |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Market value
per share, at December 31, 2017
† |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Total Return,
at net asset value |
( |
)% |
|
% |
|
% |
( |
)% |
|
% |
|
% | ||||||||||||
Total Return,
at market value |
( |
)% |
|
% |
|
% |
( |
)% |
|
% |
|
% | ||||||||||||
Ratios to
Average Net Assets |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Expense ratio
|
|
% |
|
% |
|
% |
|
% |
|
% |
|
% | ||||||||||||
Expense
ratio, excluding
non-recurring fees
and expenses, and brokerage commissions and fees |
|
% |
|
% |
|
% |
|
% |
|
% |
|
% | ||||||||||||
Net investment
income gain (loss) |
( |
)% |
( |
)% |
( |
)% |
( |
)% |
( |
)% |
( |
)% |
*
See Note 1 of these Notes to Financial Statements.#
The amount shown for a share outstanding throughout the period may
not accord with the change in aggregate gains and losses during the period
because of timing of creation and redemption units in relation to
fluctuating net asset value during the period. † Market
values are determined at the close of the NYSE Arca, which may be later
than when the Funds’ net asset value is calculated.
|
Per
Share Operating Performance |
Ultra Silver
|
|
Ultra VIX Short-Term
Futures ETF* |
|
Ultra Yen
|
|
UltraPro 3x Crude Oil ETF + |
|
UltraPro 3x Short Crude Oil ETF *+ |
|
UltraShort Australian Dollar |
| ||||||||||||
Net asset
value, at December 31, 2016 |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Net investment
income (loss) |
( |
) |
( |
) |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||||
Net realized
and unrealized gain (loss)# |
|
( |
) |
|
|
( |
) |
( |
) | |||||||||||||||
Change in net
asset value from operations |
|
( |
) |
|
|
( |
) |
( |
) | |||||||||||||||
Net asset
value, at December 31, 2017 |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Market value
per share, at December 31, 2016
† |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Market value
per share, at December 31, 2017
† |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Total Return,
at net asset value |
|
% |
( |
)% |
|
% |
|
%
^ |
( |
)%
^ |
( |
)% | ||||||||||||
Total Return,
at market value |
|
% |
( |
)% |
|
% |
|
%
^ |
( |
)%
^ |
( |
)% | ||||||||||||
Ratios to
Average Net Assets |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Expense ratio
|
|
% |
|
% |
|
% |
|
%
** |
|
%
** |
|
% | ||||||||||||
Expense
ratio, excluding
non-recurring fees
and expenses, and brokerage commissions and fees |
|
% |
|
% |
|
% |
|
%
** |
|
%
** |
|
% | ||||||||||||
Net investment
income gain (loss) |
( |
)% |
( |
)% |
( |
)% |
( |
)%
** |
( |
)%
** |
( |
)% |
*
See Note 1 of these Notes to Financial Statements.+
From commencement of operations, March 24, 2017 through
December 31, 2017. #
The amount shown for a share outstanding throughout the period may
not accord with the change in aggregate gains and losses during the period
because of timing of creation and redemption units in relation to
fluctuating net asset value during the period. † Market
values are determined at the close of the NYSE Arca, which may be later
than when the Funds’ net asset value is calculated. For ProShares UltraPro
3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF, the
returns of shares outstanding for the period of commencement of operations
through December 31, 2017 are calculated based on the initial
offering price upon commencement of operations of $25.00 and $100.00
respectively. ^
Percentages are not annualized for the period ended
December 31, 2017. **
Percentages are annualized. |
Per Share
Operating Performance |
UltraShort Bloomberg Crude Oil |
|
UltraShort Bloomberg Natural Gas |
|
UltraShort Euro |
|
UltraShort Gold |
|
UltraShort Silver |
|
UltraShort Yen |
| ||||||||||||
Net asset
value, at December 31, 2016 |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Net investment
income (loss) |
( |
) |
( |
) |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||||
Net realized
and unrealized gain (loss)# |
( |
) |
|
( |
) |
( |
) |
( |
) |
( |
) | |||||||||||||
Change in net
asset value from operations |
( |
) |
|
( |
) |
( |
) |
( |
) |
( |
) | |||||||||||||
Net asset
value, at December 31, 2017 |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Market value
per share, at December 31, 2016
† |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Market value
per share, at December 31, 2017
† |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
Total Return,
at net asset value |
( |
)% |
|
% |
( |
)% |
( |
)% |
( |
)% |
( |
)% | ||||||||||||
Total Return,
at market value |
( |
)% |
|
% |
( |
)% |
( |
)% |
( |
)% |
( |
)% | ||||||||||||
Ratios to
Average Net Assets |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Expense ratio
|
|
% |
|
% |
|
% |
|
% |
|
% |
|
% | ||||||||||||
Expense
ratio, excluding
non-recurring fees
and expenses, and brokerage commissions and fees |
|
% |
|
% |
|
% |
|
% |
|
% |
|
% | ||||||||||||
Net investment
income gain (loss) |
( |
)% |
( |
)% |
( |
)% |
( |
)% |
( |
)% |
( |
)% |
#
The amount shown for a share outstanding throughout the period may
not accord with the change in aggregate gains and losses during the period
because of timing of creation and redemption units in relation to
fluctuating net asset value during the period.† Market
values are determined at the close of the NYSE Arca, which may be later
than when the Funds’ net asset value is
calculated. |
Per
Share Operating Performance |
VIX
Mid- Term Futures ETF |
|
VIX Short- Term Futures ETF* |
| ||||
Net asset
value, at December 31, 2016 |
$ |
|
$ |
|
||||
Net investment
income (loss) |
( |
) |
( |
) | ||||
Net realized
and unrealized gain (loss)# |
( |
) |
( |
) | ||||
Change in net
asset value from operations |
( |
) |
( |
) | ||||
Net asset
value, at December 31, 2017 |
$ |
|
$ |
|
||||
Market value
per share, at December 31, 2016
† |
$ |
|
$ |
|
||||
Market value
per share, at December 31, 2017
† |
$ |
|
$ |
|
||||
Total Return,
at net asset value |
( |
)% |
( |
)% | ||||
Total Return,
at market value |
( |
)% |
( |
)% | ||||
Ratios to
Average
n et
Assets |
|
|
|
| ||||
Expense ratio
|
|
% |
|
% | ||||
Expense
ratio, excluding
non-recurring fees
and expenses, and brokerage commissions and fees |
|
% |
|
% | ||||
Net investment
income (loss) |
( |
)% |
( |
)% |
*
See Note 1 of these Notes to Financial Statements.#
The amount shown for a share outstanding throughout the period may
not accord with the change in aggregate gains and losses during the period
because of timing of creation and redemption units in relation to
fluctuating net asset value during the period. † Market
values are determined at the close of the NYSE Arca, which may be later
than when the Funds’ net asset value is calculated.
|
/s/
Todd Johnson |
By:
Todd Johnson |
Principal
Executive Officer |
Date:
February 28, 2020 |
|
/s/
Edward Karpowicz |
By:
Edward Karpowicz |
Principal
Financial and Accounting Officer |
Date:
February 28, 2020 |